Package com.opengamma.strata.pricer.bond

Class BlackBondFutureOptionMarginedTradePricer

java.lang.Object

com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedTradePricer

public final class BlackBondFutureOptionMarginedTradePricer
extends Object

Pricer implementation for bond future option.

The bond future option is priced based on Black model.

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 BlackBondFutureOptionMarginedTradePricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
BlackBondFutureOptionMarginedTradePricer(BlackBondFutureOptionMarginedProductPricer productPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyAmount	currencyExposure(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities, double lastOptionSettlementPrice)	Calculates the currency exposure of the bond future option trade.
MultiCurrencyAmount	currencyExposure(ResolvedBondFutureOptionTrade trade, LocalDate valuationDate, double currentOptionPrice, double lastOptionSettlementPrice)	Calculates the currency exposure of the bond future option trade from the current option price.
CurrencyAmount	presentValue(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities, double futurePrice, double lastOptionSettlementPrice)	Calculates the present value of the bond future option trade from the underlying future price.
CurrencyAmount	presentValue(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities, double lastOptionSettlementPrice)	Calculates the present value of the bond future option trade.
CurrencyAmount	presentValue(ResolvedBondFutureOptionTrade trade, LocalDate valuationDate, double currentOptionPrice, double lastOptionSettlementPrice)	Calculates the present value of the bond future option trade from the current option price.
BondFutureOptionSensitivity	presentValueSensitivityModelParamsVolatility(ResolvedBondFutureOptionTrade futureOptionTrade, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities)	Computes the present value sensitivity to the Black volatility used in the pricing.
BondFutureOptionSensitivity	presentValueSensitivityModelParamsVolatility(ResolvedBondFutureOptionTrade futureOptionTrade, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities, double futurePrice)	Computes the present value sensitivity to the Black volatility used in the pricing based on the price of the underlying future.
PointSensitivities	presentValueSensitivityRates(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)	Calculates the present value sensitivity of the bond future option trade.
double	price(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)	Calculates the price of the bond future option trade.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final BlackBondFutureOptionMarginedTradePricer DEFAULT

Default implementation.

Constructor Detail

BlackBondFutureOptionMarginedTradePricer

public BlackBondFutureOptionMarginedTradePricer(BlackBondFutureOptionMarginedProductPricer productPricer)

Creates an instance.

Parameters:

productPricer - the pricer for ResolvedBondFutureOption

Method Detail

price

public double price(ResolvedBondFutureOptionTrade trade,
                    LegalEntityDiscountingProvider discountingProvider,
                    BondFutureVolatilities volatilities)

Calculates the price of the bond future option trade.

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

Parameters:

trade - the trade

discountingProvider - the discounting provider

volatilities - the volatilities

Returns:

the price of the product, in decimal form

presentValue

public CurrencyAmount presentValue(ResolvedBondFutureOptionTrade trade,
                                   LocalDate valuationDate,
                                   double currentOptionPrice,
                                   double lastOptionSettlementPrice)

Calculates the present value of the bond future option trade from the current option price.

The present value of the product is the value on the valuation date. The current price is specified, not calculated.

This method calculates based on the difference between the specified current price and the last settlement price, or the trade price if traded on the valuation date.

Parameters:

trade - the trade

valuationDate - the valuation date; required to asses if the trade or last closing price should be used

currentOptionPrice - the option price on the valuation date

lastOptionSettlementPrice - the last settlement price used for margining for the option, in decimal form

Returns:

the present value

presentValue

public CurrencyAmount presentValue(ResolvedBondFutureOptionTrade trade,
                                   LegalEntityDiscountingProvider discountingProvider,
                                   BondFutureVolatilities volatilities,
                                   double lastOptionSettlementPrice)

Calculates the present value of the bond future option trade.

The present value of the product is the value on the valuation date. The current price is calculated using the volatility model.

This method calculates based on the difference between the model price and the last settlement price, or the trade price if traded on the valuation date.

