//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity to the SABR model parameters of the swaption product.
/// <para>
/// The sensitivity of the present value to the SABR model parameters, alpha, beta, rho and nu.
///
/// </para>
/// </summary>
/// <param name="swaption"> the swaption product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the volatilities </param>
/// <returns> the point sensitivity to the SABR model parameters </returns>
public virtual PointSensitivityBuilder presentValueSensitivityModelParamsSabr(ResolvedSwaption swaption, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
validate(swaption, ratesProvider, swaptionVolatilities);
double expiry = swaptionVolatilities.relativeTime(swaption.Expiry);
ResolvedSwap underlying = swaption.Underlying;
ResolvedSwapLeg fixedLeg = this.fixedLeg(underlying);
double tenor = swaptionVolatilities.tenor(fixedLeg.StartDate, fixedLeg.EndDate);
double shift = swaptionVolatilities.shift(expiry, tenor);
double pvbp = SwapPricer.LegPricer.pvbp(fixedLeg, ratesProvider);
double strike = SwapPricer.LegPricer.couponEquivalent(fixedLeg, ratesProvider, pvbp);
if (expiry < 0d)
{ // Option has expired already
return(PointSensitivityBuilder.none());
}
double forward = SwapPricer.parRate(underlying, ratesProvider);
double volatility = swaptionVolatilities.volatility(expiry, tenor, strike, forward);
DoubleArray derivative = swaptionVolatilities.volatilityAdjoint(expiry, tenor, strike, forward).Derivatives;
// Backward sweep
double vega = Math.Abs(pvbp) * BlackFormulaRepository.vega(forward + shift, strike + shift, expiry, volatility) * swaption.LongShort.sign();
// sensitivities
Currency ccy = fixedLeg.Currency;
SwaptionVolatilitiesName name = swaptionVolatilities.Name;
return(PointSensitivityBuilder.of(SwaptionSabrSensitivity.of(name, expiry, tenor, ALPHA, ccy, vega * derivative.get(2)), SwaptionSabrSensitivity.of(name, expiry, tenor, BETA, ccy, vega * derivative.get(3)), SwaptionSabrSensitivity.of(name, expiry, tenor, RHO, ccy, vega * derivative.get(4)), SwaptionSabrSensitivity.of(name, expiry, tenor, NU, ccy, vega * derivative.get(5))));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the swaption product to the rate curves.
/// <para>
/// The present value sensitivity is computed in a "sticky model parameter" style, i.e. the sensitivity to the
/// curve nodes with the SABR model parameters unchanged. This sensitivity does not include a potential
/// re-calibration of the model parameters to the raw market data.
///
/// </para>
/// </summary>
/// <param name="swaption"> the swaption product </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 PointSensitivityBuilder presentValueSensitivityRatesStickyModel(ResolvedSwaption swaption, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
validate(swaption, ratesProvider, swaptionVolatilities);
ZonedDateTime expiryDateTime = swaption.Expiry;
double expiry = swaptionVolatilities.relativeTime(expiryDateTime);
ResolvedSwap underlying = swaption.Underlying;
ResolvedSwapLeg fixedLeg = this.fixedLeg(underlying);
if (expiry < 0d)
{ // Option has expired already
return(PointSensitivityBuilder.none());
}
double forward = SwapPricer.parRate(underlying, ratesProvider);
double pvbp = SwapPricer.LegPricer.pvbp(fixedLeg, ratesProvider);
double strike = SwapPricer.LegPricer.couponEquivalent(fixedLeg, ratesProvider, pvbp);
double tenor = swaptionVolatilities.tenor(fixedLeg.StartDate, fixedLeg.EndDate);
double shift = swaptionVolatilities.shift(expiry, tenor);
ValueDerivatives volatilityAdj = swaptionVolatilities.volatilityAdjoint(expiry, tenor, strike, forward);
bool isCall = fixedLeg.PayReceive.Pay;
// Payer at strike is exercise when rate > strike, i.e. call on rate
// Backward sweep
PointSensitivityBuilder pvbpDr = SwapPricer.LegPricer.pvbpSensitivity(fixedLeg, ratesProvider);
PointSensitivityBuilder forwardDr = SwapPricer.parRateSensitivity(underlying, ratesProvider);
double shiftedForward = forward + shift;
double shiftedStrike = strike + shift;
double price = BlackFormulaRepository.price(shiftedForward, shiftedStrike, expiry, volatilityAdj.Value, isCall);
double delta = BlackFormulaRepository.delta(shiftedForward, shiftedStrike, expiry, volatilityAdj.Value, isCall);
double vega = BlackFormulaRepository.vega(shiftedForward, shiftedStrike, expiry, volatilityAdj.Value);
double sign = swaption.LongShort.sign();
return(pvbpDr.multipliedBy(price * sign * Math.Sign(pvbp)).combinedWith(forwardDr.multipliedBy((delta + vega * volatilityAdj.getDerivative(0)) * Math.Abs(pvbp) * sign)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the swaption product to the rate curves.
