Package com.opengamma.strata.pricer.capfloor

Class SabrIborCapFloorLegPricer

java.lang.Object

com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorLegPricer

com.opengamma.strata.pricer.capfloor.SabrIborCapFloorLegPricer

public class SabrIborCapFloorLegPricer
extends VolatilityIborCapFloorLegPricer

Pricer for cap/floor legs in SABR model.

Field Summary

Fields

Modifier and Type	Field	Description
static SabrIborCapFloorLegPricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
SabrIborCapFloorLegPricer(SabrIborCapletFloorletPeriodPricer periodPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
PointSensitivityBuilder	presentValueSensitivityModelParamsSabr(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)	Calculates the present value sensitivity to the SABR model parameters of the Ibor cap/floor.
PointSensitivityBuilder	presentValueSensitivityRatesStickyModel(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)	Calculates the present value sensitivity of the Ibor cap/floor leg to the rate curves.

Methods inherited from class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorLegPricer

currentCash, forwardRates, getPeriodPricer, impliedVolatilities, presentValue, presentValueCapletFloorletPeriods, presentValueDelta, presentValueGamma, presentValueSensitivityModelParamsVolatility, presentValueSensitivityRates, presentValueTheta, validate

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final SabrIborCapFloorLegPricer DEFAULT

Default implementation.

Constructor Detail

SabrIborCapFloorLegPricer

public SabrIborCapFloorLegPricer(SabrIborCapletFloorletPeriodPricer periodPricer)

Creates an instance.

Parameters:

periodPricer - the pricer for IborCapletFloorletPeriod.

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