Package com.opengamma.strata.pricer.cms

Class SabrExtrapolationReplicationCmsTradePricer

java.lang.Object

com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsTradePricer

public class SabrExtrapolationReplicationCmsTradePricer
extends Object

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

This function provides the ability to price ResolvedCmsTrade.

Constructor Summary

Constructors

Constructor	Description
SabrExtrapolationReplicationCmsTradePricer(SabrExtrapolationReplicationCmsProductPricer cmsProductPricer)	Creates an instance using the default payment pricer.
SabrExtrapolationReplicationCmsTradePricer(SabrExtrapolationReplicationCmsProductPricer cmsProductPricer, DiscountingPaymentPricer paymentPricer)	Creates an instance.

Method Summary

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

SabrExtrapolationReplicationCmsTradePricer

public SabrExtrapolationReplicationCmsTradePricer(SabrExtrapolationReplicationCmsProductPricer cmsProductPricer)

Creates an instance using the default payment pricer.

Parameters:

cmsProductPricer - the pricer for CmsLeg

SabrExtrapolationReplicationCmsTradePricer

public SabrExtrapolationReplicationCmsTradePricer(SabrExtrapolationReplicationCmsProductPricer cmsProductPricer,
                                                  DiscountingPaymentPricer paymentPricer)

Creates an instance.

Parameters:

cmsProductPricer - the pricer for ResolvedCms

paymentPricer - the pricer for Payment

Method Detail

presentValue

public MultiCurrencyAmount presentValue(ResolvedCmsTrade trade,
                                        RatesProvider ratesProvider,
                                        SabrSwaptionVolatilities swaptionVolatilities)

Calculates the present value of the CMS trade.

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

Parameters:

trade - the CMS trade

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 trade.

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 PointSensitivities presentValueSensitivityRates(ResolvedCmsTrade trade,
                                                       RatesProvider ratesProvider,
                                                       SabrSwaptionVolatilities swaptionVolatilities)

Calculates the present value curve sensitivity of the CMS trade.

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

Parameters:

trade - the CMS trade

ratesProvider - the rates provider

swaptionVolatilities - the swaption volatilities

Returns:

the present value sensitivity

presentValueSensitivityModelParamsSabr

public PointSensitivities presentValueSensitivityModelParamsSabr(ResolvedCmsTrade trade,
                                                                 RatesProvider ratesProvider,
                                                                 SabrSwaptionVolatilities swaptionVolatilities)

Calculates the present value sensitivity to the SABR model parameters.

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

Parameters:

trade - the CMS trade

ratesProvider - the rates provider

swaptionVolatilities - the swaption volatilities

Returns:

the present value sensitivity

presentValueSensitivityStrike

public double presentValueSensitivityStrike(ResolvedCmsTrade trade,
                                            RatesProvider ratesProvider,
                                            SabrSwaptionVolatilities swaptionVolatilities)

Calculates the present value sensitivity to the strike value.

The present value sensitivity of the trade is the sensitivity of the present value to the strike value.

Parameters:

trade - the CMS trade

ratesProvider - the rates provider

swaptionVolatilities - the swaption volatilities

Returns:

the present value sensitivity

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedCmsTrade trade,
                                            RatesProvider ratesProvider,
                                            SabrSwaptionVolatilities swaptionVolatilities)

Calculates the currency exposure of the trade.

Parameters:

trade - the CMS trade

ratesProvider - the rates provider

swaptionVolatilities - the swaption volatilities

Returns:

the currency exposure

currentCash

public MultiCurrencyAmount currentCash(ResolvedCmsTrade trade,
                                       RatesProvider ratesProvider,
                                       SabrSwaptionVolatilities swaptionVolatilities)

Calculates the current cash of the trade.

Parameters:

trade - the CMS trade

ratesProvider - the rates provider

swaptionVolatilities - the swaption volatilities

Returns:

the current cash