/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.measure.fra;
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.amount.CashFlows;
import com.opengamma.strata.market.explain.ExplainMap;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.measure.rate.RatesMarketDataLookup;
import com.opengamma.strata.pricer.fra.DiscountingFraTradePricer;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.fra.FraTrade;
import com.opengamma.strata.product.fra.ResolvedFraTrade;
/**
* Calculates pricing and risk measures for forward rate agreement (FRA) trades.
* <p>
* This provides a high-level entry point for FRA pricing and risk measures.
* <p>
* Each method takes a {@link ResolvedFraTrade}, whereas application code will
* typically work with {@link FraTrade}. Call
* {@link FraTrade#resolve(com.opengamma.strata.basics.ReferenceData) FraTrade::resolve(ReferenceData)}
* to convert {@code FraTrade} to {@code ResolvedFraTrade}.
*/
public class FraTradeCalculations {
/**
* Default implementation.
*/
public static final FraTradeCalculations DEFAULT = new FraTradeCalculations(
DiscountingFraTradePricer.DEFAULT);
/**
* Pricer for {@link ResolvedFraTrade}.
*/
private final FraMeasureCalculations calc;
/**
* Creates an instance.
* <p>
* In most cases, applications should use the {@link #DEFAULT} instance.
*
* @param tradePricer the pricer for {@link ResolvedFraTrade}
*/
public FraTradeCalculations(
DiscountingFraTradePricer tradePricer) {
this.calc = new FraMeasureCalculations(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(
ResolvedFraTrade 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(
ResolvedFraTrade trade,
RatesProvider ratesProvider) {
return calc.presentValue(trade, ratesProvider);
}
//-------------------------------------------------------------------------
/**
* Explains the present value calculation across one or more scenarios.
* <p>
* This provides a breakdown of how
* {@linkplain #presentValue(ResolvedFraTrade, RatesMarketDataLookup, ScenarioMarketData) present value}
* was calculated, typically used for debugging and validation.
*
* @param trade the trade
* @param lookup the lookup used to query the market data
* @param marketData the market data
* @return the present value explanation, one entry per scenario
*/
public ScenarioArray<ExplainMap> explainPresentValue(
ResolvedFraTrade trade,
RatesMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.explainPresentValue(trade, lookup.marketDataView(marketData));
}
/**
* Explains the present value calculation for a single set of market data.
* <p>
* This provides a breakdown of how
* {@linkplain #presentValue(ResolvedFraTrade, RatesMarketDataLookup, ScenarioMarketData) present value}
* was calculated, typically used for debugging and validation.
*
* @param trade the trade
* @param ratesProvider the market data
* @return the present value explanation
*/
public ExplainMap explainPresentValue(
ResolvedFraTrade trade,
RatesProvider ratesProvider) {
return calc.explainPresentValue(trade, ratesProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
* <p>
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedFraTrade, 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(
ResolvedFraTrade trade,
RatesMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.pv01CalibratedSum(trade, lookup.marketDataView(marketData));
}
/**
* Calculates present value sensitivity for a single set of market data.
* <p>
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedFraTrade, 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(
ResolvedFraTrade trade,
RatesProvider ratesProvider) {
return calc.pv01CalibratedSum(trade, ratesProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
* <p>
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedFraTrade, 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<CurrencyParameterSensitivities> pv01CalibratedBucketed(
ResolvedFraTrade trade,
RatesMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.pv01CalibratedBucketed(trade, lookup.marketDataView(marketData));
}
/**
* Calculates present value sensitivity for a single set of market data.
* <p>
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedFraTrade, 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(
ResolvedFraTrade trade,
RatesProvider ratesProvider) {
return calc.pv01CalibratedBucketed(trade, ratesProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
* <p>
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedFraTrade, 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(
ResolvedFraTrade trade,
RatesMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.pv01MarketQuoteSum(trade, lookup.marketDataView(marketData));
}
/**
* Calculates present value sensitivity for a single set of market data.
