com.opengamma.strata.pricer.swaption

Class SabrSwaptionTradePricer

java.lang.Object

com.opengamma.strata.pricer.swaption.SabrSwaptionTradePricer

public class SabrSwaptionTradePricer
extends Object

Pricer for swaption trade in the SABR 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 SabrSwaptionTradePricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
SabrSwaptionTradePricer(SabrSwaptionCashParYieldProductPricer cashParYieldPricer, SabrSwaptionPhysicalProductPricer physicalPricer, DiscountingPaymentPricer paymentPricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
MultiCurrencyAmount	currencyExposure(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities 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, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value of the swaption trade.
PointSensitivities	presentValueSensitivityModelParamsSabr(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity to the SABR model parameters of the swaption trade.
PointSensitivities	presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity to the implied volatility of the swaption trade.
PointSensitivities	presentValueSensitivityRatesStickyModel(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity of the swaption trade to the rate curves.
PointSensitivities	presentValueSensitivityRatesStickyStrike(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities 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 SabrSwaptionTradePricer DEFAULT

Default implementation.

Constructor Detail

SabrSwaptionTradePricer

public SabrSwaptionTradePricer(SabrSwaptionCashParYieldProductPricer cashParYieldPricer,
                               SabrSwaptionPhysicalProductPricer 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,
                                   SabrSwaptionVolatilities 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,
                                                                   SabrSwaptionVolatilities 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

presentValueSensitivityRatesStickyModel

public PointSensitivities presentValueSensitivityRatesStickyModel(ResolvedSwaptionTrade trade,
                                                                  RatesProvider ratesProvider,
                                                                  SabrSwaptionVolatilities swaptionVolatilities)

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

The present value sensitivity is computed in a "sticky model parameter" style, i.e. the sensitivity to the curve nodes with the SABR model parameters unchanged. This sensitivity does not include a potential re-calibration of the model parameters to the raw market data.

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,
                                                                       SabrSwaptionVolatilities swaptionVolatilities)

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

Parameters:

trade - the swaption trade

ratesProvider - the rates provider

swaptionVolatilities - the volatilities

Returns:

the point sensitivity to the implied volatility

presentValueSensitivityModelParamsSabr

public PointSensitivities presentValueSensitivityModelParamsSabr(ResolvedSwaptionTrade trade,
                                                                 RatesProvider ratesProvider,
                                                                 SabrSwaptionVolatilities swaptionVolatilities)

Calculates the present value sensitivity to the SABR model parameters of the swaption trade.

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

Parameters:

trade - the swaption trade

ratesProvider - the rates provider

swaptionVolatilities - the volatilities

Returns:

the point sensitivity to the SABR model parameters

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedSwaptionTrade trade,
                                            RatesProvider ratesProvider,
                                            SabrSwaptionVolatilities 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