com.opengamma.strata.pricer.index

Interface OvernightFutureOptionVolatilities

All Superinterfaces:

MarketDataView, ParameterizedData

All Known Subinterfaces:

NormalOvernightFutureOptionVolatilities

All Known Implementing Classes:

NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities

public interface OvernightFutureOptionVolatilities
extends MarketDataView, ParameterizedData

Volatilities for pricing overnight futures.

This provides access to the volatilities for various pricing models, such as normal.

Method Summary

Modifier and Type	Method and Description
OvernightIndex	getIndex() Gets the index of the underlying future for which the data is valid.
OvernightFutureOptionVolatilitiesName	getName() Gets the name of these volatilities.
default LocalDate	getValuationDate() Gets the valuation date.
ZonedDateTime	getValuationDateTime() Gets the valuation date-time.
ValueType	getVolatilityType() Gets the type of volatility returned by the volatility(java.time.ZonedDateTime, java.time.LocalDate, double, double) method.
CurrencyParameterSensitivities	parameterSensitivity(PointSensitivities pointSensitivities) Calculates the parameter sensitivity.
default CurrencyParameterSensitivities	parameterSensitivity(PointSensitivity... pointSensitivities) Calculates the parameter sensitivity.
double	relativeTime(ZonedDateTime dateTime) Converts a time and date to a relative year fraction.
double	volatility(double expiry, LocalDate fixingDate, double strikePrice, double futurePrice) Calculates the volatility at the specified expiry.
default double	volatility(ZonedDateTime expiryDateTime, LocalDate fixingDate, double strikePrice, double futurePrice) Calculates the volatility at the specified expiry.
OvernightFutureOptionVolatilities	withParameter(int parameterIndex, double newValue)
OvernightFutureOptionVolatilities	withPerturbation(ParameterPerturbation perturbation)

Methods inherited from interface com.opengamma.strata.market.MarketDataView

findData

Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData

findParameterIndex, getParameter, getParameterCount, getParameterMetadata

Method Detail

getName

OvernightFutureOptionVolatilitiesName getName()

Gets the name of these volatilities.

Returns:

the name

getIndex

OvernightIndex getIndex()

Gets the index of the underlying future for which the data is valid.

Returns:

the index

getVolatilityType

ValueType getVolatilityType()

Gets the type of volatility returned by the volatility(java.time.ZonedDateTime, java.time.LocalDate, double, double) method.

Returns:

the type

getValuationDate

default LocalDate getValuationDate()

Gets the valuation date.

The volatilities are calibrated for this date.

Specified by:

getValuationDate in interface MarketDataView

Returns:

the valuation date

getValuationDateTime

ZonedDateTime getValuationDateTime()

Gets the valuation date-time.

The volatilities are calibrated for this date-time.

Returns:

the valuation date-time

withParameter

OvernightFutureOptionVolatilities withParameter(int parameterIndex,
                                                double newValue)

Specified by:

withParameter in interface ParameterizedData

withPerturbation

OvernightFutureOptionVolatilities withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

volatility

default double volatility(ZonedDateTime expiryDateTime,
                          LocalDate fixingDate,
                          double strikePrice,
                          double futurePrice)

Calculates the volatility at the specified expiry.

Parameters:

expiryDateTime - the option expiry

fixingDate - the underlying future fixing date

strikePrice - the option strike price

futurePrice - the price of the underlying future

Returns:

the volatility

Throws:

RuntimeException - if the value cannot be obtained

volatility

double volatility(double expiry,
                  LocalDate fixingDate,
                  double strikePrice,
                  double futurePrice)

Calculates the volatility at the specified expiry.

This relies on expiry supplied by relativeTime(ZonedDateTime).

Parameters:

expiry - the time to expiry as a year fraction

fixingDate - the underlying future fixing date

strikePrice - the option strike price

futurePrice - the price of the underlying future

Returns:

the volatility

Throws:

RuntimeException - if the value cannot be obtained

parameterSensitivity

default CurrencyParameterSensitivities parameterSensitivity(PointSensitivity... pointSensitivities)

Calculates the parameter sensitivity.

This computes the CurrencyParameterSensitivities associated with the PointSensitivities. This corresponds to the projection of the point sensitivity to the internal parameters representation.

Parameters:

pointSensitivities - the point sensitivities

Returns:

the sensitivity to the underlying parameters

parameterSensitivity

CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities)

Calculates the parameter sensitivity.

This computes the CurrencyParameterSensitivities associated with the PointSensitivities. This corresponds to the projection of the point sensitivity to the internal parameters representation.

Parameters:

pointSensitivities - the point sensitivities

Returns:

the sensitivity to the underlying parameters

relativeTime

double relativeTime(ZonedDateTime dateTime)

Converts a time and date to a relative year fraction.

When the date is after the valuation date (and potentially time), the returned number is negative.

Parameters:

dateTime - the date-time to find the relative year fraction of

Returns:

the relative year fraction