com.opengamma.strata.pricer.index

Class OvernightFutureOptionSensitivity

java.lang.Object

com.opengamma.strata.pricer.index.OvernightFutureOptionSensitivity

All Implemented Interfaces:

FxConvertible<PointSensitivity>, PointSensitivity, PointSensitivityBuilder, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class OvernightFutureOptionSensitivity
extends Object
implements PointSensitivity, PointSensitivityBuilder, org.joda.beans.ImmutableBean, Serializable

Point sensitivity to an implied volatility for a overnight future option model.

Holds the sensitivity to a specific volatility point.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	OvernightFutureOptionSensitivity.Meta The meta-bean for OvernightFutureOptionSensitivity.

Method Summary

Modifier and Type	Method and Description
MutablePointSensitivities	buildInto(MutablePointSensitivities combination)
OvernightFutureOptionSensitivity	cloned()
int	compareKey(PointSensitivity other)
OvernightFutureOptionSensitivity	convertedTo(Currency resultCurrency, FxRateProvider rateProvider)
boolean	equals(Object obj)
Currency	getCurrency() Gets the currency of the sensitivity.
double	getExpiry() Gets the time to expiry of the option as a year fraction.
LocalDate	getFixingDate() Gets the fixing date of the underlying future.
double	getFuturePrice() Gets the underlying future price.
double	getSensitivity() Gets the value of the sensitivity.
double	getStrikePrice() Gets the option strike price.
OvernightFutureOptionVolatilitiesName	getVolatilitiesName() Gets the name of the volatilities.
int	hashCode()
OvernightFutureOptionSensitivity	mapSensitivity(DoubleUnaryOperator operator)
static OvernightFutureOptionSensitivity.Meta	meta() The meta-bean for OvernightFutureOptionSensitivity.
OvernightFutureOptionSensitivity.Meta	metaBean()
OvernightFutureOptionSensitivity	multipliedBy(double factor)
OvernightFutureOptionSensitivity	normalize()
static OvernightFutureOptionSensitivity	of(OvernightFutureOptionVolatilitiesName volatilitiesName, double expiry, LocalDate fixingDate, double strikePrice, double futurePrice, Currency sensitivityCurrency, double sensitivity) Obtains an instance.
String	toString()
OvernightFutureOptionSensitivity	withCurrency(Currency currency)
OvernightFutureOptionSensitivity	withSensitivity(double sensitivity)

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.opengamma.strata.market.sensitivity.PointSensitivityBuilder

build, combinedWith, none, of, of

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static OvernightFutureOptionSensitivity of(OvernightFutureOptionVolatilitiesName volatilitiesName,
                                                  double expiry,
                                                  LocalDate fixingDate,
                                                  double strikePrice,
                                                  double futurePrice,
                                                  Currency sensitivityCurrency,
                                                  double sensitivity)

Obtains an instance.

Parameters:

volatilitiesName - the name of the volatilities

expiry - the expiry date-time of the option as a year fraction

fixingDate - the fixing date of the underlying future

strikePrice - the strike price of the option

futurePrice - the price of the underlying future

sensitivityCurrency - the currency of the sensitivity

sensitivity - the value of the sensitivity

Returns:

the point sensitivity object

withCurrency

public OvernightFutureOptionSensitivity withCurrency(Currency currency)

Specified by:

withCurrency in interface PointSensitivity

Specified by:

withCurrency in interface PointSensitivityBuilder

withSensitivity

public OvernightFutureOptionSensitivity withSensitivity(double sensitivity)

Specified by:

withSensitivity in interface PointSensitivity

compareKey

public int compareKey(PointSensitivity other)

Specified by:

compareKey in interface PointSensitivity

convertedTo

public OvernightFutureOptionSensitivity convertedTo(Currency resultCurrency,
                                                    FxRateProvider rateProvider)

Specified by:

convertedTo in interface FxConvertible<PointSensitivity>

Specified by:

convertedTo in interface PointSensitivity

multipliedBy

public OvernightFutureOptionSensitivity multipliedBy(double factor)

Specified by:

multipliedBy in interface PointSensitivityBuilder

mapSensitivity

public OvernightFutureOptionSensitivity mapSensitivity(DoubleUnaryOperator operator)

Specified by:

mapSensitivity in interface PointSensitivityBuilder

normalize

public OvernightFutureOptionSensitivity normalize()

Specified by:

normalize in interface PointSensitivityBuilder

buildInto

public MutablePointSensitivities buildInto(MutablePointSensitivities combination)

Specified by:

buildInto in interface PointSensitivityBuilder

cloned

public OvernightFutureOptionSensitivity cloned()

Specified by:

cloned in interface PointSensitivityBuilder

meta

public static OvernightFutureOptionSensitivity.Meta meta()

The meta-bean for OvernightFutureOptionSensitivity.

Returns:

the meta-bean, not null

metaBean

public OvernightFutureOptionSensitivity.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getVolatilitiesName

public OvernightFutureOptionVolatilitiesName getVolatilitiesName()

Gets the name of the volatilities.

Returns:

the value of the property, not null

getExpiry

public double getExpiry()

Gets the time to expiry of the option as a year fraction.

Returns:

the value of the property, not null

getFixingDate

public LocalDate getFixingDate()

Gets the fixing date of the underlying future.

Returns:

the value of the property, not null

getStrikePrice

public double getStrikePrice()

Gets the option strike price.

Returns:

the value of the property

getFuturePrice

public double getFuturePrice()

Gets the underlying future price.

Returns:

the value of the property

getCurrency

public Currency getCurrency()

Gets the currency of the sensitivity.

Specified by:

getCurrency in interface PointSensitivity

Returns:

the value of the property, not null

getSensitivity

public double getSensitivity()

Gets the value of the sensitivity.

Specified by:

getSensitivity in interface PointSensitivity

Returns:

the value of the property

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object