//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value rates sensitivity of the Ibor cap/floor product.
/// <para>
/// The present value rates sensitivity of the product is the sensitivity
/// of the present value to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="capFloor"> the Ibor cap/floor product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivityRates(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
PointSensitivityBuilder pvSensiCapFloorLeg = capFloorLegPricer.presentValueSensitivityRates(capFloor.CapFloorLeg, ratesProvider, volatilities);
if (!capFloor.PayLeg.Present)
{
return(pvSensiCapFloorLeg);
}
PointSensitivityBuilder pvSensiPayLeg = payLegPricer.presentValueSensitivity(capFloor.PayLeg.get(), ratesProvider);
return(pvSensiCapFloorLeg.combinedWith(pvSensiPayLeg));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the Ibor cap/floor product.
/// <para>
/// The present value of the product is the value on the valuation date.
/// </para>
/// <para>
/// The cap/floor leg and pay leg are typically in the same currency, thus the
/// present value gamma is expressed as a single currency amount in most cases.
///
/// </para>
/// </summary>
/// <param name="capFloor"> the Ibor cap/floor product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the present value </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
CurrencyAmount pvCapFloorLeg = capFloorLegPricer.presentValue(capFloor.CapFloorLeg, ratesProvider, volatilities);
if (!capFloor.PayLeg.Present)
{
return(MultiCurrencyAmount.of(pvCapFloorLeg));
}
CurrencyAmount pvPayLeg = payLegPricer.presentValue(capFloor.PayLeg.get(), ratesProvider);
return(MultiCurrencyAmount.of(pvCapFloorLeg).plus(pvPayLeg));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value volatility sensitivity of the Ibor cap/floor product.
/// <para>
/// The sensitivity of the present value to the SABR model parameters, alpha, beta, rho and nu.
///
/// </para>
/// </summary>
/// <param name="capFloor"> the Ibor cap/floor product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivityModelParamsSabr(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)
{
return(capFloorLegPricer.presentValueSensitivityModelParamsSabr(capFloor.CapFloorLeg, ratesProvider, volatilities));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value theta of the Ibor cap/floor product.
/// <para>
/// The present value of the product is the sensitivity value on the valuation date.
/// </para>
/// <para>
/// The cap/floor leg and pay leg are typically in the same currency, thus the
/// present value gamma is expressed as a single currency amount in most cases.
///
/// </para>
/// </summary>
/// <param name="capFloor"> the Ibor cap/floor product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the present value theta </returns>
public virtual MultiCurrencyAmount presentValueTheta(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
CurrencyAmount pvCapFloorLeg = capFloorLegPricer.presentValueTheta(capFloor.CapFloorLeg, ratesProvider, volatilities);
return(MultiCurrencyAmount.of(pvCapFloorLeg));
}
