Uses of Interface
com.opengamma.strata.pricer.index.NormalIborFutureOptionVolatilities

Packages that use NormalIborFutureOptionVolatilities

Package	Description
com.opengamma.strata.pricer.index	Calculators for products based on rate indices, such as Short Term Interest Rate futures (STIRs).

Uses of NormalIborFutureOptionVolatilities in com.opengamma.strata.pricer.index

Classes in com.opengamma.strata.pricer.index that implement NormalIborFutureOptionVolatilities

Modifier and Type	Class	Description
class	NormalIborFutureOptionExpirySimpleMoneynessVolatilities	Data provider of volatility for Ibor future options in the normal or Bachelier model.

Methods in com.opengamma.strata.pricer.index that return NormalIborFutureOptionVolatilities

Modifier and Type	Method	Description
NormalIborFutureOptionVolatilities	NormalIborFutureOptionVolatilities.withParameter(int parameterIndex, double newValue)
NormalIborFutureOptionVolatilities	NormalIborFutureOptionVolatilities.withPerturbation(ParameterPerturbation perturbation)

Methods in com.opengamma.strata.pricer.index with parameters of type NormalIborFutureOptionVolatilities

Modifier and Type	Method	Description
double	NormalIborFutureOptionMarginedProductPricer.deltaStickyStrike(ResolvedIborFutureOption futureOption, RatesProvider ratesProvider, NormalIborFutureOptionVolatilities volatilities)	Calculates the delta of the Ibor future option product.
double	NormalIborFutureOptionMarginedProductPricer.deltaStickyStrike(ResolvedIborFutureOption futureOption, RatesProvider ratesProvider, NormalIborFutureOptionVolatilities volatilities, double futurePrice)	Calculates the delta of the Ibor future option product based on the price of the underlying future.
CurrencyAmount	NormalIborFutureOptionMarginedTradePricer.presentValue(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, NormalIborFutureOptionVolatilities volatilities, double lastOptionSettlementPrice)	Calculates the present value of the Ibor future option trade.
CurrencyAmount	NormalIborFutureOptionMarginedTradePricer.presentValue(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, NormalIborFutureOptionVolatilities volatilities, double futurePrice, double lastOptionSettlementPrice)	Calculates the present value of the Ibor future option trade from the underlying future price.
IborFutureOptionSensitivity	NormalIborFutureOptionMarginedTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedIborFutureOptionTrade futureOptionTrade, RatesProvider ratesProvider, NormalIborFutureOptionVolatilities volatilities)	Computes the present value sensitivity to the normal volatility used in the pricing.
IborFutureOptionSensitivity	NormalIborFutureOptionMarginedTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedIborFutureOptionTrade futureOptionTrade, RatesProvider ratesProvider, NormalIborFutureOptionVolatilities volatilities, double futurePrice)	Computes the present value sensitivity to the normal volatility used in the pricing based on the price of the underlying future.
PointSensitivities	NormalIborFutureOptionMarginedTradePricer.presentValueSensitivityRates(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, NormalIborFutureOptionVolatilities volatilities)	Calculates the present value sensitivity of the Ibor future option trade.
double	NormalIborFutureOptionMarginedProductPricer.price(ResolvedIborFutureOption futureOption, RatesProvider ratesProvider, NormalIborFutureOptionVolatilities volatilities)	Calculates the price of the Ibor future option product.
double	NormalIborFutureOptionMarginedProductPricer.price(ResolvedIborFutureOption futureOption, RatesProvider ratesProvider, NormalIborFutureOptionVolatilities volatilities, double futurePrice)	Calculates the price of the Ibor future option product based on the price of the underlying future.
double	NormalIborFutureOptionMarginedTradePricer.price(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, NormalIborFutureOptionVolatilities volatilities)	Calculates the price of the Ibor future option trade.
IborFutureOptionSensitivity	NormalIborFutureOptionMarginedProductPricer.priceSensitivityModelParamsVolatility(ResolvedIborFutureOption futureOption, RatesProvider ratesProvider, NormalIborFutureOptionVolatilities volatilities)	Calculates the price sensitivity to the normal volatility used for the pricing of the Ibor future option.
IborFutureOptionSensitivity	NormalIborFutureOptionMarginedProductPricer.priceSensitivityModelParamsVolatility(ResolvedIborFutureOption futureOption, RatesProvider ratesProvider, NormalIborFutureOptionVolatilities volatilities, double futurePrice)	Calculates the price sensitivity to the normal volatility used for the pricing of the Ibor future option based on the price of the underlying future.
PointSensitivities	NormalIborFutureOptionMarginedProductPricer.priceSensitivityRatesStickyStrike(ResolvedIborFutureOption futureOption, RatesProvider ratesProvider, NormalIborFutureOptionVolatilities volatilities)	Calculates the price sensitivity of the Ibor future option product based on curves.
PointSensitivities	NormalIborFutureOptionMarginedProductPricer.priceSensitivityRatesStickyStrike(ResolvedIborFutureOption futureOption, RatesProvider ratesProvider, NormalIborFutureOptionVolatilities volatilities, double futurePrice)	Calculates the price sensitivity of the Ibor future option product based on the price of the underlying future.