com.opengamma.strata.measure.swap.SwapMeasureCalculations 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.swap;
import static com.opengamma.strata.collect.Guavate.toImmutableList;
import static com.opengamma.strata.collect.Guavate.toImmutableSet;
import static java.util.stream.Collectors.toList;
import java.util.List;
import java.util.Set;
import java.util.stream.Collectors;
import com.google.common.collect.ImmutableList;
import com.google.common.collect.ImmutableSet;
import com.google.common.collect.Iterables;
import com.google.common.collect.Sets;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.currency.MultiCurrencyAmount;
import com.opengamma.strata.basics.index.Index;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.Messages;
import com.opengamma.strata.collect.tuple.Pair;
import com.opengamma.strata.data.MarketData;
import com.opengamma.strata.data.MarketDataId;
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.amount.CashFlows;
import com.opengamma.strata.market.amount.LegAmount;
import com.opengamma.strata.market.amount.LegAmounts;
import com.opengamma.strata.market.amount.SwapLegAmount;
import com.opengamma.strata.market.curve.Curve;
import com.opengamma.strata.market.curve.CurveId;
import com.opengamma.strata.market.explain.ExplainMap;
import com.opengamma.strata.market.param.CrossGammaParameterSensitivities;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.market.param.CurrencyParameterSensitivity;
import com.opengamma.strata.market.sensitivity.PointSensitivities;
import com.opengamma.strata.measure.rate.RatesMarketData;
import com.opengamma.strata.measure.rate.RatesScenarioMarketData;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.pricer.sensitivity.CurveGammaCalculator;
import com.opengamma.strata.pricer.sensitivity.MarketQuoteSensitivityCalculator;
import com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer;
import com.opengamma.strata.product.swap.NotionalPaymentPeriod;
import com.opengamma.strata.product.swap.ResolvedSwap;
import com.opengamma.strata.product.swap.ResolvedSwapLeg;
import com.opengamma.strata.product.swap.ResolvedSwapTrade;
import com.opengamma.strata.product.swap.SwapPaymentPeriod;
/**
* Multi-scenario measure calculations for Swap trades.
*
* Each method corresponds to a measure, typically calculated by one or more calls to the pricer.
*/
final class SwapMeasureCalculations {
/**
* Default implementation.
*/
public static final SwapMeasureCalculations DEFAULT = new SwapMeasureCalculations(
DiscountingSwapTradePricer.DEFAULT);
/**
* The market quote sensitivity calculator.
*/
private static final MarketQuoteSensitivityCalculator MARKET_QUOTE_SENS = MarketQuoteSensitivityCalculator.DEFAULT;
/**
* The cross gamma sensitivity calculator.
*/
private static final CurveGammaCalculator CROSS_GAMMA = CurveGammaCalculator.DEFAULT;
/**
* One basis point, expressed as a {@code double}.
*/
private static final double ONE_BASIS_POINT = 1e-4;
/**
* Special marker value used in place of null.
*/
private static CurrencyAmount NOT_FOUND = CurrencyAmount.zero(Currency.XXX);
/**
* Pricer for {@link ResolvedSwapTrade}.
*/
private final DiscountingSwapTradePricer tradePricer;
/**
* Creates an instance.
