Package com.opengamma.strata.pricer.bond

Interface BlackBondFutureVolatilities

All Superinterfaces:

BondFutureVolatilities, MarketDataView, ParameterizedData

All Known Implementing Classes:

BlackBondFutureExpiryLogMoneynessVolatilities

public interface BlackBondFutureVolatilities
extends BondFutureVolatilities

Volatility for pricing bond futures and their options in the log-normal or Black model.

Method Summary

Modifier and Type	Method	Description
default ValueType	getVolatilityType()	Gets the type of volatility returned by the BondFutureVolatilities.volatility(java.time.ZonedDateTime, java.time.LocalDate, double, double) method.
BlackBondFutureVolatilities	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
BlackBondFutureVolatilities	withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.

Methods inherited from interface com.opengamma.strata.pricer.bond.BondFutureVolatilities

getName, getValuationDate, getValuationDateTime, parameterSensitivity, parameterSensitivity, relativeTime, volatility, volatility

Methods inherited from interface com.opengamma.strata.market.MarketDataView

findData

Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData

findParameterIndex, getParameter, getParameterCount, getParameterMetadata

Method Detail

getVolatilityType

default ValueType getVolatilityType()

Description copied from interface: BondFutureVolatilities

Gets the type of volatility returned by the BondFutureVolatilities.volatility(java.time.ZonedDateTime, java.time.LocalDate, double, double) method.

Specified by:

getVolatilityType in interface BondFutureVolatilities

Returns:

the type

withParameter

BlackBondFutureVolatilities withParameter(int parameterIndex,
                                          double newValue)

Description copied from interface: ParameterizedData

Returns a copy of the data with the value at the specified index altered.

This instance is immutable and unaffected by this method call.

Specified by:

withParameter in interface BondFutureVolatilities

Specified by:

withParameter in interface ParameterizedData

Parameters:

parameterIndex - the zero-based index of the parameter to get

newValue - the new value for the specified parameter

Returns:

a parameterized data instance based on this with the specified parameter altered

withPerturbation

BlackBondFutureVolatilities withPerturbation(ParameterPerturbation perturbation)

Description copied from interface: ParameterizedData

Returns a perturbed copy of the data.

The perturbation instance will be invoked once for each parameter in this instance, returning the perturbed value for that parameter. The result of this method is a new instance that is based on those perturbed values.

This instance is immutable and unaffected by this method call.

Specified by:

withPerturbation in interface BondFutureVolatilities

Specified by:

withPerturbation in interface ParameterizedData

Parameters:

perturbation - the perturbation to apply

Returns:

a parameterized data instance based on this with the specified perturbation applied