com.opengamma.strata.measure.cms.CmsMeasureCalculations 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.cms;
import com.opengamma.strata.basics.currency.MultiCurrencyAmount;
import com.opengamma.strata.basics.index.RateIndex;
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.measure.swaption.SwaptionScenarioMarketData;
import com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsLegPricer;
import com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsPeriodPricer;
import com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsProductPricer;
import com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsTradePricer;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.pricer.sensitivity.MarketQuoteSensitivityCalculator;
import com.opengamma.strata.pricer.swaption.SabrSwaptionVolatilities;
import com.opengamma.strata.pricer.swaption.SwaptionVolatilities;
import com.opengamma.strata.product.cms.ResolvedCmsTrade;
/**
* Multi-scenario measure calculations for CMS trades.
*
* Each method corresponds to a measure, typically calculated by one or more calls to the pricer.
*/
final class CmsMeasureCalculations {
/**
* 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 ResolvedCmsTrade}.
*/
private final SabrExtrapolationReplicationCmsTradePricer tradePricer;
/**
* Creates an instance.
*
* @param cmsParams the CMS parameters
*/
CmsMeasureCalculations(CmsSabrExtrapolationParams cmsParams) {
SabrExtrapolationReplicationCmsPeriodPricer periodPricer =
SabrExtrapolationReplicationCmsPeriodPricer.of(cmsParams.getCutOffStrike(), cmsParams.getMu());
SabrExtrapolationReplicationCmsLegPricer legPricer = new SabrExtrapolationReplicationCmsLegPricer(periodPricer);
SabrExtrapolationReplicationCmsProductPricer productPricer = new SabrExtrapolationReplicationCmsProductPricer(legPricer);
SabrExtrapolationReplicationCmsTradePricer tradePricer = new SabrExtrapolationReplicationCmsTradePricer(productPricer);
this.tradePricer = ArgChecker.notNull(tradePricer, "tradePricer");
}
/**
* Creates an instance.
*
* @param tradePricer the pricer function for {@link ResolvedCmsTrade}
*/
CmsMeasureCalculations(SabrExtrapolationReplicationCmsTradePricer tradePricer) {
this.tradePricer = ArgChecker.notNull(tradePricer, "tradePricer");
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
MultiCurrencyScenarioArray presentValue(
ResolvedCmsTrade trade,
RatesScenarioMarketData ratesMarketData,
SwaptionScenarioMarketData swaptionMarketData) {
RateIndex index = cmsLegRateIndex(trade);
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> presentValue(
trade,
ratesMarketData.scenario(i).ratesProvider(),
swaptionMarketData.scenario(i).volatilities(index)));
}
// present value for one scenario
MultiCurrencyAmount presentValue(
ResolvedCmsTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities volatilities) {
return tradePricer.presentValue(trade, ratesProvider, checkSabr(volatilities));
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
MultiCurrencyScenarioArray pv01RatesCalibratedSum(
ResolvedCmsTrade trade,
RatesScenarioMarketData ratesMarketData,
SwaptionScenarioMarketData swaptionMarketData) {
RateIndex index = cmsLegRateIndex(trade);
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesCalibratedSum(
trade,
ratesMarketData.scenario(i).ratesProvider(),
swaptionMarketData.scenario(i).volatilities(index)));
}
// calibrated sum PV01 for one scenario
MultiCurrencyAmount pv01RatesCalibratedSum(
ResolvedCmsTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities 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(
ResolvedCmsTrade trade,
RatesScenarioMarketData ratesMarketData,
SwaptionScenarioMarketData swaptionMarketData) {
RateIndex index = cmsLegRateIndex(trade);
return ScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesCalibratedBucketed(
trade,
ratesMarketData.scenario(i).ratesProvider(),
swaptionMarketData.scenario(i).volatilities(index)));
}
// calibrated bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01RatesCalibratedBucketed(
ResolvedCmsTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities 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(
ResolvedCmsTrade trade,
RatesScenarioMarketData ratesMarketData,
SwaptionScenarioMarketData swaptionMarketData) {
RateIndex index = cmsLegRateIndex(trade);
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesMarketQuoteSum(
trade,
ratesMarketData.scenario(i).ratesProvider(),
swaptionMarketData.scenario(i).volatilities(index)));
}
// market quote sum PV01 for one scenario
MultiCurrencyAmount pv01RatesMarketQuoteSum(
ResolvedCmsTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities 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(
ResolvedCmsTrade trade,
RatesScenarioMarketData ratesMarketData,
SwaptionScenarioMarketData swaptionMarketData) {
RateIndex index = cmsLegRateIndex(trade);
return ScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesMarketQuoteBucketed(
trade,
ratesMarketData.scenario(i).ratesProvider(),
swaptionMarketData.scenario(i).volatilities(index)));
}
// market quote bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(
ResolvedCmsTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities 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(
ResolvedCmsTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities volatilities) {
return tradePricer.presentValueSensitivityRates(trade, ratesProvider, checkSabr(volatilities));
}
//-------------------------------------------------------------------------
// calculates currency exposure for all scenarios
MultiCurrencyScenarioArray currencyExposure(
ResolvedCmsTrade trade,
RatesScenarioMarketData ratesMarketData,
SwaptionScenarioMarketData swaptionMarketData) {
RateIndex index = cmsLegRateIndex(trade);
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> currencyExposure(
trade,
ratesMarketData.scenario(i).ratesProvider(),
swaptionMarketData.scenario(i).volatilities(index)));
}
// currency exposure for one scenario
MultiCurrencyAmount currencyExposure(
ResolvedCmsTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities volatilities) {
return tradePricer.currencyExposure(trade, ratesProvider, checkSabr(volatilities));
}
//-------------------------------------------------------------------------
// calculates current cash for all scenarios
MultiCurrencyScenarioArray currentCash(
ResolvedCmsTrade trade,
RatesScenarioMarketData ratesMarketData,
SwaptionScenarioMarketData swaptionMarketData) {
RateIndex index = cmsLegRateIndex(trade);
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> currentCash(
trade,
ratesMarketData.scenario(i).ratesProvider(),
swaptionMarketData.scenario(i).volatilities(index)));
}
// current cash for one scenario
MultiCurrencyAmount currentCash(
ResolvedCmsTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities volatilities) {
return tradePricer.currentCash(trade, ratesProvider, checkSabr(volatilities));
}
//-------------------------------------------------------------------------
// returns the Rate index or the CMS leg
static RateIndex cmsLegRateIndex(ResolvedCmsTrade trade) {
return trade.getProduct().getCmsLeg().getUnderlyingIndex();
}
// checks that the volatilities are for SABR
private static SabrSwaptionVolatilities checkSabr(SwaptionVolatilities volatilities) {
if (volatilities instanceof SabrSwaptionVolatilities) {
return (SabrSwaptionVolatilities) volatilities;
}
throw new IllegalArgumentException(
"Swaption volatiliies for pricing CMS must be for SABR model, but was: " + volatilities.getVolatilityType());
}
}