*
* @param tradePricer the pricer for {@link ResolvedSwapTrade}
*/
SwapMeasureCalculations(
DiscountingSwapTradePricer tradePricer) {
this.tradePricer = ArgChecker.notNull(tradePricer, "tradePricer");
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
MultiCurrencyScenarioArray presentValue(
ResolvedSwapTrade trade,
RatesScenarioMarketData marketData) {
return MultiCurrencyScenarioArray.of(
marketData.getScenarioCount(),
i -> presentValue(trade, marketData.scenario(i).ratesProvider()));
}
// present value for one scenario
MultiCurrencyAmount presentValue(
ResolvedSwapTrade trade,
RatesProvider ratesProvider) {
return tradePricer.presentValue(trade, ratesProvider);
}
//-------------------------------------------------------------------------
// calculates explain present value for all scenarios
ScenarioArray explainPresentValue(
ResolvedSwapTrade trade,
RatesScenarioMarketData marketData) {
return ScenarioArray.of(
marketData.getScenarioCount(),
i -> explainPresentValue(trade, marketData.scenario(i).ratesProvider()));
}
// explain present value for one scenario
ExplainMap explainPresentValue(
ResolvedSwapTrade trade,
RatesProvider ratesProvider) {
return tradePricer.explainPresentValue(trade, ratesProvider);
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
MultiCurrencyScenarioArray pv01CalibratedSum(
ResolvedSwapTrade trade,
RatesScenarioMarketData marketData) {
return MultiCurrencyScenarioArray.of(
marketData.getScenarioCount(),
i -> pv01CalibratedSum(trade, marketData.scenario(i).ratesProvider()));
}
// calibrated sum PV01 for one scenario
MultiCurrencyAmount pv01CalibratedSum(
ResolvedSwapTrade 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(
ResolvedSwapTrade trade,
RatesScenarioMarketData marketData) {
return ScenarioArray.of(
marketData.getScenarioCount(),
i -> pv01CalibratedBucketed(trade, marketData.scenario(i).ratesProvider()));
}
// calibrated bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01CalibratedBucketed(
ResolvedSwapTrade 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(
ResolvedSwapTrade trade,
RatesScenarioMarketData marketData) {
return MultiCurrencyScenarioArray.of(
marketData.getScenarioCount(),
i -> pv01MarketQuoteSum(trade, marketData.scenario(i).ratesProvider()));
}
// market quote sum PV01 for one scenario
MultiCurrencyAmount pv01MarketQuoteSum(
ResolvedSwapTrade 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(
ResolvedSwapTrade trade,
RatesScenarioMarketData marketData) {
return ScenarioArray.of(
marketData.getScenarioCount(),
i -> pv01MarketQuoteBucketed(trade, marketData.scenario(i).ratesProvider()));
}
// market quote bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01MarketQuoteBucketed(
ResolvedSwapTrade 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 semi-parallel gamma PV01 for all scenarios
ScenarioArray pv01SemiParallelGammaBucketed(
ResolvedSwapTrade trade,
RatesScenarioMarketData marketData) {
return ScenarioArray.of(
marketData.getScenarioCount(),
i -> pv01SemiParallelGammaBucketed(trade, marketData.scenario(i)));
}
// semi-parallel gamma PV01 for one scenario
private CurrencyParameterSensitivities pv01SemiParallelGammaBucketed(
ResolvedSwapTrade trade,
RatesMarketData marketData) {
// find the curve identifiers and resolve to a single curve
ResolvedSwap product = trade.getProduct();
if (product.isCrossCurrency()) {
throw new IllegalArgumentException("Implementation only supports a single curve, but swap is cross-currency");
}
Currency currency = product.getLegs().get(0).getCurrency();
Set indices = product.allIndices();
ImmutableSet> discountIds = marketData.getLookup().getDiscountMarketDataIds(currency);
ImmutableSet> forwardIds = indices.stream()
.flatMap(idx -> marketData.getLookup().getForwardMarketDataIds(idx).stream())
.collect(toImmutableSet());
Set> allIds = Sets.union(discountIds, forwardIds);
if (allIds.size() != 1) {
throw new IllegalArgumentException(Messages.format(
