com.opengamma.strata.measure.index.IborFutureMeasureCalculations 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.index;
import com.opengamma.strata.basics.StandardId;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.currency.MultiCurrencyAmount;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.data.FieldName;
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.market.observable.QuoteId;
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.index.DiscountingIborFutureTradePricer;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.pricer.sensitivity.MarketQuoteSensitivityCalculator;
import com.opengamma.strata.product.index.ResolvedIborFutureTrade;
/**
* Multi-scenario measure calculations for Ibor Future trades.
*
* Each method corresponds to a measure, typically calculated by one or more calls to the pricer.
*/
final class IborFutureMeasureCalculations {
/**
* Default implementation.
*/
public static final IborFutureMeasureCalculations DEFAULT = new IborFutureMeasureCalculations(
DiscountingIborFutureTradePricer.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 ResolvedIborFutureTrade}.
*/
private final DiscountingIborFutureTradePricer tradePricer;
/**
* Creates an instance.
*
* @param tradePricer the pricer for {@link ResolvedIborFutureTrade}
*/
IborFutureMeasureCalculations(
DiscountingIborFutureTradePricer tradePricer) {
this.tradePricer = ArgChecker.notNull(tradePricer, "tradePricer");
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
CurrencyScenarioArray presentValue(
ResolvedIborFutureTrade trade,
RatesScenarioMarketData marketData) {
return CurrencyScenarioArray.of(
marketData.getScenarioCount(),
i -> presentValue(trade, marketData.scenario(i).ratesProvider()));
}
// present value for one scenario
CurrencyAmount presentValue(
ResolvedIborFutureTrade trade,
RatesProvider ratesProvider) {
// mark to model
double settlementPrice = settlementPrice(trade, ratesProvider);
return tradePricer.presentValue(trade, ratesProvider, settlementPrice);
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
MultiCurrencyScenarioArray pv01CalibratedSum(
ResolvedIborFutureTrade trade,
RatesScenarioMarketData marketData) {
return MultiCurrencyScenarioArray.of(
marketData.getScenarioCount(),
i -> pv01CalibratedSum(trade, marketData.scenario(i).ratesProvider()));
}
// calibrated sum PV01 for one scenario
MultiCurrencyAmount pv01CalibratedSum(
ResolvedIborFutureTrade 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(
ResolvedIborFutureTrade trade,
RatesScenarioMarketData marketData) {
return ScenarioArray.of(
marketData.getScenarioCount(),
i -> pv01CalibratedBucketed(trade, marketData.scenario(i).ratesProvider()));
}
// calibrated bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01CalibratedBucketed(
ResolvedIborFutureTrade 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(
ResolvedIborFutureTrade trade,
RatesScenarioMarketData marketData) {
return MultiCurrencyScenarioArray.of(
marketData.getScenarioCount(),
i -> pv01MarketQuoteSum(trade, marketData.scenario(i).ratesProvider()));
}
// market quote sum PV01 for one scenario
MultiCurrencyAmount pv01MarketQuoteSum(
ResolvedIborFutureTrade 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(
ResolvedIborFutureTrade trade,
RatesScenarioMarketData marketData) {
return ScenarioArray.of(
marketData.getScenarioCount(),
i -> pv01MarketQuoteBucketed(trade, marketData.scenario(i).ratesProvider()));
}
// market quote bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01MarketQuoteBucketed(
ResolvedIborFutureTrade 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(
ResolvedIborFutureTrade trade,
RatesScenarioMarketData marketData) {
return DoubleScenarioArray.of(
marketData.getScenarioCount(),
i -> parSpread(trade, marketData.scenario(i).ratesProvider()));
}
// par spread for one scenario
double parSpread(
ResolvedIborFutureTrade trade,
RatesProvider ratesProvider) {
double settlementPrice = settlementPrice(trade, ratesProvider);
return tradePricer.parSpread(trade, ratesProvider, settlementPrice);
}
//-------------------------------------------------------------------------
// calculates unit price for all scenarios
DoubleScenarioArray unitPrice(
ResolvedIborFutureTrade trade,
RatesScenarioMarketData marketData) {
return DoubleScenarioArray.of(
marketData.getScenarioCount(),
i -> unitPrice(trade, marketData.scenario(i).ratesProvider()));
}
// unit price for one scenario
double unitPrice(
ResolvedIborFutureTrade trade,
RatesProvider ratesProvider) {
// mark to model
return tradePricer.price(trade, ratesProvider);
}
//-------------------------------------------------------------------------
// gets the settlement price
private double settlementPrice(ResolvedIborFutureTrade trade, RatesProvider ratesProvider) {
StandardId standardId = trade.getProduct().getSecurityId().getStandardId();
QuoteId id = QuoteId.of(standardId, FieldName.SETTLEMENT_PRICE);
return ratesProvider.data(id) / 100; // convert market quote to value needed
}
}