Package com.opengamma.strata.pricer.swaption

Class VolatilitySwaptionPhysicalProductPricer

java.lang.Object

com.opengamma.strata.pricer.swaption.VolatilitySwaptionPhysicalProductPricer

Direct Known Subclasses:

BlackSwaptionPhysicalProductPricer, NormalSwaptionPhysicalProductPricer, SabrSwaptionPhysicalProductPricer

public class VolatilitySwaptionPhysicalProductPricer
extends Object

Pricer for swaption with physical settlement based on volatilities.

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

Field Summary

Fields

Modifier and Type	Field	Description
static VolatilitySwaptionPhysicalProductPricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
VolatilitySwaptionPhysicalProductPricer(DiscountingSwapProductPricer swapPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyAmount	currencyExposure(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Computes the currency exposure of the swaption.
protected ResolvedSwapLeg	fixedLeg(ResolvedSwap swap)	Checks that there is exactly one fixed leg and returns it.
double	forwardRate(ResolvedSwaption swaption, RatesProvider ratesProvider)	Provides the forward rate.
protected DiscountingSwapProductPricer	getSwapPricer()	Gets the swap pricer.
double	impliedVolatility(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Computes the implied volatility of the swaption.
CurrencyAmount	presentValue(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value of the swaption.
CurrencyAmount	presentValueDelta(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value delta of the swaption.
CurrencyAmount	presentValueGamma(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value gamma of the swaption.
SwaptionSensitivity	presentValueSensitivityModelParamsVolatility(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value sensitivity to the implied volatility of the swaption.
PointSensitivityBuilder	presentValueSensitivityRatesStickyStrike(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value sensitivity of the swaption to the rate curves.
CurrencyAmount	presentValueTheta(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value of the swaption.
protected void	validate(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Validates that the rates and volatilities providers are coherent and that the swaption is single currency physical.
protected void	validateSwaption(ResolvedSwaption swaption)	Validates that the swaption is single currency physical.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final VolatilitySwaptionPhysicalProductPricer DEFAULT

Default implementation.

Constructor Detail

VolatilitySwaptionPhysicalProductPricer

public VolatilitySwaptionPhysicalProductPricer(DiscountingSwapProductPricer swapPricer)

Creates an instance.

Parameters:

swapPricer - the pricer for Swap

Method Detail

getSwapPricer

protected DiscountingSwapProductPricer getSwapPricer()

Gets the swap pricer.

Returns:

the swap pricer

presentValue

public CurrencyAmount presentValue(ResolvedSwaption swaption,
                                   RatesProvider ratesProvider,
                                   SwaptionVolatilities swaptionVolatilities)

Calculates the present value of the swaption.

The result is expressed using the currency of the swaption.

Parameters:

swaption - the swaption

ratesProvider - the rates provider

swaptionVolatilities - the volatilities

Returns:

the present value

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedSwaption swaption,
                                            RatesProvider ratesProvider,
                                            SwaptionVolatilities swaptionVolatilities)

Computes the currency exposure of the swaption.

This is equivalent to the present value of the swaption.

Parameters:

swaption - the swaption

ratesProvider - the rates provider

swaptionVolatilities - the volatilities

Returns:

the currency exposure

impliedVolatility

public double impliedVolatility(ResolvedSwaption swaption,
                                RatesProvider ratesProvider,
                                SwaptionVolatilities swaptionVolatilities)

Computes the implied volatility of the swaption.

Parameters:

swaption - the swaption

ratesProvider - the rates provider

swaptionVolatilities - the volatilities

Returns:

the implied volatility associated with the swaption

forwardRate

public double forwardRate(ResolvedSwaption swaption,
                          RatesProvider ratesProvider)

Provides the forward rate.

This is the par rate for the forward starting swap that is the underlying of the swaption.

Parameters:

swaption - the swaption

ratesProvider - the rates provider

Returns:

the forward rate

presentValueDelta

public CurrencyAmount presentValueDelta(ResolvedSwaption swaption,
                                        RatesProvider ratesProvider,
                                        SwaptionVolatilities swaptionVolatilities)

Calculates the present value delta of the swaption.

