Uses of Interface
com.opengamma.strata.pricer.index.NormalOvernightFutureOptionVolatilities

Packages that use NormalOvernightFutureOptionVolatilities

Package	Description
com.opengamma.strata.pricer.index	Calculators for products based on rate indices, such as Short Term Interest Rate futures (STIRs).

Uses of NormalOvernightFutureOptionVolatilities in com.opengamma.strata.pricer.index

Classes in com.opengamma.strata.pricer.index that implement NormalOvernightFutureOptionVolatilities

Modifier and Type	Class and Description
class	NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities Data provider of volatility for Overnight future options in the normal or Bachelier model.

Methods in com.opengamma.strata.pricer.index that return NormalOvernightFutureOptionVolatilities

Modifier and Type	Method and Description
NormalOvernightFutureOptionVolatilities	NormalOvernightFutureOptionVolatilities.withParameter(int parameterIndex, double newValue)
NormalOvernightFutureOptionVolatilities	NormalOvernightFutureOptionVolatilities.withPerturbation(ParameterPerturbation perturbation)

Methods in com.opengamma.strata.pricer.index with parameters of type NormalOvernightFutureOptionVolatilities

Modifier and Type	Method and Description
double	NormalOvernightFutureOptionMarginedProductPricer.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	NormalOvernightFutureOptionMarginedProductPricer.deltaStickyStrike(ResolvedOvernightFutureOption futureOption, RatesProvider ratesProvider, NormalOvernightFutureOptionVolatilities volatilities) Calculates the delta of the Overnight future option product.
CurrencyAmount	NormalOvernightFutureOptionMarginedTradePricer.presentValue(ResolvedOvernightFutureOptionTrade trade, RatesProvider ratesProvider, NormalOvernightFutureOptionVolatilities volatilities, double lastOptionSettlementPrice) Calculates the present value of the Overnight future option trade.
CurrencyAmount	NormalOvernightFutureOptionMarginedTradePricer.presentValue(ResolvedOvernightFutureOptionTrade trade, RatesProvider ratesProvider, NormalOvernightFutureOptionVolatilities volatilities, double futurePrice, double lastOptionSettlementPrice) Calculates the present value of the Overnight future option trade from the underlying future price.
OvernightFutureOptionSensitivity	NormalOvernightFutureOptionMarginedTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedOvernightFutureOptionTrade futureOptionTrade, NormalOvernightFutureOptionVolatilities volatilities, double futurePrice) Computes the present value sensitivity to the normal volatility used in the pricing based on the price of the underlying future.
OvernightFutureOptionSensitivity	NormalOvernightFutureOptionMarginedTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedOvernightFutureOptionTrade futureOptionTrade, RatesProvider ratesProvider, NormalOvernightFutureOptionVolatilities volatilities) Computes the present value sensitivity to the normal volatility used in the pricing.
PointSensitivities	NormalOvernightFutureOptionMarginedTradePricer.presentValueSensitivityRates(ResolvedOvernightFutureOptionTrade trade, RatesProvider ratesProvider, NormalOvernightFutureOptionVolatilities volatilities) Calculates the present value sensitivity of the Overnight future option trade.
double	NormalOvernightFutureOptionMarginedProductPricer.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	NormalOvernightFutureOptionMarginedProductPricer.price(ResolvedOvernightFutureOption futureOption, RatesProvider ratesProvider, NormalOvernightFutureOptionVolatilities volatilities) Calculates the price of the overnight future option product.
double	NormalOvernightFutureOptionMarginedTradePricer.price(ResolvedOvernightFutureOptionTrade trade, RatesProvider ratesProvider, NormalOvernightFutureOptionVolatilities volatilities) Calculates the price of the Overnight future option trade.
OvernightFutureOptionSensitivity	NormalOvernightFutureOptionMarginedProductPricer.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	NormalOvernightFutureOptionMarginedProductPricer.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	NormalOvernightFutureOptionMarginedProductPricer.priceSensitivityRatesStickyStrike(ResolvedOvernightFutureOption futureOption, RatesProvider ratesProvider, NormalOvernightFutureOptionVolatilities volatilities) Calculates the price sensitivity of the Overnight future option product based on curves.
PointSensitivities	NormalOvernightFutureOptionMarginedProductPricer.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.