Package com.opengamma.strata.pricer.cms

Class SabrExtrapolationReplicationCmsProductPricer

java.lang.Object

com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsProductPricer

public class SabrExtrapolationReplicationCmsProductPricer
extends Object

Pricer for CMS products by swaption replication on a SABR formula with extrapolation.

This function provides the ability to price ResolvedCms.

Constructor Summary

Constructors

Constructor	Description
SabrExtrapolationReplicationCmsProductPricer(SabrExtrapolationReplicationCmsLegPricer cmsLegPricer)	Creates an instance using the default pay leg pricer.
SabrExtrapolationReplicationCmsProductPricer(SabrExtrapolationReplicationCmsLegPricer cmsLegPricer, DiscountingSwapLegPricer payLegPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyAmount	currencyExposure(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)	Calculates the currency exposure of the product.
MultiCurrencyAmount	currentCash(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)	Calculates the current cash of the product.
ExplainMap	explainPresentValue(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)	Explains the present value of the CMS product.
MultiCurrencyAmount	presentValue(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)	Calculates the present value of the CMS product.
PointSensitivityBuilder	presentValueSensitivityModelParamsSabr(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)	Calculates the present value sensitivity to the SABR model parameters.
PointSensitivityBuilder	presentValueSensitivityRates(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)	Calculates the present value curve sensitivity of the CMS product.
double	presentValueSensitivityStrike(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)	Calculates the present value sensitivity to the strike value.

Methods inherited from class java.lang.Object

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

Constructor Detail

SabrExtrapolationReplicationCmsProductPricer

public SabrExtrapolationReplicationCmsProductPricer(SabrExtrapolationReplicationCmsLegPricer cmsLegPricer)

Creates an instance using the default pay leg pricer.

Parameters:

cmsLegPricer - the pricer for CmsLeg

SabrExtrapolationReplicationCmsProductPricer

public SabrExtrapolationReplicationCmsProductPricer(SabrExtrapolationReplicationCmsLegPricer cmsLegPricer,
                                                    DiscountingSwapLegPricer payLegPricer)

Creates an instance.

Parameters:

cmsLegPricer - the pricer for CmsLeg

payLegPricer - the pricer for SwapLeg

Method Detail

presentValue

public MultiCurrencyAmount presentValue(ResolvedCms cms,
                                        RatesProvider ratesProvider,
                                        SabrSwaptionVolatilities swaptionVolatilities)

Calculates the present value of the CMS product.

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

CMS leg and pay leg are typically in the same currency. Thus the present value is expressed as a single currency amount in most cases.

Parameters:

cms - the CMS product

ratesProvider - the rates provider

swaptionVolatilities - the swaption volatilities

Returns:

the present value

explainPresentValue

public ExplainMap explainPresentValue(ResolvedCms cms,
                                      RatesProvider ratesProvider,
                                      SabrSwaptionVolatilities swaptionVolatilities)

Explains the present value of the CMS product.

This returns explanatory information about the calculation.

Parameters:

cms - the CMS product

ratesProvider - the rates provider

swaptionVolatilities - the swaption volatilities

Returns:

the explain PV map

presentValueSensitivityRates

public PointSensitivityBuilder presentValueSensitivityRates(ResolvedCms cms,
                                                            RatesProvider ratesProvider,
                                                            SabrSwaptionVolatilities swaptionVolatilities)

Calculates the present value curve sensitivity of the CMS product.

The present value sensitivity of the product is the sensitivity of the present value to the underlying curves.

Parameters:

cms - the CMS product

ratesProvider - the rates provider

swaptionVolatilities - the swaption volatilities

Returns:

the present value sensitivity

presentValueSensitivityModelParamsSabr

public PointSensitivityBuilder presentValueSensitivityModelParamsSabr(ResolvedCms cms,
                                                                      RatesProvider ratesProvider,
                                                                      SabrSwaptionVolatilities swaptionVolatilities)

Calculates the present value sensitivity to the SABR model parameters.

The present value sensitivity of the product is the sensitivity of the present value to the SABR model parameters, alpha, beta, rho and nu.

Parameters:

cms - the CMS product

ratesProvider - the rates provider

swaptionVolatilities - the swaption volatilities

Returns:

the present value sensitivity

presentValueSensitivityStrike

public double presentValueSensitivityStrike(ResolvedCms cms,
                                            RatesProvider ratesProvider,
                                            SabrSwaptionVolatilities swaptionVolatilities)

Calculates the present value sensitivity to the strike value.

The present value sensitivity of the product is the sensitivity of the present value to the strike value. This is not relevant for CMS coupons and an exception is thrown in the underlying pricer.

Parameters:

cms - the CMS product

ratesProvider - the rates provider

swaptionVolatilities - the swaption volatilities

Returns:

the present value sensitivity

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedCms cms,
                                            RatesProvider ratesProvider,
                                            SabrSwaptionVolatilities swaptionVolatilities)

Calculates the currency exposure of the product.

Parameters:

cms - the CMS product

ratesProvider - the rates provider

swaptionVolatilities - the swaption volatilities

Returns:

the currency exposure

currentCash

public MultiCurrencyAmount currentCash(ResolvedCms cms,
                                       RatesProvider ratesProvider,
                                       SabrSwaptionVolatilities swaptionVolatilities)

Calculates the current cash of the product.

Parameters:

cms - the CMS product

ratesProvider - the rates provider

swaptionVolatilities - the swaption volatilities

Returns:

the current cash