/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model;
/**
* Contains property names and values that are used to label calculations.
*/
public final class CalculationPropertyNamesAndValues {
/** Property name for the model type */
public static final String PROPERTY_MODEL_TYPE = "ModelType";
// Values for ValuePropertyNames.CALCULATION_METHOD
/** Black calculations */
public static final String BLACK_METHOD = "BlackMethod";
/** Black model without an entire Volatility Surface, hence no smile */
public static final String BLACK_BASIC_METHOD = "BlackBasicMethod";
/** Black model without an entire Volatility Surface. Implies volatility from listed option security's market value */
public static final String BLACK_LISTED_METHOD = "BlackListedMethod";
/** The Barone-Adesi Whaley approximation for American options */
public static final String BAW_METHOD = "BaroneAdesiWhaleyMethod";
/** The Bjerksund-Stensland approximation for American options, from a vol surface */
public static final String BJERKSUND_STENSLAND_METHOD = "BjerksundStenslandMethod";
/** The Bjerksund-Stensland approximation for American options, when option's market price is available */
public static final String BJERKSUND_STENSLAND_LISTED_METHOD = "BjerksundStenslandListedMethod";
/** The Roll-Geske-Whaley model for American call options with discrete dividends, when option's market price is available */
public static final String ROLL_GESKE_WHALEY_LISTED_METHOD = "RollGeskeWhaleyListedMethod";
/** The so-called PDE method computes prices for American and European options under the BlackScholesMerton model*/
public static final String PDE_METHOD = "PDE";
/** Pricing from marked / listed price */
public static final String MARK_TO_MARKET_METHOD = "MarkToMarket";
/** Pricing cash-flow instruments using discounting */
public static final String DISCOUNTING = "Discounting";
/** Pricing FX forwards using a forward points curve */
public static final String FORWARD_POINTS = "ForwardPoints";
/** The name of the Black call spread calculation method */
public static final String CALL_SPREAD_BLACK_METHOD = "CallSpreadBlackMethod";
//Values for PROPERTY_MODEL_TYPE
/** Analytic */
public static final String ANALYTIC = "Analytic";
/** PDE */
public static final String PDE = "PDE";
// FX option-specific properties
/** The name of the property that sets the value of the call spread */
public static final String PROPERTY_CALL_SPREAD_VALUE = "CallSpreadValue";
/** The name of the property that sets whether FX option greeks are in terms of the direct or indirect quote */
public static final String PROPERTY_DIRECT_QUOTE = "DirectQuote";
// Properties for greeks
/** The name of the property that sets the number of days per financial year */
public static final String PROPERTY_DAYS_PER_YEAR = "DaysInYear";
// Properties for bond pricing
/** The property value indicating that bond analytics are produced from the clean price */
public static final String CLEAN_PRICE_METHOD = "CleanPrice";
/** The property value indicating that bond analytics are produced from the yield */
public static final String YIELD_METHOD = "Yield";
/** The property value indicating that bond analytics are produced from curves */
public static final String CURVES_METHOD = "Curves";
// Properties for variance and volatility swap pricing
/** The name of the property that determines how realized variance is calculated */
public static final String PROPERTY_REALIZED_VARIANCE_METHOD = "RealizedVarianceMethod";
/** The property value indicating that the realized variance is supplied as market data */
public static final String MARKET_REALIZED_VARIANCE = "MarketRealizedVariance";
/**
* The property value indicating that the realized variance is calculated from a
* historical time series.
*/
public static final String HISTORICAL_REALIZED_VARIANCE = "HistoricalRealizedVariance";
/** The historical realized variance start date */
public static final String HISTORICAL_VARIANCE_START = "HistoricalVarianceStartDate";
/** The historical realized variance end date */
public static final String HISTORICAL_VARIANCE_END = "HistoricalVarianceEndDate";
/**
* Private constructor.
*/
private CalculationPropertyNamesAndValues() {
}
}