Class HullWhiteSwaptionPhysicalTradePricer


  • public class HullWhiteSwaptionPhysicalTradePricer
    extends java.lang.Object
    Pricer for swaption with physical settlement in Hull-White one factor model with piecewise constant volatility.

    Reference: Henrard, M. "The Irony in the derivatives discounting Part II: the crisis", Wilmott Journal, 2010, 2, 301-316

    • Constructor Detail

      • HullWhiteSwaptionPhysicalTradePricer

        public HullWhiteSwaptionPhysicalTradePricer()
    • Method Detail

      • currentCash

        public CurrencyAmount currentCash​(ResolvedSwaptionTrade trade,
                                          java.time.LocalDate valuationDate)
        Calculates the current cash of the swaption trade.

        Only the premium is contributing to the current cash for non-cash settle swaptions.

        Parameters:
        trade - the swaption trade
        valuationDate - the valuation date
        Returns:
        the current cash amount
      • presentValueSensitivityRates

        public PointSensitivities presentValueSensitivityRates​(ResolvedSwaptionTrade trade,
                                                               RatesProvider ratesProvider,
                                                               HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
        Calculates the present value sensitivity of the swaption product.

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

        Parameters:
        trade - the swaption trade
        ratesProvider - the rates provider
        hwProvider - the Hull-White model parameter provider
        Returns:
        the point sensitivity to the rate curves
      • presentValueSensitivityModelParamsHullWhite

        public DoubleArray presentValueSensitivityModelParamsHullWhite​(ResolvedSwaptionTrade trade,
                                                                       RatesProvider ratesProvider,
                                                                       HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
        Calculates the present value sensitivity piecewise constant volatility parameters of the Hull-White model.
        Parameters:
        trade - the swaption trade
        ratesProvider - the rates provider
        hwProvider - the Hull-White model parameter provider
        Returns:
        the present value Hull-White model parameter sensitivity of the swaption trade