コード例 #1
0
  /**
   * Calculates the present value sensitivity of the swaption product.
   *
   * <p>The present value sensitivity of the product is the sensitivity of the present value to the
   * underlying curves.
   *
   * @param swaption the swaption product
   * @param ratesProvider the rates provider
   * @param volatilityProvider the normal volatility provider
   * @return the present value curve sensitivity of the swap product
   */
  public PointSensitivityBuilder presentValueSensitivityStickyStrike(
      SwaptionProduct swaption,
      RatesProvider ratesProvider,
      NormalVolatilitySwaptionProvider volatilityProvider) {

    ExpandedSwaption expanded = swaption.expand();
    validate(ratesProvider, expanded, volatilityProvider);
    ZonedDateTime expiryDateTime = expanded.getExpiryDateTime();
    double expiry = volatilityProvider.relativeTime(expiryDateTime);
    ExpandedSwap underlying = expanded.getUnderlying();
    ExpandedSwapLeg fixedLeg = fixedLeg(underlying);
    if (expiry < 0.0d) { // Option has expired already
      return PointSensitivityBuilder.none();
    }
    double forward = swapPricer.parRate(underlying, ratesProvider);
    double pvbp = swapPricer.getLegPricer().pvbp(fixedLeg, ratesProvider);
    double strike = swapPricer.getLegPricer().couponEquivalent(fixedLeg, ratesProvider, pvbp);
    double tenor = volatilityProvider.tenor(fixedLeg.getStartDate(), fixedLeg.getEndDate());
    double volatility = volatilityProvider.getVolatility(expiryDateTime, tenor, strike, forward);
    NormalFunctionData normalData = NormalFunctionData.of(forward, 1.0d, volatility);
    boolean isCall = (fixedLeg.getPayReceive() == PayReceive.PAY);
    // Payer at strike is exercise when rate > strike, i.e. call on rate
    EuropeanVanillaOption option =
        EuropeanVanillaOption.of(strike, expiry, isCall ? PutCall.CALL : PutCall.PUT);
    // option required to pass the strike (in case the swap has non-constant coupon).
    // Backward sweep
    PointSensitivityBuilder pvbpDr =
        swapPricer.getLegPricer().pvbpSensitivity(fixedLeg, ratesProvider);
    PointSensitivityBuilder forwardDr = swapPricer.parRateSensitivity(underlying, ratesProvider);
    ValueDerivatives pv = NORMAL.getPriceAdjoint(option, normalData);
    double sign = (expanded.getLongShort() == LongShort.LONG) ? 1.0 : -1.0;
    return pvbpDr
        .multipliedBy(pv.getValue() * sign * Math.signum(pvbp))
        .combinedWith(forwardDr.multipliedBy(pv.getDerivative(0) * Math.abs(pvbp) * sign));
  }
コード例 #2
0
  /**
   * Calculates the present value of the swaption product.
   *
   * <p>The result is expressed using the currency of the swapion.
   *
   * @param swaption the product to price
   * @param ratesProvider the rates provider
   * @param volatilityProvider the normal volatility provider
   * @return the present value of the swaption product
   */
  public CurrencyAmount presentValue(
      SwaptionProduct swaption,
      RatesProvider ratesProvider,
      NormalVolatilitySwaptionProvider volatilityProvider) {

    ExpandedSwaption expanded = swaption.expand();
    validate(ratesProvider, expanded, volatilityProvider);
    ZonedDateTime expiryDateTime = expanded.getExpiryDateTime();
    double expiry = volatilityProvider.relativeTime(expiryDateTime);
    ExpandedSwap underlying = expanded.getUnderlying();
    ExpandedSwapLeg fixedLeg = fixedLeg(underlying);
    if (expiry < 0.0d) { // Option has expired already
      return CurrencyAmount.of(fixedLeg.getCurrency(), 0.0d);
    }
    double forward = swapPricer.parRate(underlying, ratesProvider);
    double pvbp = swapPricer.getLegPricer().pvbp(fixedLeg, ratesProvider);
    double strike = swapPricer.getLegPricer().couponEquivalent(fixedLeg, ratesProvider, pvbp);
    double tenor = volatilityProvider.tenor(fixedLeg.getStartDate(), fixedLeg.getEndDate());
    double volatility = volatilityProvider.getVolatility(expiryDateTime, tenor, strike, forward);
    NormalFunctionData normalData = NormalFunctionData.of(forward, Math.abs(pvbp), volatility);
    boolean isCall = (fixedLeg.getPayReceive() == PayReceive.PAY);
    // Payer at strike is exercise when rate > strike, i.e. call on rate
    EuropeanVanillaOption option =
        EuropeanVanillaOption.of(strike, expiry, isCall ? PutCall.CALL : PutCall.PUT);
    // option required to pass the strike (in case the swap has non-constant coupon).
    Function1D<NormalFunctionData, Double> func = NORMAL.getPriceFunction(option);
    double pv =
        func.evaluate(normalData) * ((expanded.getLongShort() == LongShort.LONG) ? 1.0 : -1.0);
    return CurrencyAmount.of(fixedLeg.getCurrency(), pv);
  }
コード例 #3
0
  /**
   * Computes the implied Normal volatility of the swaption.
   *
   * @param swaption the product to price
   * @param ratesProvider the rates provider
   * @param volatilityProvider the normal volatility provider
   * @return the present value of the swap product
   */
  public double impliedVolatility(
      SwaptionProduct swaption,
      RatesProvider ratesProvider,
      NormalVolatilitySwaptionProvider volatilityProvider) {

    ExpandedSwaption expanded = swaption.expand();
    validate(ratesProvider, expanded, volatilityProvider);
    ZonedDateTime expiryDateTime = expanded.getExpiryDateTime();
    double expiry = volatilityProvider.relativeTime(expiryDateTime);
    ExpandedSwap underlying = expanded.getUnderlying();
    ExpandedSwapLeg fixedLeg = fixedLeg(underlying);
    ArgChecker.isTrue(
        expiry >= 0.0d, "option should be before expiry to compute an implied volatility");
    double forward = swapPricer.parRate(underlying, ratesProvider);
    double pvbp = swapPricer.getLegPricer().pvbp(fixedLeg, ratesProvider);
    double strike = swapPricer.getLegPricer().couponEquivalent(fixedLeg, ratesProvider, pvbp);
    double tenor = volatilityProvider.tenor(fixedLeg.getStartDate(), fixedLeg.getEndDate());
    return volatilityProvider.getVolatility(expiryDateTime, tenor, strike, forward);
  }