Package com.opengamma.strata.pricer.capfloor

Class VolatilityIborCapFloorTradePricer

java.lang.Object

com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorTradePricer

Direct Known Subclasses:

BlackIborCapFloorTradePricer, NormalIborCapFloorTradePricer, SabrIborCapFloorTradePricer

public class VolatilityIborCapFloorTradePricer
extends Object

Pricer for cap/floor trades based on volatilities.

This function provides the ability to price IborCapFloorTrade. The pricing methodologies are defined in individual implementations of the volatilities, IborCapletFloorletVolatilities.

Greeks of the underlying product are computed in the product pricer, VolatilityIborCapFloorProductPricer.

Field Summary

Fields

Modifier and Type	Field	Description
static VolatilityIborCapFloorTradePricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
VolatilityIborCapFloorTradePricer(VolatilityIborCapFloorProductPricer productPricer, DiscountingPaymentPricer paymentPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyAmount	currencyExposure(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates the currency exposure of the Ibor cap/floor trade.
MultiCurrencyAmount	currentCash(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates the current cash of the Ibor cap/floor trade.
IborCapletFloorletPeriodAmounts	forwardRates(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider)	Calculates the forward rates for each caplet/floorlet of the Ibor cap/floor trade.
protected DiscountingPaymentPricer	getPaymentPricer()	Gets the payment pricer.
IborCapletFloorletPeriodAmounts	impliedVolatilities(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates the implied volatilities for each caplet/floorlet of the Ibor cap/floor trade.
MultiCurrencyAmount	presentValue(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates the present value of the Ibor cap/floor trade.
IborCapletFloorletPeriodCurrencyAmounts	presentValueCapletFloorletPeriods(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates the present value for each caplet/floorlet of the Ibor cap/floor trade.
PointSensitivityBuilder	presentValueSensitivityModelParamsVolatility(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates the present value volatility sensitivity of the Ibor cap/floor product.
PointSensitivities	presentValueSensitivityRates(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates the present value rates sensitivity of the Ibor cap/floor trade.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final VolatilityIborCapFloorTradePricer DEFAULT

Default implementation.

Constructor Detail

VolatilityIborCapFloorTradePricer

public VolatilityIborCapFloorTradePricer(VolatilityIborCapFloorProductPricer productPricer,
                                         DiscountingPaymentPricer paymentPricer)

Creates an instance.

Parameters:

productPricer - the pricer for ResolvedIborCapFloor

paymentPricer - the pricer for Payment

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

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedIborCapFloorTrade trade,
                                            RatesProvider ratesProvider,
                                            IborCapletFloorletVolatilities volatilities)

Calculates the currency exposure of the Ibor cap/floor trade.

Parameters:

trade - the Ibor cap/floor trade

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the currency exposure

currentCash

public MultiCurrencyAmount currentCash(ResolvedIborCapFloorTrade trade,
                                       RatesProvider ratesProvider,
                                       IborCapletFloorletVolatilities volatilities)

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

Parameters:

trade - the Ibor cap/floor trade

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the current cash

forwardRates

public IborCapletFloorletPeriodAmounts forwardRates(ResolvedIborCapFloorTrade trade,
                                                    RatesProvider ratesProvider)

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

Parameters:

trade - the Ibor cap/floor trade

ratesProvider - the rates provider

Returns:

the forward rates

impliedVolatilities

public IborCapletFloorletPeriodAmounts impliedVolatilities(ResolvedIborCapFloorTrade trade,
                                                           RatesProvider ratesProvider,
                                                           IborCapletFloorletVolatilities volatilities)

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

Parameters:

trade - the Ibor cap/floor trade

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the implied volatilities