Package com.opengamma.strata.pricer.capfloor

Class SabrIborCapletFloorletPeriodPricer

java.lang.Object

com.opengamma.strata.pricer.capfloor.VolatilityIborCapletFloorletPeriodPricer

com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletPeriodPricer

public class SabrIborCapletFloorletPeriodPricer
extends VolatilityIborCapletFloorletPeriodPricer

Pricer for caplet/floorlet in SABR model.

The value of the caplet/floorlet after expiry is a fixed payoff amount. The value is zero if valuation date is after payment date of the caplet/floorlet.

Field Summary

Fields

Modifier and Type	Field	Description
static SabrIborCapletFloorletPeriodPricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
SabrIborCapletFloorletPeriodPricer()

Method Summary

Modifier and Type	Method	Description
PointSensitivityBuilder	presentValueSensitivityModelParamsSabr(IborCapletFloorletPeriod period, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)	Calculates the present value sensitivity to the SABR model parameters of the Ibor caplet/floorlet.
PointSensitivityBuilder	presentValueSensitivityRatesStickyModel(IborCapletFloorletPeriod period, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)	Calculates the present value sensitivity of the Ibor caplet/floorlet to the rate curves.
protected void	validate(IborCapletFloorletVolatilities volatilities)	Validate the volatilities provider.

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

forwardRate, impliedVolatility, presentValue, 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 SabrIborCapletFloorletPeriodPricer DEFAULT

Default implementation.

Constructor Detail

SabrIborCapletFloorletPeriodPricer

public SabrIborCapletFloorletPeriodPricer()

Method Detail

validate

protected void validate(IborCapletFloorletVolatilities volatilities)

Description copied from class: VolatilityIborCapletFloorletPeriodPricer

Validate the volatilities provider.

This validate method should be overridden such that a correct implementation of IborCapletFloorletVolatilities is used for pricing.

Overrides:

validate in class VolatilityIborCapletFloorletPeriodPricer

Parameters:

volatilities - the volatilities

presentValueSensitivityRatesStickyModel

public PointSensitivityBuilder presentValueSensitivityRatesStickyModel(IborCapletFloorletPeriod period,
                                                                       RatesProvider ratesProvider,
                                                                       SabrIborCapletFloorletVolatilities volatilities)

Calculates the present value sensitivity of the Ibor caplet/floorlet 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:

period - the Ibor caplet/floorlet period

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the point sensitivity to the rate curves

presentValueSensitivityModelParamsSabr

public PointSensitivityBuilder presentValueSensitivityModelParamsSabr(IborCapletFloorletPeriod period,
                                                                      RatesProvider ratesProvider,
                                                                      SabrIborCapletFloorletVolatilities volatilities)

Calculates the present value sensitivity to the SABR model parameters of the Ibor caplet/floorlet.

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

Parameters:

period - the Ibor caplet/floorlet period

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the point sensitivity to the SABR model parameters