Package com.opengamma.strata.pricer.capfloor

Class SabrIborCapFloorProductPricer

java.lang.Object

com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorProductPricer

com.opengamma.strata.pricer.capfloor.SabrIborCapFloorProductPricer

public class SabrIborCapFloorProductPricer
extends VolatilityIborCapFloorProductPricer

Pricer for cap/floor products in SABR model.

Field Summary

Fields

Modifier and Type	Field	Description
static SabrIborCapFloorProductPricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
SabrIborCapFloorProductPricer(SabrIborCapFloorLegPricer capFloorLegPricer, DiscountingSwapLegPricer payLegPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
PointSensitivityBuilder	presentValueSensitivityModelParamsSabr(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)	Calculates the present value volatility sensitivity of the Ibor cap/floor product.
PointSensitivityBuilder	presentValueSensitivityRatesStickyModel(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)	Calculates the present value rates sensitivity of the Ibor cap/floor product.

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

currencyExposure, currentCash, forwardRates, getPayLegPricer, impliedVolatilities, presentValue, presentValueCapletFloorletPeriods, presentValueDelta, presentValueGamma, presentValueSensitivityModelParamsVolatility, presentValueSensitivityRates, presentValueTheta

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final SabrIborCapFloorProductPricer DEFAULT

Default implementation.

Constructor Detail

SabrIborCapFloorProductPricer

public SabrIborCapFloorProductPricer(SabrIborCapFloorLegPricer capFloorLegPricer,
                                     DiscountingSwapLegPricer payLegPricer)

Creates an instance.

Parameters:

capFloorLegPricer - the pricer for IborCapFloorLeg

payLegPricer - the pricer for SwapLeg

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