VolatilityIborCapFloorProductPricer (OpenGamma Strata Pricer API)

java.lang.Object
- com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorProductPricer

Direct Known Subclasses:

BlackIborCapFloorProductPricer, NormalIborCapFloorProductPricer, SabrIborCapFloorProductPricer
```
public class VolatilityIborCapFloorProductPricer
extends Object
```
Pricer for cap/floor products based on volatilities.
This function provides the ability to price ResolvedIborCapFloor.
The pricing methodologies are defined in individual implementations of the volatilities, IborCapletFloorletVolatilities.

Field Summary

Fields
Modifier and Type Field and Description

static VolatilityIborCapFloorProductPricer DEFAULT
Default implementation.

Fields
Modifier and Type	Field and Description
`static VolatilityIborCapFloorProductPricer`	`DEFAULT` Default implementation.

Constructor Summary

Constructors
Constructor and Description
`VolatilityIborCapFloorProductPricer(VolatilityIborCapFloorLegPricer capFloorLegPricer, DiscountingSwapLegPricer payLegPricer)` Creates an instance.

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`MultiCurrencyAmount`	`currencyExposure(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)` Calculates the currency exposure of the Ibor cap/floor product.
`MultiCurrencyAmount`	`currentCash(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)` Calculates the current cash of the Ibor cap/floor product.
`IborCapletFloorletPeriodAmounts`	`forwardRates(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider)` Calculates the forward rates for each caplet/floorlet of the Ibor cap/floor.
`protected DiscountingSwapLegPricer`	`getPayLegPricer()` Gets the pay leg pricer.
`IborCapletFloorletPeriodAmounts`	`impliedVolatilities(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)` Calculates the implied volatilities for each caplet/floorlet of the Ibor cap/floor.
`MultiCurrencyAmount`	`presentValue(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)` Calculates the present value of the Ibor cap/floor product.
`IborCapletFloorletPeriodCurrencyAmounts`	`presentValueCapletFloorletPeriods(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)` Calculates the present value for each caplet/floorlet of the Ibor cap/floor product.
`MultiCurrencyAmount`	`presentValueDelta(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)` Calculates the present value delta of the Ibor cap/floor product.
`MultiCurrencyAmount`	`presentValueGamma(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)` Calculates the present value gamma of the Ibor cap/floor product.
`PointSensitivityBuilder`	`presentValueSensitivityModelParamsVolatility(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)` Calculates the present value volatility sensitivity of the Ibor cap/floor product.
`PointSensitivityBuilder`	`presentValueSensitivityRates(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)` Calculates the present value rates sensitivity of the Ibor cap/floor product.
`MultiCurrencyAmount`	`presentValueTheta(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)` Calculates the present value theta of the Ibor cap/floor product.

Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final VolatilityIborCapFloorProductPricer DEFAULT

Default implementation.

Constructor Detail

VolatilityIborCapFloorProductPricer

public VolatilityIborCapFloorProductPricer(VolatilityIborCapFloorLegPricer capFloorLegPricer,
                                           DiscountingSwapLegPricer payLegPricer)

Creates an instance.

Parameters:: capFloorLegPricer - the pricer for IborCapFloorLeg; payLegPricer - the pricer for SwapLeg

Method Detail

getPayLegPricer
```
protected DiscountingSwapLegPricer getPayLegPricer()
```
Gets the pay leg pricer.

Returns:

the pay leg pricer

presentValue
```
public MultiCurrencyAmount presentValue(ResolvedIborCapFloor capFloor,
                                        RatesProvider ratesProvider,
                                        IborCapletFloorletVolatilities volatilities)
```
Calculates the present value of the Ibor cap/floor product.
The present value of the product 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.

Parameters:

capFloor - the Ibor cap/floor product

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value

presentValueCapletFloorletPeriods

public IborCapletFloorletPeriodCurrencyAmounts presentValueCapletFloorletPeriods(ResolvedIborCapFloor capFloor,
                                                                                 RatesProvider ratesProvider,
                                                                                 IborCapletFloorletVolatilities volatilities)

Calculates the present value for each caplet/floorlet of the Ibor cap/floor product.

The present value of each caplet/floorlet is the value on the valuation date. The result is returned using the payment currency of the leg.

