com.opengamma.strata.measure.fxopt

Class FxVanillaOptionTradeCalculations

java.lang.Object

com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

public class FxVanillaOptionTradeCalculations
extends Object

Calculates pricing and risk measures for FX vanilla option trades.

This provides a high-level entry point for FX vanilla option pricing and risk measures. Pricing is performed using the Black method.

Each method takes a ResolvedFxVanillaOptionTrade, whereas application code will typically work with FxVanillaOptionTrade. Call FxVanillaOptionTrade::resolve(ReferenceData) to convert FxVanillaOptionTrade to ResolvedFxVanillaOptionTrade.

Field Summary

Fields

Modifier and Type	Field and Description
static FxVanillaOptionTradeCalculations	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
FxVanillaOptionTradeCalculations(BlackFxVanillaOptionTradePricer blackPricer, VannaVolgaFxVanillaOptionTradePricer vannaVolgaPricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
MultiCurrencyScenarioArray	currencyExposure(ResolvedFxVanillaOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxVanillaOptionMethod method) Calculates currency exposure across one or more scenarios.
MultiCurrencyAmount	currencyExposure(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method) Calculates currency exposure for a single set of market data.
CurrencyScenarioArray	currentCash(ResolvedFxVanillaOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxVanillaOptionMethod method) Calculates current cash across one or more scenarios.
CurrencyAmount	currentCash(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method) Calculates current cash for a single set of market data.
MultiCurrencyScenarioArray	presentValue(ResolvedFxVanillaOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxVanillaOptionMethod method) Calculates present value across one or more scenarios.
MultiCurrencyAmount	presentValue(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method) Calculates present value for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01RatesCalibratedBucketed(ResolvedFxVanillaOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxVanillaOptionMethod method) Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01RatesCalibratedBucketed(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method) Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01RatesCalibratedSum(ResolvedFxVanillaOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxVanillaOptionMethod method) Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01RatesCalibratedSum(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method) Calculates present value sensitivity for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01RatesMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxVanillaOptionMethod method) Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01RatesMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method) Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01RatesMarketQuoteSum(ResolvedFxVanillaOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxVanillaOptionMethod method) Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01RatesMarketQuoteSum(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method) Calculates present value sensitivity for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	vegaMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxVanillaOptionMethod method) Calculates present value vega sensitivity across one or more scenarios.
CurrencyParameterSensitivities	vegaMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method) Calculates present value vega sensitivity for a single set of market data.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final FxVanillaOptionTradeCalculations DEFAULT

Default implementation.

Constructor Detail

FxVanillaOptionTradeCalculations

public FxVanillaOptionTradeCalculations(BlackFxVanillaOptionTradePricer blackPricer,
                                        VannaVolgaFxVanillaOptionTradePricer vannaVolgaPricer)

Creates an instance.

In most cases, applications should use the DEFAULT instance.

Parameters:

blackPricer - the pricer for ResolvedFxVanillaOptionTrade using Black

vannaVolgaPricer - the pricer for ResolvedFxVanillaOptionTrade using Vanna-Volga

Method Detail

presentValue

public MultiCurrencyScenarioArray presentValue(ResolvedFxVanillaOptionTrade trade,
                                               RatesMarketDataLookup ratesLookup,
                                               FxOptionMarketDataLookup fxLookup,
                                               ScenarioMarketData marketData,
                                               FxVanillaOptionMethod method)

Calculates present value across one or more scenarios.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

fxLookup - the lookup used to query the option market data

marketData - the market data

method - the pricing method

Returns:

the present value, one entry per scenario

presentValue

public MultiCurrencyAmount presentValue(ResolvedFxVanillaOptionTrade trade,
                                        RatesProvider ratesProvider,
                                        FxOptionVolatilities volatilities,
                                        FxVanillaOptionMethod method)

Calculates present value for a single set of market data.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the option volatilities

method - the pricing method

Returns:

the present value

pv01RatesCalibratedSum

public MultiCurrencyScenarioArray pv01RatesCalibratedSum(ResolvedFxVanillaOptionTrade trade,
                                                         RatesMarketDataLookup ratesLookup,
                                                         FxOptionMarketDataLookup fxLookup,
                                                         ScenarioMarketData marketData,
                                                         FxVanillaOptionMethod method)

Calculates present value sensitivity across one or more scenarios.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is the sum of the sensitivities of all affected curves.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

fxLookup - the lookup used to query the option market data

marketData - the market data

method - the pricing method

Returns:

the present value sensitivity, one entry per scenario

pv01RatesCalibratedSum

public MultiCurrencyAmount pv01RatesCalibratedSum(ResolvedFxVanillaOptionTrade trade,
                                                  RatesProvider ratesProvider,
                                                  FxOptionVolatilities volatilities,
                                                  FxVanillaOptionMethod method)

Calculates present value sensitivity for a single set of market data.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is the sum of the sensitivities of all affected curves.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the option volatilities

method - the pricing method

Returns:

the present value sensitivity

pv01RatesCalibratedBucketed

public ScenarioArray<CurrencyParameterSensitivities> pv01RatesCalibratedBucketed(ResolvedFxVanillaOptionTrade trade,
                                                                                 RatesMarketDataLookup ratesLookup,
                                                                                 FxOptionMarketDataLookup fxLookup,
                                                                                 ScenarioMarketData marketData,
                                                                                 FxVanillaOptionMethod method)