/// <para>
/// The present value sensitivity is computed in a "sticky model parameter" style, i.e. the sensitivity to the
/// curve nodes with the SABR model parameters unchanged. This sensitivity does not include a potential
/// re-calibration of the model parameters to the raw market data.
///
/// </para>
/// </summary>
/// <param name="swaption"> the swaption product </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 PointSensitivityBuilder presentValueSensitivityRatesStickyModel(ResolvedSwaption swaption, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
validate(swaption, ratesProvider, swaptionVolatilities);
ZonedDateTime expiryDateTime = swaption.Expiry;
double expiry = swaptionVolatilities.relativeTime(expiryDateTime);
ResolvedSwap underlying = swaption.Underlying;
ResolvedSwapLeg fixedLeg = this.fixedLeg(underlying);
if (expiry < 0d)
{ // Option has expired already
return(PointSensitivityBuilder.none());
}
double forward = SwapPricer.parRate(underlying, ratesProvider);
ValueDerivatives annuityDerivative = SwapPricer.LegPricer.annuityCashDerivative(fixedLeg, forward);
double annuityCash = annuityDerivative.Value;
double annuityCashDr = annuityDerivative.getDerivative(0);
LocalDate settlementDate = ((CashSwaptionSettlement)swaption.SwaptionSettlement).SettlementDate;
double discountSettle = ratesProvider.discountFactor(fixedLeg.Currency, settlementDate);
double strike = calculateStrike(fixedLeg);
double tenor = swaptionVolatilities.tenor(fixedLeg.StartDate, fixedLeg.EndDate);
double shift = swaptionVolatilities.shift(expiry, tenor);
ValueDerivatives volatilityAdj = swaptionVolatilities.volatilityAdjoint(expiry, tenor, strike, forward);
bool isCall = fixedLeg.PayReceive.Pay;
double shiftedForward = forward + shift;
double shiftedStrike = strike + shift;
double price = BlackFormulaRepository.price(shiftedForward, shiftedStrike, expiry, volatilityAdj.Value, isCall);
double delta = BlackFormulaRepository.delta(shiftedForward, shiftedStrike, expiry, volatilityAdj.Value, isCall);
double vega = BlackFormulaRepository.vega(shiftedForward, shiftedStrike, expiry, volatilityAdj.Value);
PointSensitivityBuilder forwardSensi = SwapPricer.parRateSensitivity(underlying, ratesProvider);
PointSensitivityBuilder discountSettleSensi = ratesProvider.discountFactors(fixedLeg.Currency).zeroRatePointSensitivity(settlementDate);
double sign = swaption.LongShort.sign();
return(forwardSensi.multipliedBy(sign * discountSettle * (annuityCash * (delta + vega * volatilityAdj.getDerivative(0)) + annuityCashDr * price)).combinedWith(discountSettleSensi.multipliedBy(sign * annuityCash * price)));
}