* <p>
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedFraTrade, 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(
ResolvedFraTrade trade,
RatesProvider ratesProvider) {
return calc.pv01MarketQuoteSum(trade, ratesProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
* <p>
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedFraTrade, 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<CurrencyParameterSensitivities> pv01MarketQuoteBucketed(
ResolvedFraTrade trade,
RatesMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.pv01MarketQuoteBucketed(trade, lookup.marketDataView(marketData));
}
/**
* Calculates present value sensitivity for a single set of market data.
* <p>
* This is the sensitivity of
* {@linkplain #presentValue(ResolvedFraTrade, 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(
ResolvedFraTrade trade,
RatesProvider ratesProvider) {
return calc.pv01MarketQuoteBucketed(trade, ratesProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates par rate 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 rate, one entry per scenario
*/
public DoubleScenarioArray parRate(
ResolvedFraTrade trade,
RatesMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.parRate(trade, lookup.marketDataView(marketData));
}
/**
* Calculates par rate for a single set of market data.
*
* @param trade the trade
* @param ratesProvider the market data
* @return the par rate
*/
public double parRate(
ResolvedFraTrade trade,
RatesProvider ratesProvider) {
return calc.parRate(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(
ResolvedFraTrade 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(
ResolvedFraTrade trade,
RatesProvider ratesProvider) {
return calc.parSpread(trade, ratesProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates cash flows across one or more scenarios.
* <p>
* The cash flows provide details about the payments of the trade.
*
* @param trade the trade
* @param lookup the lookup used to query the market data
* @param marketData the market data
* @return the cash flows, one entry per scenario
*/
public ScenarioArray<CashFlows> cashFlows(
ResolvedFraTrade trade,
RatesMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.cashFlows(trade, lookup.marketDataView(marketData));
}
/**
* Calculates cash flows for a single set of market data.
* <p>
* The cash flows provide details about the payments of the trade.
*
* @param trade the trade
* @param ratesProvider the market data
* @return the cash flows
*/
public CashFlows cashFlows(
ResolvedFraTrade trade,
RatesProvider ratesProvider) {
return calc.cashFlows(trade, ratesProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates currency exposure across one or more scenarios.
* <p>
* The currency risk, expressed as the equivalent amount in each currency.
*
* @param trade the trade
* @param lookup the lookup used to query the market data
* @param marketData the market data
* @return the currency exposure, one entry per scenario
*/
public MultiCurrencyScenarioArray currencyExposure(
ResolvedFraTrade trade,
RatesMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.currencyExposure(trade, lookup.marketDataView(marketData));
}
/**
* Calculates currency exposure for a single set of market data.
* <p>
* The currency risk, expressed as the equivalent amount in each currency.
*
* @param trade the trade
* @param ratesProvider the market data
* @return the currency exposure
*/
public MultiCurrencyAmount currencyExposure(
ResolvedFraTrade trade,
RatesProvider ratesProvider) {
return calc.currencyExposure(trade, ratesProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates current cash across one or more scenarios.
* <p>
* The sum of all cash flows paid on the valuation date.
*
* @param trade the trade
* @param lookup the lookup used to query the market data
* @param marketData the market data
* @return the current cash, one entry per scenario
*/
public CurrencyScenarioArray currentCash(
ResolvedFraTrade trade,
RatesMarketDataLookup lookup,
ScenarioMarketData marketData) {
return calc.currentCash(trade, lookup.marketDataView(marketData));
}
/**
* Calculates current cash for a single set of market data.
* <p>
* The sum of all cash flows paid on the valuation date.
*
* @param trade the trade
* @param ratesProvider the market data
* @return the current cash
*/
public CurrencyAmount currentCash(
ResolvedFraTrade trade,
RatesProvider ratesProvider) {
return calc.currentCash(trade, ratesProvider);
}
}