Package com.opengamma.strata.pricer.capfloor

Class SabrIborCapFloorTradePricer

java.lang.Object

com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorTradePricer

com.opengamma.strata.pricer.capfloor.SabrIborCapFloorTradePricer

public class SabrIborCapFloorTradePricer
extends VolatilityIborCapFloorTradePricer

Pricer for cap/floor trades in SABR model.

Field Summary

Fields

Modifier and Type	Field	Description
static SabrIborCapFloorTradePricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
SabrIborCapFloorTradePricer(SabrIborCapFloorProductPricer productPricer, DiscountingPaymentPricer paymentPricer)	Creates an instance.

Method Summary

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

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

currencyExposure, currentCash, forwardRates, getPaymentPricer, impliedVolatilities, presentValue, presentValueCapletFloorletPeriods, presentValueSensitivityModelParamsVolatility, presentValueSensitivityRates

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final SabrIborCapFloorTradePricer DEFAULT

Default implementation.

Constructor Detail

SabrIborCapFloorTradePricer

public SabrIborCapFloorTradePricer(SabrIborCapFloorProductPricer productPricer,
                                   DiscountingPaymentPricer paymentPricer)

Creates an instance.

Parameters:

productPricer - the pricer for ResolvedIborCapFloor

paymentPricer - the pricer for Payment

Method Detail

presentValueSensitivityRatesStickyModel

public PointSensitivities presentValueSensitivityRatesStickyModel(ResolvedIborCapFloorTrade trade,
                                                                  RatesProvider ratesProvider,
                                                                  SabrIborCapletFloorletVolatilities volatilities)

Calculates the present value rates sensitivity of the Ibor cap/floor trade.

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:

trade - the Ibor cap/floor trade

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value sensitivity

presentValueSensitivityModelParamsSabr

public PointSensitivityBuilder presentValueSensitivityModelParamsSabr(ResolvedIborCapFloorTrade trade,
                                                                      RatesProvider ratesProvider,
                                                                      SabrIborCapletFloorletVolatilities volatilities)

Calculates the present value volatility sensitivity of the Ibor cap/floor trade.

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

Parameters:

trade - the Ibor cap/floor trade

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value sensitivity