Class BondFutureOptionTradeCalculations


  • public class BondFutureOptionTradeCalculations
    extends Object
    Calculates pricing and risk measures for trades in an option contract based on an bond future.

    This provides a high-level entry point for option pricing and risk measures.

    Each method takes a ResolvedBondFutureOptionTrade, whereas application code will typically work with BondFutureOptionTrade. Call BondFutureOptionTrade::resolve(ReferenceData) to convert BondFutureOptionTrade to ResolvedBondFutureOptionTrade.

    Price

    Strata uses decimal prices for bond futures options in the trade model, pricers and market data. This is coherent with the pricing of BondFuture.