com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionMeasureCalculations 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.fxopt;
import static com.opengamma.strata.measure.fxopt.FxCalculationUtils.checkBlackVolatilities;
import static com.opengamma.strata.measure.fxopt.FxCalculationUtils.checkTrinomialTreeVolatilities;
import java.time.LocalDate;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.currency.CurrencyPair;
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.fxopt.BlackFxOptionVolatilities;
import com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionTradePricer;
import com.opengamma.strata.pricer.fxopt.FxOptionVolatilities;
import com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.pricer.sensitivity.MarketQuoteSensitivityCalculator;
import com.opengamma.strata.product.fxopt.ResolvedFxSingleBarrierOptionTrade;
/**
* Multi-scenario measure calculations for FX single barrier option trades.
*
* Each method corresponds to a measure, typically calculated by one or more calls to the pricer.
*/
final class FxSingleBarrierOptionMeasureCalculations {
/**
* Default implementation.
*/
public static final FxSingleBarrierOptionMeasureCalculations DEFAULT = new FxSingleBarrierOptionMeasureCalculations(
BlackFxSingleBarrierOptionTradePricer.DEFAULT,
ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer.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 ResolvedFxSingleBarrierOptionTrade}.
*/
private final BlackFxSingleBarrierOptionTradePricer blackPricer;
/**
* Pricer for {@link ResolvedFxSingleBarrierOptionTrade}.
*/
private final ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer trinomialTreePricer;
/**
* Creates an instance.
*
* @param blackPricer the pricer for {@link ResolvedFxSingleBarrierOptionTrade}
* @param trinomialTreePricer the pricer for {@link ResolvedFxSingleBarrierOptionTrade} SABR
*/
FxSingleBarrierOptionMeasureCalculations(
BlackFxSingleBarrierOptionTradePricer blackPricer,
ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer trinomialTreePricer) {
this.blackPricer = ArgChecker.notNull(blackPricer, "blackPricer");
this.trinomialTreePricer = ArgChecker.notNull(trinomialTreePricer, "trinomialTreePricer");
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
MultiCurrencyScenarioArray presentValue(
ResolvedFxSingleBarrierOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
FxOptionScenarioMarketData optionMarketData,
FxSingleBarrierOptionMethod method) {
CurrencyPair currencyPair = trade.getProduct().getCurrencyPair();
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> presentValue(
trade,
ratesMarketData.scenario(i).ratesProvider(),
optionMarketData.scenario(i).volatilities(currencyPair),
method));
}
// present value for one scenario
MultiCurrencyAmount presentValue(
ResolvedFxSingleBarrierOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxSingleBarrierOptionMethod method) {
if (method == FxSingleBarrierOptionMethod.TRINOMIAL_TREE) {
return trinomialTreePricer.presentValue(trade, ratesProvider, checkTrinomialTreeVolatilities(volatilities));
} else {
return blackPricer.presentValue(trade, ratesProvider, checkBlackVolatilities(volatilities));
}
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
MultiCurrencyScenarioArray pv01RatesCalibratedSum(
ResolvedFxSingleBarrierOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
FxOptionScenarioMarketData optionMarketData,
FxSingleBarrierOptionMethod method) {
CurrencyPair currencyPair = trade.getProduct().getCurrencyPair();
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesCalibratedSum(
trade,
ratesMarketData.scenario(i).ratesProvider(),
optionMarketData.scenario(i).volatilities(currencyPair),
method));
}
// calibrated sum PV01 for one scenario
MultiCurrencyAmount pv01RatesCalibratedSum(
ResolvedFxSingleBarrierOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxSingleBarrierOptionMethod method) {
CurrencyParameterSensitivities paramSens = parameterSensitivities(trade, ratesProvider, volatilities, method);
return paramSens.total().multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
ScenarioArray pv01RatesCalibratedBucketed(
ResolvedFxSingleBarrierOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
FxOptionScenarioMarketData optionMarketData,
FxSingleBarrierOptionMethod method) {
CurrencyPair currencyPair = trade.getProduct().getCurrencyPair();
return ScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesCalibratedBucketed(
trade,
ratesMarketData.scenario(i).ratesProvider(),
optionMarketData.scenario(i).volatilities(currencyPair),
method));
}
// calibrated bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01RatesCalibratedBucketed(
ResolvedFxSingleBarrierOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxSingleBarrierOptionMethod method) {
CurrencyParameterSensitivities paramSens = parameterSensitivities(trade, ratesProvider, volatilities, method);
return paramSens.multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates market quote sum PV01 for all scenarios
MultiCurrencyScenarioArray pv01RatesMarketQuoteSum(
ResolvedFxSingleBarrierOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
FxOptionScenarioMarketData optionMarketData,
FxSingleBarrierOptionMethod method) {
CurrencyPair currencyPair = trade.getProduct().getCurrencyPair();
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesMarketQuoteSum(
trade,
ratesMarketData.scenario(i).ratesProvider(),
