com.opengamma.strata.measure.bond.CapitalIndexedBondMeasureCalculations 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.collect.ArgChecker;
import com.opengamma.strata.data.scenario.CurrencyScenarioArray;
import com.opengamma.strata.data.scenario.MultiCurrencyScenarioArray;
import com.opengamma.strata.data.scenario.ScenarioArray;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivities;
import com.opengamma.strata.measure.rate.RatesScenarioMarketData;
import com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondTradePricer;
import com.opengamma.strata.pricer.bond.LegalEntityDiscountingProvider;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.bond.ResolvedCapitalIndexedBondTrade;
/**
* Multi-scenario measure calculations for capital indexed bond trades.
*
* Each method corresponds to a measure, typically calculated by one or more calls to the pricer.
*/
final class CapitalIndexedBondMeasureCalculations {
/**
* Default implementation.
*/
public static final CapitalIndexedBondMeasureCalculations DEFAULT = new CapitalIndexedBondMeasureCalculations(
DiscountingCapitalIndexedBondTradePricer.DEFAULT);
/**
* One basis point, expressed as a {@code double}.
*/
private static final double ONE_BASIS_POINT = 1e-4;
/**
* Pricer for {@link ResolvedCapitalIndexedBondTrade}.
*/
private final DiscountingCapitalIndexedBondTradePricer tradePricer;
/**
* Creates an instance.
*
* @param tradePricer the pricer for {@link ResolvedCapitalIndexedBondTrade}
*/
CapitalIndexedBondMeasureCalculations(
DiscountingCapitalIndexedBondTradePricer tradePricer) {
this.tradePricer = ArgChecker.notNull(tradePricer, "tradePricer");
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
CurrencyScenarioArray presentValue(
ResolvedCapitalIndexedBondTrade trade,
RatesScenarioMarketData ratesMarketData,
LegalEntityDiscountingScenarioMarketData legalEntityMarketData) {
return CurrencyScenarioArray.of(
legalEntityMarketData.getScenarioCount(),
i -> presentValue(
trade,
ratesMarketData.scenario(i).ratesProvider(),
legalEntityMarketData.scenario(i).discountingProvider()));
}
// present value for one scenario
CurrencyAmount presentValue(
ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider) {
return tradePricer.presentValue(trade, ratesProvider, discountingProvider);
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
MultiCurrencyScenarioArray pv01CalibratedSum(
ResolvedCapitalIndexedBondTrade trade,
RatesScenarioMarketData ratesMarketData,
LegalEntityDiscountingScenarioMarketData legalEntityMarketData) {
return MultiCurrencyScenarioArray.of(
legalEntityMarketData.getScenarioCount(),
i -> pv01CalibratedSum(
trade,
ratesMarketData.scenario(i).ratesProvider(),
legalEntityMarketData.scenario(i).discountingProvider()));
}
// calibrated sum PV01 for one scenario
MultiCurrencyAmount pv01CalibratedSum(
ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider) {
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider, discountingProvider);
return discountingProvider.parameterSensitivity(pointSensitivity).total().multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
ScenarioArray pv01CalibratedBucketed(
ResolvedCapitalIndexedBondTrade trade,
RatesScenarioMarketData ratesMarketData,
LegalEntityDiscountingScenarioMarketData legalEntityMarketData) {
return ScenarioArray.of(
legalEntityMarketData.getScenarioCount(),
i -> pv01CalibratedBucketed(
trade,
ratesMarketData.scenario(i).ratesProvider(),
legalEntityMarketData.scenario(i).discountingProvider()));
}
// calibrated bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01CalibratedBucketed(
ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider) {
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider, discountingProvider);
return discountingProvider.parameterSensitivity(pointSensitivity).multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates currency exposure for all scenarios
MultiCurrencyScenarioArray currencyExposure(
ResolvedCapitalIndexedBondTrade trade,
RatesScenarioMarketData ratesMarketData,
LegalEntityDiscountingScenarioMarketData legalEntityMarketData) {
return MultiCurrencyScenarioArray.of(
legalEntityMarketData.getScenarioCount(),
i -> currencyExposure(
trade,
ratesMarketData.scenario(i).ratesProvider(),
legalEntityMarketData.scenario(i).discountingProvider()));
}
// currency exposure for one scenario
MultiCurrencyAmount currencyExposure(
ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider) {
return tradePricer.currencyExposure(trade, ratesProvider, discountingProvider);
}
//-------------------------------------------------------------------------
// calculates current cash for all scenarios
CurrencyScenarioArray currentCash(
ResolvedCapitalIndexedBondTrade trade,
RatesScenarioMarketData ratesMarketData,
LegalEntityDiscountingScenarioMarketData legalEntityMarketData) {
return CurrencyScenarioArray.of(
legalEntityMarketData.getScenarioCount(),
i -> currentCash(
trade,
ratesMarketData.scenario(i).ratesProvider()));
}
// current cash for one scenario
CurrencyAmount currentCash(
ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider) {
return tradePricer.currentCash(trade, ratesProvider);
}
}