java.lang.Object
- com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionTradePricer

```
public class BlackFxVanillaOptionTradePricer
extends Object
```
Pricer for FX vanilla option trades with a lognormal model.
This function provides the ability to price an FxVanillaOptionTrade.

Field Summary

Fields
Modifier and Type Field Description

static BlackFxVanillaOptionTradePricer DEFAULT
Default implementation.

Constructor Summary

Constructors
Constructor	Description
`BlackFxVanillaOptionTradePricer(BlackFxVanillaOptionProductPricer productPricer, DiscountingPaymentPricer paymentPricer)`	Creates an instance.

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method	Description
`MultiCurrencyAmount`	`currencyExposure(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)`	Calculates the currency exposure of the FX vanilla option trade.
`CurrencyAmount`	`currentCash(ResolvedFxVanillaOptionTrade trade, LocalDate valuationDate)`	Calculates the current of the FX vanilla option trade.
`FxRate`	`forwardFxRate(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider)`	Calculates the forward exchange rate.
`double`	`impliedVolatility(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)`	Calculates the implied Black volatility of the foreign exchange vanilla option trade.
`MultiCurrencyAmount`	`presentValue(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)`	Calculates the present value of the FX vanilla option trade.
`PointSensitivities`	`presentValueSensitivityModelParamsVolatility(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)`	Computes the present value sensitivity to the black volatility used in the pricing.
`PointSensitivities`	`presentValueSensitivityRatesStickyStrike(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)`	Calculates the present value sensitivity of the FX vanilla 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 BlackFxVanillaOptionTradePricer DEFAULT

Default implementation.

Constructor Detail

BlackFxVanillaOptionTradePricer

public BlackFxVanillaOptionTradePricer(BlackFxVanillaOptionProductPricer productPricer,
                                       DiscountingPaymentPricer paymentPricer)

Creates an instance.

Parameters:: productPricer - the pricer for ResolvedFxVanillaOption; paymentPricer - the pricer for Payment

Method Detail

presentValue

public MultiCurrencyAmount presentValue(ResolvedFxVanillaOptionTrade trade,
                                        RatesProvider ratesProvider,
                                        BlackFxOptionVolatilities volatilities)

Calculates the present value of the FX vanilla option trade.

The present value of the trade is the value on the valuation date.

Parameters:: trade - the option trade; ratesProvider - the rates provider; volatilities - the Black volatility provider
Returns:: the present value of the trade

presentValueSensitivityRatesStickyStrike

public PointSensitivities presentValueSensitivityRatesStickyStrike(ResolvedFxVanillaOptionTrade trade,
                                                                   RatesProvider ratesProvider,
                                                                   BlackFxOptionVolatilities volatilities)

Calculates the present value sensitivity of the FX vanilla option trade.

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

The volatility is fixed in this sensitivity computation.

Parameters:: trade - the option trade; ratesProvider - the rates provider; volatilities - the Black volatility provider
Returns:: the present value curve sensitivity of the trade

presentValueSensitivityModelParamsVolatility

public PointSensitivities presentValueSensitivityModelParamsVolatility(ResolvedFxVanillaOptionTrade trade,
                                                                       RatesProvider ratesProvider,
                                                                       BlackFxOptionVolatilities volatilities)

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

The result is a single sensitivity to the volatility used.

Parameters:: trade - the option trade; ratesProvider - the rates provider; volatilities - the Black volatility provider
Returns:: the present value sensitivity

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedFxVanillaOptionTrade trade,
                                            RatesProvider ratesProvider,
                                            BlackFxOptionVolatilities volatilities)

Calculates the currency exposure of the FX vanilla option trade.

Parameters:: trade - the option trade; ratesProvider - the rates provider; volatilities - the Black volatility provider
Returns:: the currency exposure

currentCash

public CurrencyAmount currentCash(ResolvedFxVanillaOptionTrade trade,
                                  LocalDate valuationDate)

Calculates the current of the FX vanilla option trade.

Parameters:: trade - the option trade; valuationDate - the valuation date
Returns:: the current cash amount

forwardFxRate

public FxRate forwardFxRate(ResolvedFxVanillaOptionTrade trade,
                            RatesProvider ratesProvider)

Calculates the forward exchange rate.

Parameters:: trade - the option trade; ratesProvider - the rates provider
Returns:: the forward rate

impliedVolatility
```
public double impliedVolatility(ResolvedFxVanillaOptionTrade trade,
                                RatesProvider ratesProvider,
                                BlackFxOptionVolatilities volatilities)
```
Calculates the implied Black volatility of the foreign exchange vanilla option trade.

Parameters:

trade - the option trade

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the implied volatility of the product

Throws:

IllegalArgumentException - if the option has expired

Class BlackFxVanillaOptionTradePricer

Field Summary