Package com.opengamma.strata.pricer.fxopt

Class BlackFxOptionSmileVolatilities

java.lang.Object

com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities

All Implemented Interfaces:

MarketDataView, ParameterizedData, BlackFxOptionVolatilities, FxOptionVolatilities, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class BlackFxOptionSmileVolatilities
extends Object
implements BlackFxOptionVolatilities, org.joda.beans.ImmutableBean, Serializable

Data provider of volatility for FX options in the log-normal or Black-Scholes model.

The volatility is represented by a term structure of interpolated smile, SmileDeltaTermStructure, which represents expiry dependent smile formed of ATM, risk reversal and strangle as used in FX market.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	BlackFxOptionSmileVolatilities.Builder	The bean-builder for BlackFxOptionSmileVolatilities.
static class	BlackFxOptionSmileVolatilities.Meta	The meta-bean for BlackFxOptionSmileVolatilities.

Method Summary

Modifier and Type	Method	Description
static BlackFxOptionSmileVolatilities.Builder	builder()	Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> name)	Finds the market data with the specified name.
ValueDerivatives	firstPartialDerivatives(CurrencyPair currencyPair, double expiry, double strike, double forward)	Computes the partial derivatives of the volatilities.
CurrencyPair	getCurrencyPair()	Gets the currency pair that the volatilities are for.
FxOptionVolatilitiesName	getName()	Gets the name of the volatilities.
double	getParameter(int parameterIndex)	Gets the value of the parameter at the specified index.
int	getParameterCount()	Gets the number of parameters.
ParameterMetadata	getParameterMetadata(int parameterIndex)	Gets the metadata of the parameter at the specified index.
SmileDeltaTermStructure	getSmile()	Gets the volatility model.
ZonedDateTime	getValuationDateTime()	Gets the valuation date-time.
int	hashCode()
static BlackFxOptionSmileVolatilities.Meta	meta()	The meta-bean for BlackFxOptionSmileVolatilities.
BlackFxOptionSmileVolatilities.Meta	metaBean()
static BlackFxOptionSmileVolatilities	of(FxOptionVolatilitiesName name, CurrencyPair currencyPair, ZonedDateTime valuationTime, SmileDeltaTermStructure smile)	Obtains an instance based on a smile.
CurrencyParameterSensitivities	parameterSensitivity(PointSensitivities pointSensitivities)	Calculates the parameter sensitivity.
double	price(double expiry, PutCall putCall, double strike, double forward, double volatility)	Calculates the price.
double	relativeTime(ZonedDateTime dateTime)	Converts a time and date to a relative year fraction.
BlackFxOptionSmileVolatilities.Builder	toBuilder()	Returns a builder that allows this bean to be mutated.
String	toString()
double	volatility(CurrencyPair currencyPair, double expiryTime, double strike, double forward)	Calculates the volatility at the specified expiry.
BlackFxOptionSmileVolatilities	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
BlackFxOptionSmileVolatilities	withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Methods inherited from interface com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities

getVolatilityType

Methods inherited from interface com.opengamma.strata.pricer.fxopt.FxOptionVolatilities

getValuationDate, parameterSensitivity, volatility

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

findParameterIndex

Method Detail

of

public static BlackFxOptionSmileVolatilities of(FxOptionVolatilitiesName name,
                                                CurrencyPair currencyPair,
                                                ZonedDateTime valuationTime,
                                                SmileDeltaTermStructure smile)

Obtains an instance based on a smile.

Parameters:

name - the name of the volatilities

currencyPair - the currency pair

valuationTime - the valuation date-time

smile - the term structure of smile

Returns:

the provider

findData

public <T> Optional<T> findData(MarketDataName<T> name)

Description copied from interface: MarketDataView

Finds the market data with the specified name.

This is most commonly used to find an underlying curve or surface by name. If the market data cannot be found, empty is returned.

Specified by:

findData in interface MarketDataView

Type Parameters:

T - the type of the market data value

Parameters:

name - the name to find

Returns:

the market data value, empty if not found

getParameterCount

public int getParameterCount()

Description copied from interface: ParameterizedData

Gets the number of parameters.

This returns the number of parameters, which can be used to create a loop to access the other methods on this interface.

Specified by:

getParameterCount in interface ParameterizedData

Returns:

the number of parameters

getParameter

public double getParameter(int parameterIndex)

Description copied from interface: ParameterizedData

Gets the value of the parameter at the specified index.

