public class VolatilityIborCapFloorTradePricer extends Object
This function provides the ability to price IborCapFloorTrade
.
The pricing methodologies are defined in individual implementations of the
volatilities, IborCapletFloorletVolatilities
.
Greeks of the underlying product are computed in the product pricer, VolatilityIborCapFloorProductPricer
.
Modifier and Type | Field and Description |
---|---|
static VolatilityIborCapFloorTradePricer |
DEFAULT
Default implementation.
|
Constructor and Description |
---|
VolatilityIborCapFloorTradePricer(VolatilityIborCapFloorProductPricer productPricer,
DiscountingPaymentPricer paymentPricer)
Creates an instance.
|
Modifier and Type | Method and Description |
---|---|
MultiCurrencyAmount |
currencyExposure(ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the currency exposure of the Ibor cap/floor trade.
|
MultiCurrencyAmount |
currentCash(ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the current cash of the Ibor cap/floor trade.
|
protected DiscountingPaymentPricer |
getPaymentPricer()
Gets the payment pricer.
|
MultiCurrencyAmount |
presentValue(ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value of the Ibor cap/floor trade.
|
PointSensitivityBuilder |
presentValueSensitivityModelParamsVolatility(ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value volatility sensitivity of the Ibor cap/floor product.
|
PointSensitivities |
presentValueSensitivityRates(ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value rates sensitivity of the Ibor cap/floor trade.
|
public static final VolatilityIborCapFloorTradePricer DEFAULT
public VolatilityIborCapFloorTradePricer(VolatilityIborCapFloorProductPricer productPricer, DiscountingPaymentPricer paymentPricer)
productPricer
- the pricer for ResolvedIborCapFloor
paymentPricer
- the pricer for Payment
protected DiscountingPaymentPricer getPaymentPricer()
public MultiCurrencyAmount presentValue(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
The present value of the trade is the value on the valuation date.
The cap/floor leg and pay leg are typically in the same currency, thus the present value gamma is expressed as a single currency amount in most cases.
trade
- the Ibor cap/floor traderatesProvider
- the rates providervolatilities
- the volatilitiespublic PointSensitivities presentValueSensitivityRates(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
The present value rates sensitivity of the trade is the sensitivity of the present value to the underlying curves.
trade
- the Ibor cap/floor traderatesProvider
- the rates providervolatilities
- the volatilitiespublic PointSensitivityBuilder presentValueSensitivityModelParamsVolatility(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
The present value volatility sensitivity of the product is the sensitivity of the present value to the volatility values.
trade
- the Ibor cap/floor traderatesProvider
- the rates providervolatilities
- the volatilitiespublic MultiCurrencyAmount currencyExposure(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
trade
- the Ibor cap/floor traderatesProvider
- the rates providervolatilities
- the volatilitiespublic MultiCurrencyAmount currentCash(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
trade
- the Ibor cap/floor traderatesProvider
- the rates providervolatilities
- the volatilitiesCopyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.