Package com.opengamma.strata.pricer.index

Interface IborFutureOptionVolatilities

All Superinterfaces:

MarketDataView, ParameterizedData

All Known Subinterfaces:

NormalIborFutureOptionVolatilities

All Known Implementing Classes:

NormalIborFutureOptionExpirySimpleMoneynessVolatilities

public interface IborFutureOptionVolatilities
extends MarketDataView, ParameterizedData

Volatilities for pricing Ibor futures.

This provides access to the volatilities for various pricing models, such as normal.

Method Summary

Modifier and Type	Method	Description
IborIndex	getIndex()	Gets the index of the underlying future for which the data is valid.
IborFutureOptionVolatilitiesName	getName()	Gets the name of these volatilities.
default LocalDate	getValuationDate()	Gets the valuation date.
ZonedDateTime	getValuationDateTime()	Gets the valuation date-time.
ValueType	getVolatilityType()	Gets the type of volatility returned by the volatility(java.time.ZonedDateTime, java.time.LocalDate, double, double) method.
CurrencyParameterSensitivities	parameterSensitivity(PointSensitivities pointSensitivities)	Calculates the parameter sensitivity.
default CurrencyParameterSensitivities	parameterSensitivity(PointSensitivity... pointSensitivities)	Calculates the parameter sensitivity.
double	relativeTime(ZonedDateTime dateTime)	Converts a time and date to a relative year fraction.
double	volatility(double expiry, LocalDate fixingDate, double strikePrice, double futurePrice)	Calculates the volatility at the specified expiry.
default double	volatility(ZonedDateTime expiryDateTime, LocalDate fixingDate, double strikePrice, double futurePrice)	Calculates the volatility at the specified expiry.
IborFutureOptionVolatilities	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
IborFutureOptionVolatilities	withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.

Methods inherited from interface com.opengamma.strata.market.MarketDataView

findData

Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData

findParameterIndex, getParameter, getParameterCount, getParameterMetadata

Method Detail

getName

IborFutureOptionVolatilitiesName getName()

Gets the name of these volatilities.

Returns:

the name

getIndex

IborIndex getIndex()

Gets the index of the underlying future for which the data is valid.

Returns:

the index

getVolatilityType

ValueType getVolatilityType()

Gets the type of volatility returned by the volatility(java.time.ZonedDateTime, java.time.LocalDate, double, double) method.

Returns:

the type

getValuationDate

default LocalDate getValuationDate()

Gets the valuation date.

The volatilities are calibrated for this date.

Specified by:

getValuationDate in interface MarketDataView

Returns:

the valuation date

getValuationDateTime

ZonedDateTime getValuationDateTime()

Gets the valuation date-time.

The volatilities are calibrated for this date-time.

Returns:

the valuation date-time

withParameter

IborFutureOptionVolatilities withParameter(int parameterIndex,
                                           double newValue)

Description copied from interface: ParameterizedData

Returns a copy of the data with the value at the specified index altered.

This instance is immutable and unaffected by this method call.

Specified by:

withParameter in interface ParameterizedData

Parameters:

parameterIndex - the zero-based index of the parameter to get

newValue - the new value for the specified parameter

Returns:

a parameterized data instance based on this with the specified parameter altered

withPerturbation

IborFutureOptionVolatilities withPerturbation(ParameterPerturbation perturbation)

Description copied from interface: ParameterizedData

Returns a perturbed copy of the data.

The perturbation instance will be invoked once for each parameter in this instance, returning the perturbed value for that parameter. The result of this method is a new instance that is based on those perturbed values.

This instance is immutable and unaffected by this method call.

Specified by:

withPerturbation in interface ParameterizedData

Parameters:

perturbation - the perturbation to apply

Returns:

a parameterized data instance based on this with the specified perturbation applied

volatility

default double volatility(ZonedDateTime expiryDateTime,
                          LocalDate fixingDate,
                          double strikePrice,
                          double futurePrice)

Calculates the volatility at the specified expiry.

Parameters:

expiryDateTime - the option expiry

fixingDate - the underlying future fixing date

strikePrice - the option strike price

futurePrice - the price of the underlying future

Returns:

the volatility

Throws:

RuntimeException - if the value cannot be obtained

volatility

double volatility(double expiry,
                  LocalDate fixingDate,
                  double strikePrice,
                  double futurePrice)

Calculates the volatility at the specified expiry.

This relies on expiry supplied by relativeTime(ZonedDateTime).

Parameters:

expiry - the time to expiry as a year fraction

fixingDate - the underlying future fixing date

strikePrice - the option strike price

futurePrice - the price of the underlying future

Returns:

the volatility

Throws:

RuntimeException - if the value cannot be obtained

parameterSensitivity

default CurrencyParameterSensitivities parameterSensitivity(PointSensitivity... pointSensitivities)

Calculates the parameter sensitivity.

This computes the CurrencyParameterSensitivities associated with the PointSensitivities. This corresponds to the projection of the point sensitivity to the internal parameters representation.

Parameters:

pointSensitivities - the point sensitivities

Returns:

the sensitivity to the underlying parameters

parameterSensitivity

CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities)

Calculates the parameter sensitivity.

This computes the CurrencyParameterSensitivities associated with the PointSensitivities. This corresponds to the projection of the point sensitivity to the internal parameters representation.

Parameters:

pointSensitivities - the point sensitivities

Returns:

the sensitivity to the underlying parameters

relativeTime

double relativeTime(ZonedDateTime dateTime)

Converts a time and date to a relative year fraction.

When the date is after the valuation date (and potentially time), the returned number is negative.

Parameters:

dateTime - the date-time to find the relative year fraction of

Returns:

the relative year fraction