Class SabrSwaptionPhysicalProductPricer


  • public class SabrSwaptionPhysicalProductPricer
    extends VolatilitySwaptionPhysicalProductPricer
    Pricer for swaption with physical settlement in SABR model on the swap rate.

    The swap underlying the swaption must have a fixed leg on which the forward rate is computed. The underlying swap must be single currency.

    The volatility parameters are not adjusted for the underlying swap convention. The volatilities from the provider are taken as such.

    The value of the swaption after expiry is 0. For a swaption which already expired, negative number is returned by the method, SwaptionVolatilities.relativeTime(ZonedDateTime).

    • Constructor Detail

      • SabrSwaptionPhysicalProductPricer

        public SabrSwaptionPhysicalProductPricer​(DiscountingSwapProductPricer swapPricer)
        Creates an instance.
        Parameters:
        swapPricer - the pricer for Swap
    • Method Detail

      • presentValueSensitivityRatesStickyModel

        public PointSensitivityBuilder presentValueSensitivityRatesStickyModel​(ResolvedSwaption swaption,
                                                                               RatesProvider ratesProvider,
                                                                               SabrSwaptionVolatilities swaptionVolatilities)
        Calculates the present value sensitivity of the swaption product to the rate curves.

        The present value sensitivity is computed in a "sticky model parameter" style, i.e. the sensitivity to the curve nodes with the SABR model parameters unchanged. This sensitivity does not include a potential re-calibration of the model parameters to the raw market data.

        Parameters:
        swaption - the swaption product
        ratesProvider - the rates provider
        swaptionVolatilities - the volatilities
        Returns:
        the point sensitivity to the rate curves
      • presentValueSensitivityModelParamsSabr

        public PointSensitivityBuilder presentValueSensitivityModelParamsSabr​(ResolvedSwaption swaption,
                                                                              RatesProvider ratesProvider,
                                                                              SabrSwaptionVolatilities swaptionVolatilities)
        Calculates the present value sensitivity to the SABR model parameters of the swaption product.

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

        Parameters:
        swaption - the swaption product
        ratesProvider - the rates provider
        swaptionVolatilities - the volatilities
        Returns:
        the point sensitivity to the SABR model parameters