com.opengamma.strata.measure.fx.FxSwapMeasureCalculations 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.fx;
import com.opengamma.strata.basics.currency.MultiCurrencyAmount;
import com.opengamma.strata.collect.ArgChecker;
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.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivities;
import com.opengamma.strata.measure.rate.RatesScenarioMarketData;
import com.opengamma.strata.pricer.fx.DiscountingFxSwapTradePricer;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.pricer.sensitivity.MarketQuoteSensitivityCalculator;
import com.opengamma.strata.product.fx.ResolvedFxSwapTrade;
/**
* Multi-scenario measure calculations for FX swap trades.
*
* Each method corresponds to a measure, typically calculated by one or more calls to the pricer.
*/
final class FxSwapMeasureCalculations {
/**
* Default implementation.
*/
public static final FxSwapMeasureCalculations DEFAULT = new FxSwapMeasureCalculations(
DiscountingFxSwapTradePricer.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 ResolvedFxSwapTrade}.
*/
private final DiscountingFxSwapTradePricer tradePricer;
/**
* Creates an instance.
*
* @param tradePricer the pricer for {@link ResolvedFxSwapTrade}
*/
FxSwapMeasureCalculations(
DiscountingFxSwapTradePricer tradePricer) {
this.tradePricer = ArgChecker.notNull(tradePricer, "tradePricer");
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
MultiCurrencyScenarioArray presentValue(
ResolvedFxSwapTrade trade,
RatesScenarioMarketData marketData) {
return MultiCurrencyScenarioArray.of(
marketData.getScenarioCount(),
i -> presentValue(trade, marketData.scenario(i).ratesProvider()));
}
// present value for one scenario
MultiCurrencyAmount presentValue(
ResolvedFxSwapTrade trade,
RatesProvider ratesProvider) {
return tradePricer.presentValue(trade, ratesProvider);
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
MultiCurrencyScenarioArray pv01CalibratedSum(
ResolvedFxSwapTrade trade,
RatesScenarioMarketData marketData) {
return MultiCurrencyScenarioArray.of(
marketData.getScenarioCount(),
i -> pv01CalibratedSum(trade, marketData.scenario(i).ratesProvider()));
}
// calibrated sum PV01 for one scenario
MultiCurrencyAmount pv01CalibratedSum(
ResolvedFxSwapTrade trade,
RatesProvider ratesProvider) {
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
return ratesProvider.parameterSensitivity(pointSensitivity).total().multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
ScenarioArray pv01CalibratedBucketed(
ResolvedFxSwapTrade trade,
RatesScenarioMarketData marketData) {
return ScenarioArray.of(
marketData.getScenarioCount(),
i -> pv01CalibratedBucketed(trade, marketData.scenario(i).ratesProvider()));
}
// calibrated bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01CalibratedBucketed(
ResolvedFxSwapTrade trade,
RatesProvider ratesProvider) {
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
return ratesProvider.parameterSensitivity(pointSensitivity).multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates market quote sum PV01 for all scenarios
MultiCurrencyScenarioArray pv01MarketQuoteSum(
ResolvedFxSwapTrade trade,
RatesScenarioMarketData marketData) {
return MultiCurrencyScenarioArray.of(
marketData.getScenarioCount(),
i -> pv01MarketQuoteSum(trade, marketData.scenario(i).ratesProvider()));
}
// market quote sum PV01 for one scenario
MultiCurrencyAmount pv01MarketQuoteSum(
ResolvedFxSwapTrade trade,
RatesProvider ratesProvider) {
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
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 pv01MarketQuoteBucketed(
ResolvedFxSwapTrade trade,
RatesScenarioMarketData marketData) {
return ScenarioArray.of(
marketData.getScenarioCount(),
i -> pv01MarketQuoteBucketed(trade, marketData.scenario(i).ratesProvider()));
}
// market quote bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01MarketQuoteBucketed(
ResolvedFxSwapTrade trade,
RatesProvider ratesProvider) {
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
return MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider).multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates par spread for all scenarios
DoubleScenarioArray parSpread(
ResolvedFxSwapTrade trade,
RatesScenarioMarketData marketData) {
return DoubleScenarioArray.of(
marketData.getScenarioCount(),
i -> parSpread(trade, marketData.scenario(i).ratesProvider()));
}
// par spread for one scenario
double parSpread(
ResolvedFxSwapTrade trade,
RatesProvider ratesProvider) {
return tradePricer.parSpread(trade, ratesProvider);
}
//-------------------------------------------------------------------------
// calculates currency exposure for all scenarios
MultiCurrencyScenarioArray currencyExposure(
ResolvedFxSwapTrade trade,
RatesScenarioMarketData marketData) {
return MultiCurrencyScenarioArray.of(
marketData.getScenarioCount(),
i -> currencyExposure(trade, marketData.scenario(i).ratesProvider()));
}
// currency exposure for one scenario
MultiCurrencyAmount currencyExposure(
ResolvedFxSwapTrade trade,
RatesProvider ratesProvider) {
return tradePricer.currencyExposure(trade, ratesProvider);
}
//-------------------------------------------------------------------------
// calculates current cash for all scenarios
MultiCurrencyScenarioArray currentCash(
ResolvedFxSwapTrade trade,
RatesScenarioMarketData marketData) {
return MultiCurrencyScenarioArray.of(
marketData.getScenarioCount(),
i -> currentCash(trade, marketData.scenario(i).ratesProvider()));
}
// current cash for one scenario
MultiCurrencyAmount currentCash(
ResolvedFxSwapTrade trade,
RatesProvider ratesProvider) {
return tradePricer.currentCash(trade, ratesProvider);
}
}