Class SabrSwaptionRawDataSensitivityCalculator

  • public class SabrSwaptionRawDataSensitivityCalculator
    extends Object
    Calculator to obtain the raw data sensitivities for swaption related products using calibrated SABR data.

    This needs data sensitivity info obtained during curve calibration.

    • Constructor Detail

      • SabrSwaptionRawDataSensitivityCalculator

        public SabrSwaptionRawDataSensitivityCalculator()
    • Method Detail

      • parallelSensitivity

        public CurrencyParameterSensitivity parallelSensitivity​(CurrencyParameterSensitivities paramSensitivities,
                                                                SabrParametersSwaptionVolatilities volatilities)
        Calculates the raw data sensitivities from SABR parameter sensitivity.

        The SABR parameter sensitivities to data are stored in some optional data in the SabrParametersSwaptionVolatilities. The sensitivities to the SABR parameters passed in should be compatible with the SABR parameters in term of data order.

        Only the sensitivity to the SABR parameters for which there is a data sensitivity are taken into account. At least one of the four parameter must have such sensitivities.

        paramSensitivities - the curve SABR parameter sensitivities
        volatilities - the SABR parameters, including the data sensitivity metadata
        the raw data sensitivities