com.opengamma.strata.measure.index.IborFutureOptionMeasureCalculations 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.basics.index.IborIndex;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.Messages;
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.IborFutureOptionVolatilities;
import com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedTradePricer;
import com.opengamma.strata.pricer.index.NormalIborFutureOptionVolatilities;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.pricer.sensitivity.MarketQuoteSensitivityCalculator;
import com.opengamma.strata.product.index.ResolvedIborFutureOptionTrade;
/**
* Multi-scenario measure calculations for Ibor Future Option trades.
*
* Each method corresponds to a measure, typically calculated by one or more calls to the pricer.
*/
final class IborFutureOptionMeasureCalculations {
/**
* Default implementation.
*/
public static final IborFutureOptionMeasureCalculations DEFAULT = new IborFutureOptionMeasureCalculations(
NormalIborFutureOptionMarginedTradePricer.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 ResolvedIborFutureOptionTrade}.
*/
private final NormalIborFutureOptionMarginedTradePricer tradePricer;
/**
* Creates an instance.
*
* @param tradePricer the pricer for {@link ResolvedIborFutureOptionTrade}
*/
IborFutureOptionMeasureCalculations(
NormalIborFutureOptionMarginedTradePricer tradePricer) {
this.tradePricer = ArgChecker.notNull(tradePricer, "tradePricer");
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
CurrencyScenarioArray presentValue(
ResolvedIborFutureOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
IborFutureOptionScenarioMarketData optionMarketData) {
IborIndex index = trade.getProduct().getUnderlyingFuture().getIndex();
return CurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> presentValue(
trade,
ratesMarketData.scenario(i).ratesProvider(),
optionMarketData.scenario(i).volatilities(index)));
}
// present value for one scenario
CurrencyAmount presentValue(
ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
IborFutureOptionVolatilities volatilities) {
// mark to model
double settlementPrice = settlementPrice(trade, ratesProvider);
NormalIborFutureOptionVolatilities normalVols = checkNormalVols(volatilities);
return tradePricer.presentValue(trade, ratesProvider, normalVols, settlementPrice);
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
MultiCurrencyScenarioArray pv01CalibratedSum(
ResolvedIborFutureOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
IborFutureOptionScenarioMarketData optionMarketData) {
IborIndex index = trade.getProduct().getUnderlyingFuture().getIndex();
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01CalibratedSum(
trade,
ratesMarketData.scenario(i).ratesProvider(),
optionMarketData.scenario(i).volatilities(index)));
}
// calibrated sum PV01 for one scenario
MultiCurrencyAmount pv01CalibratedSum(
ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
IborFutureOptionVolatilities volatilities) {
NormalIborFutureOptionVolatilities normalVols = checkNormalVols(volatilities);
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivityRates(trade, ratesProvider, normalVols);
return ratesProvider.parameterSensitivity(pointSensitivity).total().multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
ScenarioArray pv01CalibratedBucketed(
ResolvedIborFutureOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
IborFutureOptionScenarioMarketData optionMarketData) {
IborIndex index = trade.getProduct().getUnderlyingFuture().getIndex();
return ScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01CalibratedBucketed(
trade,
ratesMarketData.scenario(i).ratesProvider(),
optionMarketData.scenario(i).volatilities(index)));
}
// calibrated bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01CalibratedBucketed(
ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
IborFutureOptionVolatilities volatilities) {
NormalIborFutureOptionVolatilities normalVols = checkNormalVols(volatilities);
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivityRates(trade, ratesProvider, normalVols);
return ratesProvider.parameterSensitivity(pointSensitivity).multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates market quote sum PV01 for all scenarios
MultiCurrencyScenarioArray pv01MarketQuoteSum(
ResolvedIborFutureOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
IborFutureOptionScenarioMarketData optionMarketData) {
IborIndex index = trade.getProduct().getUnderlyingFuture().getIndex();
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01MarketQuoteSum(
trade,
ratesMarketData.scenario(i).ratesProvider(),
optionMarketData.scenario(i).volatilities(index)));
}
// market quote sum PV01 for one scenario
MultiCurrencyAmount pv01MarketQuoteSum(
ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
IborFutureOptionVolatilities volatilities) {
NormalIborFutureOptionVolatilities normalVols = checkNormalVols(volatilities);
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivityRates(trade, ratesProvider, normalVols);
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(
ResolvedIborFutureOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
IborFutureOptionScenarioMarketData optionMarketData) {
IborIndex index = trade.getProduct().getUnderlyingFuture().getIndex();
return ScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01MarketQuoteBucketed(
trade,
ratesMarketData.scenario(i).ratesProvider(),
optionMarketData.scenario(i).volatilities(index)));
}
// market quote bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01MarketQuoteBucketed(
ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
IborFutureOptionVolatilities volatilities) {
NormalIborFutureOptionVolatilities normalVols = checkNormalVols(volatilities);
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivityRates(trade, ratesProvider, normalVols);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
return MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider).multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates unit price for all scenarios
DoubleScenarioArray unitPrice(
ResolvedIborFutureOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
IborFutureOptionScenarioMarketData optionMarketData) {
IborIndex index = trade.getProduct().getUnderlyingFuture().getIndex();
return DoubleScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> unitPrice(
trade,
ratesMarketData.scenario(i).ratesProvider(),
optionMarketData.scenario(i).volatilities(index)));
}
// unit price for one scenario
double unitPrice(
ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
IborFutureOptionVolatilities volatilities) {
// mark to model
NormalIborFutureOptionVolatilities normalVols = checkNormalVols(volatilities);
return tradePricer.price(trade, ratesProvider, normalVols);
}
//-------------------------------------------------------------------------
// gets the settlement price
private double settlementPrice(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider) {
StandardId standardId = trade.getProduct().getSecurityId().getStandardId();
QuoteId id = QuoteId.of(standardId, FieldName.SETTLEMENT_PRICE);
return ratesProvider.data(id);
}
// ensure volatilities are Normal
private NormalIborFutureOptionVolatilities checkNormalVols(IborFutureOptionVolatilities volatilities) {
if (volatilities instanceof NormalIborFutureOptionVolatilities) {
return (NormalIborFutureOptionVolatilities) volatilities;
}
throw new IllegalArgumentException(Messages.format(
"Ibor future option only supports Normal volatilities, but was '{}'", volatilities.getVolatilityType()));
}
}