Package com.opengamma.strata.measure.fxopt

Class FxSingleBarrierOptionTradeCalculations

java.lang.Object

com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculations

public class FxSingleBarrierOptionTradeCalculations
extends Object

Calculates pricing and risk measures for FX single barrier option trades.

This provides a high-level entry point for FX single barrier option pricing and risk measures. Pricing is performed using the Black method.

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

Field Summary

Fields

Modifier and Type	Field	Description
static FxSingleBarrierOptionTradeCalculations	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
FxSingleBarrierOptionTradeCalculations(BlackFxSingleBarrierOptionTradePricer blackPricer, ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer trinomialTreePricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyScenarioArray	currencyExposure(ResolvedFxSingleBarrierOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxSingleBarrierOptionMethod method)	Calculates currency exposure across one or more scenarios.
MultiCurrencyAmount	currencyExposure(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)	Calculates currency exposure for a single set of market data.
CurrencyScenarioArray	currentCash(ResolvedFxSingleBarrierOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxSingleBarrierOptionMethod method)	Calculates current cash across one or more scenarios.
CurrencyAmount	currentCash(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)	Calculates current cash for a single set of market data.
MultiCurrencyScenarioArray	presentValue(ResolvedFxSingleBarrierOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxSingleBarrierOptionMethod method)	Calculates present value across one or more scenarios.
MultiCurrencyAmount	presentValue(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)	Calculates present value for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01RatesCalibratedBucketed(ResolvedFxSingleBarrierOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxSingleBarrierOptionMethod method)	Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01RatesCalibratedBucketed(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)	Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01RatesCalibratedSum(ResolvedFxSingleBarrierOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxSingleBarrierOptionMethod method)	Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01RatesCalibratedSum(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)	Calculates present value sensitivity for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01RatesMarketQuoteBucketed(ResolvedFxSingleBarrierOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxSingleBarrierOptionMethod method)	Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01RatesMarketQuoteBucketed(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)	Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01RatesMarketQuoteSum(ResolvedFxSingleBarrierOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxSingleBarrierOptionMethod method)	Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01RatesMarketQuoteSum(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)	Calculates present value sensitivity for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	vegaMarketQuoteBucketed(ResolvedFxSingleBarrierOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxSingleBarrierOptionMethod method)	Calculates present value vega sensitivity across one or more scenarios.
CurrencyParameterSensitivities	vegaMarketQuoteBucketed(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)	Calculates present value vega sensitivity for a single set of market data.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final FxSingleBarrierOptionTradeCalculations DEFAULT

Default implementation.

Constructor Detail

FxSingleBarrierOptionTradeCalculations

public FxSingleBarrierOptionTradeCalculations(BlackFxSingleBarrierOptionTradePricer blackPricer,
                                              ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer trinomialTreePricer)

Creates an instance.

In most cases, applications should use the DEFAULT instance.

Parameters:

blackPricer - the pricer for ResolvedFxSingleBarrierOptionTrade using Black

trinomialTreePricer - the pricer for ResolvedFxSingleBarrierOptionTrade using Trinomial-Tree

Method Detail

presentValue

public MultiCurrencyScenarioArray presentValue(ResolvedFxSingleBarrierOptionTrade trade,
                                               RatesMarketDataLookup ratesLookup,
                                               FxOptionMarketDataLookup fxLookup,
                                               ScenarioMarketData marketData,
                                               FxSingleBarrierOptionMethod method)

Calculates present value across one or more scenarios.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

fxLookup - the lookup used to query the option market data

marketData - the market data

method - the pricing method

Returns:

the present value, one entry per scenario

presentValue

public MultiCurrencyAmount presentValue(ResolvedFxSingleBarrierOptionTrade trade,
                                        RatesProvider ratesProvider,
                                        FxOptionVolatilities volatilities,
                                        FxSingleBarrierOptionMethod method)

