Class SabrExtrapolationReplicationCmsTradePricer


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

    This function provides the ability to price ResolvedCmsTrade.

    • Method Detail

      • presentValue

        public MultiCurrencyAmount presentValue​(ResolvedCmsTrade trade,
                                                RatesProvider ratesProvider,
                                                SabrSwaptionVolatilities swaptionVolatilities)
        Calculates the present value of the CMS trade.

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

        Parameters:
        trade - the CMS trade
        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 trade.

        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 PointSensitivities presentValueSensitivityRates​(ResolvedCmsTrade trade,
                                                               RatesProvider ratesProvider,
                                                               SabrSwaptionVolatilities swaptionVolatilities)
        Calculates the present value curve sensitivity of the CMS trade.

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

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

        public PointSensitivities presentValueSensitivityModelParamsSabr​(ResolvedCmsTrade trade,
                                                                         RatesProvider ratesProvider,
                                                                         SabrSwaptionVolatilities swaptionVolatilities)
        Calculates the present value sensitivity to the SABR model parameters.

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

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

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

        The present value sensitivity of the trade is the sensitivity of the present value to the strike value.

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

        public MultiCurrencyAmount currencyExposure​(ResolvedCmsTrade trade,
                                                    RatesProvider ratesProvider,
                                                    SabrSwaptionVolatilities swaptionVolatilities)
        Calculates the currency exposure of the trade.
        Parameters:
        trade - the CMS trade
        ratesProvider - the rates provider
        swaptionVolatilities - the swaption volatilities
        Returns:
        the currency exposure