com.opengamma.strata.pricer.capfloor

Class VolatilityIborCapletFloorletPeriodPricer

java.lang.Object

com.opengamma.strata.pricer.capfloor.VolatilityIborCapletFloorletPeriodPricer

Direct Known Subclasses:

BlackIborCapletFloorletPeriodPricer, NormalIborCapletFloorletPeriodPricer, SabrIborCapletFloorletPeriodPricer

public class VolatilityIborCapletFloorletPeriodPricer
extends Object

Pricer for caplet/floorlet based on volatilities.

The pricing methodologies are defined in individual implementations of the volatilities, IborCapletFloorletVolatilities.

The value of the caplet/floorlet after expiry is a fixed payoff amount. The value is zero if valuation date is after payment date of the caplet/floorlet.

The consistency between RatesProvider and IborCapletFloorletVolatilities is not checked in this class, but validated only once in VolatilityIborCapFloorLegPricer.

Field Summary

Fields

Modifier and Type	Field and Description
static VolatilityIborCapletFloorletPeriodPricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
VolatilityIborCapletFloorletPeriodPricer()

Method Summary

Modifier and Type	Method and Description
double	forwardRate(IborCapletFloorletPeriod period, RatesProvider ratesProvider) Computes the forward rate for the Ibor caplet/floorlet.
double	impliedVolatility(IborCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Computes the implied volatility of the Ibor caplet/floorlet.
CurrencyAmount	presentValue(IborCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value of the Ibor caplet/floorlet period.
CurrencyAmount	presentValueDelta(IborCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value delta of the Ibor caplet/floorlet period.
CurrencyAmount	presentValueGamma(IborCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value gamma of the Ibor caplet/floorlet period.
PointSensitivityBuilder	presentValueSensitivityModelParamsVolatility(IborCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value volatility sensitivity of the Ibor caplet/floorlet.
PointSensitivityBuilder	presentValueSensitivityRates(IborCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value rates sensitivity of the Ibor caplet/floorlet.
CurrencyAmount	presentValueTheta(IborCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value theta of the Ibor caplet/floorlet period.
protected void	validate(IborCapletFloorletVolatilities volatilities) Validate the volatilities provider.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final VolatilityIborCapletFloorletPeriodPricer DEFAULT

Default implementation.

Constructor Detail

VolatilityIborCapletFloorletPeriodPricer

public VolatilityIborCapletFloorletPeriodPricer()

Method Detail

presentValue

public CurrencyAmount presentValue(IborCapletFloorletPeriod period,
                                   RatesProvider ratesProvider,
                                   IborCapletFloorletVolatilities volatilities)

Calculates the present value of the Ibor caplet/floorlet period.

The result is expressed using the currency of the period.

Parameters:

period - the Ibor caplet/floorlet period

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value

impliedVolatility

public double impliedVolatility(IborCapletFloorletPeriod period,
                                RatesProvider ratesProvider,
                                IborCapletFloorletVolatilities volatilities)

Computes the implied volatility of the Ibor caplet/floorlet.

Parameters:

period - the Ibor caplet/floorlet period

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the implied volatility

forwardRate

public double forwardRate(IborCapletFloorletPeriod period,
                          RatesProvider ratesProvider)

Computes the forward rate for the Ibor caplet/floorlet.

Parameters:

period - the Ibor caplet/floorlet period

ratesProvider - the rates provider

Returns:

the forward rate

presentValueDelta

public CurrencyAmount presentValueDelta(IborCapletFloorletPeriod period,
                                        RatesProvider ratesProvider,
                                        IborCapletFloorletVolatilities volatilities)

Calculates the present value delta of the Ibor caplet/floorlet period.

The present value delta is given by the first derivative of the present value with respect to forward.

Parameters:

period - the Ibor caplet/floorlet period

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value delta

presentValueGamma

public CurrencyAmount presentValueGamma(IborCapletFloorletPeriod period,
                                        RatesProvider ratesProvider,
                                        IborCapletFloorletVolatilities volatilities)

Calculates the present value gamma of the Ibor caplet/floorlet period.

The present value gamma is given by the second derivative of the present value with respect to forward.

Parameters:

period - the Ibor caplet/floorlet period

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value gamma

presentValueTheta

public CurrencyAmount presentValueTheta(IborCapletFloorletPeriod period,
                                        RatesProvider ratesProvider,
                                        IborCapletFloorletVolatilities volatilities)

Calculates the present value theta of the Ibor caplet/floorlet period.

The present value theta is given by the minus of the present value sensitivity to the timeToExpiry parameter of the model.

Parameters:

period - the Ibor caplet/floorlet period

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value theta

presentValueSensitivityRates

public PointSensitivityBuilder presentValueSensitivityRates(IborCapletFloorletPeriod period,
                                                            RatesProvider ratesProvider,
                                                            IborCapletFloorletVolatilities volatilities)

Calculates the present value rates sensitivity of the Ibor caplet/floorlet.

The present value rates sensitivity of the caplet/floorlet is the sensitivity of the present value to the underlying curves.

Parameters:

period - the Ibor caplet/floorlet period

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the present value curve sensitivity

presentValueSensitivityModelParamsVolatility

public PointSensitivityBuilder presentValueSensitivityModelParamsVolatility(IborCapletFloorletPeriod period,
                                                                            RatesProvider ratesProvider,
                                                                            IborCapletFloorletVolatilities volatilities)

Calculates the present value volatility sensitivity of the Ibor caplet/floorlet.

The present value volatility sensitivity of the caplet/floorlet is the sensitivity of the present value to the implied volatility.

The sensitivity to the implied volatility is also called vega.

Parameters:

period - the Ibor caplet/floorlet period

ratesProvider - the rates provider

volatilities - the volatilities

Returns:

the point sensitivity to the volatility

validate

protected void validate(IborCapletFloorletVolatilities volatilities)

Validate the volatilities provider.

This validate method should be overridden such that a correct implementation of IborCapletFloorletVolatilities is used for pricing.

Parameters:

volatilities - the volatilities