com.opengamma.strata.measure.index.IborFutureOptionTradeCalculations 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.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.index.IborFutureOptionVolatilities;
import com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedTradePricer;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.index.IborFutureOptionTrade;
import com.opengamma.strata.product.index.ResolvedIborFutureOptionTrade;
/**
* Calculates pricing and risk measures for trades in an option contract based on an Ibor index future.
*
* This provides a high-level entry point for option pricing and risk measures.
*
* Each method takes a {@link ResolvedIborFutureOptionTrade}, whereas application code will
* typically work with {@link IborFutureOptionTrade}. Call
* {@link IborFutureOptionTrade#resolve(com.opengamma.strata.basics.ReferenceData) IborFutureOptionTrade::resolve(ReferenceData)}
* to convert {@code IborFutureOptionTrade} to {@code ResolvedIborFutureOptionTrade}.
*
*
Price
* The price of an Ibor future option is based on the price of the underlying future, the volatility
* and the time to expiry. The price of the at-the-money option tends to zero as expiry approaches.
*
* Strata uses decimal prices for Ibor future options in the trade model, pricers and market data.
* The decimal price is based on the decimal rate equivalent to the percentage.
* For example, an option price of 0.2 is related to a futures price of 99.32 that implies an
* interest rate of 0.68%. Strata represents the price of the future as 0.9932 and thus
* represents the price of the option as 0.002.
*/
public class IborFutureOptionTradeCalculations {
/**
* Default implementation.
*/
public static final IborFutureOptionTradeCalculations DEFAULT = new IborFutureOptionTradeCalculations(
NormalIborFutureOptionMarginedTradePricer.DEFAULT);
/**
* Pricer for {@link ResolvedIborFutureOptionTrade}.
*/
private final IborFutureOptionMeasureCalculations calc;
/**
* Creates an instance.
*
* In most cases, applications should use the {@link #DEFAULT} instance.
*
* @param tradePricer the pricer for {@link ResolvedIborFutureOptionTrade}
*/
public IborFutureOptionTradeCalculations(
NormalIborFutureOptionMarginedTradePricer tradePricer) {
this.calc = new IborFutureOptionMeasureCalculations(tradePricer);
}
//-------------------------------------------------------------------------
/**
* Calculates present value across one or more scenarios.
*
* @param trade the trade
* @param ratesLookup the lookup used to query the rates market data
* @param optionLookup the lookup used to query the option market data
* @param marketData the market data
* @return the present value, one entry per scenario
*/
public CurrencyScenarioArray presentValue(
ResolvedIborFutureOptionTrade trade,
RatesMarketDataLookup ratesLookup,
IborFutureOptionMarketDataLookup optionLookup,
ScenarioMarketData marketData) {
return calc.presentValue(trade, ratesLookup.marketDataView(marketData), optionLookup.marketDataView(marketData));
}
/**
* Calculates present value for a single set of market data.
*
* @param trade the trade
* @param ratesProvider the market data
* @param volatilities the option volatilities
* @return the present value
*/
public CurrencyAmount presentValue(
ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
IborFutureOptionVolatilities volatilities) {
return calc.presentValue(trade, ratesProvider, volatilities);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedIborFutureOptionTrade, RatesMarketDataLookup, IborFutureOptionMarketDataLookup, 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 ratesLookup the lookup used to query the rates market data
* @param optionLookup the lookup used to query the option market data
* @param marketData the market data
* @return the present value sensitivity, one entry per scenario
*/
public MultiCurrencyScenarioArray pv01CalibratedSum(
ResolvedIborFutureOptionTrade trade,
RatesMarketDataLookup ratesLookup,
IborFutureOptionMarketDataLookup optionLookup,
ScenarioMarketData marketData) {
return calc.pv01CalibratedSum(trade, ratesLookup.marketDataView(marketData), optionLookup.marketDataView(marketData));
}
/**
* Calculates present value sensitivity for a single set of market data.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedIborFutureOptionTrade, RatesMarketDataLookup, IborFutureOptionMarketDataLookup, 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
* @param volatilities the option volatilities
* @return the present value sensitivity
*/
public MultiCurrencyAmount pv01CalibratedSum(
ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
IborFutureOptionVolatilities volatilities) {
return calc.pv01CalibratedSum(trade, ratesProvider, volatilities);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedIborFutureOptionTrade, RatesMarketDataLookup, IborFutureOptionMarketDataLookup, 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 ratesLookup the lookup used to query the rates market data
* @param optionLookup the lookup used to query the option market data
* @param marketData the market data
* @return the present value sensitivity, one entry per scenario
