Class VolatilityIborCapFloorTradePricer

    • Method Detail

      • getPaymentPricer

        protected DiscountingPaymentPricer getPaymentPricer()
        Gets the payment pricer.
        Returns:
        the payment pricer
      • presentValue

        public MultiCurrencyAmount presentValue​(ResolvedIborCapFloorTrade trade,
                                                RatesProvider ratesProvider,
                                                IborCapletFloorletVolatilities volatilities)
        Calculates the present value of the Ibor cap/floor trade.

        The present value of the trade is the value on the valuation date.

        The cap/floor leg and pay leg are typically in the same currency, thus the present value gamma is expressed as a single currency amount in most cases.

        Parameters:
        trade - the Ibor cap/floor trade
        ratesProvider - the rates provider
        volatilities - the volatilities
        Returns:
        the present value
      • presentValueCapletFloorletPeriods

        public IborCapletFloorletPeriodCurrencyAmounts presentValueCapletFloorletPeriods​(ResolvedIborCapFloorTrade trade,
                                                                                         RatesProvider ratesProvider,
                                                                                         IborCapletFloorletVolatilities volatilities)
        Calculates the present value for each caplet/floorlet of the Ibor cap/floor trade.

        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.

        The present value will not be calculated for the trade premium or for the pay leg if the cap/floor product has one.

        Parameters:
        trade - the Ibor cap/floor leg
        ratesProvider - the rates provider
        volatilities - the volatilities
        Returns:
        the present values
      • presentValueSensitivityRates

        public PointSensitivities presentValueSensitivityRates​(ResolvedIborCapFloorTrade trade,
                                                               RatesProvider ratesProvider,
                                                               IborCapletFloorletVolatilities volatilities)
        Calculates the present value rates sensitivity of the Ibor cap/floor trade.

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

        Parameters:
        trade - the Ibor cap/floor trade
        ratesProvider - the rates provider
        volatilities - the volatilities
        Returns:
        the present value sensitivity
      • presentValueSensitivityModelParamsVolatility

        public PointSensitivityBuilder presentValueSensitivityModelParamsVolatility​(ResolvedIborCapFloorTrade trade,
                                                                                    RatesProvider ratesProvider,
                                                                                    IborCapletFloorletVolatilities volatilities)
        Calculates the present value volatility sensitivity of the Ibor cap/floor product.

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

        Parameters:
        trade - the Ibor cap/floor trade
        ratesProvider - the rates provider
        volatilities - the volatilities
        Returns:
        the present value sensitivity