Interface FxOptionVolatilities

    • Method Detail

      • getCurrencyPair

        CurrencyPair getCurrencyPair()
        Gets the currency pair for which the data is valid.
        Returns:
        the currency pai
      • getValuationDate

        default java.time.LocalDate getValuationDate()
        Gets the valuation date.

        The volatilities are calibrated for this date.

        Specified by:
        getValuationDate in interface MarketDataView
        Returns:
        the valuation date
      • getValuationDateTime

        java.time.ZonedDateTime getValuationDateTime()
        Gets the valuation date-time.

        The volatilities are calibrated for this date-time.

        Returns:
        the valuation date-time
      • withParameter

        FxOptionVolatilities withParameter​(int parameterIndex,
                                           double newValue)
        Description copied from interface: ParameterizedData
        Returns a copy of the data with the value at the specified index altered.

        This instance is immutable and unaffected by this method call.

        Specified by:
        withParameter in interface ParameterizedData
        Parameters:
        parameterIndex - the zero-based index of the parameter to get
        newValue - the new value for the specified parameter
        Returns:
        a parameterized data instance based on this with the specified parameter altered
      • withPerturbation

        FxOptionVolatilities withPerturbation​(ParameterPerturbation perturbation)
        Description copied from interface: ParameterizedData
        Returns a perturbed copy of the data.

        The perturbation instance will be invoked once for each parameter in this instance, returning the perturbed value for that parameter. The result of this method is a new instance that is based on those perturbed values.

        This instance is immutable and unaffected by this method call.

        Specified by:
        withPerturbation in interface ParameterizedData
        Parameters:
        perturbation - the perturbation to apply
        Returns:
        a parameterized data instance based on this with the specified perturbation applied
      • volatility

        default double volatility​(CurrencyPair currencyPair,
                                  java.time.ZonedDateTime expiryDateTime,
                                  double strike,
                                  double forward)
        Calculates the volatility at the specified expiry.
        Parameters:
        currencyPair - the currency pair
        expiryDateTime - the option expiry
        strike - the option strike rate
        forward - the forward rate
        Returns:
        the volatility
      • volatility

        double volatility​(CurrencyPair currencyPair,
                          double expiry,
                          double strike,
                          double forward)
        Calculates the volatility at the specified expiry.

        This relies on expiry supplied by relativeTime(ZonedDateTime).

        Parameters:
        currencyPair - the currency pair
        expiry - the time to expiry as a year fraction
        strike - the option strike rate
        forward - the forward rate
        Returns:
        the volatility
      • price

        double price​(double expiry,
                     PutCall putCall,
                     double strike,
                     double forward,
                     double volatility)
        Calculates the price.

        This relies on expiry supplied by relativeTime(ZonedDateTime). This relies on volatility supplied by volatility(CurrencyPair, double, double, double).

        Parameters:
        expiry - the time to expiry as a year fraction
        putCall - whether the option is put or call
        strike - the option strike rate
        forward - the forward rate
        volatility - the volatility
        Returns:
        the price
        Throws:
        java.lang.RuntimeException - if the value cannot be obtained
      • relativeTime

        double relativeTime​(java.time.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