java.lang.Object
- com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

```
public class FxVanillaOptionTradeCalculations
extends Object
```
Calculates pricing and risk measures for FX vanilla option trades.
This provides a high-level entry point for FX vanilla option pricing and risk measures. Pricing is performed using the Black method.
Each method takes a ResolvedFxVanillaOptionTrade, whereas application code will typically work with FxVanillaOptionTrade. Call FxVanillaOptionTrade::resolve(ReferenceData) to convert FxVanillaOptionTrade to ResolvedFxVanillaOptionTrade.

Field Summary

Fields
Modifier and Type Field Description

static FxVanillaOptionTradeCalculations DEFAULT
Default implementation.

Constructor Summary

Constructors
Constructor	Description
`FxVanillaOptionTradeCalculations(BlackFxVanillaOptionTradePricer blackPricer, VannaVolgaFxVanillaOptionTradePricer vannaVolgaPricer)`	Creates an instance.

Method Summary

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

Default implementation.

Constructor Detail
- FxVanillaOptionTradeCalculations
```
public FxVanillaOptionTradeCalculations(BlackFxVanillaOptionTradePricer blackPricer,
                                        VannaVolgaFxVanillaOptionTradePricer vannaVolgaPricer)
```
  Creates an instance.
  In most cases, applications should use the DEFAULT instance.
  
  Parameters:
  
  blackPricer - the pricer for ResolvedFxVanillaOptionTrade using Black
  
  vannaVolgaPricer - the pricer for ResolvedFxVanillaOptionTrade using Vanna-Volga

Method Detail

presentValue

public MultiCurrencyScenarioArray presentValue(ResolvedFxVanillaOptionTrade trade,
                                               RatesMarketDataLookup ratesLookup,
                                               FxOptionMarketDataLookup fxLookup,
                                               ScenarioMarketData marketData,
                                               FxVanillaOptionMethod 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(ResolvedFxVanillaOptionTrade trade,
                                        RatesProvider ratesProvider,
                                        FxOptionVolatilities volatilities,
                                        FxVanillaOptionMethod 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(ResolvedFxVanillaOptionTrade trade,
                                                         RatesMarketDataLookup ratesLookup,
                                                         FxOptionMarketDataLookup fxLookup,
                                                         ScenarioMarketData marketData,
                                                         FxVanillaOptionMethod 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(ResolvedFxVanillaOptionTrade trade,
                                                  RatesProvider ratesProvider,
                                                  FxOptionVolatilities volatilities,
                                                  FxVanillaOptionMethod 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(ResolvedFxVanillaOptionTrade trade,
                                                                                 RatesMarketDataLookup ratesLookup,
                                                                                 FxOptionMarketDataLookup fxLookup,
                                                                                 ScenarioMarketData marketData,
                                                                                 FxVanillaOptionMethod 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(ResolvedFxVanillaOptionTrade trade,
                                                                  RatesProvider ratesProvider,
                                                                  FxOptionVolatilities volatilities,
                                                                  FxVanillaOptionMethod 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(ResolvedFxVanillaOptionTrade trade,
                                                          RatesMarketDataLookup ratesLookup,
                                                          FxOptionMarketDataLookup fxLookup,
                                                          ScenarioMarketData marketData,
                                                          FxVanillaOptionMethod 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(ResolvedFxVanillaOptionTrade trade,
                                                   RatesProvider ratesProvider,
                                                   FxOptionVolatilities volatilities,
                                                   FxVanillaOptionMethod 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(ResolvedFxVanillaOptionTrade trade,
                                                                                  RatesMarketDataLookup ratesLookup,
                                                                                  FxOptionMarketDataLookup fxLookup,
                                                                                  ScenarioMarketData marketData,
                                                                                  FxVanillaOptionMethod 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(ResolvedFxVanillaOptionTrade trade,
                                                                   RatesProvider ratesProvider,
                                                                   FxOptionVolatilities volatilities,
                                                                   FxVanillaOptionMethod 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(ResolvedFxVanillaOptionTrade trade,
                                                                             RatesMarketDataLookup ratesLookup,
                                                                             FxOptionMarketDataLookup fxLookup,
                                                                             ScenarioMarketData marketData,
                                                                             FxVanillaOptionMethod 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(ResolvedFxVanillaOptionTrade trade,
                                                              RatesProvider ratesProvider,
                                                              FxOptionVolatilities volatilities,
                                                              FxVanillaOptionMethod 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(ResolvedFxVanillaOptionTrade trade,
                                                   RatesMarketDataLookup ratesLookup,
                                                   FxOptionMarketDataLookup fxLookup,
                                                   ScenarioMarketData marketData,
                                                   FxVanillaOptionMethod 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(ResolvedFxVanillaOptionTrade trade,
                                            RatesProvider ratesProvider,
                                            FxOptionVolatilities volatilities,
                                            FxVanillaOptionMethod 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(ResolvedFxVanillaOptionTrade trade,
                                         RatesMarketDataLookup ratesLookup,
                                         FxOptionMarketDataLookup fxLookup,
                                         ScenarioMarketData marketData,
                                         FxVanillaOptionMethod 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(ResolvedFxVanillaOptionTrade trade,
                                  RatesProvider ratesProvider,
                                  FxOptionVolatilities volatilities,
                                  FxVanillaOptionMethod 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

Class FxVanillaOptionTradeCalculations

Field Summary

Constructor Summary

Method Summary

Methods inherited from class java.lang.Object

Field Detail

DEFAULT

Constructor Detail

FxVanillaOptionTradeCalculations

Method Detail

presentValue

presentValue

pv01RatesCalibratedSum

pv01RatesCalibratedSum

pv01RatesCalibratedBucketed

pv01RatesCalibratedBucketed

pv01RatesMarketQuoteSum

pv01RatesMarketQuoteSum

pv01RatesMarketQuoteBucketed

pv01RatesMarketQuoteBucketed

vegaMarketQuoteBucketed

vegaMarketQuoteBucketed

currencyExposure

currencyExposure

currentCash

currentCash