com.opengamma.strata.pricer.capfloor.SabrOvernightInArrearsCapFloorLegPricer Maven / Gradle / Ivy
/*
* Copyright (C) 2024 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.capfloor;
import java.time.ZoneOffset;
import java.util.Map;
import com.google.common.collect.ImmutableMap;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.MapStream;
import com.opengamma.strata.market.sensitivity.PointSensitivityBuilder;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.capfloor.OvernightInArrearsCapletFloorletPeriod;
import com.opengamma.strata.product.capfloor.ResolvedOvernightInArrearsCapFloorLeg;
/**
* Pricer for overnight rate in arrears cap/floor legs in SABR model.
*/
public class SabrOvernightInArrearsCapFloorLegPricer {
/**
* Default implementation.
*/
public static final SabrOvernightInArrearsCapFloorLegPricer DEFAULT =
new SabrOvernightInArrearsCapFloorLegPricer(SabrOvernightInArrearsCapletFloorletPeriodPricer.DEFAULT);
/**
* The period pricer.
*/
private final SabrOvernightInArrearsCapletFloorletPeriodPricer periodPricer;
/**
* Creates an instance.
*
* @param periodPricer the pricer for {@link OvernightInArrearsCapletFloorletPeriod}.
*/
public SabrOvernightInArrearsCapFloorLegPricer(SabrOvernightInArrearsCapletFloorletPeriodPricer periodPricer) {
this.periodPricer = ArgChecker.notNull(periodPricer, "periodPricer");
}
//-------------------------------------------------------------------------
/**
* Obtains the underlying period pricer.
*
* @return the period pricer
*/
public SabrOvernightInArrearsCapletFloorletPeriodPricer getPeriodPricer() {
return periodPricer;
}
//-------------------------------------------------------------------------
/**
* Calculates the present value of the overnight rate in arrears cap/floor leg.
*
* The present value of the leg is the value on the valuation date.
* The result is returned using the payment currency of the leg.
*
* @param capFloorLeg the cap/floor leg
* @param ratesProvider the rates provider
* @param volatilities the volatilities
* @return the present value
*/
public CurrencyAmount presentValue(
ResolvedOvernightInArrearsCapFloorLeg capFloorLeg,
RatesProvider ratesProvider,
SabrParametersIborCapletFloorletVolatilities volatilities) {
validate(ratesProvider, volatilities);
return capFloorLeg.getCapletFloorletPeriods().stream()
.map(period -> periodPricer.presentValue(period, ratesProvider, volatilities))
.reduce(CurrencyAmount::plus)
.orElse(CurrencyAmount.zero(capFloorLeg.getCurrency()));
}
//-------------------------------------------------------------------------
/**
* Calculates the present value for each caplet/floorlet of the overnight rate in arrears cap/floor leg.
*
* The present value of each caplet/floorlet is the value on the valuation date.
* The result is returned using the payment currency of the leg.
*
* @param capFloorLeg the cap/floor leg
* @param ratesProvider the rates provider
* @param volatilities the volatilities
* @return the present values
*/
public OvernightInArrearsCapletFloorletPeriodCurrencyAmounts presentValueCapletFloorletPeriods(
ResolvedOvernightInArrearsCapFloorLeg capFloorLeg,
RatesProvider ratesProvider,
SabrParametersIborCapletFloorletVolatilities volatilities) {
validate(ratesProvider, volatilities);
Map periodPresentValues =
MapStream.of(capFloorLeg.getCapletFloorletPeriods())
.mapValues(period -> periodPricer.presentValue(period, ratesProvider, volatilities))
.toMap();
return OvernightInArrearsCapletFloorletPeriodCurrencyAmounts.of(periodPresentValues);
}
//-------------------------------------------------------------------------
/**
* Calculates the current cash of the overnight in arrears cap/floor leg.
*
* @param capFloorLeg the cap/floor leg
* @param ratesProvider the rates provider
* @param volatilities the volatilities
* @return the current cash
*/
public CurrencyAmount currentCash(
ResolvedOvernightInArrearsCapFloorLeg capFloorLeg,
RatesProvider ratesProvider,
SabrParametersIborCapletFloorletVolatilities volatilities) {
validate(ratesProvider, volatilities);
return capFloorLeg.getCapletFloorletPeriods().stream()
.filter(period -> period.getPaymentDate().equals(ratesProvider.getValuationDate()))
.map(period -> periodPricer.presentValue(period, ratesProvider, volatilities))
.reduce(CurrencyAmount::plus)
.orElse(CurrencyAmount.zero(capFloorLeg.getCurrency()));
}
//-------------------------------------------------------------------------
/**
* Calculates the forward rates for each caplet/floorlet of the overnight rate in arrears cap/floor leg.
