/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.sesame.bondfutureoption;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.sesame.Environment;
import com.opengamma.sesame.OutputNames;
import com.opengamma.sesame.function.Output;
import com.opengamma.sesame.trade.BondFutureOptionTrade;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.result.Result;
/**
* Bond future option results.
*/
public interface BondFutureOptionFn {
/**
* Calculates the present value of the bond future option.
* @param env the environment, not null.
* @param trade the bond future option trade, not null.
* @return the present value of the bond future option.
*/
@Output(OutputNames.PRESENT_VALUE)
Result<MultipleCurrencyAmount> calculatePV(Environment env, BondFutureOptionTrade trade);
/**
* Calculate the model price of the bond future option.
* @param env the environment, not null.
* @param trade the bond future option trade, not null.
* @return the model price of the bond future option.
*/
@Output(OutputNames.SECURITY_MODEL_PRICE)
Result<Double> calculateSecurityModelPrice(Environment env, BondFutureOptionTrade trade);
/**
* Calculate the delta of the bond future option.
* @param env the environment, not null.
* @param trade the bond future option trade, not null.
* @return the delta of the bond future option.
*/
@Output(OutputNames.DELTA)
Result<Double> calculateDelta(Environment env, BondFutureOptionTrade trade);
/**
* Calculate the gamma of the bond future option.
* @param env the environment, not null.
* @param trade the bond future option trade, not null.
* @return the gamma of the bond future option.
*/
@Output(OutputNames.GAMMA)
Result<Double> calculateGamma(Environment env, BondFutureOptionTrade trade);
/**
* Calculate the vega of the bond future option.
* @param env the environment, not null.
* @param trade the bond future option trade, not null.
* @return the vega of the bond future option.
*/
@Output(OutputNames.VEGA)
Result<Double> calculateVega(Environment env, BondFutureOptionTrade trade);
/**
* Calculate the theta of the bond future option.
* @param env the environment, not null.
* @param trade the bond future option trade, not null.
* @return the theta of the bond future option.
*/
@Output(OutputNames.THETA)
Result<Double> calculateTheta(Environment env, BondFutureOptionTrade trade);
/**
* Calculates the PV01 of the bond future option.
* @param env the environment, not null.
* @param trade the bond future option trade, not null.
* @return the PV01 of the bond future option.
*/
@Output(OutputNames.PV01)
Result<Double> calculatePV01(Environment env, BondFutureOptionTrade trade);
/**
* Calculates the Bucketed PV01 of the bond future option.
* @param env the environment, not null.
* @param trade the bond future option trade, not null.
* @return the Bucketed PV01 of the bond future option.
*/
@Output(OutputNames.BUCKETED_PV01)
Result<MultipleCurrencyParameterSensitivity> calculateBucketedPV01(Environment env, BondFutureOptionTrade trade);
}