Package com.opengamma.strata.pricer.capfloor

Class VolatilityIborCapFloorLegPricer

java.lang.Object

com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorLegPricer

Direct Known Subclasses:

BlackIborCapFloorLegPricer, NormalIborCapFloorLegPricer, SabrIborCapFloorLegPricer

public class VolatilityIborCapFloorLegPricer
extends Object

Pricer for cap/floor legs based on volatilities.

This function provides the ability to price ResolvedIborCapFloorLeg. One must apply expand() in order to price IborCapFloorLeg.

The pricing methodologies are defined in individual implementations of the volatilities, IborCapletFloorletVolatilities.

Field Summary

Fields

Modifier and Type	Field	Description
static VolatilityIborCapFloorLegPricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
VolatilityIborCapFloorLegPricer(VolatilityIborCapletFloorletPeriodPricer periodPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
CurrencyAmount	currentCash(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates the current cash of the Ibor cap/floor leg.
IborCapletFloorletPeriodAmounts	forwardRates(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider)	Calculates the forward rates for each caplet/floorlet of the Ibor cap/floor leg.
VolatilityIborCapletFloorletPeriodPricer	getPeriodPricer()	Obtains the underlying period pricer.
IborCapletFloorletPeriodAmounts	impliedVolatilities(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates the implied volatilities for each caplet/floorlet of the Ibor cap/floor leg.
CurrencyAmount	presentValue(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates the present value of the Ibor cap/floor leg.
IborCapletFloorletPeriodCurrencyAmounts	presentValueCapletFloorletPeriods(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates the present value for each caplet/floorlet of the Ibor cap/floor leg.
CurrencyAmount	presentValueDelta(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates the present value delta of the Ibor cap/floor leg.
CurrencyAmount	presentValueGamma(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates the present value gamma of the Ibor cap/floor leg.
PointSensitivityBuilder	presentValueSensitivityModelParamsVolatility(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates the present value volatility sensitivity of the Ibor cap/floor leg.
PointSensitivityBuilder	presentValueSensitivityRates(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates the present value rates sensitivity of the Ibor cap/floor leg.
CurrencyAmount	presentValueTheta(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates the present value theta of the Ibor cap/floor leg.
protected void	validate(RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final VolatilityIborCapFloorLegPricer DEFAULT

Default implementation.

Constructor Detail

VolatilityIborCapFloorLegPricer

public VolatilityIborCapFloorLegPricer(VolatilityIborCapletFloorletPeriodPricer periodPricer)

Creates an instance.

Parameters:

periodPricer - the pricer for IborCapletFloorletPeriod.

Method Detail

getPeriodPricer

public VolatilityIborCapletFloorletPeriodPricer getPeriodPricer()

Obtains the underlying period pricer.

Returns:

the period pricer

presentValue

public CurrencyAmount presentValue(ResolvedIborCapFloorLeg capFloorLeg,
                                   RatesProvider ratesProvider,
                                   IborCapletFloorletVolatilities volatilities)

Calculates the present value of the Ibor cap/floor leg.

The present value of the leg is the value on the valuation date. The result is returned using the payment currency of the leg.

Parameters:

capFloorLeg - the Ibor cap/floor leg

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value

presentValueCapletFloorletPeriods

public IborCapletFloorletPeriodCurrencyAmounts presentValueCapletFloorletPeriods(ResolvedIborCapFloorLeg capFloorLeg,
                                                                                 RatesProvider ratesProvider,
                                                                                 IborCapletFloorletVolatilities volatilities)

Calculates the present value for each caplet/floorlet of the Ibor cap/floor leg.

The present value of each caplet/floorlet is the value on the valuation date. The result is returned using the payment currency of the leg.

Parameters:

capFloorLeg - the Ibor cap/floor leg

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present values

presentValueDelta

public CurrencyAmount presentValueDelta(ResolvedIborCapFloorLeg capFloorLeg,
                                        RatesProvider ratesProvider,
                                        IborCapletFloorletVolatilities volatilities)

Calculates the present value delta of the Ibor cap/floor leg.

The present value delta of the leg is the sensitivity value on the valuation date. The result is returned using the payment currency of the leg.

Parameters:

capFloorLeg - the Ibor cap/floor leg

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value delta

presentValueGamma

public CurrencyAmount presentValueGamma(ResolvedIborCapFloorLeg capFloorLeg,
                                        RatesProvider ratesProvider,
                                        IborCapletFloorletVolatilities volatilities)

Calculates the present value gamma of the Ibor cap/floor leg.

The present value gamma of the leg is the sensitivity value on the valuation date. The result is returned using the payment currency of the leg.

Parameters:

capFloorLeg - the Ibor cap/floor leg

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value gamma

presentValueTheta

public CurrencyAmount presentValueTheta(ResolvedIborCapFloorLeg capFloorLeg,
                                        RatesProvider ratesProvider,
                                        IborCapletFloorletVolatilities volatilities)

Calculates the present value theta of the Ibor cap/floor leg.

The present value theta of the leg is the sensitivity value on the valuation date. The result is returned using the payment currency of the leg.

Parameters:

capFloorLeg - the Ibor cap/floor leg

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value theta

presentValueSensitivityRates

public PointSensitivityBuilder presentValueSensitivityRates(ResolvedIborCapFloorLeg capFloorLeg,
                                                            RatesProvider ratesProvider,
                                                            IborCapletFloorletVolatilities volatilities)

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

The present value rates sensitivity of the leg is the sensitivity of the present value to the underlying curves.

Parameters:

capFloorLeg - the Ibor cap/floor leg

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value curve sensitivity

presentValueSensitivityModelParamsVolatility

public PointSensitivityBuilder presentValueSensitivityModelParamsVolatility(ResolvedIborCapFloorLeg capFloorLeg,
                                                                            RatesProvider ratesProvider,
                                                                            IborCapletFloorletVolatilities volatilities)

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

The present value volatility sensitivity of the leg is the sensitivity of the present value to the volatility values.

Parameters:

capFloorLeg - the Ibor cap/floor leg

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value volatility sensitivity

currentCash

public CurrencyAmount currentCash(ResolvedIborCapFloorLeg capFloorLeg,
                                  RatesProvider ratesProvider,
                                  IborCapletFloorletVolatilities volatilities)

Calculates the current cash of the Ibor cap/floor leg.

Parameters:

capFloorLeg - the Ibor cap/floor leg

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the current cash

forwardRates

public IborCapletFloorletPeriodAmounts forwardRates(ResolvedIborCapFloorLeg capFloorLeg,
                                                    RatesProvider ratesProvider)

Calculates the forward rates for each caplet/floorlet of the Ibor cap/floor leg.

Parameters:

capFloorLeg - the Ibor cap/floor leg

ratesProvider - the rates provider

Returns:

the forward rates

impliedVolatilities

public IborCapletFloorletPeriodAmounts impliedVolatilities(ResolvedIborCapFloorLeg capFloorLeg,
                                                           RatesProvider ratesProvider,
                                                           IborCapletFloorletVolatilities volatilities)

Calculates the implied volatilities for each caplet/floorlet of the Ibor cap/floor leg.

Parameters:

capFloorLeg - the Ibor cap/floor leg

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the implied volatilities

validate

protected void validate(RatesProvider ratesProvider,
                        IborCapletFloorletVolatilities volatilities)