com.opengamma.strata.pricer.swaption

Class NormalSwaptionTradePricer

java.lang.Object

com.opengamma.strata.pricer.swaption.NormalSwaptionTradePricer

public class NormalSwaptionTradePricer
extends Object

Pricer for swaption trade in the normal model on the swap rate.

The swap underlying the swaption must have a fixed leg on which the forward rate is computed. The underlying swap must be single currency.

The volatility parameters are not adjusted for the underlying swap convention. The volatilities from the provider are taken as such.

The present value and sensitivities of the premium, if in the future, are also taken into account.

Field Summary

Fields

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

Constructor Summary

Constructors

Constructor and Description
NormalSwaptionTradePricer(NormalSwaptionCashParYieldProductPricer cashParYieldPricer, NormalSwaptionPhysicalProductPricer physicalPricer, DiscountingPaymentPricer paymentPricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
MultiCurrencyAmount	currencyExposure(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, NormalSwaptionVolatilities swaptionVolatilities) Computes the currency exposure of the swaption trade.
CurrencyAmount	currentCash(ResolvedSwaptionTrade trade, LocalDate valuationDate) Calculates the current cash of the swaption trade.
double	forwardRate(ResolvedSwaptionTrade swaptionTrade, RatesProvider ratesProvider) Provides the forward rate.
double	impliedVolatility(ResolvedSwaptionTrade swaptionTrade, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Computes the implied volatility of the swaption.
CurrencyAmount	presentValue(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, NormalSwaptionVolatilities swaptionVolatilities) Calculates the present value of the swaption trade.
PointSensitivities	presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, NormalSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity to the implied volatility of the swaption trade.
PointSensitivities	presentValueSensitivityRatesStickyStrike(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, NormalSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity of the swaption trade to the rate curves.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final NormalSwaptionTradePricer DEFAULT

Default implementation.

Constructor Detail

NormalSwaptionTradePricer

public NormalSwaptionTradePricer(NormalSwaptionCashParYieldProductPricer cashParYieldPricer,
                                 NormalSwaptionPhysicalProductPricer physicalPricer,
                                 DiscountingPaymentPricer paymentPricer)

Creates an instance.

Parameters:

cashParYieldPricer - the pricer for cash par yield

physicalPricer - the pricer for physical

paymentPricer - the pricer for Payment

Method Detail

presentValue

public CurrencyAmount presentValue(ResolvedSwaptionTrade trade,
                                   RatesProvider ratesProvider,
                                   NormalSwaptionVolatilities swaptionVolatilities)

Calculates the present value of the swaption trade.

The result is expressed using the currency of the swaption.

Parameters:

trade - the swaption trade

ratesProvider - the rates provider

swaptionVolatilities - the volatilities

Returns:

the present value

presentValueSensitivityRatesStickyStrike

public PointSensitivities presentValueSensitivityRatesStickyStrike(ResolvedSwaptionTrade trade,
                                                                   RatesProvider ratesProvider,
                                                                   NormalSwaptionVolatilities swaptionVolatilities)

Calculates the present value sensitivity of the swaption trade to the rate curves.

The present value sensitivity is computed in a "sticky strike" style, i.e. the sensitivity to the curve nodes with the volatility at the swaption strike unchanged. This sensitivity does not include a potential change of volatility due to the implicit change of forward rate or moneyness.

Parameters:

trade - the swaption trade

ratesProvider - the rates provider

swaptionVolatilities - the volatilities

Returns:

the point sensitivity to the rate curves

presentValueSensitivityModelParamsVolatility

public PointSensitivities presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade trade,
                                                                       RatesProvider ratesProvider,
                                                                       NormalSwaptionVolatilities swaptionVolatilities)

Calculates the present value sensitivity to the implied volatility of the swaption trade.

The sensitivity to the normal volatility is also called normal vega.

Parameters:

trade - the swaption trade

ratesProvider - the rates provider

swaptionVolatilities - the volatilities

Returns:

the point sensitivity to the normal volatility

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedSwaptionTrade trade,
                                            RatesProvider ratesProvider,
                                            NormalSwaptionVolatilities swaptionVolatilities)

Computes the currency exposure of the swaption trade.

Parameters:

trade - the swaption trade

ratesProvider - the rates provider

swaptionVolatilities - the volatilities

Returns:

the currency exposure

impliedVolatility

public double impliedVolatility(ResolvedSwaptionTrade swaptionTrade,
                                RatesProvider ratesProvider,
                                SwaptionVolatilities swaptionVolatilities)

Computes the implied volatility of the swaption.

Parameters:

swaptionTrade - the swaption trade

ratesProvider - the rates provider

swaptionVolatilities - the volatilities

Returns:

the implied volatility

forwardRate

public double forwardRate(ResolvedSwaptionTrade swaptionTrade,
                          RatesProvider ratesProvider)

Provides the forward rate.

This is the par rate for the forward starting swap that is the underlying of the swaption.

Parameters:

swaptionTrade - the swaption trade

ratesProvider - the rates provider

Returns:

the forward rate

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