The present value will not be calculated for the pay leg if the product has one.

Parameters:: capFloor - the Ibor cap/floor product; ratesProvider - the rates provider; volatilities - the volatilities
Returns:: the present values

presentValueDelta
```
public MultiCurrencyAmount presentValueDelta(ResolvedIborCapFloor capFloor,
                                             RatesProvider ratesProvider,
                                             IborCapletFloorletVolatilities volatilities)
```
Calculates the present value delta of the Ibor cap/floor product.
The present value of the product is the sensitivity 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.

Parameters:

capFloor - the Ibor cap/floor product

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value delta

presentValueGamma
```
public MultiCurrencyAmount presentValueGamma(ResolvedIborCapFloor capFloor,
                                             RatesProvider ratesProvider,
                                             IborCapletFloorletVolatilities volatilities)
```
Calculates the present value gamma of the Ibor cap/floor product.
The present value of the product is the sensitivity 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.

Parameters:

capFloor - the Ibor cap/floor product

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value gamma

presentValueTheta
```
public MultiCurrencyAmount presentValueTheta(ResolvedIborCapFloor capFloor,
                                             RatesProvider ratesProvider,
                                             IborCapletFloorletVolatilities volatilities)
```
Calculates the present value theta of the Ibor cap/floor product.
The present value of the product is the sensitivity 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.

Parameters:

capFloor - the Ibor cap/floor product

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value theta

presentValueSensitivityRates

public PointSensitivityBuilder presentValueSensitivityRates(ResolvedIborCapFloor capFloor,
                                                            RatesProvider ratesProvider,
                                                            IborCapletFloorletVolatilities volatilities)

Calculates the present value rates sensitivity of the Ibor cap/floor product.

The present value rates sensitivity of the product is the sensitivity of the present value to the underlying curves.

Parameters:: capFloor - the Ibor cap/floor product; ratesProvider - the rates provider; volatilities - the volatilities
Returns:: the present value sensitivity

presentValueSensitivityModelParamsVolatility

public PointSensitivityBuilder presentValueSensitivityModelParamsVolatility(ResolvedIborCapFloor capFloor,
                                                                            RatesProvider ratesProvider,
                                                                            IborCapletFloorletVolatilities volatilities)

Calculates the present value volatility sensitivity of the Ibor cap/floor product.

The present value volatility sensitivity of the product is the sensitivity of the present value to the volatility values.

Parameters:: capFloor - the Ibor cap/floor product; ratesProvider - the rates provider; volatilities - the volatilities
Returns:: the present value sensitivity

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedIborCapFloor capFloor,
                                            RatesProvider ratesProvider,
                                            IborCapletFloorletVolatilities volatilities)

Calculates the currency exposure of the Ibor cap/floor product.

Parameters:: capFloor - the Ibor cap/floor product; ratesProvider - the rates provider; volatilities - the volatilities
Returns:: the currency exposure

currentCash

public MultiCurrencyAmount currentCash(ResolvedIborCapFloor capFloor,
                                       RatesProvider ratesProvider,
                                       IborCapletFloorletVolatilities volatilities)

Calculates the current cash of the Ibor cap/floor product.

Parameters:: capFloor - the Ibor cap/floor product; ratesProvider - the rates provider; volatilities - the volatilities
Returns:: the current cash

forwardRates

public IborCapletFloorletPeriodAmounts forwardRates(ResolvedIborCapFloor capFloor,
                                                    RatesProvider ratesProvider)

Calculates the forward rates for each caplet/floorlet of the Ibor cap/floor.

Parameters:: capFloor - the Ibor cap/floor; ratesProvider - the rates provider
Returns:: the forward rates

impliedVolatilities

public IborCapletFloorletPeriodAmounts impliedVolatilities(ResolvedIborCapFloor capFloor,
                                                           RatesProvider ratesProvider,
                                                           IborCapletFloorletVolatilities volatilities)

Calculates the implied volatilities for each caplet/floorlet of the Ibor cap/floor.

Parameters:: capFloor - the Ibor cap/floor; ratesProvider - the rates provider; volatilities - the volatilities
Returns:: the implied volatilities

Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.

Class VolatilityIborCapFloorProductPricer

Field Summary