Class IborFutureOptionSensitivity

• java.lang.Object
• com.opengamma.strata.pricer.index.IborFutureOptionSensitivity
• All Implemented Interfaces:
FxConvertible<PointSensitivity>, PointSensitivity, PointSensitivityBuilder, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class IborFutureOptionSensitivity
extends Object
implements PointSensitivity, PointSensitivityBuilder, org.joda.beans.ImmutableBean, Serializable
Point sensitivity to an implied volatility for a Ibor future option model.

Holds the sensitivity to a specific volatility point.

Serialized Form
• Nested Class Summary

Nested Classes
Modifier and Type Class Description
static class  IborFutureOptionSensitivity.Meta
The meta-bean for IborFutureOptionSensitivity.
• Method Summary

All Methods
Modifier and Type Method Description
MutablePointSensitivities buildInto​(MutablePointSensitivities combination)
Builds the point sensitivity, adding to the specified mutable instance.
IborFutureOptionSensitivity cloned()
Clones the point sensitivity builder.
int compareKey​(PointSensitivity other)
Compares the key of two sensitivities, excluding the point sensitivity value.
IborFutureOptionSensitivity convertedTo​(Currency resultCurrency, FxRateProvider rateProvider)
Converts this instance to an equivalent amount in the specified currency.
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.
IborFutureOptionVolatilitiesName getVolatilitiesName()
Gets the name of the volatilities.
int hashCode()
IborFutureOptionSensitivity mapSensitivity​(DoubleUnaryOperator operator)
Returns an instance with the specified operation applied to the sensitivities in this builder.
static IborFutureOptionSensitivity.Meta meta()
The meta-bean for IborFutureOptionSensitivity.
IborFutureOptionSensitivity.Meta metaBean()
IborFutureOptionSensitivity multipliedBy​(double factor)
Multiplies the sensitivities in this builder by the specified factor.
IborFutureOptionSensitivity normalize()
Normalizes the point sensitivities by sorting and merging.
static IborFutureOptionSensitivity of​(IborFutureOptionVolatilitiesName volatilitiesName, double expiry, LocalDate fixingDate, double strikePrice, double futurePrice, Currency sensitivityCurrency, double sensitivity)
Obtains an instance.
String toString()
IborFutureOptionSensitivity withCurrency​(Currency currency)
Returns an instance with the specified sensitivity currency set.
IborFutureOptionSensitivity withSensitivity​(double sensitivity)
Returns an instance with the new point sensitivity value.
• Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait
• Methods inherited from interface org.joda.beans.Bean

property, propertyNames
• Methods inherited from interface com.opengamma.strata.market.sensitivity.PointSensitivityBuilder

build, combinedWith
• Method Detail

• of

public static IborFutureOptionSensitivity of​(IborFutureOptionVolatilitiesName 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 IborFutureOptionSensitivity withCurrency​(Currency currency)
Description copied from interface: PointSensitivity
Returns an instance with the specified sensitivity currency set.

The result will consists of the same points, but with the sensitivity currency altered.

Specified by:
withCurrency in interface PointSensitivity
Specified by:
withCurrency in interface PointSensitivityBuilder
Parameters:
currency - the new currency
Returns:
an instance based on this sensitivity with the specified currency
• withSensitivity

public IborFutureOptionSensitivity withSensitivity​(double sensitivity)
Description copied from interface: PointSensitivity
Returns an instance with the new point sensitivity value.
Specified by:
withSensitivity in interface PointSensitivity
Parameters:
sensitivity - the new sensitivity
Returns:
an instance based on this sensitivity with the specified sensitivity
• compareKey

public int compareKey​(PointSensitivity other)
Description copied from interface: PointSensitivity
Compares the key of two sensitivities, excluding the point sensitivity value.

If the other point sensitivity is of a different type, the comparison is based solely on the simple class name. If the point sensitivity is of the same type, the comparison must check the key, then the currency, then the date, then any other state.