*
* @param capFloorLeg the cap/floor leg
* @param ratesProvider the rates provider
* @return the forward rates
*/
public OvernightInArrearsCapletFloorletPeriodAmounts forwardRates(
ResolvedOvernightInArrearsCapFloorLeg capFloorLeg,
RatesProvider ratesProvider) {
Map forwardRates =
MapStream.of(capFloorLeg.getCapletFloorletPeriods())
.filterKeys(period -> !ratesProvider.getValuationDate().isAfter(period.getOvernightRate().getEndDate()))
.mapValues(period -> periodPricer.forwardRate(period, ratesProvider))
.toMap();
return OvernightInArrearsCapletFloorletPeriodAmounts.of(forwardRates);
}
//-------------------------------------------------------------------------
/**
* Calculates the implied volatilities for each caplet/floorlet of the overnight rate in arrears cap/floor leg.
*
* @param capFloorLeg the cap/floor leg
* @param ratesProvider the rates provider
* @param volatilities the volatilities
* @return the implied volatilities
*/
public OvernightInArrearsCapletFloorletPeriodAmounts impliedVolatilities(
ResolvedOvernightInArrearsCapFloorLeg capFloorLeg,
RatesProvider ratesProvider,
SabrParametersIborCapletFloorletVolatilities volatilities) {
validate(ratesProvider, volatilities);
ImmutableMap impliedVolatilities =
MapStream.of(capFloorLeg.getCapletFloorletPeriods())
.filterKeys(period -> volatilities.relativeTime(
period.getOvernightRate().getEndDate().atStartOfDay(ZoneOffset.UTC)) >= 0)
.mapValues(period -> periodPricer.impliedVolatility(period, ratesProvider, volatilities))
.toMap();
return OvernightInArrearsCapletFloorletPeriodAmounts.of(impliedVolatilities);
}
/**
* Calculates the present value sensitivity of the overnight in arrears cap/floor leg to the rate curves.
*
* 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.
*
* @param capFloorLeg the cap/floor leg
* @param ratesProvider the rates provider
* @param volatilities the volatilities
* @return the point sensitivity to the rate curves
*/
public PointSensitivityBuilder presentValueSensitivityRatesStickyModel(
ResolvedOvernightInArrearsCapFloorLeg capFloorLeg,
RatesProvider ratesProvider,
SabrParametersIborCapletFloorletVolatilities volatilities) {
validate(ratesProvider, volatilities);
return capFloorLeg.getCapletFloorletPeriods().stream()
.map(period -> periodPricer.presentValueSensitivityRatesStickyModel(period, ratesProvider, volatilities))
.reduce(PointSensitivityBuilder::combinedWith)
.orElse(PointSensitivityBuilder.none());
}
/**
* Calculates the present value sensitivity to the SABR model parameters of the overnight in arrears cap/floor.
*
* The sensitivity of the present value to the SABR model parameters, alpha, beta, rho and nu.
*
* @param capFloorLeg the cap/floor leg
* @param ratesProvider the rates provider
* @param volatilities the volatilities
* @return the point sensitivity to the SABR model parameters
*/
public PointSensitivityBuilder presentValueSensitivityModelParamsSabr(
ResolvedOvernightInArrearsCapFloorLeg capFloorLeg,
RatesProvider ratesProvider,
SabrParametersIborCapletFloorletVolatilities volatilities) {
validate(ratesProvider, volatilities);
return capFloorLeg.getCapletFloorletPeriods().stream()
.map(period -> periodPricer.presentValueSensitivityModelParamsSabr(period, ratesProvider, volatilities))
.reduce(PointSensitivityBuilder::combinedWith)
.orElse(PointSensitivityBuilder.none());
}
//-------------------------------------------------------------------------
private void validate(RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) {
ArgChecker.isTrue(volatilities.getValuationDate().equals(ratesProvider.getValuationDate()),
"volatility and rate data must be for the same date");
}
}