The present value delta is given by pvbp * priceDelta where priceDelta is the first derivative of the price with respect to forward. The derivative is computed in the formula underlying the volatility (Black or Normal), it does not take into account the potential change of implied volatility induced by the change of forward. The number computed by this method is closely related to the presentValueSensitivityRatesStickyStrike(com.opengamma.strata.product.swaption.ResolvedSwaption, com.opengamma.strata.pricer.rate.RatesProvider, com.opengamma.strata.pricer.swaption.SwaptionVolatilities) method.

Related methods: Some concrete classes to this interface also implement a presentValueSensitivity method which take into account the change of implied volatility.

The result is expressed using the currency of the swaption.

Parameters:

swaption - the swaption

ratesProvider - the rates provider

swaptionVolatilities - the volatilities

Returns:

the present value delta of the swaption

presentValueGamma

public CurrencyAmount presentValueGamma(ResolvedSwaption swaption,
                                        RatesProvider ratesProvider,
                                        SwaptionVolatilities swaptionVolatilities)

Calculates the present value gamma of the swaption.

The present value gamma is given by pvbp * priceGamma where priceGamma is the second derivative of the price with respect to forward.

The result is expressed using the currency of the swaption.

Parameters:

swaption - the swaption

ratesProvider - the rates provider

swaptionVolatilities - the volatilities

Returns:

the present value gamma of the swaption

presentValueTheta

public CurrencyAmount presentValueTheta(ResolvedSwaption swaption,
                                        RatesProvider ratesProvider,
                                        SwaptionVolatilities swaptionVolatilities)

Calculates the present value of the swaption.

The present value theta is given by pvbp * priceTheta where priceTheta is the minus of the price sensitivity to timeToExpiry.

The result is expressed using the currency of the swaption.

Parameters:

swaption - the swaption

ratesProvider - the rates provider

swaptionVolatilities - the volatilities

Returns:

the present value theta of the swaption

presentValueSensitivityRatesStickyStrike

public PointSensitivityBuilder presentValueSensitivityRatesStickyStrike(ResolvedSwaption swaption,
                                                                        RatesProvider ratesProvider,
                                                                        SwaptionVolatilities swaptionVolatilities)

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

The present value sensitivity is computed in a "sticky strike" style, i.e. the sensitivity to the curve nodes with the volatility at the swaption strike unchanged. This sensitivity does not include a potential change of volatility due to the implicit change of forward rate or moneyness.

Parameters:

swaption - the swaption

ratesProvider - the rates provider

swaptionVolatilities - the volatilities

Returns:

the point sensitivity to the rate curves

presentValueSensitivityModelParamsVolatility

public SwaptionSensitivity presentValueSensitivityModelParamsVolatility(ResolvedSwaption swaption,
                                                                        RatesProvider ratesProvider,
                                                                        SwaptionVolatilities swaptionVolatilities)

Calculates the present value sensitivity to the implied volatility of the swaption.

The sensitivity to the implied volatility is also called vega.

Parameters:

swaption - the swaption

ratesProvider - the rates provider

swaptionVolatilities - the volatilities

Returns:

the point sensitivity to the volatility

fixedLeg

protected ResolvedSwapLeg fixedLeg(ResolvedSwap swap)

Checks that there is exactly one fixed leg and returns it.

Parameters:

swap - the swap

Returns:

the fixed leg

validate

protected void validate(ResolvedSwaption swaption,
                        RatesProvider ratesProvider,
                        SwaptionVolatilities swaptionVolatilities)

Validates that the rates and volatilities providers are coherent and that the swaption is single currency physical.

Parameters:

swaption - the swaption

ratesProvider - the rates provider

swaptionVolatilities - the volatilities

validateSwaption

protected void validateSwaption(ResolvedSwaption swaption)

Validates that the swaption is single currency physical.

Parameters:

swaption - the swaption