Package com.opengamma.strata.pricer.fxopt

Class ImpliedTrinomialTreeFxOptionCalibrator

java.lang.Object

com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxOptionCalibrator

public class ImpliedTrinomialTreeFxOptionCalibrator
extends Object

Utilities to calibrate implied trinomial tree to Black volatilities of FX options.

Constructor Summary

Constructors

Constructor	Description
ImpliedTrinomialTreeFxOptionCalibrator(int nSteps)	Calibrator with the specified number of time steps.

Method Summary

Modifier and Type	Method	Description
RecombiningTrinomialTreeData	calibrateTrinomialTree(double timeToExpiry, CurrencyPair currencyPair, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)	Calibrate trinomial tree to Black volatilities.
RecombiningTrinomialTreeData	calibrateTrinomialTree(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)	Calibrate trinomial tree to Black volatilities by using a vanilla option.
int	getNumberOfSteps()	Obtains number of time steps.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

ImpliedTrinomialTreeFxOptionCalibrator

public ImpliedTrinomialTreeFxOptionCalibrator(int nSteps)

Calibrator with the specified number of time steps.

Parameters:

nSteps - number of time steps

Method Detail

getNumberOfSteps

public int getNumberOfSteps()

Obtains number of time steps.

Returns:

number of time steps

calibrateTrinomialTree

public RecombiningTrinomialTreeData calibrateTrinomialTree(ResolvedFxVanillaOption option,
                                                           RatesProvider ratesProvider,
                                                           BlackFxOptionVolatilities volatilities)

Calibrate trinomial tree to Black volatilities by using a vanilla option.

ResolvedFxVanillaOption is typically the underlying option of an exotic instrument to price using the calibrated tree, and is used to ensure that the grid points properly cover the lifetime of the target option.

Parameters:

option - the vanilla option

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the trinomial tree data

calibrateTrinomialTree

public RecombiningTrinomialTreeData calibrateTrinomialTree(double timeToExpiry,
                                                           CurrencyPair currencyPair,
                                                           RatesProvider ratesProvider,
                                                           BlackFxOptionVolatilities volatilities)

Calibrate trinomial tree to Black volatilities.

timeToExpiry determines the coverage of the resulting trinomial tree. Thus this should match the time to expiry of the target instrument to price using the calibrated tree.

Parameters:

timeToExpiry - the time to expiry

currencyPair - the currency pair

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the trinomial tree data