com.opengamma.strata.measure.fxopt

Interface FxOptionVolatilitiesSpecification

All Known Implementing Classes:

BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification, BlackFxOptionSmileVolatilitiesSpecification

public interface FxOptionVolatilitiesSpecification

The specification of how to build FX option volatilities.

This is the specification for a single volatility object, FxOptionVolatilities. Each implementation of this interface must have the ability to create an instance of the respective implementation of FxOptionVolatilities.

Method Summary

Modifier and Type	Method and Description
CurrencyPair	getCurrencyPair() Gets the currency pair.
FxOptionVolatilitiesName	getName() Gets the name of a set of FX option volatilities.
ImmutableList<FxOptionVolatilitiesNode>	getNodes() Gets the volatilities nodes.
default int	getParameterCount() Gets the number of parameters.
FxOptionVolatilities	volatilities(ZonedDateTime valuationDateTime, DoubleArray parameters, ReferenceData refData) Creates FX option volatilities.
default ImmutableList<QuoteId>	volatilitiesInputs() Obtains the inputs required to create the FX option volatilities.

Method Detail

getName

FxOptionVolatilitiesName getName()

Gets the name of a set of FX option volatilities.

Returns:

the name

getCurrencyPair

CurrencyPair getCurrencyPair()

Gets the currency pair.

Returns:

the currency pair

getNodes

ImmutableList<FxOptionVolatilitiesNode> getNodes()

Gets the volatilities nodes.

Returns:

the nodes

volatilities

FxOptionVolatilities volatilities(ZonedDateTime valuationDateTime,
                                  DoubleArray parameters,
                                  ReferenceData refData)

Creates FX option volatilities.

The number and ordering of parameters must be coherent to those of nodes, #getNodes().

Parameters:

valuationDateTime - the valuation date time

parameters - the parameters

refData - the reference data

Returns:

the volatilities

volatilitiesInputs

default ImmutableList<QuoteId> volatilitiesInputs()

Obtains the inputs required to create the FX option volatilities.

Returns:

the inputs

getParameterCount

default int getParameterCount()

Gets the number of parameters.

Returns:

the number of parameters