Package com.opengamma.strata.pricer.fxopt

Calculators for FX options.

See: Description

Interface Summary

Interface	Description
BlackFxOptionVolatilities	Volatility for FX option in the log-normal or Black model.
FxOptionVolatilities	Volatilities for pricing FX options.
SmileDeltaTermStructure	A term structure of smile as used in Forex market.

Class Summary

Class	Description
BlackFxOptionFlatVolatilities	Volatility for FX options in the log-normal or Black model based on a curve.
BlackFxOptionFlatVolatilities.Builder	The bean-builder for BlackFxOptionFlatVolatilities.
BlackFxOptionFlatVolatilities.Meta	The meta-bean for BlackFxOptionFlatVolatilities.
BlackFxOptionSmileVolatilities	Data provider of volatility for FX options in the log-normal or Black-Scholes model.
BlackFxOptionSmileVolatilities.Builder	The bean-builder for BlackFxOptionSmileVolatilities.
BlackFxOptionSmileVolatilities.Meta	The meta-bean for BlackFxOptionSmileVolatilities.
BlackFxOptionSurfaceVolatilities	Volatility for FX options in the log-normal or Black model based on a surface.
BlackFxOptionSurfaceVolatilities.Builder	The bean-builder for BlackFxOptionSurfaceVolatilities.
BlackFxOptionSurfaceVolatilities.Meta	The meta-bean for BlackFxOptionSurfaceVolatilities.
BlackFxSingleBarrierOptionProductPricer	Pricer for FX barrier option products in Black-Scholes world.
BlackFxSingleBarrierOptionTradePricer	Pricer for FX barrier option trades in Black-Scholes world.
BlackFxVanillaOptionProductPricer	Pricer for foreign exchange vanilla option transaction products with a lognormal model.
BlackFxVanillaOptionTradePricer	Pricer for FX vanilla option trades with a lognormal model.
FxOptionSensitivity	Point sensitivity to an implied volatility for a FX option model.
FxOptionSensitivity.Meta	The meta-bean for FxOptionSensitivity.
FxOptionVolatilitiesId	An identifier used to access FX option volatilities by name.
FxOptionVolatilitiesName	The name of a set of FX option volatilities.
FxVolatilitySurfaceYearFractionParameterMetadata	Surface node metadata for a surface node with a specific time to expiry and strike.
FxVolatilitySurfaceYearFractionParameterMetadata.Meta	The meta-bean for FxVolatilitySurfaceYearFractionParameterMetadata.
ImpliedTrinomialTreeFxOptionCalibrator	Utilities to calibrate implied trinomial tree to Black volatilities of FX options.
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer	Pricer for FX barrier option products under implied trinomial tree.
ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer	Pricer for FX barrier option trades under implied trinomial tree.
InterpolatedStrikeSmileDeltaTermStructure	An interpolated term structure of smiles as used in Forex market.
InterpolatedStrikeSmileDeltaTermStructure.Meta	The meta-bean for InterpolatedStrikeSmileDeltaTermStructure.
RecombiningTrinomialTreeData	Recombining trinomial tree data.
RecombiningTrinomialTreeData.Meta	The meta-bean for RecombiningTrinomialTreeData.
SmileAndBucketedSensitivities	Combines information about a volatility smile expressed in delta form and its sensitivities.
SmileDeltaParameters	A delta dependent smile as used in Forex market.
SmileDeltaParameters.Meta	The meta-bean for SmileDeltaParameters.
VannaVolgaFxVanillaOptionProductPricer	Pricing method for vanilla Forex option transactions with Vanna-Volga method.
VannaVolgaFxVanillaOptionTradePricer	Pricer for FX vanilla option trades with a Vanna-Volga method.
VolatilityAndBucketedSensitivities	Combines information about a volatility and its sensitivities.
VolatilityAndBucketedSensitivities.Meta	The meta-bean for VolatilityAndBucketedSensitivities.

Package com.opengamma.strata.pricer.fxopt Description

Calculators for FX options.