com.opengamma.strata.measure.bond.BondFutureTradeCalculations Maven / Gradle / Ivy
/*
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.measure.bond;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.currency.MultiCurrencyAmount;
import com.opengamma.strata.data.scenario.CurrencyScenarioArray;
import com.opengamma.strata.data.scenario.DoubleScenarioArray;
import com.opengamma.strata.data.scenario.MultiCurrencyScenarioArray;
import com.opengamma.strata.data.scenario.ScenarioArray;
import com.opengamma.strata.data.scenario.ScenarioMarketData;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.pricer.bond.DiscountingBondFutureTradePricer;
import com.opengamma.strata.pricer.bond.LegalEntityDiscountingProvider;
import com.opengamma.strata.product.bond.BondFutureTrade;
import com.opengamma.strata.product.bond.FixedCouponBond;
import com.opengamma.strata.product.bond.ResolvedBondFutureTrade;
/**
* Calculates pricing and risk measures for trades in a futures contract based on a basket of bonds.
*
* This provides a high-level entry point for future pricing and risk measures.
*
* Each method takes a {@link ResolvedBondFutureTrade}, whereas application code will
* typically work with {@link BondFutureTrade}. Call
* {@link BondFutureTrade#resolve(com.opengamma.strata.basics.ReferenceData) BondFutureTrade::resolve(ReferenceData)}
* to convert {@code BondFutureTrade} to {@code ResolvedBondFutureTrade}.
*
*
Price
* Strata uses decimal prices for bond futures in the trade model, pricers and market data.
* This is coherent with the pricing of {@link FixedCouponBond}. The bond futures delivery is a bond
* for an amount computed from the bond future price, a conversion factor and the accrued interest.
*/
public class BondFutureTradeCalculations {
/**
* Default implementation.
*/
public static final BondFutureTradeCalculations DEFAULT = new BondFutureTradeCalculations(
DiscountingBondFutureTradePricer.DEFAULT);
/**
* Pricer for {@link ResolvedBondFutureTrade}.
*/
private final BondFutureMeasureCalculations calc;
/**
* Creates an instance.
*
* In most cases, applications should use the {@link #DEFAULT} instance.
*
* @param tradePricer the pricer for {@link ResolvedBondFutureTrade}
*/
public BondFutureTradeCalculations(
DiscountingBondFutureTradePricer tradePricer) {
this.calc = new BondFutureMeasureCalculations(tradePricer);
}
//-------------------------------------------------------------------------
/**
* Calculates present value across one or more scenarios.
*
* @param trade the trade
* @param lookup the lookup used to query the market data
* @param marketData the market data
* @return the present value, one entry per scenario
*/
public CurrencyScenarioArray presentValue(
ResolvedBondFutureTrade trade,
LegalEntityDiscountingMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.presentValue(trade, lookup.marketDataView(marketData));
}
/**
* Calculates present value for a single set of market data.
*
* @param trade the trade
* @param discountingProvider the market data
* @return the present value
*/
public CurrencyAmount presentValue(
ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider) {
return calc.presentValue(trade, discountingProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) present value}
* to a one basis point shift in the calibrated curves.
* The result is the sum of the sensitivities of all affected curves.
*
* @param trade the trade
* @param lookup the lookup used to query the market data
* @param marketData the market data
* @return the present value sensitivity, one entry per scenario
*/
public MultiCurrencyScenarioArray pv01CalibratedSum(
ResolvedBondFutureTrade trade,
LegalEntityDiscountingMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.pv01CalibratedSum(trade, lookup.marketDataView(marketData));
}
/**
* Calculates present value sensitivity for a single set of market data.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) present value}
* to a one basis point shift in the calibrated curves.
* The result is the sum of the sensitivities of all affected curves.
*
* @param trade the trade
* @param discountingProvider the market data
* @return the present value sensitivity
*/
public MultiCurrencyAmount pv01CalibratedSum(
ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider) {
return calc.pv01CalibratedSum(trade, discountingProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) present value}
* to a one basis point shift in the calibrated curves.
* The result is provided for each affected curve and currency, bucketed by curve node.
*
* @param trade the trade
* @param lookup the lookup used to query the market data
* @param marketData the market data
* @return the present value sensitivity, one entry per scenario
*/
public ScenarioArray pv01CalibratedBucketed(
ResolvedBondFutureTrade trade,
LegalEntityDiscountingMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.pv01CalibratedBucketed(trade, lookup.marketDataView(marketData));
}
/**
* Calculates present value sensitivity for a single set of market data.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) present value}
* to a one basis point shift in the calibrated curves.
* The result is provided for each affected curve and currency, bucketed by curve node.
