Package com.opengamma.strata.measure.fxopt

Enum FxVanillaOptionMethod

java.lang.Object

java.lang.Enum<FxVanillaOptionMethod>

com.opengamma.strata.measure.fxopt.FxVanillaOptionMethod

All Implemented Interfaces:

CalculationParameter, Named, NamedEnum, Serializable, Comparable<FxVanillaOptionMethod>

public enum FxVanillaOptionMethod
extends Enum<FxVanillaOptionMethod>
implements NamedEnum, CalculationParameter

The method to use for pricing FX vanilla options.

This provides the ability to use different methods for pricing FX options. The Black and Vanna-Volga methods are supported.

This enum implements CalculationParameter and is used by passing it as an argument to CalculationRules. It provides the link between the data that the function needs and the data that is available in ScenarioMarketData.

Implementations of this interface must be immutable.

Enum Constant Summary

Enum Constants

Enum Constant	Description
BLACK	The Black (lognormal) model.
VANNA_VOLGA	The Vanna-Volga model.

Method Summary

Modifier and Type	Method	Description
Optional<CalculationParameter>	filter(CalculationTarget target, Measure measure)	Filters this parameter to the specified target and measure.
static FxVanillaOptionMethod	of(String name)	Obtains an instance from the specified name.
String	toString()	Returns the formatted name of the type.
static FxVanillaOptionMethod	valueOf(String name)	Returns the enum constant of this type with the specified name.
static FxVanillaOptionMethod[]	values()	Returns an array containing the constants of this enum type, in the order they are declared.

Methods inherited from class java.lang.Enum

clone, compareTo, equals, finalize, getDeclaringClass, hashCode, name, ordinal, valueOf

Methods inherited from class java.lang.Object

getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.opengamma.strata.calc.runner.CalculationParameter

queryType

Methods inherited from interface com.opengamma.strata.collect.named.NamedEnum

getName

Enum Constant Detail

BLACK

public static final FxVanillaOptionMethod BLACK

The Black (lognormal) model. This uses Black volatilities - BlackFxOptionVolatilities.

VANNA_VOLGA

public static final FxVanillaOptionMethod VANNA_VOLGA

The Vanna-Volga model. This uses Black volatilities based on a smile - BlackFxOptionSmileVolatilities.

Method Detail

values

public static FxVanillaOptionMethod[] values()

Returns an array containing the constants of this enum type, in the order they are declared. This method may be used to iterate over the constants as follows:

for (FxVanillaOptionMethod c : FxVanillaOptionMethod.values())
    System.out.println(c);

Returns:

an array containing the constants of this enum type, in the order they are declared

valueOf

public static FxVanillaOptionMethod valueOf(String name)

Returns the enum constant of this type with the specified name. The string must match exactly an identifier used to declare an enum constant in this type. (Extraneous whitespace characters are not permitted.)

Parameters:

name - the name of the enum constant to be returned.

Returns:

the enum constant with the specified name

Throws:

IllegalArgumentException - if this enum type has no constant with the specified name

NullPointerException - if the argument is null

of

public static FxVanillaOptionMethod of(String name)

Obtains an instance from the specified name.

Parsing handles the mixed case form produced by toString() and the upper and lower case variants of the enum constant name.

Parameters:

name - the name to parse

Returns:

the type

Throws:

IllegalArgumentException - if the name is not known

filter

public Optional<CalculationParameter> filter(CalculationTarget target,
                                             Measure measure)

Description copied from interface: CalculationParameter

Filters this parameter to the specified target and measure.

Parameters may apply to all targets and measures or just a subset. The CalculationParameters.filter(CalculationTarget, Measure) method uses this method to filter a complete set of parameters.

By default, this returns Optional.of(this). If the parameter does not apply to either the target or measure, then optional empty must be returned. If desired, the result can be a different parameter, allowing one parameter to delegate to another when filtered.

Specified by:

filter in interface CalculationParameter

Parameters:

target - the calculation target, such as a trade

measure - the measure to be calculated

Returns:

the parameter appropriate to the target and measure, empty if this parameter does not apply

toString

public String toString()

Returns the formatted name of the type.

Overrides:

toString in class Enum<FxVanillaOptionMethod>

Returns:

the formatted string representing the type