Class VolatilityIborCapFloorLegPricer

    • Method Detail

      • presentValue

        public CurrencyAmount presentValue​(ResolvedIborCapFloorLeg capFloorLeg,
                                           RatesProvider ratesProvider,
                                           IborCapletFloorletVolatilities volatilities)
        Calculates the present value of the Ibor cap/floor leg.

        The present value of the leg is the value on the valuation date. The result is returned using the payment currency of the leg.

        Parameters:
        capFloorLeg - the Ibor cap/floor leg
        ratesProvider - the rates provider
        volatilities - the volatilities
        Returns:
        the present value
      • presentValueDelta

        public CurrencyAmount presentValueDelta​(ResolvedIborCapFloorLeg capFloorLeg,
                                                RatesProvider ratesProvider,
                                                IborCapletFloorletVolatilities volatilities)
        Calculates the present value delta of the Ibor cap/floor leg.

        The present value delta of the leg is the sensitivity value on the valuation date. The result is returned using the payment currency of the leg.

        Parameters:
        capFloorLeg - the Ibor cap/floor leg
        ratesProvider - the rates provider
        volatilities - the volatilities
        Returns:
        the present value delta
      • presentValueGamma

        public CurrencyAmount presentValueGamma​(ResolvedIborCapFloorLeg capFloorLeg,
                                                RatesProvider ratesProvider,
                                                IborCapletFloorletVolatilities volatilities)
        Calculates the present value gamma of the Ibor cap/floor leg.

        The present value gamma of the leg is the sensitivity value on the valuation date. The result is returned using the payment currency of the leg.

        Parameters:
        capFloorLeg - the Ibor cap/floor leg
        ratesProvider - the rates provider
        volatilities - the volatilities
        Returns:
        the present value gamma
      • presentValueTheta

        public CurrencyAmount presentValueTheta​(ResolvedIborCapFloorLeg capFloorLeg,
                                                RatesProvider ratesProvider,
                                                IborCapletFloorletVolatilities volatilities)
        Calculates the present value theta of the Ibor cap/floor leg.

        The present value theta of the leg is the sensitivity value on the valuation date. The result is returned using the payment currency of the leg.

        Parameters:
        capFloorLeg - the Ibor cap/floor leg
        ratesProvider - the rates provider
        volatilities - the volatilities
        Returns:
        the present value theta
      • presentValueSensitivityRates

        public PointSensitivityBuilder presentValueSensitivityRates​(ResolvedIborCapFloorLeg capFloorLeg,
                                                                    RatesProvider ratesProvider,
                                                                    IborCapletFloorletVolatilities volatilities)
        Calculates the present value rates sensitivity of the Ibor cap/floor leg.

        The present value rates sensitivity of the leg is the sensitivity of the present value to the underlying curves.

        Parameters:
        capFloorLeg - the Ibor cap/floor leg
        ratesProvider - the rates provider
        volatilities - the volatilities
        Returns:
        the present value curve sensitivity
      • presentValueSensitivityModelParamsVolatility

        public PointSensitivityBuilder presentValueSensitivityModelParamsVolatility​(ResolvedIborCapFloorLeg capFloorLeg,
                                                                                    RatesProvider ratesProvider,
                                                                                    IborCapletFloorletVolatilities volatilities)
        Calculates the present value volatility sensitivity of the Ibor cap/floor leg.

        The present value volatility sensitivity of the leg is the sensitivity of the present value to the volatility values.

        Parameters:
        capFloorLeg - the Ibor cap/floor leg
        ratesProvider - the rates provider
        volatilities - the volatilities
        Returns:
        the present value volatility sensitivity