Calculates present value sensitivity across one or more scenarios.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is provided for each affected curve and currency, bucketed by curve node.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

fxLookup - the lookup used to query the option market data

marketData - the market data

method - the pricing method

Returns:

the present value sensitivity, one entry per scenario

pv01RatesCalibratedBucketed

public CurrencyParameterSensitivities pv01RatesCalibratedBucketed(ResolvedFxVanillaOptionTrade trade,
                                                                  RatesProvider ratesProvider,
                                                                  FxOptionVolatilities volatilities,
                                                                  FxVanillaOptionMethod method)

Calculates present value sensitivity for a single set of market data.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is provided for each affected curve and currency, bucketed by curve node.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the option volatilities

method - the pricing method

Returns:

the present value sensitivity

pv01RatesMarketQuoteSum

public MultiCurrencyScenarioArray pv01RatesMarketQuoteSum(ResolvedFxVanillaOptionTrade trade,
                                                          RatesMarketDataLookup ratesLookup,
                                                          FxOptionMarketDataLookup fxLookup,
                                                          ScenarioMarketData marketData,
                                                          FxVanillaOptionMethod method)

Calculates present value sensitivity across one or more scenarios.

This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is the sum of the sensitivities of all affected curves.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

fxLookup - the lookup used to query the option market data

marketData - the market data

method - the pricing method

Returns:

the present value sensitivity, one entry per scenario

pv01RatesMarketQuoteSum

public MultiCurrencyAmount pv01RatesMarketQuoteSum(ResolvedFxVanillaOptionTrade trade,
                                                   RatesProvider ratesProvider,
                                                   FxOptionVolatilities volatilities,
                                                   FxVanillaOptionMethod method)

Calculates present value sensitivity for a single set of market data.

This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is the sum of the sensitivities of all affected curves.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the option volatilities

method - the pricing method

Returns:

the present value sensitivity

pv01RatesMarketQuoteBucketed

public ScenarioArray<CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade,
                                                                                  RatesMarketDataLookup ratesLookup,
                                                                                  FxOptionMarketDataLookup fxLookup,
                                                                                  ScenarioMarketData marketData,
                                                                                  FxVanillaOptionMethod method)

Calculates present value sensitivity across one or more scenarios.

This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is provided for each affected curve and currency, bucketed by curve node.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

marketData - the market data

fxLookup - the lookup used to query the option market data

method - the pricing method

Returns:

the present value sensitivity, one entry per scenario

pv01RatesMarketQuoteBucketed

public CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade,
                                                                   RatesProvider ratesProvider,
                                                                   FxOptionVolatilities volatilities,
                                                                   FxVanillaOptionMethod method)

Calculates present value sensitivity for a single set of market data.

This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is provided for each affected curve and currency, bucketed by curve node.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the option volatilities

method - the pricing method

Returns:

the present value sensitivity

vegaMarketQuoteBucketed

public ScenarioArray<CurrencyParameterSensitivities> vegaMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade,
                                                                             RatesMarketDataLookup ratesLookup,
                                                                             FxOptionMarketDataLookup fxLookup,
                                                                             ScenarioMarketData marketData,
                                                                             FxVanillaOptionMethod method)

Calculates present value vega sensitivity across one or more scenarios.

This is the sensitivity of present value to the implied volatilities used to calibrate the curves.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

marketData - the market data

fxLookup - the lookup used to query the option market data

method - the pricing method

Returns:

the present value sensitivity, one entry per scenario

vegaMarketQuoteBucketed

public CurrencyParameterSensitivities vegaMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade,
                                                              RatesProvider ratesProvider,
                                                              FxOptionVolatilities volatilities,
                                                              FxVanillaOptionMethod method)

Calculates present value vega sensitivity for a single set of market data.

This is the sensitivity of present value of the implied volatilities used to calibrate the curves.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the option volatilities

method - the pricing method

Returns:

the present value sensitivity

currencyExposure

public MultiCurrencyScenarioArray currencyExposure(ResolvedFxVanillaOptionTrade trade,
                                                   RatesMarketDataLookup ratesLookup,
                                                   FxOptionMarketDataLookup fxLookup,
                                                   ScenarioMarketData marketData,
                                                   FxVanillaOptionMethod method)

Calculates currency exposure across one or more scenarios.

The currency risk, expressed as the equivalent amount in each currency.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

fxLookup - the lookup used to query the option market data

marketData - the market data

method - the pricing method

Returns:

the currency exposure, one entry per scenario

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedFxVanillaOptionTrade trade,
                                            RatesProvider ratesProvider,
                                            FxOptionVolatilities volatilities,
                                            FxVanillaOptionMethod method)

Calculates currency exposure for a single set of market data.

The currency risk, expressed as the equivalent amount in each currency.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the option volatilities

method - the pricing method

Returns:

the currency exposure

currentCash

public CurrencyScenarioArray currentCash(ResolvedFxVanillaOptionTrade trade,
                                         RatesMarketDataLookup ratesLookup,
                                         FxOptionMarketDataLookup fxLookup,
                                         ScenarioMarketData marketData,
                                         FxVanillaOptionMethod method)

Calculates current cash across one or more scenarios.

The sum of all cash flows paid on the valuation date.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

fxLookup - the lookup used to query the option market data

marketData - the market data

method - the pricing method

Returns:

the current cash, one entry per scenario

currentCash

public CurrencyAmount currentCash(ResolvedFxVanillaOptionTrade trade,
                                  RatesProvider ratesProvider,
                                  FxOptionVolatilities volatilities,
                                  FxVanillaOptionMethod method)

Calculates current cash for a single set of market data.

The sum of all cash flows paid on the valuation date.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the option volatilities

method - the pricing method

Returns:

the current cash