Package com.opengamma.strata.pricer.bond

Class BlackBondFutureOptionMarginedProductPricer

java.lang.Object

com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedProductPricer

public final class BlackBondFutureOptionMarginedProductPricer
extends Object

Pricer of options on bond future with a log-normal model on the underlying future price.

Price

Strata uses decimal prices for bond futures options in the trade model, pricers and market data. This is coherent with the pricing of BondFuture.

Field Summary

Fields

Modifier and Type	Field	Description
static BlackBondFutureOptionMarginedProductPricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
BlackBondFutureOptionMarginedProductPricer(DiscountingBondFutureProductPricer futurePricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
double	deltaStickyStrike(ResolvedBondFutureOption futureOption, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities)	Calculates the delta of the bond future option product.
double	deltaStickyStrike(ResolvedBondFutureOption futureOption, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities, double futurePrice)	Calculates the delta of the bond future option product based on the price of the underlying future.
double	gammaStickyStrike(ResolvedBondFutureOption futureOption, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities)	Calculates the gamma of the bond future option product.
double	gammaStickyStrike(ResolvedBondFutureOption futureOption, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities, double futurePrice)	Calculates the gamma of the bond future option product based on the price of the underlying future.
double	price(ResolvedBondFutureOption futureOption, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities)	Calculates the price of the bond future option product.
double	price(ResolvedBondFutureOption futureOption, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities, double futurePrice)	Calculates the price of the bond future option product based on the price of the underlying future.
BondFutureOptionSensitivity	priceSensitivityModelParamsVolatility(ResolvedBondFutureOption futureOption, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities)	Calculates the price sensitivity to the Black volatility used for the pricing of the bond future option.
BondFutureOptionSensitivity	priceSensitivityModelParamsVolatility(ResolvedBondFutureOption futureOption, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities, double futurePrice)	Calculates the price sensitivity to the Black volatility used for the pricing of the bond future option based on the price of the underlying future.
PointSensitivities	priceSensitivityRatesStickyStrike(ResolvedBondFutureOption futureOption, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities)	Calculates the price sensitivity of the bond future option product based on curves.
PointSensitivities	priceSensitivityRatesStickyStrike(ResolvedBondFutureOption futureOption, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities, double futurePrice)	Calculates the price sensitivity of the bond future option product based on the price of the underlying future.
double	theta(ResolvedBondFutureOption futureOption, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities)	Calculates the theta of the bond future option product.
double	theta(ResolvedBondFutureOption futureOption, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities, double futurePrice)	Calculates the theta of the bond future option product based on the price of the underlying future.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final BlackBondFutureOptionMarginedProductPricer DEFAULT

Default implementation.

Constructor Detail

BlackBondFutureOptionMarginedProductPricer

public BlackBondFutureOptionMarginedProductPricer(DiscountingBondFutureProductPricer futurePricer)

Creates an instance.

Parameters:

futurePricer - the pricer for ResolvedBondFutureOption

Method Detail

price

public double price(ResolvedBondFutureOption futureOption,
                    LegalEntityDiscountingProvider discountingProvider,
                    BlackBondFutureVolatilities volatilities)

Calculates the price of the bond future option product.

The price of the option is the price on the valuation date.

This calculates the underlying future price using the future pricer.

Strata uses decimal prices for bond futures. This is coherent with the pricing of BondFuture. For example, a price of 1.32% is represented in Strata by 0.0132.

Parameters:

futureOption - the option product

discountingProvider - the discounting provider

volatilities - the volatilities

Returns:

the price of the product, in decimal form

price

public double price(ResolvedBondFutureOption futureOption,
                    LegalEntityDiscountingProvider discountingProvider,
                    BlackBondFutureVolatilities volatilities,
                    double futurePrice)

Calculates the price of the bond future option product based on the price of the underlying future.

The price of the option is the price on the valuation date.

Strata uses decimal prices for bond futures. This is coherent with the pricing of BondFuture. For example, a price of 1.32% is represented in Strata by 0.0132.

Parameters:

futureOption - the option product

discountingProvider - the discounting provider

volatilities - the volatilities

futurePrice - the price of the underlying future

Returns:

the price of the product, in decimal form

deltaStickyStrike

public double deltaStickyStrike(ResolvedBondFutureOption futureOption,
                                LegalEntityDiscountingProvider discountingProvider,
                                BlackBondFutureVolatilities volatilities)

Calculates the delta of the bond future option product.

The delta of the product is the sensitivity of the option price to the future price. The volatility is unchanged for a fixed strike in the sensitivity computation, hence the "StickyStrike" name.

This calculates the underlying future price using the future pricer.

Parameters:

futureOption - the option product

discountingProvider - the discounting provider

volatilities - the volatilities

Returns:

the price curve sensitivity of the product

deltaStickyStrike

public double deltaStickyStrike(ResolvedBondFutureOption futureOption,
                                LegalEntityDiscountingProvider discountingProvider,
                                BlackBondFutureVolatilities volatilities,
                                double futurePrice)

Calculates the delta of the bond future option product based on the price of the underlying future.

The delta of the product is the sensitivity of the option price to the future price. The volatility is unchanged for a fixed strike in the sensitivity computation, hence the "StickyStrike" name.

