All Downloads are FREE. Search and download functionalities are using the official Maven repository.

com.opengamma.strata.measure.dsf.DsfTradeCalculations 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.dsf;

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.measure.rate.RatesMarketDataLookup;
import com.opengamma.strata.pricer.dsf.DiscountingDsfTradePricer;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.dsf.DsfTrade;
import com.opengamma.strata.product.dsf.ResolvedDsfTrade;

/**
 * Calculates pricing and risk measures for Deliverable Swap Future (DSF) trades.
 * 

* This provides a high-level entry point for DSF pricing and risk measures. *

* Each method takes a {@link ResolvedDsfTrade}, whereas application code will * typically work with {@link DsfTrade}. Call * {@link DsfTrade#resolve(com.opengamma.strata.basics.ReferenceData) DsfTrade::resolve(ReferenceData)} * to convert {@code DsfTrade} to {@code ResolvedDsfTrade}. * *

Price

* The price of a DSF is based on the present value (NPV) of the underlying swap on the delivery date. * For example, a price of 100.182 represents a present value of $100,182.00, if the notional is $100,000. * This price can also be viewed as a percentage present value - {@code (100 + percentPv)}, or 0.182% in this example. *

* Strata uses decimal prices for DSFs in the trade model, pricers and market data. * The decimal price is based on the decimal multiplier equivalent to the implied percentage. * Thus the market price of 100.182 is represented in Strata by 1.00182. */ public class DsfTradeCalculations { /** * Default implementation. */ public static final DsfTradeCalculations DEFAULT = new DsfTradeCalculations( DiscountingDsfTradePricer.DEFAULT); /** * Pricer for {@link ResolvedDsfTrade}. */ private final DsfMeasureCalculations calc; /** * Creates an instance. *

* In most cases, applications should use the {@link #DEFAULT} instance. * * @param tradePricer the pricer for {@link ResolvedDsfTrade} */ public DsfTradeCalculations( DiscountingDsfTradePricer tradePricer) { this.calc = new DsfMeasureCalculations(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( ResolvedDsfTrade trade, RatesMarketDataLookup 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 ratesProvider the market data * @return the present value */ public CurrencyAmount presentValue( ResolvedDsfTrade trade, RatesProvider ratesProvider) { return calc.presentValue(trade, ratesProvider); } //------------------------------------------------------------------------- /** * Calculates present value sensitivity across one or more scenarios. *

* This is the sensitivity of * {@linkplain #presentValue(ResolvedDsfTrade, RatesMarketDataLookup, 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( ResolvedDsfTrade trade, RatesMarketDataLookup 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(ResolvedDsfTrade, RatesMarketDataLookup, 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 ratesProvider the market data * @return the present value sensitivity */ public MultiCurrencyAmount pv01CalibratedSum( ResolvedDsfTrade trade, RatesProvider ratesProvider) { return calc.pv01CalibratedSum(trade, ratesProvider); } //------------------------------------------------------------------------- /** * Calculates present value sensitivity across one or more scenarios. *

* This is the sensitivity of * {@linkplain #presentValue(ResolvedDsfTrade, RatesMarketDataLookup, 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( ResolvedDsfTrade trade, RatesMarketDataLookup 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(ResolvedDsfTrade, RatesMarketDataLookup, 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 ratesProvider the market data * @return the present value sensitivity */ public CurrencyParameterSensitivities pv01CalibratedBucketed( ResolvedDsfTrade trade, RatesProvider ratesProvider) { return calc.pv01CalibratedBucketed(trade, ratesProvider); } //------------------------------------------------------------------------- /** * Calculates present value sensitivity across one or more scenarios. *

* This is the sensitivity of * {@linkplain #presentValue(ResolvedDsfTrade, RatesMarketDataLookup, 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( ResolvedDsfTrade trade, RatesMarketDataLookup 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(ResolvedDsfTrade, RatesMarketDataLookup, 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( ResolvedDsfTrade trade, RatesProvider ratesProvider) { return calc.pv01MarketQuoteSum(trade, ratesProvider); } //------------------------------------------------------------------------- /** * Calculates present value sensitivity across one or more scenarios. *

* This is the sensitivity of * {@linkplain #presentValue(ResolvedDsfTrade, RatesMarketDataLookup, 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( ResolvedDsfTrade trade, RatesMarketDataLookup 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(ResolvedDsfTrade, RatesMarketDataLookup, 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( ResolvedDsfTrade trade, RatesProvider ratesProvider) { return calc.pv01MarketQuoteBucketed(trade, ratesProvider); } //------------------------------------------------------------------------- /** * Calculates unit price across one or more scenarios. *

* This is the price of a single unit of the security. *

* Strata uses decimal prices for DSFs in the trade model, pricers and market data. * The decimal price is based on the decimal multiplier equivalent to the implied percentage. * Thus the market price of 100.182 is represented in Strata by 1.00182. * * @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( ResolvedDsfTrade trade, RatesMarketDataLookup 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. *

* Strata uses decimal prices for DSFs in the trade model, pricers and market data. * The decimal price is based on the decimal multiplier equivalent to the implied percentage. * Thus the market price of 100.182 is represented in Strata by 1.00182. * * @param trade the trade * @param ratesProvider the market data * @return the present value */ public double unitPrice( ResolvedDsfTrade trade, RatesProvider ratesProvider) { return calc.unitPrice(trade, ratesProvider); } //------------------------------------------------------------------------- /** * 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( ResolvedDsfTrade trade, RatesMarketDataLookup 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 ratesProvider the market data * @return the currency exposure */ public MultiCurrencyAmount currencyExposure( ResolvedDsfTrade trade, RatesProvider ratesProvider) { return calc.currencyExposure(trade, ratesProvider); } }





© 2015 - 2025 Weber Informatics LLC | Privacy Policy