• java.lang.Object

extends Object
Pricer for FX vanilla option trades with a Vanna-Volga method.

The volatilities are expressed using BlackFxOptionSmileVolatilities. Each smile of the term structure consists of 3 data points, where the middle point corresponds to ATM volatility.

• ### Method Detail

• #### presentValue

RatesProvider ratesProvider,
BlackFxOptionSmileVolatilities volatilities)
Calculates the present value of the FX vanilla option trade.

The present value of the trade is the value on the valuation date.

Parameters:
ratesProvider - the rates provider
volatilities - the Black volatility provider
Returns:
the present value of the trade
• #### presentValueSensitivityRatesStickyStrike

RatesProvider ratesProvider,
BlackFxOptionSmileVolatilities volatilities)
Calculates the present value sensitivity of the FX vanilla option trade.

The present value sensitivity of the trade is the sensitivity of the present value to the underlying curves.

The volatility is fixed in this sensitivity computation.

Parameters:
ratesProvider - the rates provider
volatilities - the Black volatility provider
Returns:
the present value curve sensitivity of the trade
• #### presentValueSensitivityModelParamsVolatility

RatesProvider ratesProvider,
BlackFxOptionSmileVolatilities volatilities)
Computes the present value sensitivity to the black volatility used in the pricing.

The result is a single sensitivity to the volatility used.

Parameters:
ratesProvider - the rates provider
volatilities - the Black volatility provider
Returns:
the present value sensitivity