//------------------------------------------------------------------------- /// <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, BlackSwaptionVolatilities 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 Black volatility is also called Black 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 Black volatility </returns> public virtual PointSensitivities presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, BlackSwaptionVolatilities 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, BlackSwaptionVolatilities 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, BlackSwaptionVolatilities 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()); }