Class SabrIborCapFloorProductPricer

    • Method Detail

      • presentValueSensitivityRatesStickyModel

        public PointSensitivityBuilder presentValueSensitivityRatesStickyModel​(ResolvedIborCapFloor capFloor,
                                                                               RatesProvider ratesProvider,
                                                                               SabrIborCapletFloorletVolatilities volatilities)
        Calculates the present value rates sensitivity of the Ibor cap/floor product.

        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:
        capFloor - the Ibor cap/floor product
        ratesProvider - the rates provider
        volatilities - the volatilities
        Returns:
        the present value sensitivity
      • presentValueSensitivityModelParamsSabr

        public PointSensitivityBuilder presentValueSensitivityModelParamsSabr​(ResolvedIborCapFloor capFloor,
                                                                              RatesProvider ratesProvider,
                                                                              SabrIborCapletFloorletVolatilities volatilities)
        Calculates the present value volatility sensitivity of the Ibor cap/floor product.

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

        Parameters:
        capFloor - the Ibor cap/floor product
        ratesProvider - the rates provider
        volatilities - the volatilities
        Returns:
        the present value sensitivity