"Implementation only supports a single curve, but lookup refers to more than one: {}", allIds));
}
MarketDataId singleId = allIds.iterator().next();
if (!(singleId instanceof CurveId)) {
throw new IllegalArgumentException(Messages.format(
"Implementation only supports a single curve, but lookup does not refer to a curve: {} {}",
singleId.getClass().getName(), singleId));
}
CurveId curveId = (CurveId) singleId;
Curve curve = marketData.getMarketData().getValue(curveId);
// calculate gamma
CurrencyParameterSensitivity gamma = CurveGammaCalculator.DEFAULT.calculateSemiParallelGamma(
curve, currency, c -> calculateCurveSensitivity(trade, marketData, curveId, c));
return CurrencyParameterSensitivities.of(gamma).multipliedBy(ONE_BASIS_POINT * ONE_BASIS_POINT);
}
// calculates the sensitivity
private CurrencyParameterSensitivity calculateCurveSensitivity(
ResolvedSwapTrade trade,
RatesMarketData marketData,
CurveId curveId,
Curve bumpedCurve) {
MarketData bumpedMarketData = marketData.getMarketData().withValue(curveId, bumpedCurve);
RatesProvider bumpedRatesProvider = marketData.withMarketData(bumpedMarketData).ratesProvider();
PointSensitivities pointSensitivities = tradePricer.presentValueSensitivity(trade, bumpedRatesProvider);
CurrencyParameterSensitivities paramSensitivities = bumpedRatesProvider.parameterSensitivity(pointSensitivities);
return Iterables.getOnlyElement(paramSensitivities.getSensitivities());
}
//-------------------------------------------------------------------------
// calculates single-node gamma PV01 for all scenarios
ScenarioArray pv01SingleNodeGammaBucketed(
ResolvedSwapTrade trade,
RatesScenarioMarketData marketData) {
return ScenarioArray.of(
marketData.getScenarioCount(),
i -> pv01SingleNodeGammaBucketed(trade, marketData.scenario(i).ratesProvider()));
}
// single-node gamma PV01 for one scenario
private CurrencyParameterSensitivities pv01SingleNodeGammaBucketed(
ResolvedSwapTrade trade,
RatesProvider ratesProvider) {
CrossGammaParameterSensitivities crossGamma = CROSS_GAMMA.calculateCrossGammaIntraCurve(
ratesProvider,
p -> p.parameterSensitivity(tradePricer.presentValueSensitivity(trade, p)));
return crossGamma.diagonal().multipliedBy(ONE_BASIS_POINT * ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates par rate for all scenarios
DoubleScenarioArray parRate(
ResolvedSwapTrade trade,
RatesScenarioMarketData marketData) {
return DoubleScenarioArray.of(
marketData.getScenarioCount(),
i -> parRate(trade, marketData.scenario(i).ratesProvider()));
}
// par rate for one scenario
double parRate(
ResolvedSwapTrade trade,
RatesProvider ratesProvider) {
return tradePricer.parRate(trade, ratesProvider);
}
//-------------------------------------------------------------------------
// calculates par spread for all scenarios
DoubleScenarioArray parSpread(
ResolvedSwapTrade trade,
RatesScenarioMarketData marketData) {
return DoubleScenarioArray.of(
marketData.getScenarioCount(),
i -> parSpread(trade, marketData.scenario(i).ratesProvider()));
}
// par spread for one scenario
double parSpread(
ResolvedSwapTrade trade,
RatesProvider ratesProvider) {
return tradePricer.parSpread(trade, ratesProvider);
}
//-------------------------------------------------------------------------
// calculates cash flows for all scenarios
ScenarioArray cashFlows(
ResolvedSwapTrade trade,
RatesScenarioMarketData marketData) {
return ScenarioArray.of(
marketData.getScenarioCount(),
i -> cashFlows(trade, marketData.scenario(i).ratesProvider()));
}
// cash flows for one scenario
CashFlows cashFlows(
ResolvedSwapTrade trade,
RatesProvider ratesProvider) {
return tradePricer.cashFlows(trade, ratesProvider);
}
//-------------------------------------------------------------------------
// calculates accrued interest for all scenarios
MultiCurrencyScenarioArray accruedInterest(
ResolvedSwapTrade trade,
RatesScenarioMarketData marketData) {
