Class 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.