Package com.opengamma.strata.product.fxopt

Class FxVanillaOption

java.lang.Object

com.opengamma.strata.product.fxopt.FxVanillaOption

All Implemented Interfaces:

Resolvable<ResolvedFxVanillaOption>, FxOptionProduct, FxProduct, Product, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class FxVanillaOption
extends Object
implements FxOptionProduct, Resolvable<ResolvedFxVanillaOption>, org.joda.beans.ImmutableBean, Serializable

A vanilla FX option.

An FX option is a financial instrument that provides an option based on the future value of a foreign exchange. The option is European, exercised only on the exercise date.

For example, a call on a 'EUR 1.00 / USD -1.41' exchange is the option to perform a foreign exchange on the expiry date, where USD 1.41 is paid to receive EUR 1.00.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	FxVanillaOption.Builder	The bean-builder for FxVanillaOption.
static class	FxVanillaOption.Meta	The meta-bean for FxVanillaOption.

Method Summary

Modifier and Type	Method	Description
static FxVanillaOption.Builder	builder()	Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
CurrencyPair	getCurrencyPair()	Gets currency pair of the base currency and counter currency.
ZonedDateTime	getExpiry()	Gets the expiry date-time.
LocalDate	getExpiryDate()	Gets the expiry date of the option.
LocalTime	getExpiryTime()	Gets the expiry time of the option.
ZoneId	getExpiryZone()	Gets the time-zone of the expiry time.
LongShort	getLongShort()	Gets whether the option is long or short.
FxSingle	getUnderlying()	Gets the underlying foreign exchange transaction.
int	hashCode()
static FxVanillaOption.Meta	meta()	The meta-bean for FxVanillaOption.
FxVanillaOption.Meta	metaBean()
static FxVanillaOption	of(LongShort longShort, ZonedDateTime expiry, CurrencyPair currencyPair, PutCall putCall, double strike, double baseNotional, LocalDate paymentDate)	Creates an equivalent FxVanillaOption using currency pair, option expiry, call/put flag, strike, base currency notional, and underlying payment date.
ResolvedFxVanillaOption	resolve(ReferenceData refData)	Resolves this object using the specified reference data.
FxVanillaOption.Builder	toBuilder()	Returns a builder that allows this bean to be mutated.
String	toString()

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Methods inherited from interface com.opengamma.strata.product.fx.FxProduct

allCurrencies, isCrossCurrency

Methods inherited from interface com.opengamma.strata.product.Product

allPaymentCurrencies

Method Detail

of

public static FxVanillaOption of(LongShort longShort,
                                 ZonedDateTime expiry,
                                 CurrencyPair currencyPair,
                                 PutCall putCall,
                                 double strike,
                                 double baseNotional,
                                 LocalDate paymentDate)

Creates an equivalent FxVanillaOption using currency pair, option expiry, call/put flag, strike, base currency notional, and underlying payment date.

Parameters:

longShort - the long/short flag of the option

expiry - the option expiry

currencyPair - the FX currency pair

putCall - the put/call flag of the option

strike - the FX strike

baseNotional - the base currency notional amount: should always be positive

paymentDate - the payment date of the underlying FX cash flows

Returns:

an equivalent fx vanilla option

getCurrencyPair

public CurrencyPair getCurrencyPair()

Gets currency pair of the base currency and counter currency.

This currency pair is conventional, thus indifferent to the direction of FX.

Specified by:

getCurrencyPair in interface FxProduct

Returns:

the currency pair

getExpiry

public ZonedDateTime getExpiry()

Gets the expiry date-time.

The option expires at this date and time.

The result is returned by combining the expiry date, time and time-zone.

Specified by:

getExpiry in interface FxOptionProduct

Returns:

the expiry date and time

resolve

public ResolvedFxVanillaOption resolve(ReferenceData refData)

Description copied from interface: Resolvable

Resolves this object using the specified reference data.

This converts the object implementing this interface to the equivalent resolved form. All ReferenceDataId identifiers in this instance will be resolved. The resolved form will typically be a type that is optimized for pricing.

Resolved objects may be bound to data that changes over time, such as holiday calendars. If the data changes, such as the addition of a new holiday, the resolved form will not be updated. Care must be taken when placing the resolved form in a cache or persistence layer.

Specified by:

resolve in interface Resolvable<ResolvedFxVanillaOption>

Parameters:

refData - the reference data to use when resolving

Returns:

the resolved instance

meta

public static FxVanillaOption.Meta meta()

The meta-bean for FxVanillaOption.

Returns:

the meta-bean, not null

builder

public static FxVanillaOption.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public FxVanillaOption.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getLongShort

public LongShort getLongShort()

Gets whether the option is long or short.

At expiry, the long party will have the option to enter in this transaction; the short party will, at the option of the long party, potentially enter into the inverse transaction.

Returns:

the value of the property, not null

getExpiryDate

public LocalDate getExpiryDate()

Gets the expiry date of the option.

The option is European, and can only be exercised on the expiry date.

Returns:

the value of the property, not null

getExpiryTime

public LocalTime getExpiryTime()

Gets the expiry time of the option.

The expiry time is related to the expiry date and time-zone.

Returns:

the value of the property, not null

getExpiryZone

public ZoneId getExpiryZone()

Gets the time-zone of the expiry time.

The expiry time-zone is related to the expiry date and time.

Returns:

the value of the property, not null

getUnderlying

public FxSingle getUnderlying()

Gets the underlying foreign exchange transaction.

At expiry, if the option is in the money, this foreign exchange will occur.

Returns:

the value of the property, not null

toBuilder

public FxVanillaOption.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object