@Override
public Double visitVarianceSwap(
final VarianceSwap derivative, final EquityOptionDataBundle market) {
Validate.notNull(market);
Validate.notNull(derivative);
return PRICER.presentValue(derivative, market);
}
/**
* Calculates the sensitivity of the present value (PV) to a change in the funding rate from
* valuation to settlement. Also know as PVBP and DV01, though note this return per UNIT change in
* rate. calcPV01 returns per basis point change in rates.
*
* <p>
*
* <p>Rates enter the pricing of a VarianceSwap in two places: in the discounting and forward
* projection.
*
* <p>The presentValue has been structured such that the form of the PV = Z(t,T) * FwdPrice(t,T)
* with Z a zero coupon bond, and t and T the valuation and settlement times respectively. The
* form of our discounting rates is such that Z(t,T) = exp[- R(t,T) * (T-t)], hence dZ/dR =
* -(T-t)*Z(t,T) and d(PV)/dR = PV * dZ/dR The forward's dependence on the discounting rate is
* similar to the zero coupon bonds, but of opposite sign, dF/dR = (T-t)*F(t,T)
*
* @param swap the VarianceSwap
* @param market the VarianceSwapDataBundle
* @param shift Relative size of shift made in centered-finite difference approximation.
* @return A Double in the currency, deriv.getCurrency(). Currency amount per unit amount change
* in discount rate
*/
@SuppressWarnings({})
public Double calcDiscountRateSensitivity(
final VarianceSwap swap, final VarianceSwapDataBundle market, final double shift) {
Validate.notNull(market);
Validate.notNull(swap);
// Sensitivity from the discounting
final VarianceSwapStaticReplication pricer = new VarianceSwapStaticReplication();
final double pv = pricer.presentValue(swap, market);
final double timeToSettlement = swap.getTimeToSettlement();
// Sensitivity from forward projection
final double fwdSens = calcForwardSensitivity(swap, market, shift);
final double fwd = market.getForwardCurve().getForward(timeToSettlement);
return timeToSettlement * (fwd * fwdSens - pv);
}
