Uses of Interface
com.opengamma.strata.pricer.bond.BlackBondFutureVolatilities

Packages that use BlackBondFutureVolatilities

Package	Description
com.opengamma.strata.pricer.bond	Calculators for bonds.

Uses of BlackBondFutureVolatilities in com.opengamma.strata.pricer.bond

Classes in com.opengamma.strata.pricer.bond that implement BlackBondFutureVolatilities

Modifier and Type	Class	Description
class	BlackBondFutureExpiryLogMoneynessVolatilities	Data provider of volatility for bond future options in the log-normal or Black model.

Methods in com.opengamma.strata.pricer.bond that return BlackBondFutureVolatilities

Modifier and Type	Method	Description
BlackBondFutureVolatilities	BlackBondFutureVolatilities.withParameter(int parameterIndex, double newValue)
BlackBondFutureVolatilities	BlackBondFutureVolatilities.withPerturbation(ParameterPerturbation perturbation)

Methods in com.opengamma.strata.pricer.bond with parameters of type BlackBondFutureVolatilities

Modifier and Type	Method	Description
double	BlackBondFutureOptionMarginedProductPricer.deltaStickyStrike(ResolvedBondFutureOption futureOption, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities)	Calculates the delta of the bond future option product.
double	BlackBondFutureOptionMarginedProductPricer.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	BlackBondFutureOptionMarginedProductPricer.gammaStickyStrike(ResolvedBondFutureOption futureOption, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities)	Calculates the gamma of the bond future option product.
double	BlackBondFutureOptionMarginedProductPricer.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.
CurrencyAmount	BlackBondFutureOptionMarginedTradePricer.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.
BondFutureOptionSensitivity	BlackBondFutureOptionMarginedTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedBondFutureOptionTrade futureOptionTrade, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities)	Computes the present value sensitivity to the Black volatility used in the pricing.
BondFutureOptionSensitivity	BlackBondFutureOptionMarginedTradePricer.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.
double	BlackBondFutureOptionMarginedProductPricer.price(ResolvedBondFutureOption futureOption, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities)	Calculates the price of the bond future option product.
double	BlackBondFutureOptionMarginedProductPricer.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	BlackBondFutureOptionMarginedProductPricer.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	BlackBondFutureOptionMarginedProductPricer.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	BlackBondFutureOptionMarginedProductPricer.priceSensitivityRatesStickyStrike(ResolvedBondFutureOption futureOption, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities)	Calculates the price sensitivity of the bond future option product based on curves.
PointSensitivities	BlackBondFutureOptionMarginedProductPricer.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	BlackBondFutureOptionMarginedProductPricer.theta(ResolvedBondFutureOption futureOption, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities)	Calculates the theta of the bond future option product.
double	BlackBondFutureOptionMarginedProductPricer.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.