Package com.opengamma.strata.measure.index

Class IborFutureOptionTradeCalculations

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

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

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

    Price

    The price of an Ibor future option is based on the price of the underlying future, the volatility and the time to expiry. The price of the at-the-money option tends to zero as expiry approaches.

    Strata uses decimal prices for Ibor future options in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, an option price of 0.2 is related to a futures price of 99.32 that implies an interest rate of 0.68%. Strata represents the price of the future as 0.9932 and thus represents the price of the option as 0.002.

    • Method Detail

      • pv01CalibratedSum

        public MultiCurrencyScenarioArray pv01CalibratedSum​(ResolvedIborFutureOptionTrade trade,
                                                    RatesMarketDataLookup ratesLookup,
                                                    IborFutureOptionMarketDataLookup optionLookup,
                                                    ScenarioMarketData marketData)
        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 rates market data
        optionLookup - the lookup used to query the option market data
        marketData - the market data
        Returns:
        the present value sensitivity, one entry per scenario

      • pv01CalibratedSum

        public MultiCurrencyAmount pv01CalibratedSum​(ResolvedIborFutureOptionTrade trade,
                                             RatesProvider ratesProvider,
                                             IborFutureOptionVolatilities volatilities)
        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
        Returns:
        the present value sensitivity

      • pv01CalibratedBucketed

        public CurrencyParameterSensitivities pv01CalibratedBucketed​(ResolvedIborFutureOptionTrade trade,
                                                             RatesProvider ratesProvider,
                                                             IborFutureOptionVolatilities volatilities)
        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
        Returns:
        the present value sensitivity

      • pv01MarketQuoteSum

        public MultiCurrencyScenarioArray pv01MarketQuoteSum​(ResolvedIborFutureOptionTrade trade,
                                                     RatesMarketDataLookup ratesLookup,
                                                     IborFutureOptionMarketDataLookup optionLookup,
                                                     ScenarioMarketData marketData)
        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 rates market data
        optionLookup - the lookup used to query the option market data
        marketData - the market data
        Returns:
        the present value sensitivity, one entry per scenario

      • pv01MarketQuoteSum

        public MultiCurrencyAmount pv01MarketQuoteSum​(ResolvedIborFutureOptionTrade trade,
                                              RatesProvider ratesProvider,
                                              IborFutureOptionVolatilities volatilities)
        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
        Returns:
        the present value sensitivity

      • pv01MarketQuoteBucketed

        public CurrencyParameterSensitivities pv01MarketQuoteBucketed​(ResolvedIborFutureOptionTrade trade,
                                                              RatesProvider ratesProvider,
                                                              IborFutureOptionVolatilities volatilities)
        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
        Returns:
        the present value sensitivity

      • unitPrice

        public DoubleScenarioArray unitPrice​(ResolvedIborFutureOptionTrade trade,
                                     RatesMarketDataLookup ratesLookup,
                                     IborFutureOptionMarketDataLookup optionLookup,
                                     ScenarioMarketData marketData)
        Calculates unit price across one or more scenarios.

        This is the price of a single unit of the security.

        Strata uses decimal prices for Ibor futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.

        Parameters:
        trade - the trade
        ratesLookup - the lookup used to query the rates market data
        optionLookup - the lookup used to query the option market data
        marketData - the market data
        Returns:
        the present value, one entry per scenario

      • unitPrice

        public double unitPrice​(ResolvedIborFutureOptionTrade trade,
                        RatesProvider ratesProvider,
                        IborFutureOptionVolatilities volatilities)
        Calculates unit price for a single set of market data.

        This is the price of a single unit of the security.

        Strata uses decimal prices for Ibor futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.

        Parameters:
        trade - the trade
        ratesProvider - the market data
        volatilities - the option volatilities
        Returns:
        the present value