Package com.opengamma.strata.pricer.swaption

Class SabrSwaptionCashParYieldProductPricer

java.lang.Object

com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer

com.opengamma.strata.pricer.swaption.SabrSwaptionCashParYieldProductPricer

public class SabrSwaptionCashParYieldProductPricer
extends VolatilitySwaptionCashParYieldProductPricer

Pricer for swaption with par yield curve method of cash settlement in SABR model.

The swap underlying the swaption must have a fixed leg on which the forward rate is computed. The underlying swap must be single currency.

The volatility parameters are not adjusted for the underlying swap convention. The volatilities from the provider are taken as such.

The value of the swaption after expiry is 0. For a swaption which already expired, negative number is returned by the method, SwaptionVolatilities.relativeTime(ZonedDateTime).

Field Summary

Fields

Modifier and Type	Field	Description
static SabrSwaptionCashParYieldProductPricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
SabrSwaptionCashParYieldProductPricer(DiscountingSwapProductPricer swapPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
PointSensitivityBuilder	presentValueSensitivityModelParamsSabr(ResolvedSwaption swaption, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)	Calculates the present value sensitivity to the SABR model parameters of the swaption product.
PointSensitivityBuilder	presentValueSensitivityRatesStickyModel(ResolvedSwaption swaption, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)	Calculates the present value sensitivity of the swaption product to the rate curves.

Methods inherited from class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer

calculateNumeraire, calculateStrike, currencyExposure, fixedLeg, forwardRate, getSwapPricer, impliedVolatility, presentValue, presentValueDelta, presentValueGamma, presentValueSensitivityModelParamsVolatility, presentValueSensitivityRatesStickyStrike, presentValueTheta, validate, validateSwaption

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final SabrSwaptionCashParYieldProductPricer DEFAULT

Default implementation.

Constructor Detail

SabrSwaptionCashParYieldProductPricer

public SabrSwaptionCashParYieldProductPricer(DiscountingSwapProductPricer swapPricer)

Creates an instance.

Parameters:

swapPricer - the pricer for Swap

Method Detail

presentValueSensitivityRatesStickyModel

public PointSensitivityBuilder presentValueSensitivityRatesStickyModel(ResolvedSwaption swaption,
                                                                       RatesProvider ratesProvider,
                                                                       SabrSwaptionVolatilities swaptionVolatilities)

Calculates the present value sensitivity of the swaption product to the rate curves.

The present value sensitivity is computed in a "sticky model parameter" style, i.e. the sensitivity to the curve nodes with the SABR model parameters unchanged. This sensitivity does not include a potential re-calibration of the model parameters to the raw market data.

Parameters:

swaption - the swaption product

ratesProvider - the rates provider

swaptionVolatilities - the volatilities

Returns:

the point sensitivity to the rate curves

presentValueSensitivityModelParamsSabr

public PointSensitivityBuilder presentValueSensitivityModelParamsSabr(ResolvedSwaption swaption,
                                                                      RatesProvider ratesProvider,
                                                                      SabrSwaptionVolatilities swaptionVolatilities)

Calculates the present value sensitivity to the SABR model parameters of the swaption product.

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

Parameters:

swaption - the swaption product

ratesProvider - the rates provider

swaptionVolatilities - the volatilities

Returns:

the point sensitivity to the SABR model parameters