com.opengamma.strata.measure.fxopt

Class FxVanillaOptionTradeCalculationFunction

java.lang.Object

com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculationFunction

All Implemented Interfaces:

CalculationFunction<FxVanillaOptionTrade>

public class FxVanillaOptionTradeCalculationFunction
extends Object
implements CalculationFunction<FxVanillaOptionTrade>

Perform calculations on an FX vanilla option trade for each of a set of scenarios.

This uses Black FX option volatilities, which must be specified using FxOptionMarketDataLookup. An instance of RatesMarketDataLookup must also be specified.

Two pricing methods are available, 'Black' and 'VannaVolga'. By default, 'Black' will be used. To control the method, pass an instance of FxVanillaOptionMethod in the calculation parameters.

The supported built-in measures are:

• Present value
• PV01 calibrated sum on rate curves
• PV01 calibrated bucketed on rate curves
• PV01 market quote sum on rate curves
• PV01 market quote bucketed on rate curves
• Currency exposure
• Current cash
• Vega market quote bucketed on volatility curves/surfaces
• Resolved trade

The "natural" currency is the market convention base currency of the underlying FX.

Constructor Summary

Constructors

Constructor and Description
FxVanillaOptionTradeCalculationFunction() Creates an instance.

Method Summary

Modifier and Type	Method and Description
Map<Measure,Result<?>>	calculate(FxVanillaOptionTrade trade, Set<Measure> measures, CalculationParameters parameters, ScenarioMarketData scenarioMarketData, ReferenceData refData)
Optional<String>	identifier(FxVanillaOptionTrade target)
Currency	naturalCurrency(FxVanillaOptionTrade trade, ReferenceData refData)
FunctionRequirements	requirements(FxVanillaOptionTrade trade, Set<Measure> measures, CalculationParameters parameters, ReferenceData refData)
Set<Measure>	supportedMeasures()
Class<FxVanillaOptionTrade>	targetType()

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

FxVanillaOptionTradeCalculationFunction

public FxVanillaOptionTradeCalculationFunction()

Creates an instance.

Method Detail

targetType

public Class<FxVanillaOptionTrade> targetType()

Specified by:

targetType in interface CalculationFunction<FxVanillaOptionTrade>

supportedMeasures

public Set<Measure> supportedMeasures()

Specified by:

supportedMeasures in interface CalculationFunction<FxVanillaOptionTrade>

identifier

public Optional<String> identifier(FxVanillaOptionTrade target)

Specified by:

identifier in interface CalculationFunction<FxVanillaOptionTrade>

naturalCurrency

public Currency naturalCurrency(FxVanillaOptionTrade trade,
                                ReferenceData refData)

Specified by:

naturalCurrency in interface CalculationFunction<FxVanillaOptionTrade>

requirements

public FunctionRequirements requirements(FxVanillaOptionTrade trade,
                                         Set<Measure> measures,
                                         CalculationParameters parameters,
                                         ReferenceData refData)

Specified by:

requirements in interface CalculationFunction<FxVanillaOptionTrade>

calculate

public Map<Measure,Result<?>> calculate(FxVanillaOptionTrade trade,
                                        Set<Measure> measures,
                                        CalculationParameters parameters,
                                        ScenarioMarketData scenarioMarketData,
                                        ReferenceData refData)

Specified by:

calculate in interface CalculationFunction<FxVanillaOptionTrade>