com.opengamma.strata.measure.index

Class IborFutureOptionTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<IborFutureOption> & Resolvable<ResolvedIborFutureOptionTrade>>

java.lang.Object

com.opengamma.strata.measure.index.IborFutureOptionTradeCalculationFunction<T>

Type Parameters:

T - the trade or position type

All Implemented Interfaces:

CalculationFunction<T>

public class IborFutureOptionTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<IborFutureOption> & Resolvable<ResolvedIborFutureOptionTrade>>
extends Object
implements CalculationFunction<T>

Perform calculations on a single IborFutureOptionTrade or IborFutureOptionPosition for each of a set of scenarios.

This uses Normal pricing. An instance of RatesMarketDataLookup and IborFutureOptionMarketDataLookup must be specified. The supported built-in measures are:

• Present value
• PV01 calibrated sum
• PV01 calibrated bucketed
• PV01 market quote sum
• PV01 market quote bucketed
• Unit price
• Resolved trade

Price

The price of an Ibor future option is based on the price of the underlying future, the volatility and the time to expiry. The price of the at-the-money option tends to zero as expiry approaches.

Strata uses decimal prices for Ibor future options in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, an option price of 0.2 is related to a futures price of 99.32 that implies an interest rate of 0.68%. Strata represents the price of the future as 0.9932 and thus represents the price of the option as 0.002.

Field Summary

Fields

Modifier and Type	Field and Description
static IborFutureOptionTradeCalculationFunction<IborFutureOptionPosition>	POSITION The position instance
static IborFutureOptionTradeCalculationFunction<IborFutureOptionTrade>	TRADE The trade instance

Method Summary

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

Methods inherited from class java.lang.Object

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

Field Detail

TRADE

public static final IborFutureOptionTradeCalculationFunction<IborFutureOptionTrade> TRADE

The trade instance

POSITION

public static final IborFutureOptionTradeCalculationFunction<IborFutureOptionPosition> POSITION

The position instance

Method Detail

targetType

public Class<T> targetType()

Specified by:

targetType in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<IborFutureOption> & Resolvable<ResolvedIborFutureOptionTrade>>

supportedMeasures

public Set<Measure> supportedMeasures()

Specified by:

supportedMeasures in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<IborFutureOption> & Resolvable<ResolvedIborFutureOptionTrade>>

identifier

public Optional<String> identifier(T target)

Specified by:

identifier in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<IborFutureOption> & Resolvable<ResolvedIborFutureOptionTrade>>

naturalCurrency

public Currency naturalCurrency(T target,
                                ReferenceData refData)

Specified by:

naturalCurrency in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<IborFutureOption> & Resolvable<ResolvedIborFutureOptionTrade>>

requirements

public FunctionRequirements requirements(T target,
                                         Set<Measure> measures,
                                         CalculationParameters parameters,
                                         ReferenceData refData)

Specified by:

requirements in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<IborFutureOption> & Resolvable<ResolvedIborFutureOptionTrade>>

calculate

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

Specified by:

calculate in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<IborFutureOption> & Resolvable<ResolvedIborFutureOptionTrade>>