com.opengamma.strata.pricer.swaption

Class SabrSwaptionRawDataSensitivityCalculator

java.lang.Object

com.opengamma.strata.pricer.swaption.SabrSwaptionRawDataSensitivityCalculator

public class SabrSwaptionRawDataSensitivityCalculator
extends Object

Calculator to obtain the raw data sensitivities for swaption related products using calibrated SABR data.

This needs data sensitivity info obtained during curve calibration.

Field Summary

Fields

Modifier and Type	Field and Description
static SabrSwaptionRawDataSensitivityCalculator	DEFAULT The default instance.

Constructor Summary

Constructors

Constructor and Description
SabrSwaptionRawDataSensitivityCalculator()

Method Summary

Modifier and Type	Method and Description
CurrencyParameterSensitivity	parallelSensitivity(CurrencyParameterSensitivities paramSensitivities, SabrParametersSwaptionVolatilities volatilities) Calculates the raw data sensitivities from SABR parameter sensitivity.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final SabrSwaptionRawDataSensitivityCalculator DEFAULT

The default instance.

Constructor Detail

SabrSwaptionRawDataSensitivityCalculator

public SabrSwaptionRawDataSensitivityCalculator()

Method Detail

parallelSensitivity

public CurrencyParameterSensitivity parallelSensitivity(CurrencyParameterSensitivities paramSensitivities,
                                                        SabrParametersSwaptionVolatilities volatilities)

Calculates the raw data sensitivities from SABR parameter sensitivity.

The SABR parameter sensitivities to data are stored in some optional data in the SabrParametersSwaptionVolatilities. The sensitivities to the SABR parameters passed in should be compatible with the SABR parameters in term of data order.

Only the sensitivity to the SABR parameters for which there is a data sensitivity are taken into account. At least one of the four parameter must have such sensitivities.

Parameters:

paramSensitivities - the curve SABR parameter sensitivities

volatilities - the SABR parameters, including the data sensitivity metadata

Returns:

the raw data sensitivities