Calculates present value for a single set of market data.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the option volatilities

method - the pricing method

Returns:

the present value

pv01RatesCalibratedSum

public MultiCurrencyScenarioArray pv01RatesCalibratedSum(ResolvedFxSingleBarrierOptionTrade trade,
                                                         RatesMarketDataLookup ratesLookup,
                                                         FxOptionMarketDataLookup fxLookup,
                                                         ScenarioMarketData marketData,
                                                         FxSingleBarrierOptionMethod method)

Calculates present value sensitivity across one or more scenarios.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is the sum of the sensitivities of all affected curves.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

fxLookup - the lookup used to query the option market data

marketData - the market data

method - the pricing method

Returns:

the present value sensitivity, one entry per scenario

pv01RatesCalibratedSum

public MultiCurrencyAmount pv01RatesCalibratedSum(ResolvedFxSingleBarrierOptionTrade trade,
                                                  RatesProvider ratesProvider,
                                                  FxOptionVolatilities volatilities,
                                                  FxSingleBarrierOptionMethod method)

Calculates present value sensitivity for a single set of market data.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is the sum of the sensitivities of all affected curves.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the option volatilities

method - the pricing method

Returns:

the present value sensitivity

pv01RatesCalibratedBucketed

public ScenarioArray<CurrencyParameterSensitivities> pv01RatesCalibratedBucketed(ResolvedFxSingleBarrierOptionTrade trade,
                                                                                 RatesMarketDataLookup ratesLookup,
                                                                                 FxOptionMarketDataLookup fxLookup,
                                                                                 ScenarioMarketData marketData,
                                                                                 FxSingleBarrierOptionMethod method)

Calculates present value sensitivity across one or more scenarios.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is provided for each affected curve and currency, bucketed by curve node.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

fxLookup - the lookup used to query the option market data

marketData - the market data

method - the pricing method

Returns:

the present value sensitivity, one entry per scenario

pv01RatesCalibratedBucketed

public CurrencyParameterSensitivities pv01RatesCalibratedBucketed(ResolvedFxSingleBarrierOptionTrade trade,
                                                                  RatesProvider ratesProvider,
                                                                  FxOptionVolatilities volatilities,
                                                                  FxSingleBarrierOptionMethod method)

Calculates present value sensitivity for a single set of market data.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is provided for each affected curve and currency, bucketed by curve node.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the option volatilities

method - the pricing method

Returns:

the present value sensitivity

pv01RatesMarketQuoteSum

public MultiCurrencyScenarioArray pv01RatesMarketQuoteSum(ResolvedFxSingleBarrierOptionTrade trade,
                                                          RatesMarketDataLookup ratesLookup,
                                                          FxOptionMarketDataLookup fxLookup,
                                                          ScenarioMarketData marketData,
                                                          FxSingleBarrierOptionMethod method)

Calculates present value sensitivity across one or more scenarios.

This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is the sum of the sensitivities of all affected curves.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

fxLookup - the lookup used to query the option market data

marketData - the market data

method - the pricing method

Returns:

the present value sensitivity, one entry per scenario

pv01RatesMarketQuoteSum

public MultiCurrencyAmount pv01RatesMarketQuoteSum(ResolvedFxSingleBarrierOptionTrade trade,
                                                   RatesProvider ratesProvider,
                                                   FxOptionVolatilities volatilities,
                                                   FxSingleBarrierOptionMethod method)

Calculates present value sensitivity for a single set of market data.

This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is the sum of the sensitivities of all affected curves.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the option volatilities

method - the pricing method

Returns:

the present value sensitivity

pv01RatesMarketQuoteBucketed

public ScenarioArray<CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(ResolvedFxSingleBarrierOptionTrade trade,
                                                                                  RatesMarketDataLookup ratesLookup,
                                                                                  FxOptionMarketDataLookup fxLookup,
                                                                                  ScenarioMarketData marketData,
                                                                                  FxSingleBarrierOptionMethod method)

Calculates present value sensitivity across one or more scenarios.

