com.opengamma.strata.pricer.cms

Class SabrExtrapolationReplicationCmsLegPricer

java.lang.Object

com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsLegPricer

public class SabrExtrapolationReplicationCmsLegPricer
extends Object

Pricer for CMS legs by swaption replication on a SABR formula with extrapolation.

This function provides the ability to price ResolvedCmsLeg. One must apply resolved() in order to price CmsLeg.

Constructor Summary

Constructors

Constructor and Description
SabrExtrapolationReplicationCmsLegPricer(SabrExtrapolationReplicationCmsPeriodPricer cmsPeriodPricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
CurrencyAmount	currentCash(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the current cash of the leg.
ExplainMap	explainPresentValue(ResolvedCmsLeg cmsLeg, RatesProvider provider, SabrSwaptionVolatilities volatilities) Explains the present value of a CMS leg.
CurrencyAmount	presentValue(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value of the CMS leg.
PointSensitivityBuilder	presentValueSensitivityModelParamsSabr(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity to the SABR model parameters.
PointSensitivityBuilder	presentValueSensitivityRates(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value curve sensitivity of the CMS leg.
double	presentValueSensitivityStrike(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity to the strike value.

Methods inherited from class java.lang.Object

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

Constructor Detail

SabrExtrapolationReplicationCmsLegPricer

public SabrExtrapolationReplicationCmsLegPricer(SabrExtrapolationReplicationCmsPeriodPricer cmsPeriodPricer)

Creates an instance.

Parameters:

cmsPeriodPricer - the pricer for CmsPeriod

Method Detail

presentValue

public CurrencyAmount presentValue(ResolvedCmsLeg cmsLeg,
                                   RatesProvider ratesProvider,
                                   SabrSwaptionVolatilities swaptionVolatilities)

Calculates the present value of the CMS leg.

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

Parameters:

cmsLeg - the CMS leg

ratesProvider - the rates provider

swaptionVolatilities - the swaption volatilities

Returns:

the present value

explainPresentValue

public ExplainMap explainPresentValue(ResolvedCmsLeg cmsLeg,
                                      RatesProvider provider,
                                      SabrSwaptionVolatilities volatilities)

Explains the present value of a CMS leg.

This returns explanatory information about the calculation.

Parameters:

cmsLeg - the CMS leg

provider - the rates provider

volatilities - the swaption volatilities

Returns:

the explanatory information

presentValueSensitivityRates

public PointSensitivityBuilder presentValueSensitivityRates(ResolvedCmsLeg cmsLeg,
                                                            RatesProvider ratesProvider,
                                                            SabrSwaptionVolatilities swaptionVolatilities)

Calculates the present value curve sensitivity of the CMS leg.

The present value sensitivity of the leg is the sensitivity of the present value to the underlying curves.

Parameters:

cmsLeg - the CMS leg

ratesProvider - the rates provider

swaptionVolatilities - the swaption volatilities

Returns:

the present value sensitivity

presentValueSensitivityModelParamsSabr

public PointSensitivityBuilder presentValueSensitivityModelParamsSabr(ResolvedCmsLeg cmsLeg,
                                                                      RatesProvider ratesProvider,
                                                                      SabrSwaptionVolatilities swaptionVolatilities)

Calculates the present value sensitivity to the SABR model parameters.

The present value sensitivity of the leg is the sensitivity of the present value to the SABR model parameters, alpha, beta, rho and nu.

Parameters:

cmsLeg - the CMS leg

ratesProvider - the rates provider

swaptionVolatilities - the swaption volatilities

Returns:

the present value sensitivity

presentValueSensitivityStrike

public double presentValueSensitivityStrike(ResolvedCmsLeg cmsLeg,
                                            RatesProvider ratesProvider,
                                            SabrSwaptionVolatilities swaptionVolatilities)

Calculates the present value sensitivity to the strike value.

The present value sensitivity of the leg is the sensitivity of the present value to the strike value. This is not relevant for CMS coupons and an exception is thrown in the underlying pricer.

Parameters:

cmsLeg - the CMS leg

ratesProvider - the rates provider

swaptionVolatilities - the swaption volatilities

Returns:

the present value sensitivity

currentCash

public CurrencyAmount currentCash(ResolvedCmsLeg cmsLeg,
                                  RatesProvider ratesProvider,
                                  SabrSwaptionVolatilities swaptionVolatilities)

Calculates the current cash of the leg.

Parameters:

cmsLeg - the CMS leg

ratesProvider - the rates provider

swaptionVolatilities - the swaption volatilities

Returns:

the current cash