com.opengamma.strata.measure.index

Class IborFutureOptionTradeCalculations

java.lang.Object

com.opengamma.strata.measure.index.IborFutureOptionTradeCalculations

public class IborFutureOptionTradeCalculations
extends Object

Calculates pricing and risk measures for trades in an option contract based on an Ibor index future.

This provides a high-level entry point for option pricing and risk measures.

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

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 IborFutureOptionTradeCalculations	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
IborFutureOptionTradeCalculations(NormalIborFutureOptionMarginedTradePricer tradePricer) Creates an instance.

Method Summary

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

Default implementation.

Constructor Detail

IborFutureOptionTradeCalculations

public IborFutureOptionTradeCalculations(NormalIborFutureOptionMarginedTradePricer tradePricer)

Creates an instance.

In most cases, applications should use the DEFAULT instance.

Parameters:

tradePricer - the pricer for ResolvedIborFutureOptionTrade

Method Detail

presentValue

public CurrencyScenarioArray presentValue(ResolvedIborFutureOptionTrade trade,
                                          RatesMarketDataLookup ratesLookup,
                                          IborFutureOptionMarketDataLookup optionLookup,
                                          ScenarioMarketData marketData)

Calculates present value across one or more scenarios.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the rates market data

optionLookup - the lookup used to query the option market data

marketData - the market data

Returns:

the present value, one entry per scenario

presentValue

public CurrencyAmount presentValue(ResolvedIborFutureOptionTrade trade,
                                   RatesProvider ratesProvider,
                                   IborFutureOptionVolatilities volatilities)

Calculates present value for a single set of market data.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the option volatilities

Returns:

the present value

pv01CalibratedSum

public MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedIborFutureOptionTrade trade,
                                                    RatesMarketDataLookup ratesLookup,
                                                    IborFutureOptionMarketDataLookup optionLookup,
                                                    ScenarioMarketData marketData)

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 rates market data

optionLookup - the lookup used to query the option market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01CalibratedSum

public MultiCurrencyAmount pv01CalibratedSum(ResolvedIborFutureOptionTrade trade,
                                             RatesProvider ratesProvider,
                                             IborFutureOptionVolatilities volatilities)

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

Returns:

the present value sensitivity

pv01CalibratedBucketed

public ScenarioArray<CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedIborFutureOptionTrade trade,
                                                                            RatesMarketDataLookup ratesLookup,
                                                                            IborFutureOptionMarketDataLookup optionLookup,
                                                                            ScenarioMarketData marketData)

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 rates market data

optionLookup - the lookup used to query the option market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01CalibratedBucketed

public CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedIborFutureOptionTrade trade,
                                                             RatesProvider ratesProvider,
                                                             IborFutureOptionVolatilities volatilities)

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

Returns:

the present value sensitivity

pv01MarketQuoteSum

public MultiCurrencyScenarioArray pv01MarketQuoteSum(ResolvedIborFutureOptionTrade trade,
                                                     RatesMarketDataLookup ratesLookup,
                                                     IborFutureOptionMarketDataLookup optionLookup,
                                                     ScenarioMarketData marketData)

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 rates market data

optionLookup - the lookup used to query the option market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01MarketQuoteSum

public MultiCurrencyAmount pv01MarketQuoteSum(ResolvedIborFutureOptionTrade trade,
                                              RatesProvider ratesProvider,
                                              IborFutureOptionVolatilities volatilities)

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

Returns:

the present value sensitivity

pv01MarketQuoteBucketed

public ScenarioArray<CurrencyParameterSensitivities> pv01MarketQuoteBucketed(ResolvedIborFutureOptionTrade trade,
                                                                             RatesMarketDataLookup ratesLookup,
                                                                             IborFutureOptionMarketDataLookup optionLookup,
                                                                             ScenarioMarketData marketData)

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 rates market data

optionLookup - the lookup used to query the option market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01MarketQuoteBucketed

public CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedIborFutureOptionTrade trade,
                                                              RatesProvider ratesProvider,
                                                              IborFutureOptionVolatilities volatilities)

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

Returns:

the present value sensitivity

unitPrice

public DoubleScenarioArray unitPrice(ResolvedIborFutureOptionTrade trade,
                                     RatesMarketDataLookup ratesLookup,
                                     IborFutureOptionMarketDataLookup optionLookup,
                                     ScenarioMarketData marketData)

Calculates unit price across one or more scenarios.

This is the price of a single unit of the security.

Strata uses decimal prices for Ibor futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the rates market data

optionLookup - the lookup used to query the option market data

marketData - the market data

Returns:

the present value, one entry per scenario

unitPrice

public double unitPrice(ResolvedIborFutureOptionTrade trade,
                        RatesProvider ratesProvider,
                        IborFutureOptionVolatilities volatilities)

Calculates unit price for a single set of market data.

This is the price of a single unit of the security.

Strata uses decimal prices for Ibor futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the option volatilities

Returns:

the present value