com.opengamma.strata.pricer.swaption

Class HullWhiteSwaptionPhysicalTradePricer

java.lang.Object

com.opengamma.strata.pricer.swaption.HullWhiteSwaptionPhysicalTradePricer

public class HullWhiteSwaptionPhysicalTradePricer
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 HullWhiteSwaptionPhysicalTradePricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
HullWhiteSwaptionPhysicalTradePricer()

Method Summary

Modifier and Type	Method and Description
MultiCurrencyAmount	currencyExposure(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider) Computes the currency exposure of the swaption trade.
CurrencyAmount	currentCash(ResolvedSwaptionTrade trade, LocalDate valuationDate) Calculates the current cash of the swaption trade.
CurrencyAmount	presentValue(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider) Calculates the present value of the swaption trade.
DoubleArray	presentValueSensitivityModelParamsHullWhite(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider) Calculates the present value sensitivity piecewise constant volatility parameters of the Hull-White model.
PointSensitivities	presentValueSensitivityRates(ResolvedSwaptionTrade trade, 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 HullWhiteSwaptionPhysicalTradePricer DEFAULT

Default implementation.

Constructor Detail

HullWhiteSwaptionPhysicalTradePricer

public HullWhiteSwaptionPhysicalTradePricer()

Method Detail

presentValue

public CurrencyAmount presentValue(ResolvedSwaptionTrade trade,
                                   RatesProvider ratesProvider,
                                   HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)

Calculates the present value of the swaption trade.

The result is expressed using the currency of the swapion.

Parameters:

trade - the swaption trade

ratesProvider - the rates provider

hwProvider - the Hull-White model parameter trade

Returns:

the present value

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedSwaptionTrade trade,
                                            RatesProvider ratesProvider,
                                            HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)

Computes the currency exposure of the swaption trade.

Parameters:

trade - the swaption trade

ratesProvider - the rates provider

hwProvider - the Hull-White model parameter provider

Returns:

the currency exposure

currentCash

public CurrencyAmount currentCash(ResolvedSwaptionTrade trade,
                                  LocalDate valuationDate)

Calculates the current cash of the swaption trade.

Only the premium is contributing to the current cash for non-cash settle swaptions.

Parameters:

trade - the swaption trade

valuationDate - the valuation date

Returns:

the current cash amount

presentValueSensitivityRates

public PointSensitivities presentValueSensitivityRates(ResolvedSwaptionTrade trade,
                                                       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:

trade - the swaption trade

ratesProvider - the rates provider

hwProvider - the Hull-White model parameter provider

Returns:

the point sensitivity to the rate curves

presentValueSensitivityModelParamsHullWhite

public DoubleArray presentValueSensitivityModelParamsHullWhite(ResolvedSwaptionTrade trade,
                                                               RatesProvider ratesProvider,
                                                               HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)

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

Parameters:

trade - the swaption trade

ratesProvider - the rates provider

hwProvider - the Hull-White model parameter provider

Returns:

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