Package com.opengamma.strata.pricer.impl.option

Class BlackBarrierPriceFormulaRepository

java.lang.Object

com.opengamma.strata.pricer.impl.option.BlackBarrierPriceFormulaRepository

public class BlackBarrierPriceFormulaRepository
extends Object

The price function to compute the price of barrier option in the Black world. Reference: E. G. Haug (2007) The complete guide to Option Pricing Formulas. Mc Graw Hill. Section 4.17.1.

Constructor Summary

Constructors

Constructor	Description
BlackBarrierPriceFormulaRepository()

Method Summary

Modifier and Type	Method	Description
double	price(double spot, double strike, double timeToExpiry, double costOfCarry, double rate, double lognormalVol, boolean isCall, SimpleConstantContinuousBarrier barrier)	Computes the price of a barrier option.
ValueDerivatives	priceAdjoint(double spot, double strike, double timeToExpiry, double costOfCarry, double rate, double lognormalVol, boolean isCall, SimpleConstantContinuousBarrier barrier)	Computes the price and derivatives of a barrier option.

Methods inherited from class java.lang.Object

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

Constructor Detail

BlackBarrierPriceFormulaRepository

public BlackBarrierPriceFormulaRepository()

Method Detail

price

public double price(double spot,
                    double strike,
                    double timeToExpiry,
                    double costOfCarry,
                    double rate,
                    double lognormalVol,
                    boolean isCall,
                    SimpleConstantContinuousBarrier barrier)

Computes the price of a barrier option.

Parameters:

spot - the spot

strike - the strike

timeToExpiry - the time to expiry

costOfCarry - the cost of carry

rate - the interest rate

lognormalVol - the lognormal volatility

isCall - true if call, false otherwise

barrier - the barrier

Returns:

the price

priceAdjoint

public ValueDerivatives priceAdjoint(double spot,
                                     double strike,
                                     double timeToExpiry,
                                     double costOfCarry,
                                     double rate,
                                     double lognormalVol,
                                     boolean isCall,
                                     SimpleConstantContinuousBarrier barrier)

Computes the price and derivatives of a barrier option. The derivatives are [0] spot, [1] strike, [2] rate, [3] cost-of-carry, [4] volatility, [5] timeToExpiry, [6] spot twice

Parameters:

spot - the spot

strike - the strike

timeToExpiry - the time to expiry

costOfCarry - the cost of carry

rate - the interest rate

lognormalVol - the lognormal volatility

isCall - true if call, false otherwise

barrier - the barrier

Returns:

the price and derivatives