com.opengamma.strata.pricer.swaption

Class HullWhiteSwaptionPhysicalProductPricer

java.lang.Object

com.opengamma.strata.pricer.swaption.HullWhiteSwaptionPhysicalProductPricer

public class HullWhiteSwaptionPhysicalProductPricer
extends Object

Pricer for swaption with physical settlement in Hull-White one factor model with piecewise constant volatility.

Reference: Henrard, M. "The Irony in the derivatives discounting Part II: the crisis", Wilmott Journal, 2010, 2, 301-316

Field Summary

Fields

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

Constructor Summary

Constructors

Constructor and Description
HullWhiteSwaptionPhysicalProductPricer(DiscountingPaymentPricer paymentPricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
MultiCurrencyAmount	currencyExposure(ResolvedSwaption swaption, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider) Calculates the currency exposure of the swaption product.
CurrencyAmount	presentValue(ResolvedSwaption swaption, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider) Calculates the present value of the swaption product.
DoubleArray	presentValueSensitivityModelParamsHullWhite(ResolvedSwaption swaption, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider) Calculates the present value sensitivity to piecewise constant volatility parameters of the Hull-White model.
PointSensitivityBuilder	presentValueSensitivityRates(ResolvedSwaption swaption, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider) Calculates the present value sensitivity of the swaption 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 HullWhiteSwaptionPhysicalProductPricer DEFAULT

Default implementation.

Constructor Detail

HullWhiteSwaptionPhysicalProductPricer

public HullWhiteSwaptionPhysicalProductPricer(DiscountingPaymentPricer paymentPricer)

Creates an instance.

Parameters:

paymentPricer - the pricer for Payment

Method Detail

presentValue

public CurrencyAmount presentValue(ResolvedSwaption swaption,
                                   RatesProvider ratesProvider,
                                   HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)

Calculates the present value of the swaption product.

The result is expressed using the currency of the swapion.

Parameters:

swaption - the product

ratesProvider - the rates provider

hwProvider - the Hull-White model parameter provider

Returns:

the present value

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedSwaption swaption,
                                            RatesProvider ratesProvider,
                                            HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)

Calculates the currency exposure of the swaption product.

Parameters:

swaption - the product

ratesProvider - the rates provider

hwProvider - the Hull-White model parameter provider

Returns:

the currency exposure

presentValueSensitivityRates

public PointSensitivityBuilder presentValueSensitivityRates(ResolvedSwaption swaption,
                                                            RatesProvider ratesProvider,
                                                            HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)

Calculates the present value sensitivity of the swaption product.

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

Parameters:

swaption - the product

ratesProvider - the rates provider

hwProvider - the Hull-White model parameter provider

Returns:

the point sensitivity to the rate curves

presentValueSensitivityModelParamsHullWhite

public DoubleArray presentValueSensitivityModelParamsHullWhite(ResolvedSwaption swaption,
                                                               RatesProvider ratesProvider,
                                                               HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)

Calculates the present value sensitivity to piecewise constant volatility parameters of the Hull-White model.

Parameters:

swaption - the product

ratesProvider - the rates provider

hwProvider - the Hull-White model parameter provider

Returns:

the present value Hull-White model parameter sensitivity of the swaption product