//-------------------------------------------------------------------------
// price and vega function
private System.Func <double, double[]> getValueVegaFunction(ResolvedIborCapFloorLeg cap, RatesProvider ratesProvider, IborCapletFloorletVolatilities vols, ZonedDateTime prevExpiry, int nodeIndex)
{
VolatilityIborCapletFloorletPeriodPricer periodPricer = LegPricer.PeriodPricer;
System.Func <double, double[]> priceAndVegaFunction = (double?x) =>
{
IborCapletFloorletVolatilities newVols = vols.withParameter(nodeIndex, x.Value);
double price = cap.CapletFloorletPeriods.Where(p => p.FixingDateTime.isAfter(prevExpiry)).Select(p => periodPricer.presentValue(p, ratesProvider, newVols).Amount).Sum();
PointSensitivities point = cap.CapletFloorletPeriods.Where(p => p.FixingDateTime.isAfter(prevExpiry)).Select(p => periodPricer.presentValueSensitivityModelParamsVolatility(p, ratesProvider, newVols)).Aggregate((c1, c2) => c1.combinedWith(c2)).get().build();
CurrencyParameterSensitivities sensi = newVols.parameterSensitivity(point);
double vega = sensi.Sensitivities.get(0).Sensitivity.get(nodeIndex);
return(new double[] { price, vega });
};
return(priceAndVegaFunction);
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="periodPricer"> the pricer for <seealso cref="IborCapletFloorletPeriod"/>. </param>
public VolatilityIborCapFloorLegPricer(VolatilityIborCapletFloorletPeriodPricer periodPricer)
{
this.periodPricer = ArgChecker.notNull(periodPricer, "periodPricer");
}
// sum of caplet prices which are already fixed
private double priceFixed(ResolvedIborCapFloorLeg cap, RatesProvider ratesProvider, IborCapletFloorletVolatilities vols, ZonedDateTime prevExpiry)
{
VolatilityIborCapletFloorletPeriodPricer periodPricer = LegPricer.PeriodPricer;
return(cap.CapletFloorletPeriods.Where(p => !p.FixingDateTime.isAfter(prevExpiry)).Select(p => periodPricer.presentValue(p, ratesProvider, vols).Amount).Sum());
}
