com.opengamma.strata.measure.index.OvernightFutureTradeCalculations Maven / Gradle / Ivy
/*
* Copyright (C) 2018 - 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.DiscountingOvernightFutureTradePricer;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.index.OvernightFutureTrade;
import com.opengamma.strata.product.index.ResolvedOvernightFutureTrade;
/**
* Calculates pricing and risk measures for trades in a futures contract based on an Overnight rate index.
*
* This provides a high-level entry point for future pricing and risk measures.
*
* Each method takes a {@link ResolvedOvernightFutureTrade}, whereas application code will
* typically work with {@link OvernightFutureTrade}. Call
* {@link OvernightFutureTrade#resolve(com.opengamma.strata.basics.ReferenceData) OvernightFutureTrade::resolve(ReferenceData)}
* to convert {@code OvernightFutureTrade} to {@code ResolvedOvernightFutureTrade}.
*
*
Price
* The price of an Overnight rate future is based on the interest rate of the underlying index.
* It is defined as {@code (100 - percentRate)}.
*
* Strata uses decimal prices for Overnight rate 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.
*/
public class OvernightFutureTradeCalculations {
/**
* Default implementation.
*/
public static final OvernightFutureTradeCalculations DEFAULT = new OvernightFutureTradeCalculations(
DiscountingOvernightFutureTradePricer.DEFAULT);
/**
* Pricer for {@link ResolvedOvernightFutureTrade}.
*/
private final OvernightFutureMeasureCalculations calc;
/**
* Creates an instance.
*
* In most cases, applications should use the {@link #DEFAULT} instance.
*
* @param tradePricer the pricer for {@link ResolvedOvernightFutureTrade}
*/
public OvernightFutureTradeCalculations(
DiscountingOvernightFutureTradePricer tradePricer) {
this.calc = new OvernightFutureMeasureCalculations(tradePricer);
}
//-------------------------------------------------------------------------
/**
* Calculates present value across one or more scenarios.
*
* @param trade the trade
* @param lookup the lookup used to query the market data
* @param marketData the market data
* @return the present value, one entry per scenario
*/
public CurrencyScenarioArray presentValue(
ResolvedOvernightFutureTrade trade,
RatesMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.presentValue(trade, lookup.marketDataView(marketData));
}
/**
* Calculates present value for a single set of market data.
*
* @param trade the trade
* @param ratesProvider the market data
* @return the present value
*/
public CurrencyAmount presentValue(
ResolvedOvernightFutureTrade trade,
RatesProvider ratesProvider) {
return calc.presentValue(trade, ratesProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedOvernightFutureTrade, RatesMarketDataLookup, 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 lookup the lookup used to query the market data
* @param marketData the market data
* @return the present value sensitivity, one entry per scenario
*/
public MultiCurrencyScenarioArray pv01CalibratedSum(
ResolvedOvernightFutureTrade trade,
RatesMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.pv01CalibratedSum(trade, lookup.marketDataView(marketData));
}
/**
* Calculates present value sensitivity for a single set of market data.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedOvernightFutureTrade, RatesMarketDataLookup, 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
* @return the present value sensitivity
*/
public MultiCurrencyAmount pv01CalibratedSum(
ResolvedOvernightFutureTrade trade,
RatesProvider ratesProvider) {
return calc.pv01CalibratedSum(trade, ratesProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedOvernightFutureTrade, RatesMarketDataLookup, 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 lookup the lookup used to query the market data
* @param marketData the market data
* @return the present value sensitivity, one entry per scenario
*/
public ScenarioArray pv01CalibratedBucketed(
ResolvedOvernightFutureTrade trade,
RatesMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.pv01CalibratedBucketed(trade, lookup.marketDataView(marketData));
}
/**
* Calculates present value sensitivity for a single set of market data.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedOvernightFutureTrade, RatesMarketDataLookup, 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
* @return the present value sensitivity
*/
public CurrencyParameterSensitivities pv01CalibratedBucketed(
ResolvedOvernightFutureTrade trade,
RatesProvider ratesProvider) {
return calc.pv01CalibratedBucketed(trade, ratesProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedOvernightFutureTrade, RatesMarketDataLookup, 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 lookup the lookup used to query the market data
* @param marketData the market data
* @return the present value sensitivity, one entry per scenario
*/
public MultiCurrencyScenarioArray pv01MarketQuoteSum(
ResolvedOvernightFutureTrade trade,
RatesMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.pv01MarketQuoteSum(trade, lookup.marketDataView(marketData));
}
/**
* Calculates present value sensitivity for a single set of market data.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedOvernightFutureTrade, RatesMarketDataLookup, 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
* @return the present value sensitivity
*/
public MultiCurrencyAmount pv01MarketQuoteSum(
ResolvedOvernightFutureTrade trade,
RatesProvider ratesProvider) {
return calc.pv01MarketQuoteSum(trade, ratesProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedOvernightFutureTrade, RatesMarketDataLookup, 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 lookup the lookup used to query the market data
* @param marketData the market data
* @return the present value sensitivity, one entry per scenario
*/
public ScenarioArray pv01MarketQuoteBucketed(
ResolvedOvernightFutureTrade trade,
RatesMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.pv01MarketQuoteBucketed(trade, lookup.marketDataView(marketData));
}
/**
* Calculates present value sensitivity for a single set of market data.
*
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedOvernightFutureTrade, RatesMarketDataLookup, 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
* @return the present value sensitivity
*/
public CurrencyParameterSensitivities pv01MarketQuoteBucketed(
ResolvedOvernightFutureTrade trade,
RatesProvider ratesProvider) {
return calc.pv01MarketQuoteBucketed(trade, ratesProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates par spread across one or more scenarios.
*
* @param trade the trade
* @param lookup the lookup used to query the market data
* @param marketData the market data
* @return the par spread, one entry per scenario
*/
public DoubleScenarioArray parSpread(
ResolvedOvernightFutureTrade trade,
RatesMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.parSpread(trade, lookup.marketDataView(marketData));
}
/**
* Calculates par spread for a single set of market data.
*
* @param trade the trade
* @param ratesProvider the market data
* @return the par spread
*/
public double parSpread(
ResolvedOvernightFutureTrade trade,
RatesProvider ratesProvider) {
return calc.parSpread(trade, ratesProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates unit price across one or more scenarios.
*
* This is the price of a single unit of the security.
*
* Strata uses decimal prices for Overnight rate 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 lookup the lookup used to query the market data
* @param marketData the market data
* @return the present value, one entry per scenario
*/
public DoubleScenarioArray unitPrice(
ResolvedOvernightFutureTrade trade,
RatesMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.unitPrice(trade, lookup.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 Overnight rate 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
* @return the present value
*/
public double unitPrice(
ResolvedOvernightFutureTrade trade,
RatesProvider ratesProvider) {
return calc.unitPrice(trade, ratesProvider);
}
}