Package com.opengamma.strata.market.option

Class DeltaStrike

java.lang.Object

com.opengamma.strata.market.option.DeltaStrike

All Implemented Interfaces:

Strike, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class DeltaStrike
extends Object
implements Strike, org.joda.beans.ImmutableBean, Serializable

A strike based on absolute delta.

The absolute delta of a call option, D_c. This is in the range (0,1), where 0.5 is ATM (Delta-Neutral Straddle DNS), D_c > 0.5 are ITM and D_c < 0.5 are OTM options. The absolute delta of a put option is related by D_p = D_c - 1. Since prices are normally quoted for OTM options, D_c < 0.5 will be from calls, while D_c > 0.5 (D_p > -0.5) will be from puts.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	DeltaStrike.Meta	The meta-bean for DeltaStrike.

Method Summary

Modifier and Type	Method	Description
boolean	equals(Object obj)
StrikeType	getType()	Gets the type of the strike.
double	getValue()	Gets the value of absolute delta.
int	hashCode()
static DeltaStrike.Meta	meta()	The meta-bean for DeltaStrike.
DeltaStrike.Meta	metaBean()
static DeltaStrike	of(double delta)	Obtains an instance of Delta with the value of absolute delta.
String	toString()
DeltaStrike	withValue(double value)	Creates an new instance of the same strike type with 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.option.Strike

getLabel

Method Detail

of

public static DeltaStrike of(double delta)

Obtains an instance of Delta with the value of absolute delta.

Parameters:

delta - the value of absolute delta

Returns:

the instance

getType

public StrikeType getType()

Description copied from interface: Strike

Gets the type of the strike.

Specified by:

getType in interface Strike

Returns:

the strike type

withValue

public DeltaStrike withValue(double value)

Description copied from interface: Strike

Creates an new instance of the same strike type with value.

Specified by:

withValue in interface Strike

Parameters:

value - the new value

Returns:

the new strike instance

meta

public static DeltaStrike.Meta meta()

The meta-bean for DeltaStrike.

Returns:

the meta-bean, not null

metaBean

public DeltaStrike.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getValue

public double getValue()

Gets the value of absolute delta.

Specified by:

getValue in interface Strike

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