//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value theta of the Ibor caplet/floorlet period.
/// <para>
/// The present value theta is given by the minus of the present value sensitivity to the {@code timeToExpiry}
/// parameter of the model.
///
/// </para>
/// </summary>
/// <param name="period"> the Ibor caplet/floorlet period </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the present value theta </returns>
public virtual CurrencyAmount presentValueTheta(IborCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
validate(volatilities);
double expiry = volatilities.relativeTime(period.FixingDateTime);
Currency currency = period.Currency;
if (expiry < 0d)
{ // Option has expired already
return(CurrencyAmount.of(currency, 0d));
}
double forward = ratesProvider.iborIndexRates(period.Index).rate(period.IborRate.Observation);
double strike = period.Strike;
double volatility = volatilities.volatility(expiry, strike, forward);
PutCall putCall = period.PutCall;
double df = ratesProvider.discountFactor(currency, period.PaymentDate);
double priceTheta = df * period.YearFraction * volatilities.priceTheta(expiry, putCall, strike, forward, volatility);
return(CurrencyAmount.of(currency, priceTheta * period.Notional));
}