This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is provided for each affected curve and currency, bucketed by curve node.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

marketData - the market data

fxLookup - the lookup used to query the option market data

method - the pricing method

Returns:

the present value sensitivity, one entry per scenario

pv01RatesMarketQuoteBucketed

public CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(ResolvedFxSingleBarrierOptionTrade trade,
                                                                   RatesProvider ratesProvider,
                                                                   FxOptionVolatilities volatilities,
                                                                   FxSingleBarrierOptionMethod method)

Calculates present value sensitivity for a single set of market data.

This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is provided for each affected curve and currency, bucketed by curve node.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the option volatilities

method - the pricing method

Returns:

the present value sensitivity

vegaMarketQuoteBucketed

public ScenarioArray<CurrencyParameterSensitivities> vegaMarketQuoteBucketed(ResolvedFxSingleBarrierOptionTrade trade,
                                                                             RatesMarketDataLookup ratesLookup,
                                                                             FxOptionMarketDataLookup fxLookup,
                                                                             ScenarioMarketData marketData,
                                                                             FxSingleBarrierOptionMethod method)

Calculates present value vega sensitivity across one or more scenarios.

This is the sensitivity of present value to the implied volatilities used to calibrate the curves.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

marketData - the market data

fxLookup - the lookup used to query the option market data

method - the pricing method

Returns:

the present value sensitivity, one entry per scenario

vegaMarketQuoteBucketed

public CurrencyParameterSensitivities vegaMarketQuoteBucketed(ResolvedFxSingleBarrierOptionTrade trade,
                                                              RatesProvider ratesProvider,
                                                              FxOptionVolatilities volatilities,
                                                              FxSingleBarrierOptionMethod method)

Calculates present value vega sensitivity for a single set of market data.

This is the sensitivity of present value of the implied volatilities used to calibrate the curves.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the option volatilities

method - the pricing method

Returns:

the present value sensitivity

currencyExposure

public MultiCurrencyScenarioArray currencyExposure(ResolvedFxSingleBarrierOptionTrade trade,
                                                   RatesMarketDataLookup ratesLookup,
                                                   FxOptionMarketDataLookup fxLookup,
                                                   ScenarioMarketData marketData,
                                                   FxSingleBarrierOptionMethod method)

Calculates currency exposure across one or more scenarios.

The currency risk, expressed as the equivalent amount in each currency.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

fxLookup - the lookup used to query the option market data

marketData - the market data

method - the pricing method

Returns:

the currency exposure, one entry per scenario

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedFxSingleBarrierOptionTrade trade,
                                            RatesProvider ratesProvider,
                                            FxOptionVolatilities volatilities,
                                            FxSingleBarrierOptionMethod method)

Calculates currency exposure for a single set of market data.

The currency risk, expressed as the equivalent amount in each currency.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the option volatilities

method - the pricing method

Returns:

the currency exposure

currentCash

public CurrencyScenarioArray currentCash(ResolvedFxSingleBarrierOptionTrade trade,
                                         RatesMarketDataLookup ratesLookup,
                                         FxOptionMarketDataLookup fxLookup,
                                         ScenarioMarketData marketData,
                                         FxSingleBarrierOptionMethod method)

Calculates current cash across one or more scenarios.

The sum of all cash flows paid on the valuation date.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

fxLookup - the lookup used to query the option market data

marketData - the market data

method - the pricing method

Returns:

the current cash, one entry per scenario

currentCash

public CurrencyAmount currentCash(ResolvedFxSingleBarrierOptionTrade trade,
                                  RatesProvider ratesProvider,
                                  FxOptionVolatilities volatilities,
                                  FxSingleBarrierOptionMethod method)

Calculates current cash for a single set of market data.

The sum of all cash flows paid on the valuation date.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the option volatilities

method - the pricing method

Returns:

the current cash