Package com.opengamma.strata.pricer.capfloor

Class VolatilityOvernightInArrearsCapletFloorletPeriodPricer

java.lang.Object

com.opengamma.strata.pricer.capfloor.VolatilityOvernightInArrearsCapletFloorletPeriodPricer

public class VolatilityOvernightInArrearsCapletFloorletPeriodPricer
extends Object

Pricer for overnight in-arrears caplet/floorlet based on volatilities.

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

The volatilities are stored in IborCapletFloorletVolatilities, it should be understood as "TermRateCapletFloorletVolatilities".

The pricing is based on "interpolated volatilities" for the compounded in-arrears rates, in particular Section 6.3 of the reference below. Reference: A. Lyashenko and F. Mercurio. Looking forward to backward-looking rates: A modeling frame- work for term rates replacing LIBOR. SSRN Working Paper 3330240, March 2019.

Field Summary

Fields

Modifier and Type	Field	Description
static VolatilityOvernightInArrearsCapletFloorletPeriodPricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
VolatilityOvernightInArrearsCapletFloorletPeriodPricer()

Method Summary

Modifier and Type	Method	Description
double	adjustedVolatility(double startTime, double endTime, double volatility)	Volatility adjusted for the decrease of forward rate volatility in the composition period.
CurrencyAmount	presentValue(OvernightInArrearsCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates the present value of the overnight in-arrears caplet/floorlet period.
PointSensitivityBuilder	presentValueSensitivityModelParamsVolatility(OvernightInArrearsCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Computes the present value sensitivity to the volatilities.
PointSensitivityBuilder	presentValueSensitivityRatesStickyStrike(OvernightInArrearsCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Computes the present value sensitivity to the rate with a volatility "sticky strike".

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final VolatilityOvernightInArrearsCapletFloorletPeriodPricer DEFAULT

Default implementation.

Constructor Detail

VolatilityOvernightInArrearsCapletFloorletPeriodPricer

public VolatilityOvernightInArrearsCapletFloorletPeriodPricer()

Method Detail

presentValue

public CurrencyAmount presentValue(OvernightInArrearsCapletFloorletPeriod period,
                                   RatesProvider ratesProvider,
                                   IborCapletFloorletVolatilities volatilities)

Calculates the present value of the overnight in-arrears caplet/floorlet period.

The result is expressed using the currency of the period.

Parameters:

period - the caplet/floorlet period

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value

presentValueSensitivityRatesStickyStrike

public PointSensitivityBuilder presentValueSensitivityRatesStickyStrike(OvernightInArrearsCapletFloorletPeriod period,
                                                                        RatesProvider ratesProvider,
                                                                        IborCapletFloorletVolatilities volatilities)

Computes the present value sensitivity to the rate with a volatility "sticky strike".

Parameters:

period - the caplet/floorlet period

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value rate sensitivity

presentValueSensitivityModelParamsVolatility

public PointSensitivityBuilder presentValueSensitivityModelParamsVolatility(OvernightInArrearsCapletFloorletPeriod period,
                                                                            RatesProvider ratesProvider,
                                                                            IborCapletFloorletVolatilities volatilities)

Computes the present value sensitivity to the volatilities.

Parameters:

period - the caplet/floorlet period

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value volatility sensitivity

adjustedVolatility

public double adjustedVolatility(double startTime,
                                 double endTime,
                                 double volatility)

Volatility adjusted for the decrease of forward rate volatility in the composition period.

Parameters:

startTime - the start time

endTime - the end time

volatility - the volatility

Returns:

the adjusted volatility