return MultiCurrencyScenarioArray.of(
marketData.getScenarioCount(),
i -> accruedInterest(trade, marketData.scenario(i).ratesProvider()));
}
// current cash for one scenario
MultiCurrencyAmount accruedInterest(
ResolvedSwapTrade trade,
RatesProvider ratesProvider) {
return tradePricer.accruedInterest(trade, ratesProvider);
}
//-------------------------------------------------------------------------
// calculates leg initial notional for all scenarios
ScenarioArray legInitialNotional(
ResolvedSwapTrade trade,
RatesScenarioMarketData marketData) {
LegAmounts legInitialNotional = legInitialNotional(trade);
return ScenarioArray.ofSingleValue(marketData.getScenarioCount(), legInitialNotional);
}
// leg initial notional, which is the same for all scenarios
// package-scoped for testing
LegAmounts legInitialNotional(ResolvedSwapTrade trade) {
List> notionals = trade.getProduct().getLegs().stream()
.map(leg -> Pair.of(leg, buildLegNotional(leg)))
.collect(toList());
CurrencyAmount firstNotional = notionals.stream()
.filter(pair -> pair.getSecond() != NOT_FOUND)
.map(pair -> pair.getSecond())
.findFirst()
.orElseThrow(() -> new IllegalArgumentException("No notional found on any swap leg"));
notionals = notionals.stream()
.map(pair -> pair.getSecond() != NOT_FOUND ? pair : Pair.of(pair.getFirst(), firstNotional))
.collect(toList());
ImmutableList legAmounts = notionals.stream()
.map(pair -> SwapLegAmount.of(pair.getFirst(), pair.getSecond()))
.collect(toImmutableList());
return LegAmounts.of(legAmounts);
}
// find the notional
private CurrencyAmount buildLegNotional(ResolvedSwapLeg leg) {
// check for NotionalPaymentPeriod
SwapPaymentPeriod firstPaymentPeriod = leg.getPaymentPeriods().get(0);
if (firstPaymentPeriod instanceof NotionalPaymentPeriod) {
NotionalPaymentPeriod pp = (NotionalPaymentPeriod) firstPaymentPeriod;
return pp.getNotionalAmount().positive();
}
return NOT_FOUND;
}
//-------------------------------------------------------------------------
// calculates leg present value for all scenarios
ScenarioArray legPresentValue(
ResolvedSwapTrade trade,
RatesScenarioMarketData marketData) {
return ScenarioArray.of(
marketData.getScenarioCount(),
i -> legPresentValue(trade, marketData.scenario(i).ratesProvider()));
}
// leg present value for one scenario
LegAmounts legPresentValue(
ResolvedSwapTrade trade,
RatesProvider ratesProvider) {
List legAmounts = trade.getProduct().getLegs().stream()
.map(leg -> legAmount(leg, ratesProvider))
.collect(Collectors.toList());
return LegAmounts.of(legAmounts);
}
// present value for a leg
private SwapLegAmount legAmount(ResolvedSwapLeg leg, RatesProvider provider) {
CurrencyAmount amount = tradePricer.getProductPricer().getLegPricer().presentValue(leg, provider);
return SwapLegAmount.of(leg, amount);
}
//-------------------------------------------------------------------------
// calculates currency exposure for all scenarios
MultiCurrencyScenarioArray currencyExposure(
ResolvedSwapTrade trade,
RatesScenarioMarketData marketData) {
return MultiCurrencyScenarioArray.of(
marketData.getScenarioCount(),
i -> currencyExposure(trade, marketData.scenario(i).ratesProvider()));
}
// currency exposure for one scenario
MultiCurrencyAmount currencyExposure(
ResolvedSwapTrade trade,
RatesProvider ratesProvider) {
return tradePricer.currencyExposure(trade, ratesProvider);
}
//-------------------------------------------------------------------------
// calculates current cash for all scenarios
MultiCurrencyScenarioArray currentCash(
ResolvedSwapTrade trade,
RatesScenarioMarketData marketData) {
return MultiCurrencyScenarioArray.of(
marketData.getScenarioCount(),
i -> currentCash(trade, marketData.scenario(i).ratesProvider()));
}
// current cash for one scenario
MultiCurrencyAmount currentCash(
ResolvedSwapTrade trade,
RatesProvider ratesProvider) {
return tradePricer.currentCash(trade, ratesProvider);
}
}