Package com.opengamma.strata.pricer.capfloor

Class VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer

java.lang.Object

com.opengamma.strata.pricer.capfloor.VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer

public class VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer
extends Object

Pricer for binary caplet/floorlet based on volatilities.

The pricing methodologies is based on 'call spread' approach.

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 VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer(SabrOvernightInArrearsCapletFloorletPeriodPricer capletPricer, double spread)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
CurrencyAmount	presentValue(OvernightInArrearsCapletFloorletBinaryPeriod period, RatesProvider ratesProvider, SabrParametersIborCapletFloorletVolatilities sabrVolatilities)	Calculates the present value of the binary caplet/floorlet period.
PointSensitivityBuilder	presentValueSensitivityModelParamsSabr(OvernightInArrearsCapletFloorletBinaryPeriod period, RatesProvider ratesProvider, SabrParametersIborCapletFloorletVolatilities sabrVolatilities)	Calculates the present value sensitivity to model parameters of the binary caplet/floorlet period.
PointSensitivityBuilder	presentValueSensitivityRatesStickyModel(OvernightInArrearsCapletFloorletBinaryPeriod period, RatesProvider ratesProvider, SabrParametersIborCapletFloorletVolatilities sabrVolatilities)	Calculates the present value rates sensitivity of the binary caplet/floorlet period.
Pair<OvernightInArrearsCapletFloorletPeriod,OvernightInArrearsCapletFloorletPeriod>	vanillaOptionVerticalSpreadPair(OvernightInArrearsCapletFloorletBinaryPeriod binary)	Creates pair of vanilla caplet for binary caplet/floorlet pricing by call spread.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer DEFAULT

Default implementation.

Constructor Detail

VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer

public VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer(SabrOvernightInArrearsCapletFloorletPeriodPricer capletPricer,
                                                                            double spread)

Creates an instance.

Parameters:

capletPricer - the pricer for OvernightInArrearsCapletFloorletPeriod

spread - the spread between the approximating options strikes

Method Detail

presentValue

public CurrencyAmount presentValue(OvernightInArrearsCapletFloorletBinaryPeriod period,
                                   RatesProvider ratesProvider,
                                   SabrParametersIborCapletFloorletVolatilities sabrVolatilities)

Calculates the present value of the binary caplet/floorlet period.

Parameters:

period - the Ibor caplet/floorlet period

ratesProvider - the rates provider

sabrVolatilities - the SABR parameters

Returns:

the present value

presentValueSensitivityRatesStickyModel

public PointSensitivityBuilder presentValueSensitivityRatesStickyModel(OvernightInArrearsCapletFloorletBinaryPeriod period,
                                                                       RatesProvider ratesProvider,
                                                                       SabrParametersIborCapletFloorletVolatilities sabrVolatilities)

Calculates the present value rates sensitivity of the binary caplet/floorlet period.

The present value rates sensitivity of the caplet/floorlet is the sensitivity of the present value to the underlying curves.

Parameters:

period - the Ibor caplet/floorlet period

ratesProvider - the rates provider

sabrVolatilities - the SABR parameters

Returns:

the present value curve sensitivity

presentValueSensitivityModelParamsSabr

public PointSensitivityBuilder presentValueSensitivityModelParamsSabr(OvernightInArrearsCapletFloorletBinaryPeriod period,
                                                                      RatesProvider ratesProvider,
                                                                      SabrParametersIborCapletFloorletVolatilities sabrVolatilities)

Calculates the present value sensitivity to model parameters of the binary caplet/floorlet period.

The present value rates sensitivity of the caplet/floorlet is the sensitivity of the present value to the underlying curves.

Parameters:

period - the Ibor caplet/floorlet period

ratesProvider - the rates provider

sabrVolatilities - the SABR parameters

Returns:

the present value curve sensitivity

vanillaOptionVerticalSpreadPair

public Pair<OvernightInArrearsCapletFloorletPeriod,OvernightInArrearsCapletFloorletPeriod> vanillaOptionVerticalSpreadPair(OvernightInArrearsCapletFloorletBinaryPeriod binary)

Creates pair of vanilla caplet for binary caplet/floorlet pricing by call spread.

Parameters:

binary - the binary caplet/floorlet

Returns:

the call spread