*/
public ScenarioArray pv01CalibratedBucketed(
ResolvedIborFutureOptionTrade trade,
RatesMarketDataLookup ratesLookup,
IborFutureOptionMarketDataLookup optionLookup,
ScenarioMarketData marketData) {
return calc.pv01CalibratedBucketed(trade, ratesLookup.marketDataView(marketData), optionLookup.marketDataView(marketData));
}
/**
* Calculates present value sensitivity for a single set of market data.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedIborFutureOptionTrade, RatesMarketDataLookup, IborFutureOptionMarketDataLookup, 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
* @param volatilities the option volatilities
* @return the present value sensitivity
*/
public CurrencyParameterSensitivities pv01CalibratedBucketed(
ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
IborFutureOptionVolatilities volatilities) {
return calc.pv01CalibratedBucketed(trade, ratesProvider, volatilities);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedIborFutureOptionTrade, RatesMarketDataLookup, IborFutureOptionMarketDataLookup, 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 ratesLookup the lookup used to query the rates market data
* @param optionLookup the lookup used to query the option market data
* @param marketData the market data
* @return the present value sensitivity, one entry per scenario
*/
public MultiCurrencyScenarioArray pv01MarketQuoteSum(
ResolvedIborFutureOptionTrade trade,
RatesMarketDataLookup ratesLookup,
IborFutureOptionMarketDataLookup optionLookup,
ScenarioMarketData marketData) {
return calc.pv01MarketQuoteSum(trade, ratesLookup.marketDataView(marketData), optionLookup.marketDataView(marketData));
}
/**
* Calculates present value sensitivity for a single set of market data.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedIborFutureOptionTrade, RatesMarketDataLookup, IborFutureOptionMarketDataLookup, 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
* @param volatilities the option volatilities
* @return the present value sensitivity
*/
public MultiCurrencyAmount pv01MarketQuoteSum(
ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
IborFutureOptionVolatilities volatilities) {
return calc.pv01MarketQuoteSum(trade, ratesProvider, volatilities);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedIborFutureOptionTrade, RatesMarketDataLookup, IborFutureOptionMarketDataLookup, 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 ratesLookup the lookup used to query the rates market data
* @param optionLookup the lookup used to query the option market data
* @param marketData the market data
* @return the present value sensitivity, one entry per scenario
*/
public ScenarioArray pv01MarketQuoteBucketed(
ResolvedIborFutureOptionTrade trade,
RatesMarketDataLookup ratesLookup,
IborFutureOptionMarketDataLookup optionLookup,
ScenarioMarketData marketData) {
return calc.pv01MarketQuoteBucketed(trade, ratesLookup.marketDataView(marketData), optionLookup.marketDataView(marketData));
}
/**
* Calculates present value sensitivity for a single set of market data.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedIborFutureOptionTrade, RatesMarketDataLookup, IborFutureOptionMarketDataLookup, 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
* @param volatilities the option volatilities
* @return the present value sensitivity
*/
public CurrencyParameterSensitivities pv01MarketQuoteBucketed(
ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
IborFutureOptionVolatilities volatilities) {
return calc.pv01MarketQuoteBucketed(trade, ratesProvider, volatilities);
}
//-------------------------------------------------------------------------
/**
* Calculates unit price across one or more scenarios.
*
* This is the price of a single unit of the security.
*
* Strata uses decimal prices for Ibor futures in the trade model, pricers and market data.
* The decimal price is based on the decimal rate equivalent to the percentage.
* For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.
*
* @param trade the trade
* @param ratesLookup the lookup used to query the rates market data
* @param optionLookup the lookup used to query the option market data
* @param marketData the market data
* @return the present value, one entry per scenario
*/
public DoubleScenarioArray unitPrice(
ResolvedIborFutureOptionTrade trade,
RatesMarketDataLookup ratesLookup,
IborFutureOptionMarketDataLookup optionLookup,
ScenarioMarketData marketData) {
return calc.unitPrice(trade, ratesLookup.marketDataView(marketData), optionLookup.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 Ibor futures in the trade model, pricers and market data.
* The decimal price is based on the decimal rate equivalent to the percentage.
* For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.
*
* @param trade the trade
* @param ratesProvider the market data
* @param volatilities the option volatilities
* @return the present value
*/
public double unitPrice(
ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
IborFutureOptionVolatilities volatilities) {
return calc.unitPrice(trade, ratesProvider, volatilities);
}
}