/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.description.interestrate;
import com.opengamma.analytics.math.differentiation.ValueDerivatives;
/**
* Interface of Black implied volatility for STIR futures with volatility given by a SSVI formula.
*/
public interface BlackStirFuturesSsviPriceProvider extends BlackSTIRFuturesProviderInterface {
/**
* Computes the volatility and its derivative with respect to the inputs.
* @param expiry The option time to expiration.
* @param delay The delay between expiration of the option and last trading date of the underlying futures.
* @param strikePrice The strike price (not the strike rate).
* @param futuresPrice The price of the underlying futures.
* @return The volatility and its derivatives with respect to the inputs. In the {@link ValueDerivatives} object,
* the order of the derivatives are: [0] price, [1] strike, [2] expiry, [3] ATM vol, [4] rho, [5] eta.
*/
ValueDerivatives volatilityAdjoint(double expiry, double delay, double strikePrice, double futuresPrice);
}