Interface | Description |
---|---|
BlackFxOptionVolatilities |
Volatility for FX option in the log-normal or Black model.
|
FxOptionVolatilities |
Volatilities for pricing FX options.
|
SmileDeltaTermStructure |
A term structure of smile as used in Forex market.
|
Class | Description |
---|---|
BlackFxOptionFlatVolatilities |
Volatility for FX options in the log-normal or Black model based on a curve.
|
BlackFxOptionFlatVolatilities.Builder |
The bean-builder for
BlackFxOptionFlatVolatilities . |
BlackFxOptionFlatVolatilities.Meta |
The meta-bean for
BlackFxOptionFlatVolatilities . |
BlackFxOptionSmileVolatilities |
Data provider of volatility for FX options in the log-normal or Black-Scholes model.
|
BlackFxOptionSmileVolatilities.Builder |
The bean-builder for
BlackFxOptionSmileVolatilities . |
BlackFxOptionSmileVolatilities.Meta |
The meta-bean for
BlackFxOptionSmileVolatilities . |
BlackFxOptionSurfaceVolatilities |
Volatility for FX options in the log-normal or Black model based on a surface.
|
BlackFxOptionSurfaceVolatilities.Builder |
The bean-builder for
BlackFxOptionSurfaceVolatilities . |
BlackFxOptionSurfaceVolatilities.Meta |
The meta-bean for
BlackFxOptionSurfaceVolatilities . |
BlackFxSingleBarrierOptionProductPricer |
Pricer for FX barrier option products in Black-Scholes world.
|
BlackFxSingleBarrierOptionTradePricer |
Pricer for FX barrier option trades in Black-Scholes world.
|
BlackFxVanillaOptionProductPricer |
Pricer for foreign exchange vanilla option transaction products with a lognormal model.
|
BlackFxVanillaOptionTradePricer |
Pricer for FX vanilla option trades with a lognormal model.
|
FxOptionSensitivity |
Point sensitivity to an implied volatility for a FX option model.
|
FxOptionSensitivity.Meta |
The meta-bean for
FxOptionSensitivity . |
FxOptionVolatilitiesId |
An identifier used to access FX option volatilities by name.
|
FxOptionVolatilitiesName |
The name of a set of FX option volatilities.
|
FxVolatilitySurfaceYearFractionParameterMetadata |
Surface node metadata for a surface node with a specific time to expiry and strike.
|
FxVolatilitySurfaceYearFractionParameterMetadata.Meta |
The meta-bean for
FxVolatilitySurfaceYearFractionParameterMetadata . |
ImpliedTrinomialTreeFxOptionCalibrator |
Utilities to calibrate implied trinomial tree to Black volatilities of FX options.
|
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer |
Pricer for FX barrier option products under implied trinomial tree.
|
ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer |
Pricer for FX barrier option trades under implied trinomial tree.
|
InterpolatedStrikeSmileDeltaTermStructure |
An interpolated term structure of smiles as used in Forex market.
|
InterpolatedStrikeSmileDeltaTermStructure.Meta |
The meta-bean for
InterpolatedStrikeSmileDeltaTermStructure . |
RecombiningTrinomialTreeData |
Recombining trinomial tree data.
|
RecombiningTrinomialTreeData.Meta |
The meta-bean for
RecombiningTrinomialTreeData . |
SmileAndBucketedSensitivities |
Combines information about a volatility smile expressed in delta form and its sensitivities.
|
SmileDeltaParameters |
A delta dependent smile as used in Forex market.
|
SmileDeltaParameters.Meta |
The meta-bean for
SmileDeltaParameters . |
VannaVolgaFxVanillaOptionProductPricer |
Pricing method for vanilla Forex option transactions with Vanna-Volga method.
|
VannaVolgaFxVanillaOptionTradePricer |
Pricer for FX vanilla option trades with a Vanna-Volga method.
|
VolatilityAndBucketedSensitivities |
Combines information about a volatility and its sensitivities.
|
VolatilityAndBucketedSensitivities.Meta |
The meta-bean for
VolatilityAndBucketedSensitivities . |
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.