Class SabrIborCapFloorLegPricer

    • Method Detail

      • presentValueSensitivityRatesStickyModel

        public PointSensitivityBuilder presentValueSensitivityRatesStickyModel​(ResolvedIborCapFloorLeg capFloorLeg,
                                                                               RatesProvider ratesProvider,
                                                                               SabrIborCapletFloorletVolatilities volatilities)
        Calculates the present value sensitivity of the Ibor cap/floor leg 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:
        capFloorLeg - the Ibor cap/floor leg
        ratesProvider - the rates provider
        volatilities - the volatilities
        Returns:
        the point sensitivity to the rate curves
      • presentValueSensitivityModelParamsSabr

        public PointSensitivityBuilder presentValueSensitivityModelParamsSabr​(ResolvedIborCapFloorLeg capFloorLeg,
                                                                              RatesProvider ratesProvider,
                                                                              SabrIborCapletFloorletVolatilities volatilities)
        Calculates the present value sensitivity to the SABR model parameters of the Ibor cap/floor.

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

        Parameters:
        capFloorLeg - the Ibor cap/floor
        ratesProvider - the rates provider
        volatilities - the volatilities
        Returns:
        the point sensitivity to the SABR model parameters