//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the Ibor caplet/floorlet period.
/// <para>
/// The result is expressed using the currency of the period.
///
/// </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 </returns>
public virtual CurrencyAmount presentValue(IborCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
validate(volatilities);
Currency currency = period.Currency;
if (ratesProvider.ValuationDate.isAfter(period.PaymentDate))
{
return(CurrencyAmount.of(currency, 0d));
}
double expiry = volatilities.relativeTime(period.FixingDateTime);
double df = ratesProvider.discountFactor(currency, period.PaymentDate);
PutCall putCall = period.PutCall;
double strike = period.Strike;
double indexRate = ratesProvider.iborIndexRates(period.Index).rate(period.IborRate.Observation);
if (expiry < 0d)
{ // Option has expired already
double sign = putCall.Call ? 1d : -1d;
double payoff = Math.Max(sign * (indexRate - strike), 0d);
return(CurrencyAmount.of(currency, df * payoff * period.YearFraction * period.Notional));
}
double volatility = volatilities.volatility(expiry, strike, indexRate);
double price = df * period.YearFraction * volatilities.price(expiry, putCall, strike, indexRate, volatility);
return(CurrencyAmount.of(currency, price * period.Notional));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value rates sensitivity of the Ibor caplet/floorlet.
/// <para>
/// The present value rates sensitivity of the caplet/floorlet is the sensitivity
/// of the present value to the underlying curves.
///
/// </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 curve sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivityRates(IborCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
validate(volatilities);
Currency currency = period.Currency;
if (ratesProvider.ValuationDate.isAfter(period.PaymentDate))
{
return(PointSensitivityBuilder.none());
}
double expiry = volatilities.relativeTime(period.FixingDateTime);
PutCall putCall = period.PutCall;
double strike = period.Strike;
double indexRate = ratesProvider.iborIndexRates(period.Index).rate(period.IborRate.Observation);
PointSensitivityBuilder dfSensi = ratesProvider.discountFactors(currency).zeroRatePointSensitivity(period.PaymentDate);
if (expiry < 0d)
{ // Option has expired already
double sign = putCall.Call ? 1d : -1d;
double payoff = Math.Max(sign * (indexRate - strike), 0d);
return(dfSensi.multipliedBy(payoff * period.YearFraction * period.Notional));
}
PointSensitivityBuilder indexRateSensiSensi = ratesProvider.iborIndexRates(period.Index).ratePointSensitivity(period.IborRate.Observation);
double volatility = volatilities.volatility(expiry, strike, indexRate);
double df = ratesProvider.discountFactor(currency, period.PaymentDate);
double factor = period.Notional * period.YearFraction;
double fwdPv = factor * volatilities.price(expiry, putCall, strike, indexRate, volatility);
double fwdDelta = factor * volatilities.priceDelta(expiry, putCall, strike, indexRate, volatility);
return(dfSensi.multipliedBy(fwdPv).combinedWith(indexRateSensiSensi.multipliedBy(fwdDelta * df)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes the implied volatility of the Ibor caplet/floorlet.
/// </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 implied volatility </returns>
public virtual double impliedVolatility(IborCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
validate(volatilities);
double expiry = volatilities.relativeTime(period.FixingDateTime);
ArgChecker.isTrue(expiry >= 0d, "Option must be before expiry to compute an implied volatility");
double forward = ratesProvider.iborIndexRates(period.Index).rate(period.IborRate.Observation);
double strike = period.Strike;
return(volatilities.volatility(expiry, strike, forward));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value volatility sensitivity of the Ibor caplet/floorlet.
/// <para>
/// The present value volatility sensitivity of the caplet/floorlet is the sensitivity
/// of the present value to the implied volatility.
/// </para>
/// <para>
/// The sensitivity to the implied volatility is also called vega.
///
/// </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 point sensitivity to the volatility </returns>
public virtual PointSensitivityBuilder presentValueSensitivityModelParamsVolatility(IborCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
validate(volatilities);
double expiry = volatilities.relativeTime(period.FixingDateTime);
double strike = period.Strike;
Currency currency = period.Currency;
if (expiry <= 0d)
{ // Option has expired already or at expiry
return(PointSensitivityBuilder.none());
}
double forward = ratesProvider.iborIndexRates(period.Index).rate(period.IborRate.Observation);
double volatility = volatilities.volatility(expiry, strike, forward);
PutCall putCall = period.PutCall;
double df = ratesProvider.discountFactor(currency, period.PaymentDate);
double vega = df * period.YearFraction * volatilities.priceVega(expiry, putCall, strike, forward, volatility);
return(IborCapletFloorletSensitivity.of(volatilities.Name, expiry, strike, forward, currency, vega * period.Notional));
}
//-------------------------------------------------------------------------
/// <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));
}
//-------------------------------------------------------------------------
// create complete lists of caps, volatilities, strikes, expiries
protected internal virtual void reduceRawData(IborCapletFloorletVolatilityDefinition definition, RatesProvider ratesProvider, DoubleArray strikes, DoubleArray volatilityData, DoubleArray errors, LocalDate startDate, LocalDate endDate, SurfaceMetadata metadata, System.Func <Surface, IborCapletFloorletVolatilities> volatilityFunction, IList <double> timeList, IList <double> strikeList, IList <double> volList, IList <ResolvedIborCapFloorLeg> capList, IList <double> priceList, IList <double> errorList)
{
int nStrikes = strikes.size();
for (int i = 0; i < nStrikes; ++i)
{
if (Double.isFinite(volatilityData.get(i)))
{
ResolvedIborCapFloorLeg capFloor = definition.createCap(startDate, endDate, strikes.get(i)).resolve(referenceData);
capList.Add(capFloor);
strikeList.Add(strikes.get(i));
volList.Add(volatilityData.get(i));
ConstantSurface constVolSurface = ConstantSurface.of(metadata, volatilityData.get(i));
IborCapletFloorletVolatilities vols = volatilityFunction(constVolSurface);
timeList.Add(vols.relativeTime(capFloor.FinalFixingDateTime));
priceList.Add(pricer.presentValue(capFloor, ratesProvider, vols).Amount);
errorList.Add(errors.get(i));
}
}
}
