//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the swaption trade.
/// <para>
/// The result is expressed using the currency of the swaption.
///
/// </para>
/// </summary>
/// <param name="trade"> the swaption trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the volatilities </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, NormalSwaptionVolatilities swaptionVolatilities)
{
// product
ResolvedSwaption product = trade.Product;
CurrencyAmount pvProduct = isCash(product) ? cashParYieldPricer.presentValue(product, ratesProvider, swaptionVolatilities) : physicalPricer.presentValue(product, ratesProvider, swaptionVolatilities);
// premium
Payment premium = trade.Premium;
CurrencyAmount pvPremium = paymentPricer.presentValue(premium, ratesProvider);
// total
return(pvProduct.plus(pvPremium));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity to the implied volatility of the swaption trade.
/// <para>
/// The sensitivity to the normal volatility is also called normal vega.
///
/// </para>
/// </summary>
/// <param name="trade"> the swaption trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the volatilities </param>
/// <returns> the point sensitivity to the normal volatility </returns>
public virtual PointSensitivities presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, NormalSwaptionVolatilities swaptionVolatilities)
{
ResolvedSwaption product = trade.Product;
SwaptionSensitivity pointSens = isCash(product) ? cashParYieldPricer.presentValueSensitivityModelParamsVolatility(product, ratesProvider, swaptionVolatilities) : physicalPricer.presentValueSensitivityModelParamsVolatility(product, ratesProvider, swaptionVolatilities);
return(PointSensitivities.of(pointSens));
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes the currency exposure of the swaption trade.
/// </summary>
/// <param name="trade"> the swaption trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the volatilities </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, NormalSwaptionVolatilities swaptionVolatilities)
{
return(MultiCurrencyAmount.of(presentValue(trade, ratesProvider, swaptionVolatilities)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the swaption trade to the rate curves.
/// <para>
/// The present value sensitivity is computed in a "sticky strike" style, i.e. the sensitivity to the
/// curve nodes with the volatility at the swaption strike unchanged. This sensitivity does not include a potential
/// change of volatility due to the implicit change of forward rate or moneyness.
///
/// </para>
/// </summary>
/// <param name="trade"> the swaption trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the volatilities </param>
/// <returns> the point sensitivity to the rate curves </returns>
public virtual PointSensitivities presentValueSensitivityRatesStickyStrike(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, NormalSwaptionVolatilities swaptionVolatilities)
{
// product
ResolvedSwaption product = trade.Product;
PointSensitivityBuilder pointSens = isCash(product) ? cashParYieldPricer.presentValueSensitivityRatesStickyStrike(product, ratesProvider, swaptionVolatilities) : physicalPricer.presentValueSensitivityRatesStickyStrike(product, ratesProvider, swaptionVolatilities);
// premium
Payment premium = trade.Premium;
PointSensitivityBuilder pvcsPremium = paymentPricer.presentValueSensitivity(premium, ratesProvider);
// total
return(pointSens.combinedWith(pvcsPremium).build());
}