com.opengamma.strata.pricer.index

Class NormalOvernightFutureOptionMarginedProductPricer

java.lang.Object

com.opengamma.strata.pricer.index.NormalOvernightFutureOptionMarginedProductPricer

public class NormalOvernightFutureOptionMarginedProductPricer
extends Object

Pricer of options on overnight future with a normal model on the underlying future price.

This provides the ability to price an overnight future option. The option must be based on daily margin.

Strata uses decimal prices for overnight future options in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, an option price of 0.2 is related to a futures price of 99.32 that implies an interest rate of 0.68%. Strata represents the price of the future as 0.9932 and thus represents the price of the option as 0.002.

Field Summary

Fields

Modifier and Type	Field and Description
static NormalOvernightFutureOptionMarginedProductPricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
NormalOvernightFutureOptionMarginedProductPricer(DiscountingOvernightFutureProductPricer futurePricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
double	deltaStickyStrike(ResolvedOvernightFutureOption futureOption, NormalOvernightFutureOptionVolatilities volatilities, double futurePrice) Calculates the delta of the Overnight future option product based on the price of the underlying future.
double	deltaStickyStrike(ResolvedOvernightFutureOption futureOption, RatesProvider ratesProvider, NormalOvernightFutureOptionVolatilities volatilities) Calculates the delta of the Overnight future option product.
double	price(ResolvedOvernightFutureOption futureOption, NormalOvernightFutureOptionVolatilities volatilities, double futurePrice) Calculates the price of the Overnight future option product based on the price of the underlying future.
double	price(ResolvedOvernightFutureOption futureOption, RatesProvider ratesProvider, NormalOvernightFutureOptionVolatilities volatilities) Calculates the price of the overnight future option product.
OvernightFutureOptionSensitivity	priceSensitivityModelParamsVolatility(ResolvedOvernightFutureOption futureOption, NormalOvernightFutureOptionVolatilities volatilities, double futurePrice) Calculates the price sensitivity to the normal volatility used for the pricing of the Overnight future option based on the price of the underlying future.
OvernightFutureOptionSensitivity	priceSensitivityModelParamsVolatility(ResolvedOvernightFutureOption futureOption, RatesProvider ratesProvider, NormalOvernightFutureOptionVolatilities volatilities) Calculates the price sensitivity to the normal volatility used for the pricing of the Overnight future option.
PointSensitivities	priceSensitivityRatesStickyStrike(ResolvedOvernightFutureOption futureOption, RatesProvider ratesProvider, NormalOvernightFutureOptionVolatilities volatilities) Calculates the price sensitivity of the Overnight future option product based on curves.
PointSensitivities	priceSensitivityRatesStickyStrike(ResolvedOvernightFutureOption futureOption, RatesProvider ratesProvider, NormalOvernightFutureOptionVolatilities volatilities, double futurePrice) Calculates the price sensitivity of the Overnight future option product based on the price of the underlying future.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final NormalOvernightFutureOptionMarginedProductPricer DEFAULT

Default implementation.

Constructor Detail

NormalOvernightFutureOptionMarginedProductPricer

public NormalOvernightFutureOptionMarginedProductPricer(DiscountingOvernightFutureProductPricer futurePricer)

Creates an instance.

Parameters:

futurePricer - the pricer for OvernightFutureOption

Method Detail

price

public double price(ResolvedOvernightFutureOption futureOption,
                    RatesProvider ratesProvider,
                    NormalOvernightFutureOptionVolatilities volatilities)

Calculates the price of the overnight future option product.

The price of the option is the price on the valuation date.

This calculates the underlying future price using the future pricer.

Parameters:

futureOption - the option product

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the price of the product, in decimal form

price

public double price(ResolvedOvernightFutureOption futureOption,
                    NormalOvernightFutureOptionVolatilities volatilities,
                    double futurePrice)

Calculates the price of the Overnight future option product based on the price of the underlying future.

The price of the option is the price on the valuation date.

Parameters:

futureOption - the option product

volatilities - the volatilities

futurePrice - the price of the underlying future, in decimal form

Returns:

the price of the product, in decimal form

deltaStickyStrike

public double deltaStickyStrike(ResolvedOvernightFutureOption futureOption,
                                RatesProvider ratesProvider,
                                NormalOvernightFutureOptionVolatilities volatilities)

Calculates the delta of the Overnight future option product.

The delta of the product is the sensitivity of the option price to the future price. The volatility is unchanged for a fixed strike in the sensitivity computation, hence the "StickyStrike" name.

This calculates the underlying future price using the future pricer.

Parameters:

futureOption - the option product

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the price curve sensitivity of the product

deltaStickyStrike

public double deltaStickyStrike(ResolvedOvernightFutureOption futureOption,
                                NormalOvernightFutureOptionVolatilities volatilities,
                                double futurePrice)

Calculates the delta of the Overnight future option product based on the price of the underlying future.

The delta of the product is the sensitivity of the option price to the future price. The volatility is unchanged for a fixed strike in the sensitivity computation, hence the "StickyStrike" name.

Parameters:

futureOption - the option product

volatilities - the volatilities

futurePrice - the price of the underlying future, in decimal form

Returns:

the price curve sensitivity of the product

priceSensitivityRatesStickyStrike

public PointSensitivities priceSensitivityRatesStickyStrike(ResolvedOvernightFutureOption futureOption,
                                                            RatesProvider ratesProvider,
                                                            NormalOvernightFutureOptionVolatilities volatilities)

Calculates the price sensitivity of the Overnight future option product based on curves.

The price sensitivity of the product is the sensitivity of the price to the underlying curves. The volatility is unchanged for a fixed strike in the sensitivity computation, hence the "StickyStrike" name.

This calculates the underlying future price using the future pricer.

Parameters:

futureOption - the option product

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the price curve sensitivity of the product

priceSensitivityRatesStickyStrike

public PointSensitivities priceSensitivityRatesStickyStrike(ResolvedOvernightFutureOption futureOption,
                                                            RatesProvider ratesProvider,
                                                            NormalOvernightFutureOptionVolatilities volatilities,
                                                            double futurePrice)

Calculates the price sensitivity of the Overnight future option product based on the price of the underlying future.

The price sensitivity of the product is the sensitivity of the price to the underlying curves. The volatility is unchanged for a fixed strike in the sensitivity computation, hence the "StickyStrike" name.

Parameters:

futureOption - the option product

ratesProvider - the rates provider

volatilities - the volatilities

futurePrice - the price of the underlying future, in decimal form

Returns:

the price curve sensitivity of the product

priceSensitivityModelParamsVolatility

public OvernightFutureOptionSensitivity priceSensitivityModelParamsVolatility(ResolvedOvernightFutureOption futureOption,
                                                                              RatesProvider ratesProvider,
                                                                              NormalOvernightFutureOptionVolatilities volatilities)

Calculates the price sensitivity to the normal volatility used for the pricing of the Overnight future option.

This sensitivity is also called the price normal vega.

This calculates the underlying future price using the future pricer.

Parameters:

futureOption - the option product

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the sensitivity

priceSensitivityModelParamsVolatility

public OvernightFutureOptionSensitivity priceSensitivityModelParamsVolatility(ResolvedOvernightFutureOption futureOption,
                                                                              NormalOvernightFutureOptionVolatilities volatilities,
                                                                              double futurePrice)

Calculates the price sensitivity to the normal volatility used for the pricing of the Overnight future option based on the price of the underlying future.

This sensitivity is also called the price normal vega.

Parameters:

futureOption - the option product

volatilities - the volatilities

futurePrice - the underlying future price, in decimal form

Returns:

the sensitivity