Uses of Class
com.opengamma.strata.product.index.ResolvedIborFutureOptionTrade

Packages that use ResolvedIborFutureOptionTrade

Package	Description
com.opengamma.strata.measure.index	Calculation functions for index products.
com.opengamma.strata.pricer.index	Calculators for products based on rate indices, such as Short Term Interest Rate futures (STIRs).
com.opengamma.strata.product.index	Entity objects describing contracts based on rate indices.

Uses of ResolvedIborFutureOptionTrade in com.opengamma.strata.measure.index

Classes in com.opengamma.strata.measure.index with type parameters of type ResolvedIborFutureOptionTrade

Modifier and Type	Class	Description
class	IborFutureOptionTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<IborFutureOption> & Resolvable<ResolvedIborFutureOptionTrade>>	Perform calculations on a single IborFutureOptionTrade or IborFutureOptionPosition for each of a set of scenarios.

Methods in com.opengamma.strata.measure.index with parameters of type ResolvedIborFutureOptionTrade

Modifier and Type	Method	Description
CurrencyScenarioArray	IborFutureOptionTradeCalculations.presentValue(ResolvedIborFutureOptionTrade trade, RatesMarketDataLookup ratesLookup, IborFutureOptionMarketDataLookup optionLookup, ScenarioMarketData marketData)	Calculates present value across one or more scenarios.
CurrencyAmount	IborFutureOptionTradeCalculations.presentValue(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, IborFutureOptionVolatilities volatilities)	Calculates present value for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	IborFutureOptionTradeCalculations.pv01CalibratedBucketed(ResolvedIborFutureOptionTrade trade, RatesMarketDataLookup ratesLookup, IborFutureOptionMarketDataLookup optionLookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	IborFutureOptionTradeCalculations.pv01CalibratedBucketed(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, IborFutureOptionVolatilities volatilities)	Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	IborFutureOptionTradeCalculations.pv01CalibratedSum(ResolvedIborFutureOptionTrade trade, RatesMarketDataLookup ratesLookup, IborFutureOptionMarketDataLookup optionLookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	IborFutureOptionTradeCalculations.pv01CalibratedSum(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, IborFutureOptionVolatilities volatilities)	Calculates present value sensitivity for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	IborFutureOptionTradeCalculations.pv01MarketQuoteBucketed(ResolvedIborFutureOptionTrade trade, RatesMarketDataLookup ratesLookup, IborFutureOptionMarketDataLookup optionLookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	IborFutureOptionTradeCalculations.pv01MarketQuoteBucketed(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, IborFutureOptionVolatilities volatilities)	Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	IborFutureOptionTradeCalculations.pv01MarketQuoteSum(ResolvedIborFutureOptionTrade trade, RatesMarketDataLookup ratesLookup, IborFutureOptionMarketDataLookup optionLookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	IborFutureOptionTradeCalculations.pv01MarketQuoteSum(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, IborFutureOptionVolatilities volatilities)	Calculates present value sensitivity for a single set of market data.
DoubleScenarioArray	IborFutureOptionTradeCalculations.unitPrice(ResolvedIborFutureOptionTrade trade, RatesMarketDataLookup ratesLookup, IborFutureOptionMarketDataLookup optionLookup, ScenarioMarketData marketData)	Calculates unit price across one or more scenarios.
double	IborFutureOptionTradeCalculations.unitPrice(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, IborFutureOptionVolatilities volatilities)	Calculates unit price for a single set of market data.

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

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

Modifier and Type	Method	Description
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.
CurrencyAmount	NormalIborFutureOptionMarginedTradePricer.presentValue(ResolvedIborFutureOptionTrade trade, LocalDate valuationDate, double currentOptionPrice, double lastOptionSettlementPrice)	Calculates the present value of the Ibor future option trade from the current option 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	NormalIborFutureOptionMarginedTradePricer.price(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, NormalIborFutureOptionVolatilities volatilities)	Calculates the price of the Ibor future option trade.

Uses of ResolvedIborFutureOptionTrade in com.opengamma.strata.product.index

Methods in com.opengamma.strata.product.index that return ResolvedIborFutureOptionTrade

Modifier and Type	Method	Description
ResolvedIborFutureOptionTrade	ResolvedIborFutureOptionTrade.Builder.build()
ResolvedIborFutureOptionTrade	IborFutureOptionPosition.resolve(ReferenceData refData)
ResolvedIborFutureOptionTrade	IborFutureOptionTrade.resolve(ReferenceData refData)

Methods in com.opengamma.strata.product.index that return types with arguments of type ResolvedIborFutureOptionTrade

Modifier and Type	Method	Description
Class<? extends ResolvedIborFutureOptionTrade>	ResolvedIborFutureOptionTrade.Meta.beanType()