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

Class BlackOneTouchAssetPriceFormulaRepository

java.lang.Object

com.opengamma.strata.pricer.impl.option.BlackOneTouchAssetPriceFormulaRepository

public class BlackOneTouchAssetPriceFormulaRepository
extends Object

The price function to compute the price of one-touch or no-touch (asset-or-nothing) option in the Black world.

This function prices one-touch/no-touch option, where the asset payment can occur at hit for a one-touch option, and at expiry for a no-touch option. Reference: E. G. Haug (2007) The complete guide to Option Pricing Formulas. Mc Graw Hill. Section 4.19.5.

Constructor Summary

Constructors

Constructor	Description
BlackOneTouchAssetPriceFormulaRepository()

Method Summary

Modifier and Type	Method	Description
double	price(double spot, double timeToExpiry, double costOfCarry, double rate, double lognormalVol, SimpleConstantContinuousBarrier barrier)	Computes the price of a one-touch/no-touch option.
ValueDerivatives	priceAdjoint(double spot, double timeToExpiry, double costOfCarry, double rate, double lognormalVol, SimpleConstantContinuousBarrier barrier)	Computes the price and derivatives of a one-touch/no-touch option.

Methods inherited from class java.lang.Object

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

Constructor Detail

BlackOneTouchAssetPriceFormulaRepository

public BlackOneTouchAssetPriceFormulaRepository()

Method Detail

price

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

Computes the price of a one-touch/no-touch option.

Parameters:

spot - the spot

timeToExpiry - the time to expiry

costOfCarry - the cost of carry

rate - the interest rate

lognormalVol - the lognormal volatility

barrier - the barrier

Returns:

the price

priceAdjoint

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

Computes the price and derivatives of a one-touch/no-touch option.

The derivatives are [0] spot, [1] rate, [2] cost-of-carry, [3] volatility, [4] timeToExpiry, [5] spot twice.

Parameters:

spot - the spot

timeToExpiry - the time to expiry

costOfCarry - the cost of carry

rate - the interest rate

lognormalVol - the lognormal volatility

barrier - the barrier

Returns:

the price and derivatives