//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity to the implied volatility of the swaption trade.
/// <para>
/// The sensitivity to the implied volatility is also called 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 implied volatility </returns>
public virtual PointSensitivities presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)
{
ResolvedSwaption product = trade.Product;
SwaptionSensitivity pointSens = productPricer.presentValueSensitivityModelParamsVolatility(product, ratesProvider, swaptionVolatilities);
return(PointSensitivities.of(pointSens));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity to the SABR model parameters of the swaption trade.
/// <para>
/// The sensitivity of the present value to the SABR model parameters, alpha, beta, rho and nu.
///
/// </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 SABR model parameters </returns>
public virtual PointSensitivities presentValueSensitivityModelParamsSabr(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
ResolvedSwaption product = trade.Product;
PointSensitivityBuilder pointSens = isCash(product) ? cashParYieldPricer.presentValueSensitivityModelParamsSabr(product, ratesProvider, swaptionVolatilities) : physicalPricer.presentValueSensitivityModelParamsSabr(product, ratesProvider, swaptionVolatilities);
return(pointSens.build());
}
//-------------------------------------------------------------------------
/// <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>
/// Calculates the present value of the swaption trade.
/// <para>
/// The result is expressed using the currency of the swapion.
///
/// </para>
/// </summary>
/// <param name="trade"> the swaption trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter trade </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
ResolvedSwaption product = trade.Product;
CurrencyAmount pvProduct = PRICER_PRODUCT.presentValue(product, ratesProvider, hwProvider);
Payment premium = trade.Premium;
CurrencyAmount pvPremium = PRICER_PREMIUM.presentValue(premium, ratesProvider);
return(pvProduct.plus(pvPremium));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the swaption product.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the swaption trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <returns> the point sensitivity to the rate curves </returns>
public virtual PointSensitivities presentValueSensitivityRates(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
ResolvedSwaption product = trade.Product;
PointSensitivityBuilder pvcsProduct = PRICER_PRODUCT.presentValueSensitivityRates(product, ratesProvider, hwProvider);
Payment premium = trade.Premium;
PointSensitivityBuilder pvcsPremium = PRICER_PREMIUM.presentValueSensitivity(premium, ratesProvider);
return(pvcsProduct.combinedWith(pvcsPremium).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes the implied volatility of the swaption.
/// </summary>
/// <param name="swaption"> the swaption </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the volatilities </param>
/// <returns> the implied volatility </returns>
public virtual double impliedVolatility(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)
{
if (isCash(swaption))
{
return(cashParYieldPricer.impliedVolatility(swaption, ratesProvider, swaptionVolatilities));
}
else
{
return(physicalPricer.impliedVolatility(swaption, ratesProvider, swaptionVolatilities));
}
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the swaption.
/// <para>
/// The result is expressed using the currency of the swaption.
///
/// </para>
/// </summary>
/// <param name="swaption"> the swaption </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the volatilities </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)
{
if (isCash(swaption))
{
return(cashParYieldPricer.presentValue(swaption, ratesProvider, swaptionVolatilities));
}
else
{
return(physicalPricer.presentValue(swaption, ratesProvider, swaptionVolatilities));
}
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes the currency exposure of the swaption.
/// <para>
/// This is equivalent to the present value of the swaption.
///
/// </para>
/// </summary>
/// <param name="swaption"> the swaption </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the volatilities </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)
{
if (isCash(swaption))
{
return(cashParYieldPricer.currencyExposure(swaption, ratesProvider, swaptionVolatilities));
}
else
{
return(physicalPricer.currencyExposure(swaption, ratesProvider, swaptionVolatilities));
}
}
//-------------------------------------------------------------------------
/// <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, SabrSwaptionVolatilities 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 of the swaption trade 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="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 presentValueSensitivityRatesStickyModel(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
// product
ResolvedSwaption product = trade.Product;
PointSensitivityBuilder pointSens = isCash(product) ? cashParYieldPricer.presentValueSensitivityRatesStickyModel(product, ratesProvider, swaptionVolatilities) : physicalPricer.presentValueSensitivityRatesStickyModel(product, ratesProvider, swaptionVolatilities);
// premium
Payment premium = trade.Premium;
PointSensitivityBuilder pvcsPremium = paymentPricer.presentValueSensitivity(premium, ratesProvider);
// total
return(pointSens.combinedWith(pvcsPremium).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the swaption 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, SwaptionVolatilities swaptionVolatilities)
{
// product
ResolvedSwaption product = trade.Product;
PointSensitivityBuilder pvcsProduct = productPricer.presentValueSensitivityRatesStickyStrike(product, ratesProvider, swaptionVolatilities);
// premium
Payment premium = trade.Premium;
PointSensitivityBuilder pvcsPremium = paymentPricer.presentValueSensitivity(premium, ratesProvider);
// total
return(pvcsProduct.combinedWith(pvcsPremium).build());
}
//-------------------------------------------------------------------------
// is this a cash swaption
private bool isCash(ResolvedSwaption product)
{
return(product.SwaptionSettlement.SettlementType.Equals(SettlementType.CASH));
}
//-------------------------------------------------------------------------
/// <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 strike = calculateStrike(fixedLeg);
if (expiry < 0d)
{ // Option has expired already
return(PointSensitivityBuilder.none());
}
double forward = SwapPricer.parRate(underlying, ratesProvider);
double volatility = swaptionVolatilities.volatility(expiry, tenor, strike, forward);
double numeraire = calculateNumeraire(swaption, fixedLeg, forward, ratesProvider);
DoubleArray derivative = swaptionVolatilities.volatilityAdjoint(expiry, tenor, strike, forward).Derivatives;
double vega = numeraire * swaption.LongShort.sign() * BlackFormulaRepository.vega(forward + shift, strike + shift, expiry, volatility);
// 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);
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)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the swaption 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="swaption"> the swaption </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 presentValueSensitivityRatesStickyStrike(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)
{
if (isCash(swaption))
{
return(cashParYieldPricer.presentValueSensitivityRatesStickyStrike(swaption, ratesProvider, swaptionVolatilities));
}
else
{
return(physicalPricer.presentValueSensitivityRatesStickyStrike(swaption, ratesProvider, swaptionVolatilities));
}
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity piecewise constant volatility parameters of the Hull-White model.
/// </summary>
/// <param name="trade"> the swaption trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <returns> the present value Hull-White model parameter sensitivity of the swaption trade </returns>
public virtual DoubleArray presentValueSensitivityModelParamsHullWhite(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
ResolvedSwaption product = trade.Product;
return(PRICER_PRODUCT.presentValueSensitivityModelParamsHullWhite(product, ratesProvider, hwProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity to the implied volatility of the swaption.
/// <para>
/// The sensitivity to the implied volatility is also called vega.
///
/// </para>
/// </summary>
/// <param name="swaption"> the swaption </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the volatilities </param>
/// <returns> the point sensitivity to the implied volatility </returns>
public virtual SwaptionSensitivity presentValueSensitivityModelParamsVolatility(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)
{
if (isCash(swaption))
{
return(cashParYieldPricer.presentValueSensitivityModelParamsVolatility(swaption, ratesProvider, swaptionVolatilities));
}
else
{
return(physicalPricer.presentValueSensitivityModelParamsVolatility(swaption, ratesProvider, swaptionVolatilities));
}
}