*
* @param trade the trade
* @param discountingProvider the market data
* @return the present value sensitivity
*/
public CurrencyParameterSensitivities pv01CalibratedBucketed(
ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider) {
return calc.pv01CalibratedBucketed(trade, discountingProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) present value}
* to a one basis point shift in the market quotes used to calibrate the curves.
* The result is the sum of the sensitivities of all affected curves.
*
* @param trade the trade
* @param lookup the lookup used to query the market data
* @param marketData the market data
* @return the present value sensitivity, one entry per scenario
*/
public MultiCurrencyScenarioArray pv01MarketQuoteSum(
ResolvedBondFutureTrade trade,
LegalEntityDiscountingMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.pv01MarketQuoteSum(trade, lookup.marketDataView(marketData));
}
/**
* Calculates present value sensitivity for a single set of market data.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) present value}
* to a one basis point shift in the market quotes used to calibrate the curves.
* The result is the sum of the sensitivities of all affected curves.
*
* @param trade the trade
* @param ratesProvider the market data
* @return the present value sensitivity
*/
public MultiCurrencyAmount pv01MarketQuoteSum(
ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider ratesProvider) {
return calc.pv01MarketQuoteSum(trade, ratesProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) present value}
* to a one basis point shift in the market quotes used to calibrate the curves.
* The result is provided for each affected curve and currency, bucketed by curve node.
*
* @param trade the trade
* @param lookup the lookup used to query the market data
* @param marketData the market data
* @return the present value sensitivity, one entry per scenario
*/
public ScenarioArray pv01MarketQuoteBucketed(
ResolvedBondFutureTrade trade,
LegalEntityDiscountingMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.pv01MarketQuoteBucketed(trade, lookup.marketDataView(marketData));
}
/**
* Calculates present value sensitivity for a single set of market data.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) present value}
* to a one basis point shift in the market quotes used to calibrate the curves.
* The result is provided for each affected curve and currency, bucketed by curve node.
*
* @param trade the trade
* @param ratesProvider the market data
* @return the present value sensitivity
*/
public CurrencyParameterSensitivities pv01MarketQuoteBucketed(
ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider ratesProvider) {
return calc.pv01MarketQuoteBucketed(trade, ratesProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates par spread across one or more scenarios.
*
* @param trade the trade
* @param lookup the lookup used to query the market data
* @param marketData the market data
* @return the par spread, one entry per scenario
*/
public DoubleScenarioArray parSpread(
ResolvedBondFutureTrade trade,
LegalEntityDiscountingMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.parSpread(trade, lookup.marketDataView(marketData));
}
/**
* Calculates par spread for a single set of market data.
*
* @param trade the trade
* @param discountingProvider the market data
* @return the par spread
*/
public double parSpread(
ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider) {
return calc.parSpread(trade, discountingProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates unit price across one or more scenarios.
*
* This is the price of a single unit of the security.
*
*
Price
* Strata uses decimal prices for bond futures in the trade model, pricers and market data.
* This is coherent with the pricing of {@link FixedCouponBond}. The bond futures delivery is a bond
* for an amount computed from the bond future price, a conversion factor and the accrued interest.
*
* @param trade the trade
* @param lookup the lookup used to query the market data
* @param marketData the market data
* @return the present value, one entry per scenario
*/
public DoubleScenarioArray unitPrice(
ResolvedBondFutureTrade trade,
LegalEntityDiscountingMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.unitPrice(trade, lookup.marketDataView(marketData));
}
/**
* Calculates unit price for a single set of market data.
*
* This is the price of a single unit of the security.
*
*
Price
* Strata uses decimal prices for bond futures in the trade model, pricers and market data.
* This is coherent with the pricing of {@link FixedCouponBond}. The bond futures delivery is a bond
* for an amount computed from the bond future price, a conversion factor and the accrued interest.
*
* @param trade the trade
* @param discountingProvider the market data
* @return the present value
*/
public double unitPrice(
ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider) {
return calc.unitPrice(trade, discountingProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates currency exposure across one or more scenarios.
*
* The currency risk, expressed as the equivalent amount in each currency.
*
* @param trade the trade
* @param lookup the lookup used to query the market data
* @param marketData the market data
* @return the currency exposure, one entry per scenario
*/
public MultiCurrencyScenarioArray currencyExposure(
ResolvedBondFutureTrade trade,
LegalEntityDiscountingMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.currencyExposure(trade, lookup.marketDataView(marketData));
}
/**
* Calculates currency exposure for a single set of market data.
*
* The currency risk, expressed as the equivalent amount in each currency.
*
* @param trade the trade
* @param discountingProvider the market data
* @return the currency exposure
*/
public MultiCurrencyAmount currencyExposure(
ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider) {
return calc.currencyExposure(trade, discountingProvider);
}
}