Class VolatilityIborCapFloorProductPricer

    • Method Detail

      • getPayLegPricer

        protected DiscountingSwapLegPricer getPayLegPricer()
        Gets the pay leg pricer.
        Returns:
        the pay leg pricer
      • presentValue

        public MultiCurrencyAmount presentValue​(ResolvedIborCapFloor capFloor,
                                                RatesProvider ratesProvider,
                                                IborCapletFloorletVolatilities volatilities)
        Calculates the present value of the Ibor cap/floor product.

        The present value of the product is the value on the valuation date.

        The cap/floor leg and pay leg are typically in the same currency, thus the present value gamma is expressed as a single currency amount in most cases.

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

        public MultiCurrencyAmount presentValueDelta​(ResolvedIborCapFloor capFloor,
                                                     RatesProvider ratesProvider,
                                                     IborCapletFloorletVolatilities volatilities)
        Calculates the present value delta of the Ibor cap/floor product.

        The present value of the product is the sensitivity value on the valuation date.

        The cap/floor leg and pay leg are typically in the same currency, thus the present value gamma is expressed as a single currency amount in most cases.

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

        public MultiCurrencyAmount presentValueGamma​(ResolvedIborCapFloor capFloor,
                                                     RatesProvider ratesProvider,
                                                     IborCapletFloorletVolatilities volatilities)
        Calculates the present value gamma of the Ibor cap/floor product.

        The present value of the product is the sensitivity value on the valuation date.

        The cap/floor leg and pay leg are typically in the same currency, thus the present value gamma is expressed as a single currency amount in most cases.

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

        public MultiCurrencyAmount presentValueTheta​(ResolvedIborCapFloor capFloor,
                                                     RatesProvider ratesProvider,
                                                     IborCapletFloorletVolatilities volatilities)
        Calculates the present value theta of the Ibor cap/floor product.

        The present value of the product is the sensitivity value on the valuation date.

        The cap/floor leg and pay leg are typically in the same currency, thus the present value gamma is expressed as a single currency amount in most cases.

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

        public PointSensitivityBuilder presentValueSensitivityRates​(ResolvedIborCapFloor capFloor,
                                                                    RatesProvider ratesProvider,
                                                                    IborCapletFloorletVolatilities volatilities)
        Calculates the present value rates sensitivity of the Ibor cap/floor product.

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

        Parameters:
        capFloor - the Ibor cap/floor product
        ratesProvider - the rates provider
        volatilities - the volatilities
        Returns:
        the present value sensitivity
      • presentValueSensitivityModelParamsVolatility

        public PointSensitivityBuilder presentValueSensitivityModelParamsVolatility​(ResolvedIborCapFloor capFloor,
                                                                                    RatesProvider ratesProvider,
                                                                                    IborCapletFloorletVolatilities volatilities)
        Calculates the present value volatility sensitivity of the Ibor cap/floor product.

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

        Parameters:
        capFloor - the Ibor cap/floor product
        ratesProvider - the rates provider
        volatilities - the volatilities
        Returns:
        the present value sensitivity