Class SabrExtrapolationReplicationCmsProductPricer


  • public class SabrExtrapolationReplicationCmsProductPricer
    extends java.lang.Object
    Pricer for CMS products by swaption replication on a SABR formula with extrapolation.

    This function provides the ability to price ResolvedCms.

    • Method Detail

      • presentValue

        public MultiCurrencyAmount presentValue​(ResolvedCms cms,
                                                RatesProvider ratesProvider,
                                                SabrSwaptionVolatilities swaptionVolatilities)
        Calculates the present value of the CMS product.

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

        CMS leg and pay leg are typically in the same currency. Thus the present value is expressed as a single currency amount in most cases.

        Parameters:
        cms - the CMS product
        ratesProvider - the rates provider
        swaptionVolatilities - the swaption volatilities
        Returns:
        the present value
      • explainPresentValue

        public ExplainMap explainPresentValue​(ResolvedCms cms,
                                              RatesProvider ratesProvider,
                                              SabrSwaptionVolatilities swaptionVolatilities)
        Explains the present value of the CMS product.

        This returns explanatory information about the calculation.

        Parameters:
        cms - the CMS product
        ratesProvider - the rates provider
        swaptionVolatilities - the swaption volatilities
        Returns:
        the explain PV map
      • presentValueSensitivityRates

        public PointSensitivityBuilder presentValueSensitivityRates​(ResolvedCms cms,
                                                                    RatesProvider ratesProvider,
                                                                    SabrSwaptionVolatilities swaptionVolatilities)
        Calculates the present value curve sensitivity of the CMS product.

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

        Parameters:
        cms - the CMS product
        ratesProvider - the rates provider
        swaptionVolatilities - the swaption volatilities
        Returns:
        the present value sensitivity
      • presentValueSensitivityModelParamsSabr

        public PointSensitivityBuilder presentValueSensitivityModelParamsSabr​(ResolvedCms cms,
                                                                              RatesProvider ratesProvider,
                                                                              SabrSwaptionVolatilities swaptionVolatilities)
        Calculates the present value sensitivity to the SABR model parameters.

        The present value sensitivity of the product is the sensitivity of the present value to the SABR model parameters, alpha, beta, rho and nu.

        Parameters:
        cms - the CMS product
        ratesProvider - the rates provider
        swaptionVolatilities - the swaption volatilities
        Returns:
        the present value sensitivity
      • presentValueSensitivityStrike

        public double presentValueSensitivityStrike​(ResolvedCms cms,
                                                    RatesProvider ratesProvider,
                                                    SabrSwaptionVolatilities swaptionVolatilities)
        Calculates the present value sensitivity to the strike value.

        The present value sensitivity of the product is the sensitivity of the present value to the strike value. This is not relevant for CMS coupons and an exception is thrown in the underlying pricer.

        Parameters:
        cms - the CMS product
        ratesProvider - the rates provider
        swaptionVolatilities - the swaption volatilities
        Returns:
        the present value sensitivity
      • currencyExposure

        public MultiCurrencyAmount currencyExposure​(ResolvedCms cms,
                                                    RatesProvider ratesProvider,
                                                    SabrSwaptionVolatilities swaptionVolatilities)
        Calculates the currency exposure of the product.
        Parameters:
        cms - the CMS product
        ratesProvider - the rates provider
        swaptionVolatilities - the swaption volatilities
        Returns:
        the currency exposure
      • currentCash

        public MultiCurrencyAmount currentCash​(ResolvedCms cms,
                                               RatesProvider ratesProvider,
                                               SabrSwaptionVolatilities swaptionVolatilities)
        Calculates the current cash of the product.
        Parameters:
        cms - the CMS product
        ratesProvider - the rates provider
        swaptionVolatilities - the swaption volatilities
        Returns:
        the current cash