//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the CMS product.
/// <para>
/// The present value of the product is the value on the valuation date.
/// </para>
/// <para>
/// CMS leg and pay leg are typically in the same currency. Thus the present value is expressed as a
/// single currency amount in most cases.
///
/// </para>
/// </summary>
/// <param name="cms"> the CMS product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
CurrencyAmount pvCmsLeg = cmsLegPricer.presentValue(cms.CmsLeg, ratesProvider, swaptionVolatilities);
if (!cms.PayLeg.Present)
{
return(MultiCurrencyAmount.of(pvCmsLeg));
}
CurrencyAmount pvPayLeg = payLegPricer.presentValue(cms.PayLeg.get(), ratesProvider);
return(MultiCurrencyAmount.of(pvCmsLeg).plus(pvPayLeg));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value curve sensitivity of the CMS product.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="cms"> the CMS product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivityRates(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
PointSensitivityBuilder pvSensiCmsLeg = cmsLegPricer.presentValueSensitivityRates(cms.CmsLeg, ratesProvider, swaptionVolatilities);
if (!cms.PayLeg.Present)
{
return(pvSensiCmsLeg);
}
PointSensitivityBuilder pvSensiPayLeg = payLegPricer.presentValueSensitivity(cms.PayLeg.get(), ratesProvider);
return(pvSensiCmsLeg.combinedWith(pvSensiPayLeg));
}
//-------------------------------------------------------------------------
/// <summary>
/// Explains the present value of the CMS product.
/// <para>
/// This returns explanatory information about the calculation.
///
/// </para>
/// </summary>
/// <param name="cms"> the CMS product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the explain PV map </returns>
public virtual ExplainMap explainPresentValue(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
ExplainMapBuilder builder = ExplainMap.builder();
builder.put(ExplainKey.ENTRY_TYPE, "CmsSwap");
IList <ExplainMap> legsExplain = new List <ExplainMap>();
legsExplain.Add(cmsLegPricer.explainPresentValue(cms.CmsLeg, ratesProvider, swaptionVolatilities));
if (cms.PayLeg.Present)
{
legsExplain.Add(payLegPricer.explainPresentValue(cms.PayLeg.get(), ratesProvider));
}
builder.put(ExplainKey.LEGS, legsExplain);
return(builder.build());
}
/// <summary>
/// Calculates the present value sensitivity to the strike value.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value to the strike value.
/// This is not relevant for CMS coupons and an exception is thrown in the underlying pricer.
///
/// </para>
/// </summary>
/// <param name="cms"> the CMS product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual double presentValueSensitivityStrike(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
return(cmsLegPricer.presentValueSensitivityStrike(cms.CmsLeg, ratesProvider, swaptionVolatilities));
}
/// <summary>
/// Calculates the present value sensitivity to the SABR model parameters.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value
/// to the SABR model parameters, alpha, beta, rho and nu.
///
/// </para>
/// </summary>
/// <param name="cms"> the CMS product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivityModelParamsSabr(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
return(cmsLegPricer.presentValueSensitivityModelParamsSabr(cms.CmsLeg, ratesProvider, swaptionVolatilities));
}
