//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value delta of the Ibor cap/floor leg.
/// <para>
/// The present value delta of the leg is the sensitivity value on the valuation date.
/// The result is returned using the payment currency of the leg.
///
/// </para>
/// </summary>
/// <param name="capFloorLeg"> the Ibor cap/floor leg </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the present value delta </returns>
public virtual CurrencyAmount presentValueDelta(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
validate(ratesProvider, volatilities);
return(capFloorLeg.CapletFloorletPeriods.Select(period => periodPricer.presentValueDelta(period, ratesProvider, volatilities)).Aggregate((c1, c2) => c1.plus(c2)).get());
}
/// <summary>
/// Calculates the present value sensitivity to the SABR model parameters of the Ibor cap/floor.
/// <para>
/// The sensitivity of the present value to the SABR model parameters, alpha, beta, rho and nu.
///
/// </para>
/// </summary>
/// <param name="capFloorLeg"> the Ibor cap/floor </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the point sensitivity to the SABR model parameters </returns>
public virtual PointSensitivityBuilder presentValueSensitivityModelParamsSabr(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)
{
validate(ratesProvider, volatilities);
return(capFloorLeg.CapletFloorletPeriods.Select(period => periodPricer.presentValueSensitivityModelParamsSabr(period, ratesProvider, volatilities)).Aggregate((c1, c2) => c1.combinedWith(c2)).get());
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the current cash of the Ibor cap/floor leg.
/// </summary>
/// <param name="capFloorLeg"> the Ibor cap/floor leg </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the current cash </returns>
public virtual CurrencyAmount currentCash(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
validate(ratesProvider, volatilities);
return(capFloorLeg.CapletFloorletPeriods.Where(period => period.PaymentDate.Equals(ratesProvider.ValuationDate)).Select(period => periodPricer.presentValue(period, ratesProvider, volatilities)).Aggregate((c1, c2) => c1.plus(c2)).orElse(CurrencyAmount.zero(capFloorLeg.Currency)));
}