Specified by:

getParameter in interface ParameterizedData

Parameters:

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

Returns:

the value of the parameter

getParameterMetadata

public ParameterMetadata getParameterMetadata(int parameterIndex)

Description copied from interface: ParameterizedData

Gets the metadata of the parameter at the specified index.

If there is no specific parameter metadata, an empty instance will be returned.

Specified by:

getParameterMetadata in interface ParameterizedData

Parameters:

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

Returns:

the metadata of the parameter

withParameter

public BlackFxOptionSmileVolatilities 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 BlackFxOptionVolatilities

Specified by:

withParameter in interface FxOptionVolatilities

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

public BlackFxOptionSmileVolatilities 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 BlackFxOptionVolatilities

Specified by:

withPerturbation in interface FxOptionVolatilities

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

volatility

public double volatility(CurrencyPair currencyPair,
                         double expiryTime,
                         double strike,
                         double forward)

Description copied from interface: FxOptionVolatilities

Calculates the volatility at the specified expiry.

This relies on expiry supplied by FxOptionVolatilities.relativeTime(ZonedDateTime).

Specified by:

volatility in interface FxOptionVolatilities

Parameters:

currencyPair - the currency pair

expiryTime - the time to expiry as a year fraction

strike - the option strike rate

forward - the forward rate

Returns:

the volatility

parameterSensitivity

public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities)

Description copied from interface: FxOptionVolatilities

Calculates the parameter sensitivity.

This computes the CurrencyParameterSensitivities associated with the PointSensitivities. This corresponds to the projection of the point sensitivity to the internal parameters representation.

Specified by:

parameterSensitivity in interface FxOptionVolatilities

Parameters:

pointSensitivities - the point sensitivities

Returns:

the sensitivity to the underlying parameters

firstPartialDerivatives

public ValueDerivatives firstPartialDerivatives(CurrencyPair currencyPair,
                                                double expiry,
                                                double strike,
                                                double forward)

Description copied from interface: FxOptionVolatilities

Computes the partial derivatives of the volatilities.

The first derivatives are dVol/dExpiry and dVol/dStrike. The derivatives are in the following order:

• [0] derivative with respect to expiry
• [1] derivative with respect to strike

Specified by:

firstPartialDerivatives in interface FxOptionVolatilities

Parameters:

currencyPair - the currency pair

expiry - the expiry at which the partial derivative is taken

strike - the strike at which the partial derivative is taken

forward - the forward rate

Returns:

the z-value and it's partial first derivatives

price

public double price(double expiry,
                    PutCall putCall,
                    double strike,
                    double forward,
                    double volatility)

Description copied from interface: FxOptionVolatilities

Calculates the price.

This relies on expiry supplied by FxOptionVolatilities.relativeTime(ZonedDateTime). This relies on volatility supplied by FxOptionVolatilities.volatility(CurrencyPair, double, double, double).

Specified by:

price in interface FxOptionVolatilities

Parameters:

expiry - the time to expiry as a year fraction

putCall - whether the option is put or call

strike - the option strike rate

forward - the forward rate

volatility - the volatility

Returns:

the price

relativeTime

public double relativeTime(ZonedDateTime dateTime)

Description copied from interface: FxOptionVolatilities

Converts a time and date to a relative year fraction.

When the date is after the valuation date (and potentially time), the returned number is negative.

Specified by:

relativeTime in interface FxOptionVolatilities

Parameters:

dateTime - the date-time to find the relative year fraction of

Returns:

the relative year fraction

meta

public static BlackFxOptionSmileVolatilities.Meta meta()

The meta-bean for BlackFxOptionSmileVolatilities.

Returns:

the meta-bean, not null

builder

public static BlackFxOptionSmileVolatilities.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public BlackFxOptionSmileVolatilities.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getName

public FxOptionVolatilitiesName getName()

Gets the name of the volatilities.

Specified by:

getName in interface FxOptionVolatilities

Returns:

the value of the property, not null

getCurrencyPair

public CurrencyPair getCurrencyPair()

Gets the currency pair that the volatilities are for.

Specified by:

getCurrencyPair in interface FxOptionVolatilities

Returns:

the value of the property, not null

getValuationDateTime

public ZonedDateTime getValuationDateTime()

Gets the valuation date-time. All data items in this provider is calibrated for this date-time.

Specified by:

getValuationDateTime in interface FxOptionVolatilities

Returns:

the value of the property, not null

getSmile

public SmileDeltaTermStructure getSmile()

Gets the volatility model.

This represents expiry dependent smile which consists of ATM, risk reversal and strangle as used in FX market.

Returns:

the value of the property, not null

toBuilder

public BlackFxOptionSmileVolatilities.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object