Package | Description |
---|---|
com.opengamma.strata.pricer.index |
Calculators for products based on rate indices, such as Short Term Interest Rate futures (STIRs).
|
Modifier and Type | Class and Description |
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class |
NormalIborFutureOptionExpirySimpleMoneynessVolatilities
Data provider of volatility for Ibor future options in the normal or Bachelier model.
|
Modifier and Type | Method and Description |
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NormalIborFutureOptionVolatilities |
NormalIborFutureOptionVolatilities.withParameter(int parameterIndex,
double newValue) |
NormalIborFutureOptionVolatilities |
NormalIborFutureOptionVolatilities.withPerturbation(ParameterPerturbation perturbation) |
Modifier and Type | Method and Description |
---|---|
double |
NormalIborFutureOptionMarginedProductPricer.deltaStickyStrike(ResolvedIborFutureOption futureOption,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities)
Calculates the delta of the Ibor future option product.
|
double |
NormalIborFutureOptionMarginedProductPricer.deltaStickyStrike(ResolvedIborFutureOption futureOption,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities,
double futurePrice)
Calculates the delta of the Ibor future option product
based on the price of the underlying future.
|
CurrencyAmount |
NormalIborFutureOptionMarginedTradePricer.presentValue(ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities,
double lastOptionSettlementPrice)
Calculates the present value of the Ibor future option trade.
|
CurrencyAmount |
NormalIborFutureOptionMarginedTradePricer.presentValue(ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities,
double futurePrice,
double lastOptionSettlementPrice)
Calculates the present value of the Ibor future option trade from the underlying future price.
|
IborFutureOptionSensitivity |
NormalIborFutureOptionMarginedTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedIborFutureOptionTrade futureOptionTrade,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities)
Computes the present value sensitivity to the normal volatility used in the pricing.
|
IborFutureOptionSensitivity |
NormalIborFutureOptionMarginedTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedIborFutureOptionTrade futureOptionTrade,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities,
double futurePrice)
Computes the present value sensitivity to the normal volatility used in the pricing
based on the price of the underlying future.
|
PointSensitivities |
NormalIborFutureOptionMarginedTradePricer.presentValueSensitivityRates(ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities)
Calculates the present value sensitivity of the Ibor future option trade.
|
double |
NormalIborFutureOptionMarginedProductPricer.price(ResolvedIborFutureOption futureOption,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities)
Calculates the price of the Ibor future option product.
|
double |
NormalIborFutureOptionMarginedProductPricer.price(ResolvedIborFutureOption futureOption,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities,
double futurePrice)
Calculates the price of the Ibor future option product
based on the price of the underlying future.
|
double |
NormalIborFutureOptionMarginedTradePricer.price(ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities)
Calculates the price of the Ibor future option trade.
|
IborFutureOptionSensitivity |
NormalIborFutureOptionMarginedProductPricer.priceSensitivityModelParamsVolatility(ResolvedIborFutureOption futureOption,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities)
Calculates the price sensitivity to the normal volatility used for the pricing of the Ibor future option.
|
IborFutureOptionSensitivity |
NormalIborFutureOptionMarginedProductPricer.priceSensitivityModelParamsVolatility(ResolvedIborFutureOption futureOption,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities,
double futurePrice)
Calculates the price sensitivity to the normal volatility used for the pricing of the Ibor future option
based on the price of the underlying future.
|
PointSensitivities |
NormalIborFutureOptionMarginedProductPricer.priceSensitivityRatesStickyStrike(ResolvedIborFutureOption futureOption,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities)
Calculates the price sensitivity of the Ibor future option product based on curves.
|
PointSensitivities |
NormalIborFutureOptionMarginedProductPricer.priceSensitivityRatesStickyStrike(ResolvedIborFutureOption futureOption,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities,
double futurePrice)
Calculates the price sensitivity of the Ibor future option product
based on the price of the underlying future.
|
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.