com.opengamma.strata.measure.capfloor.IborCapFloorMeasureCalculations 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.capfloor;
import com.opengamma.strata.basics.currency.MultiCurrencyAmount;
import com.opengamma.strata.basics.index.IborIndex;
import com.opengamma.strata.collect.ArgChecker;
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.capfloor.IborCapletFloorletVolatilities;
import com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorTradePricer;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.pricer.sensitivity.MarketQuoteSensitivityCalculator;
import com.opengamma.strata.product.capfloor.ResolvedIborCapFloorTrade;
/**
* Multi-scenario measure calculations for Ibor cap/floor trades.
*
* Each method corresponds to a measure, typically calculated by one or more calls to the pricer.
*/
final class IborCapFloorMeasureCalculations {
/**
* Default implementation.
*/
public static final IborCapFloorMeasureCalculations DEFAULT = new IborCapFloorMeasureCalculations(
VolatilityIborCapFloorTradePricer.DEFAULT);
/**
* The market quote sensitivity calculator.
*/
private static final MarketQuoteSensitivityCalculator MARKET_QUOTE_SENS = MarketQuoteSensitivityCalculator.DEFAULT;
/**
* One basis point, expressed as a {@code double}.
*/
private static final double ONE_BASIS_POINT = 1e-4;
/**
* Pricer for {@link ResolvedIborCapFloorTrade}.
*/
private final VolatilityIborCapFloorTradePricer tradePricer;
/**
* Creates an instance.
*
* @param tradePricer the pricer for {@link ResolvedIborCapFloorTrade}
*/
IborCapFloorMeasureCalculations(
VolatilityIborCapFloorTradePricer tradePricer) {
this.tradePricer = ArgChecker.notNull(tradePricer, "tradePricer");
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
MultiCurrencyScenarioArray presentValue(
ResolvedIborCapFloorTrade trade,
RatesScenarioMarketData ratesMarketData,
IborCapFloorScenarioMarketData capFloorMarketData) {
IborIndex index = trade.getProduct().getCapFloorLeg().getIndex();
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> presentValue(
trade,
ratesMarketData.scenario(i).ratesProvider(),
capFloorMarketData.scenario(i).volatilities(index)));
}
// present value for one scenario
MultiCurrencyAmount presentValue(
ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities) {
return tradePricer.presentValue(trade, ratesProvider, volatilities);
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
MultiCurrencyScenarioArray pv01RatesCalibratedSum(
ResolvedIborCapFloorTrade trade,
RatesScenarioMarketData ratesMarketData,
IborCapFloorScenarioMarketData capFloorMarketData) {
IborIndex index = trade.getProduct().getCapFloorLeg().getIndex();
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesCalibratedSum(
trade,
ratesMarketData.scenario(i).ratesProvider(),
capFloorMarketData.scenario(i).volatilities(index)));
}
// calibrated sum PV01 for one scenario
MultiCurrencyAmount pv01RatesCalibratedSum(
ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities) {
PointSensitivities pointSensitivity = pointSensitivity(trade, ratesProvider, volatilities);
return ratesProvider.parameterSensitivity(pointSensitivity).total().multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
ScenarioArray pv01RatesCalibratedBucketed(
ResolvedIborCapFloorTrade trade,
RatesScenarioMarketData ratesMarketData,
IborCapFloorScenarioMarketData capFloorMarketData) {
IborIndex index = trade.getProduct().getCapFloorLeg().getIndex();
return ScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesCalibratedBucketed(
trade,
ratesMarketData.scenario(i).ratesProvider(),
capFloorMarketData.scenario(i).volatilities(index)));
}
// calibrated bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01RatesCalibratedBucketed(
ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities) {
PointSensitivities pointSensitivity = pointSensitivity(trade, ratesProvider, volatilities);
return ratesProvider.parameterSensitivity(pointSensitivity).multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates market quote sum PV01 for all scenarios
MultiCurrencyScenarioArray pv01RatesMarketQuoteSum(
ResolvedIborCapFloorTrade trade,
RatesScenarioMarketData ratesMarketData,
IborCapFloorScenarioMarketData capFloorMarketData) {
IborIndex index = trade.getProduct().getCapFloorLeg().getIndex();
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesMarketQuoteSum(
trade,
ratesMarketData.scenario(i).ratesProvider(),
capFloorMarketData.scenario(i).volatilities(index)));
}
// market quote sum PV01 for one scenario
MultiCurrencyAmount pv01RatesMarketQuoteSum(
ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities) {
PointSensitivities pointSensitivity = pointSensitivity(trade, ratesProvider, volatilities);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
return MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider).total().multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates market quote bucketed PV01 for all scenarios
ScenarioArray pv01RatesMarketQuoteBucketed(
ResolvedIborCapFloorTrade trade,
RatesScenarioMarketData ratesMarketData,
IborCapFloorScenarioMarketData capFloorMarketData) {
IborIndex index = trade.getProduct().getCapFloorLeg().getIndex();
return ScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesMarketQuoteBucketed(
trade,
ratesMarketData.scenario(i).ratesProvider(),
capFloorMarketData.scenario(i).volatilities(index)));
}
// market quote bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(
ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities) {
PointSensitivities pointSensitivity = pointSensitivity(trade, ratesProvider, volatilities);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
return MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider).multipliedBy(ONE_BASIS_POINT);
}
// point sensitivity
private PointSensitivities pointSensitivity(
ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities) {
return tradePricer.presentValueSensitivityRates(trade, ratesProvider, volatilities);
}
//-------------------------------------------------------------------------
// calculates currency exposure for all scenarios
MultiCurrencyScenarioArray currencyExposure(
ResolvedIborCapFloorTrade trade,
RatesScenarioMarketData ratesMarketData,
IborCapFloorScenarioMarketData capFloorMarketData) {
IborIndex index = trade.getProduct().getCapFloorLeg().getIndex();
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> currencyExposure(
trade,
ratesMarketData.scenario(i).ratesProvider(),
capFloorMarketData.scenario(i).volatilities(index)));
}
// currency exposure for one scenario
MultiCurrencyAmount currencyExposure(
ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities) {
return tradePricer.currencyExposure(trade, ratesProvider, volatilities);
}
//-------------------------------------------------------------------------
// calculates current cash for all scenarios
MultiCurrencyScenarioArray currentCash(
ResolvedIborCapFloorTrade trade,
RatesScenarioMarketData ratesMarketData,
IborCapFloorScenarioMarketData capFloorMarketData) {
IborIndex index = trade.getProduct().getCapFloorLeg().getIndex();
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> currentCash(
trade,
ratesMarketData.scenario(i).ratesProvider(),
capFloorMarketData.scenario(i).volatilities(index)));
}
// current cash for one scenario
MultiCurrencyAmount currentCash(
ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities) {
return tradePricer.currentCash(trade, ratesProvider, volatilities);
}
}