## Class BlackFixedCouponBondOptionPricer

• java.lang.Object
• com.opengamma.strata.pricer.bond.BlackFixedCouponBondOptionPricer

• public class BlackFixedCouponBondOptionPricer
extends Object
Pricer for fixed coupon bond options based on Black formula for the (dirty) bond price.

The volatilities are stored in a (normalized) BondYieldVolatilities. They are stored as bond yield equivalent volatilities and are converted to bond price volatilities through the formula "price volatility = duration * yield volatility".

• ### Field Summary

Fields
Modifier and Type Field Description
static BlackFixedCouponBondOptionPricer DEFAULT
Default implementation.
• ### Constructor Summary

Constructors
Constructor Description
BlackFixedCouponBondOptionPricer​(DiscountingFixedCouponBondProductPricer bondPricer)
Creates an instance.
• ### Method Summary

All Methods
Modifier and Type Method Description
protected DiscountingFixedCouponBondProductPricer getBondPricer()
Gets the bond pricer.
CurrencyAmount presentValue​(ResolvedFixedCouponBondOption bondOption, LegalEntityDiscountingProvider legalEntityProvider, BondYieldVolatilities volatilities)
Calculates the present value of the bond option.
BondYieldSensitivity presentValueSensitivityModelParamsVolatility​(ResolvedFixedCouponBondOption bondOption, LegalEntityDiscountingProvider legalEntityProvider, BondYieldVolatilities volatilities)
Returns the present value sensitivity to the underlying yield volatilities.
PointSensitivities presentValueSensitivityRatesStickyStrike​(ResolvedFixedCouponBondOption bondOption, LegalEntityDiscountingProvider legalEntityProvider, BondYieldVolatilities volatilities)
Returns the present value sensitivity to the underlying curves.
• ### Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
• ### Field Detail

• #### DEFAULT

public static final BlackFixedCouponBondOptionPricer DEFAULT
Default implementation.
• ### Constructor Detail

• #### BlackFixedCouponBondOptionPricer

public BlackFixedCouponBondOptionPricer​(DiscountingFixedCouponBondProductPricer bondPricer)
Creates an instance.
Parameters:
bondPricer - the pricer for the underlying ResolvedFixedCouponBond.
• ### Method Detail

• #### getBondPricer

protected DiscountingFixedCouponBondProductPricer getBondPricer()
Gets the bond pricer.
Returns:
the bond pricer
• #### presentValue

public CurrencyAmount presentValue​(ResolvedFixedCouponBondOption bondOption,
LegalEntityDiscountingProvider legalEntityProvider,
BondYieldVolatilities volatilities)
Calculates the present value of the bond option.

The volatilities are stored as yield volatilities. They are converted to bond volatilities using the approximated formula "price volatility = duration * yield volatility".

Parameters:
bondOption - the bond option
legalEntityProvider - the provider to value the bond
volatilities - the volatilities
Returns:
the present value
• #### presentValueSensitivityRatesStickyStrike

public PointSensitivities presentValueSensitivityRatesStickyStrike​(ResolvedFixedCouponBondOption bondOption,
LegalEntityDiscountingProvider legalEntityProvider,
BondYieldVolatilities volatilities)
Returns the present value sensitivity to the underlying curves.

The sensitivity is computed with "sticky strike" volatility, i.e. the volatility used in the Black formula is not impacted by the curve-implied change in moneyness.

The volatilities are stored as yield volatilities. They are converted to bond volatilities using the approximated formula "price volatility = duration * yield volatility".

Parameters:
bondOption - the bond option
legalEntityProvider - the provider to value the bond
volatilities - the volatilities
Returns:
the present value sensitivity to rates
• #### presentValueSensitivityModelParamsVolatility

public BondYieldSensitivity presentValueSensitivityModelParamsVolatility​(ResolvedFixedCouponBondOption bondOption,
LegalEntityDiscountingProvider legalEntityProvider,
BondYieldVolatilities volatilities)
Returns the present value sensitivity to the underlying yield volatilities.

The sensitivity is to the underlying yield volatilities, before they are transformed to bond price volatilities as described below.

The volatilities are stored as yield volatilities. They are converted to bond volatilities using the approximated formula "price volatility = duration * yield volatility".

Parameters:
bondOption - the bond option
legalEntityProvider - the provider to value the bond
volatilities - the volatilities
Returns:
the present value sensitivity to the yield volatility parameters