Class VolatilityIborCapFloorTradePricer

    • Method Detail

      • getPaymentPricer

        protected DiscountingPaymentPricer getPaymentPricer()
        Gets the payment pricer.
        Returns:
        the payment pricer
      • presentValue

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

        The present value of the trade 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:
        trade - the Ibor cap/floor trade
        ratesProvider - the rates provider
        volatilities - the volatilities
        Returns:
        the present value
      • presentValueSensitivityRates

        public PointSensitivities presentValueSensitivityRates​(ResolvedIborCapFloorTrade trade,
                                                               RatesProvider ratesProvider,
                                                               IborCapletFloorletVolatilities volatilities)
        Calculates the present value rates sensitivity of the Ibor cap/floor trade.

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

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

        public PointSensitivityBuilder presentValueSensitivityModelParamsVolatility​(ResolvedIborCapFloorTrade trade,
                                                                                    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:
        trade - the Ibor cap/floor trade
        ratesProvider - the rates provider
        volatilities - the volatilities
        Returns:
        the present value sensitivity