optionMarketData.scenario(i).volatilities(currencyPair),
method));
}
// market quote sum PV01 for one scenario
MultiCurrencyAmount pv01RatesMarketQuoteSum(
ResolvedFxSingleBarrierOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxSingleBarrierOptionMethod method) {
CurrencyParameterSensitivities paramSens = parameterSensitivities(trade, ratesProvider, volatilities, method);
return MARKET_QUOTE_SENS.sensitivity(paramSens, ratesProvider).total().multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates market quote bucketed PV01 for all scenarios
ScenarioArray pv01RatesMarketQuoteBucketed(
ResolvedFxSingleBarrierOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
FxOptionScenarioMarketData optionMarketData,
FxSingleBarrierOptionMethod method) {
CurrencyPair currencyPair = trade.getProduct().getCurrencyPair();
return ScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesMarketQuoteBucketed(
trade,
ratesMarketData.scenario(i).ratesProvider(),
optionMarketData.scenario(i).volatilities(currencyPair),
method));
}
// market quote bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(
ResolvedFxSingleBarrierOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxSingleBarrierOptionMethod method) {
CurrencyParameterSensitivities paramSens = parameterSensitivities(trade, ratesProvider, volatilities, method);
return MARKET_QUOTE_SENS.sensitivity(paramSens, ratesProvider).multipliedBy(ONE_BASIS_POINT);
}
// point sensitivity
private CurrencyParameterSensitivities parameterSensitivities(
ResolvedFxSingleBarrierOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxSingleBarrierOptionMethod method) {
if (method == FxSingleBarrierOptionMethod.TRINOMIAL_TREE) {
return trinomialTreePricer.presentValueSensitivityRates(
trade, ratesProvider, checkTrinomialTreeVolatilities(volatilities));
} else {
PointSensitivities pointSens = blackPricer.presentValueSensitivityRatesStickyStrike(
trade, ratesProvider, checkBlackVolatilities(volatilities));
return ratesProvider.parameterSensitivity(pointSens);
}
}
//-------------------------------------------------------------------------
// calculates vega (present value volatility sensitivities) for all scenarios
ScenarioArray vegaMarketQuoteBucketed(
ResolvedFxSingleBarrierOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
FxOptionScenarioMarketData optionMarketData,
FxSingleBarrierOptionMethod method) {
CurrencyPair currencyPair = trade.getProduct().getCurrencyPair();
if (method == FxSingleBarrierOptionMethod.TRINOMIAL_TREE) {
throw new IllegalArgumentException(
"FX single barrier option Trinomial Tree pricer does not currently support vega calculation");
} else {
return ScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> vegaMarketQuoteBucketed(
trade,
ratesMarketData.scenario(i).ratesProvider(),
optionMarketData.scenario(i).volatilities(currencyPair),
method));
}
}
// point sensitivity
CurrencyParameterSensitivities vegaMarketQuoteBucketed(
ResolvedFxSingleBarrierOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxSingleBarrierOptionMethod method) {
if (method == FxSingleBarrierOptionMethod.TRINOMIAL_TREE) {
throw new IllegalArgumentException(
"FX single barrier option Trinomial Tree pricer does not currently support vega calculation");
} else {
BlackFxOptionVolatilities blackVols = checkBlackVolatilities(volatilities);
PointSensitivities pointSens =
blackPricer.presentValueSensitivityModelParamsVolatility(trade, ratesProvider, blackVols);
return blackVols.parameterSensitivity(pointSens);
}
}
//-------------------------------------------------------------------------
// calculates currency exposure for all scenarios
MultiCurrencyScenarioArray currencyExposure(
ResolvedFxSingleBarrierOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
FxOptionScenarioMarketData optionMarketData,
FxSingleBarrierOptionMethod method) {
CurrencyPair currencyPair = trade.getProduct().getCurrencyPair();
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> currencyExposure(
trade,
ratesMarketData.scenario(i).ratesProvider(),
optionMarketData.scenario(i).volatilities(currencyPair),
method));
}
// currency exposure for one scenario
MultiCurrencyAmount currencyExposure(
ResolvedFxSingleBarrierOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxSingleBarrierOptionMethod method) {
if (method == FxSingleBarrierOptionMethod.TRINOMIAL_TREE) {
return trinomialTreePricer.currencyExposure(trade, ratesProvider, checkTrinomialTreeVolatilities(volatilities));
} else {
return blackPricer.currencyExposure(trade, ratesProvider, checkBlackVolatilities(volatilities));
}
}
//-------------------------------------------------------------------------
// calculates current cash for all scenarios
CurrencyScenarioArray currentCash(
ResolvedFxSingleBarrierOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
FxOptionScenarioMarketData optionMarketData,
FxSingleBarrierOptionMethod method) {
return CurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> currentCash(
trade,
ratesMarketData.scenario(i).getValuationDate(),
method));
}
// current cash for one scenario
CurrencyAmount currentCash(
ResolvedFxSingleBarrierOptionTrade trade,
LocalDate valuationDate,
FxSingleBarrierOptionMethod method) {
if (method == FxSingleBarrierOptionMethod.TRINOMIAL_TREE) {
return trinomialTreePricer.currentCash(trade, valuationDate);
} else {
return blackPricer.currentCash(trade, valuationDate);
}
}
}