The comparison by simple class name ensures that all instances of the same type are ordered together.

Specified by:
compareKey in interface PointSensitivity
Parameters:
other - the other sensitivity
Returns:
positive if greater, zero if equal, negative if less
• convertedTo

public IborFutureOptionSensitivity convertedTo​(Currency resultCurrency,
FxRateProvider rateProvider)
Description copied from interface: PointSensitivity
Converts this instance to an equivalent amount in the specified currency.

The result will be expressed in terms of the given currency. Any FX conversion that is required will use rates from the provider.

Specified by:
convertedTo in interface FxConvertible<PointSensitivity>
Specified by:
convertedTo in interface PointSensitivity
Parameters:
resultCurrency - the currency of the result
rateProvider - the provider of FX rates
Returns:
the converted instance, which should be expressed in the specified currency
• multipliedBy

public IborFutureOptionSensitivity multipliedBy​(double factor)
Description copied from interface: PointSensitivityBuilder
Multiplies the sensitivities in this builder by the specified factor.

The result will consist of the same points, but with each sensitivity multiplied.

Builders may be mutable. Once this method is called, this instance must not be used. Instead, the result of the method must be used.

Specified by:
multipliedBy in interface PointSensitivityBuilder
Parameters:
factor - the multiplicative factor
Returns:
the resulting builder, replacing this builder
• mapSensitivity

public IborFutureOptionSensitivity mapSensitivity​(DoubleUnaryOperator operator)
Description copied from interface: PointSensitivityBuilder
Returns an instance with the specified operation applied to the sensitivities in this builder.

The result will consist of the same points, but with the operator applied to each sensitivity.

This is used to apply a mathematical operation to the sensitivities. For example, the operator could multiply the sensitivities by a constant, or take the inverse.

   inverse = base.mapSensitivities(value -> 1 / value);


Builders may be mutable. Once this method is called, this instance must not be used. Instead, the result of the method must be used.

Specified by:
mapSensitivity in interface PointSensitivityBuilder
Parameters:
operator - the operator to be applied to the sensitivities
Returns:
the resulting builder, replacing this builder
• normalize

public IborFutureOptionSensitivity normalize()
Description copied from interface: PointSensitivityBuilder
Normalizes the point sensitivities by sorting and merging.

The sensitivities in the builder are sorted and then merged. Any two entries that represent the same curve query are merged. For example, if there are two point sensitivities that were created based on the same curve, currency and fixing date, then the entries are combined, summing the sensitivity value.

Builders may be mutable. Once this method is called, this instance must not be used. Instead, the result of the method must be used.

Specified by:
normalize in interface PointSensitivityBuilder
Returns:
the resulting builder, replacing this builder
• buildInto

public MutablePointSensitivities buildInto​(MutablePointSensitivities combination)
Description copied from interface: PointSensitivityBuilder
Builds the point sensitivity, adding to the specified mutable instance.
Specified by:
buildInto in interface PointSensitivityBuilder
Parameters:
combination - the combination object to add to
Returns:
the specified mutable point sensitivities instance is returned, for method chaining
• cloned

public IborFutureOptionSensitivity cloned()
Description copied from interface: PointSensitivityBuilder
Clones the point sensitivity builder.

This returns a PointSensitivityBuilder instance that is independent from the original. Immutable implementations may return themselves.

Builders may be mutable. Using this method allows a copy of the original to be obtained, so both the original and the clone can be used.

Specified by:
cloned in interface PointSensitivityBuilder
Returns:
the built combined sensitivity
• meta

public static IborFutureOptionSensitivity.Meta meta()
The meta-bean for IborFutureOptionSensitivity.
Returns:
the meta-bean, not null
• metaBean

public IborFutureOptionSensitivity.Meta metaBean()
Specified by:
metaBean in interface org.joda.beans.Bean
• getVolatilitiesName

public IborFutureOptionVolatilitiesName 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