Package com.opengamma.strata.pricer.fxopt

Class VannaVolgaFxVanillaOptionTradePricer

java.lang.Object

com.opengamma.strata.pricer.fxopt.VannaVolgaFxVanillaOptionTradePricer

public class VannaVolgaFxVanillaOptionTradePricer
extends Object

Pricer for FX vanilla option trades with a Vanna-Volga method.

The volatilities are expressed using BlackFxOptionSmileVolatilities. Each smile of the term structure consists of 3 data points, where the middle point corresponds to ATM volatility.

Field Summary

Fields

Modifier and Type	Field	Description
static VannaVolgaFxVanillaOptionTradePricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
VannaVolgaFxVanillaOptionTradePricer(VannaVolgaFxVanillaOptionProductPricer productPricer, DiscountingPaymentPricer paymentPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyAmount	currencyExposure(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionSmileVolatilities 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.
MultiCurrencyAmount	presentValue(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionSmileVolatilities volatilities)	Calculates the present value of the FX vanilla option trade.
PointSensitivities	presentValueSensitivityModelParamsVolatility(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionSmileVolatilities volatilities)	Computes the present value sensitivity to the black volatility used in the pricing.
PointSensitivities	presentValueSensitivityRatesStickyStrike(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionSmileVolatilities 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 VannaVolgaFxVanillaOptionTradePricer DEFAULT

Default implementation.

Constructor Detail

VannaVolgaFxVanillaOptionTradePricer

public VannaVolgaFxVanillaOptionTradePricer(VannaVolgaFxVanillaOptionProductPricer 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,
                                        BlackFxOptionSmileVolatilities 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,
                                                                   BlackFxOptionSmileVolatilities 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,
                                                                       BlackFxOptionSmileVolatilities 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,
                                            BlackFxOptionSmileVolatilities 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