Package com.opengamma.strata.pricer.fxopt

Class ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer

java.lang.Object

com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer

public class ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer
extends Object

Pricer for FX barrier option trades under implied trinomial tree.

This function provides the ability to price an ResolvedFxSingleBarrierOptionTrade.

Field Summary

Fields

Modifier and Type	Field	Description
static ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer(ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer productPricer, DiscountingPaymentPricer paymentPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyAmount	currencyExposure(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)	Calculates the currency exposure of the FX barrier option trade.
CurrencyAmount	currentCash(ResolvedFxSingleBarrierOptionTrade trade, LocalDate valuationDate)	Calculates the current of the FX barrier option trade.
MultiCurrencyAmount	presentValue(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)	Calculates the present value of the FX barrier option trade.
CurrencyParameterSensitivities	presentValueSensitivityRates(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)	Calculates the present value sensitivity of the FX barrier 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 ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer DEFAULT

Default implementation.

Constructor Detail

ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer

public ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer(ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer productPricer,
                                                            DiscountingPaymentPricer paymentPricer)

Creates an instance.

Parameters:

productPricer - the pricer for ResolvedFxSingleBarrierOption

paymentPricer - the pricer for Payment

Method Detail

presentValue

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

Calculates the present value of the FX barrier option trade.

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

The trinomial tree is first calibrated to Black volatilities, then the price is computed based on the calibrated tree.

Parameters:

trade - the option trade

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the present value of the trade

presentValueSensitivityRates

public CurrencyParameterSensitivities presentValueSensitivityRates(ResolvedFxSingleBarrierOptionTrade trade,
                                                                   RatesProvider ratesProvider,
                                                                   BlackFxOptionVolatilities volatilities)

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

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

The sensitivity is computed by bump and re-price, returning CurrencyParameterSensitivities, not PointSensitivities.

The trinomial tree is first calibrated to Black volatilities, then the price is computed based on the calibrated tree.

Parameters:

trade - the option trade

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the present value curve sensitivity of the trade

currencyExposure

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

Calculates the currency exposure of the FX barrier option trade.

The trinomial tree is first calibrated to Black volatilities, then the price is computed based on the calibrated tree.

Parameters:

trade - the option trade

ratesProvider - the rates provider

volatilities - the Black volatility provider

Returns:

the currency exposure

currentCash

public CurrencyAmount currentCash(ResolvedFxSingleBarrierOptionTrade trade,
                                  LocalDate valuationDate)

Calculates the current of the FX barrier option trade.

Parameters:

trade - the option trade

valuationDate - the valuation date

Returns:

the current cash amount