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

Class NormalFormulaRepository

java.lang.Object

com.opengamma.strata.pricer.impl.option.NormalFormulaRepository

public final class NormalFormulaRepository
extends Object

The primary location for normal model formulas.

Method Summary

Modifier and Type	Method	Description
static double	delta(double forward, double strike, double timeToExpiry, double normalVol, PutCall putCall)	Computes the delta.
static double	gamma(double forward, double strike, double timeToExpiry, double normalVol, PutCall putCall)	Computes the gamma.
static double	impliedVolatility(double optionPrice, double forward, double strike, double timeToExpiry, double initialNormalVol, double numeraire, PutCall putCall)	Computes the implied volatility.
static double	impliedVolatilityFromBlackApproximated(double forward, double strike, double timeToExpiry, double blackVolatility)	Compute the implied volatility using an approximate explicit transformation formula.
static ValueDerivatives	impliedVolatilityFromBlackApproximatedAdjoint(double forward, double strike, double timeToExpiry, double blackVolatility)	Compute the implied volatility using an approximate explicit transformation formula and its derivative with respect to the input Black volatility.
static double	price(double forward, double strike, double timeToExpiry, double normalVol, PutCall putCall)	Computes the forward price.
static ValueDerivatives	priceAdjoint(double forward, double strike, double timeToExpiry, double normalVol, double numeraire, PutCall putCall)	Computes the price and first order derivatives.
static double	theta(double forward, double strike, double timeToExpiry, double normalVol, PutCall putCall)	Computes the theta.
static double	vega(double forward, double strike, double timeToExpiry, double normalVol, PutCall putCall)	Computes the vega.

Methods inherited from class java.lang.Object

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

Method Detail

price

public static double price(double forward,
                           double strike,
                           double timeToExpiry,
                           double normalVol,
                           PutCall putCall)

Computes the forward price.

Note that the 'numeraire' is a simple multiplier and is the responsibility of the caller.

Parameters:

forward - the forward value of the underlying

strike - the strike

timeToExpiry - the time to expiry

normalVol - the normal volatility

putCall - whether it is put or call

Returns:

the forward price

priceAdjoint

public static ValueDerivatives priceAdjoint(double forward,
                                            double strike,
                                            double timeToExpiry,
                                            double normalVol,
                                            double numeraire,
                                            PutCall putCall)

Computes the price and first order derivatives.

The derivatives are stored in an array with:

• [0] derivative with respect to the forward
• [1] derivative with respect to the volatility
• [2] derivative with respect to the strike

Parameters:

forward - the forward value of the underlying

strike - the strike

timeToExpiry - the time to expiry

normalVol - the normal volatility

numeraire - the numeraire

putCall - whether it is put or call

Returns:

the price and associated derivatives

delta

public static double delta(double forward,
                           double strike,
                           double timeToExpiry,
                           double normalVol,
                           PutCall putCall)

Computes the delta.

Note that the 'numeraire' is a simple multiplier and is the responsibility of the caller.

Parameters:

forward - the forward value of the underlying

strike - the strike

timeToExpiry - the time to expiry

normalVol - the normal volatility

putCall - whether it is put or call

Returns:

the delta

gamma

public static double gamma(double forward,
                           double strike,
                           double timeToExpiry,
                           double normalVol,
                           PutCall putCall)

Computes the gamma.

Note that the 'numeraire' is a simple multiplier and is the responsibility of the caller.

Parameters:

forward - the forward value of the underlying

strike - the strike

timeToExpiry - the time to expiry

normalVol - the normal volatility

putCall - whether it is put or call

Returns:

the gamma

theta

public static double theta(double forward,
                           double strike,
                           double timeToExpiry,
                           double normalVol,
                           PutCall putCall)

Computes the theta.

Note that the 'numeraire' is a simple multiplier and is the responsibility of the caller.

Parameters:

forward - the forward value of the underlying

strike - the strike

timeToExpiry - the time to expiry

normalVol - the normal volatility

putCall - whether it is put or call

Returns:

the theta

vega

public static double vega(double forward,
                          double strike,
                          double timeToExpiry,
                          double normalVol,
                          PutCall putCall)

Computes the vega.

Note that the 'numeraire' is a simple multiplier and is the responsibility of the caller.

Parameters:

forward - the forward value of the underlying

strike - the strike

timeToExpiry - the time to expiry

normalVol - the normal volatility

putCall - whether it is put or call

Returns:

the vega

impliedVolatility

public static double impliedVolatility(double optionPrice,
                                       double forward,
                                       double strike,
                                       double timeToExpiry,
                                       double initialNormalVol,
                                       double numeraire,
                                       PutCall putCall)

Computes the implied volatility.

If the volatility data is not zero, it is used as a starting point for the volatility search.

Note that the 'numeraire' is a simple multiplier and is the responsibility of the caller.

Parameters:

optionPrice - the price of the option

forward - the forward value of the underlying

strike - the strike

timeToExpiry - the time to expiry

initialNormalVol - the normal volatility used to start the search

numeraire - the numeraire

putCall - whether it is put or call

Returns:

the implied volatility

impliedVolatilityFromBlackApproximated

public static double impliedVolatilityFromBlackApproximated(double forward,
                                                            double strike,
                                                            double timeToExpiry,
                                                            double blackVolatility)

Compute the implied volatility using an approximate explicit transformation formula.

Reference: Hagan, P. S. Volatility conversion calculator. Technical report, Bloomberg.

Parameters:

forward - the forward rate/price

strike - the option strike

timeToExpiry - the option time to maturity

blackVolatility - the Black implied volatility

Returns:

the implied volatility

impliedVolatilityFromBlackApproximatedAdjoint

public static ValueDerivatives impliedVolatilityFromBlackApproximatedAdjoint(double forward,
                                                                             double strike,
                                                                             double timeToExpiry,
                                                                             double blackVolatility)

Compute the implied volatility using an approximate explicit transformation formula and its derivative with respect to the input Black volatility.

Reference: Hagan, P. S. Volatility conversion calculator. Technical report, Bloomberg.

Parameters:

forward - the forward rate/price

strike - the option strike

timeToExpiry - the option time to maturity

blackVolatility - the Black implied volatility

Returns:

the implied volatility and its derivative