Parameters:

trade - the trade

discountingProvider - the discounting provider

volatilities - the volatilities

lastOptionSettlementPrice - the last settlement price used for margining for the option, in decimal form

Returns:

the present value

presentValue

public CurrencyAmount presentValue(ResolvedBondFutureOptionTrade trade,
                                   LegalEntityDiscountingProvider discountingProvider,
                                   BlackBondFutureVolatilities volatilities,
                                   double futurePrice,
                                   double lastOptionSettlementPrice)

Calculates the present value of the bond future option trade from the underlying future price.

The present value of the product is the value on the valuation date. The current price is calculated using the volatility model with a known future price.

This method calculates based on the difference between the model price and the last settlement price, or the trade price if traded on the valuation date.

Parameters:

trade - the trade

discountingProvider - the discounting provider

volatilities - the volatilities

futurePrice - the price of the underlying future

lastOptionSettlementPrice - the last settlement price used for margining for the option, in decimal form

Returns:

the present value

presentValueSensitivityRates

public PointSensitivities presentValueSensitivityRates(ResolvedBondFutureOptionTrade trade,
                                                       LegalEntityDiscountingProvider discountingProvider,
                                                       BondFutureVolatilities volatilities)

Calculates the present value sensitivity of the bond future option trade.

The present value sensitivity of the trade is the sensitivity of the present value to the underlying curves.

Parameters:

trade - the trade

discountingProvider - the discounting provider

volatilities - the volatilities

Returns:

the present value curve sensitivity of the trade

presentValueSensitivityModelParamsVolatility

public BondFutureOptionSensitivity presentValueSensitivityModelParamsVolatility(ResolvedBondFutureOptionTrade futureOptionTrade,
                                                                                LegalEntityDiscountingProvider discountingProvider,
                                                                                BlackBondFutureVolatilities volatilities)

Computes the present value sensitivity to the Black volatility used in the pricing.

The result is a single sensitivity to the volatility used. The volatility is associated with the expiry/delay/strike/future price key combination.

This calculates the underlying future price using the future pricer.

Parameters:

futureOptionTrade - the trade

discountingProvider - the discounting provider

volatilities - the volatilities

Returns:

the price sensitivity

presentValueSensitivityModelParamsVolatility

public BondFutureOptionSensitivity presentValueSensitivityModelParamsVolatility(ResolvedBondFutureOptionTrade futureOptionTrade,
                                                                                LegalEntityDiscountingProvider discountingProvider,
                                                                                BlackBondFutureVolatilities volatilities,
                                                                                double futurePrice)

Computes the present value sensitivity to the Black volatility used in the pricing based on the price of the underlying future.

The result is a single sensitivity to the volatility used. The volatility is associated with the expiry/delay/strike/future price key combination.

Parameters:

futureOptionTrade - the trade

discountingProvider - the discounting provider

volatilities - the volatilities

futurePrice - the price of the underlying future

Returns:

the price sensitivity

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedBondFutureOptionTrade trade,
                                            LegalEntityDiscountingProvider discountingProvider,
                                            BondFutureVolatilities volatilities,
                                            double lastOptionSettlementPrice)

Calculates the currency exposure of the bond future option trade.

This method calculates based on the difference between the model price and the last settlement price, or the trade price if traded on the valuation date.

Parameters:

trade - the trade

discountingProvider - the discounting provider

volatilities - the volatilities

lastOptionSettlementPrice - the last settlement price used for margining for the option, in decimal form

Returns:

the currency exposure of the bond future option trade

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedBondFutureOptionTrade trade,
                                            LocalDate valuationDate,
                                            double currentOptionPrice,
                                            double lastOptionSettlementPrice)

Calculates the currency exposure of the bond future option trade from the current option price.

This method calculates based on the difference between the model price and the last settlement price, or the trade price if traded on the valuation date.

Parameters:

trade - the trade

valuationDate - the valuation date; required to asses if the trade or last closing price should be used

currentOptionPrice - the option price on the valuation date

lastOptionSettlementPrice - the last settlement price used for margining for the option, in decimal form

Returns:

the currency exposure of the bond future option trade