Parameters:

futureOption - the option product

discountingProvider - the discounting provider

volatilities - the volatilities

futurePrice - the price of the underlying future

Returns:

the price curve sensitivity of the product

gammaStickyStrike

public double gammaStickyStrike(ResolvedBondFutureOption futureOption,
                                LegalEntityDiscountingProvider discountingProvider,
                                BlackBondFutureVolatilities volatilities)

Calculates the gamma of the bond future option product.

The gamma of the product is the sensitivity of the option delta to the future price. The volatility is unchanged for a fixed strike in the sensitivity computation, hence the "StickyStrike" name.

This calculates the underlying future price using the future pricer.

Parameters:

futureOption - the option product

discountingProvider - the discounting provider

volatilities - the volatilities

Returns:

the price curve sensitivity of the product

gammaStickyStrike

public double gammaStickyStrike(ResolvedBondFutureOption futureOption,
                                LegalEntityDiscountingProvider discountingProvider,
                                BlackBondFutureVolatilities volatilities,
                                double futurePrice)

Calculates the gamma of the bond future option product based on the price of the underlying future.

The gamma of the product is the sensitivity of the option delta to the future price. The volatility is unchanged for a fixed strike in the sensitivity computation, hence the "StickyStrike" name.

Parameters:

futureOption - the option product

discountingProvider - the discounting provider

volatilities - the volatilities

futurePrice - the price of the underlying future

Returns:

the price curve sensitivity of the product

theta

public double theta(ResolvedBondFutureOption futureOption,
                    LegalEntityDiscountingProvider discountingProvider,
                    BlackBondFutureVolatilities volatilities)

Calculates the theta of the bond future option product.

The theta of the product is the minus of the option price sensitivity to the time to expiry. The volatility is unchanged for a fixed strike in the sensitivity computation, hence the "StickyStrike" name.

This calculates the underlying future price using the future pricer.

Parameters:

futureOption - the option product

discountingProvider - the discounting provider

volatilities - the volatilities

Returns:

the price curve sensitivity of the product

theta

public double theta(ResolvedBondFutureOption futureOption,
                    LegalEntityDiscountingProvider discountingProvider,
                    BlackBondFutureVolatilities volatilities,
                    double futurePrice)

Calculates the theta of the bond future option product based on the price of the underlying future.

The theta of the product is minus of the option price sensitivity to the time to expiry. The volatility is unchanged for a fixed strike in the sensitivity computation, hence the "StickyStrike" name.

Parameters:

futureOption - the option product

discountingProvider - the discounting provider

volatilities - the volatilities

futurePrice - the price of the underlying future

Returns:

the price curve sensitivity of the product

priceSensitivityRatesStickyStrike

public PointSensitivities priceSensitivityRatesStickyStrike(ResolvedBondFutureOption futureOption,
                                                            LegalEntityDiscountingProvider discountingProvider,
                                                            BlackBondFutureVolatilities volatilities)

Calculates the price sensitivity of the bond future option product based on curves.

The price sensitivity of the product is the sensitivity of the price to the underlying curves. The volatility is unchanged for a fixed strike in the sensitivity computation, hence the "StickyStrike" name.

This calculates the underlying future price using the future pricer.

Parameters:

futureOption - the option product

discountingProvider - the discounting provider

volatilities - the volatilities

Returns:

the price curve sensitivity of the product

priceSensitivityRatesStickyStrike

public PointSensitivities priceSensitivityRatesStickyStrike(ResolvedBondFutureOption futureOption,
                                                            LegalEntityDiscountingProvider discountingProvider,
                                                            BlackBondFutureVolatilities volatilities,
                                                            double futurePrice)

Calculates the price sensitivity of the bond future option product based on the price of the underlying future.

The price sensitivity of the product is the sensitivity of the price to the underlying curves. The volatility is unchanged for a fixed strike in the sensitivity computation, hence the "StickyStrike" name.

Parameters:

futureOption - the option product

discountingProvider - the discounting provider

volatilities - the volatilities

futurePrice - the price of the underlying future

Returns:

the price curve sensitivity of the product

priceSensitivityModelParamsVolatility

public BondFutureOptionSensitivity priceSensitivityModelParamsVolatility(ResolvedBondFutureOption futureOption,
                                                                         LegalEntityDiscountingProvider discountingProvider,
                                                                         BlackBondFutureVolatilities volatilities)

Calculates the price sensitivity to the Black volatility used for the pricing of the bond future option.

This calculates the underlying future price using the future pricer.

Parameters:

futureOption - the option product

discountingProvider - the discounting provider

volatilities - the volatilities

Returns:

the sensitivity

priceSensitivityModelParamsVolatility

public BondFutureOptionSensitivity priceSensitivityModelParamsVolatility(ResolvedBondFutureOption futureOption,
                                                                         LegalEntityDiscountingProvider discountingProvider,
                                                                         BlackBondFutureVolatilities volatilities,
                                                                         double futurePrice)

Calculates the price sensitivity to the Black volatility used for the pricing of the bond future option based on the price of the underlying future.

Parameters:

futureOption - the option product

discountingProvider - the discounting provider

volatilities - the volatilities

futurePrice - the underlying future price

Returns:

the sensitivity