Package com.opengamma.strata.pricer.capfloor

Class SabrOvernightInArrearsCapletFloorletPeriodPricer

java.lang.Object

com.opengamma.strata.pricer.capfloor.SabrOvernightInArrearsCapletFloorletPeriodPricer

public class SabrOvernightInArrearsCapletFloorletPeriodPricer
extends Object

Pricer for in-arrears caplets and floorlets (Asian style options) in the SABR with effective parameters approach.

Field Summary

Fields

Modifier and Type	Field	Description
static SabrOvernightInArrearsCapletFloorletPeriodPricer	DEFAULT	Default implementation.

Method Summary

Modifier and Type	Method	Description
static SabrOvernightInArrearsCapletFloorletPeriodPricer	of(SabrInArrearsVolatilityFunction sabrInarrearsFunction)	Creates an instance.
CurrencyAmount	presentValue(OvernightInArrearsCapletFloorletPeriod period, RatesProvider ratesProvider, SabrParametersIborCapletFloorletVolatilities sabrVolatilities)	Computes the present value in the SABR model with effective parameters.
PointSensitivityBuilder	presentValueSensitivityModelParamsSabr(OvernightInArrearsCapletFloorletPeriod period, RatesProvider ratesProvider, SabrParametersIborCapletFloorletVolatilities sabrVolatilities)	Computes the present value sensitivity to the SABR model parameters.
PointSensitivityBuilder	presentValueSensitivityRatesStickyModel(OvernightInArrearsCapletFloorletPeriod period, RatesProvider ratesProvider, SabrParametersIborCapletFloorletVolatilities sabrVolatilities)	Computes the present value sensitivity to the rate with "sticky SABR model parameters".

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final SabrOvernightInArrearsCapletFloorletPeriodPricer DEFAULT

Default implementation.

Method Detail

of

public static SabrOvernightInArrearsCapletFloorletPeriodPricer of(SabrInArrearsVolatilityFunction sabrInarrearsFunction)

Creates an instance.

Parameters:

sabrInarrearsFunction - the function for Asian in-arrears effective parameters

Returns:

the instance

presentValue

public CurrencyAmount presentValue(OvernightInArrearsCapletFloorletPeriod period,
                                   RatesProvider ratesProvider,
                                   SabrParametersIborCapletFloorletVolatilities sabrVolatilities)

Computes the present value in the SABR model with effective parameters.

Parameters:

period - the caplet/floorlet period

ratesProvider - the rates provider

sabrVolatilities - the SABR volatilities

Returns:

the present value

presentValueSensitivityRatesStickyModel

public PointSensitivityBuilder presentValueSensitivityRatesStickyModel(OvernightInArrearsCapletFloorletPeriod period,
                                                                       RatesProvider ratesProvider,
                                                                       SabrParametersIborCapletFloorletVolatilities sabrVolatilities)

Computes the present value sensitivity to the rate with "sticky SABR model parameters".

Parameters:

period - the caplet/floorlet period

ratesProvider - the rates provider

sabrVolatilities - the SABR volatilities

Returns:

the present value rate sensitivity

presentValueSensitivityModelParamsSabr

public PointSensitivityBuilder presentValueSensitivityModelParamsSabr(OvernightInArrearsCapletFloorletPeriod period,
                                                                      RatesProvider ratesProvider,
                                                                      SabrParametersIborCapletFloorletVolatilities sabrVolatilities)

Computes the present value sensitivity to the SABR model parameters.

Parameters:

period - the caplet/floorlet period

ratesProvider - the rates provider

sabrVolatilities - the SABR volatilities

Returns:

the present value model parameters sensitivity