FxNdfTradeCalculations.java

/**
 * Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.strata.measure.fx;

import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.currency.FxRate;
import com.opengamma.strata.basics.currency.MultiCurrencyAmount;
import com.opengamma.strata.data.scenario.CurrencyScenarioArray;
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.fx.DiscountingFxNdfTradePricer;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.fx.FxNdfTrade;
import com.opengamma.strata.product.fx.ResolvedFxNdfTrade;

/**
 * Calculates pricing and risk measures for FX Non-Deliverable Forward (NDF) trades.
 * <p>
 * This provides a high-level entry point for NDF pricing and risk measures.
 * <p>
 * Each method takes a {@link ResolvedFxNdfTrade}, whereas application code will
 * typically work with {@link FxNdfTrade}. Call
 * {@link FxNdfTrade#resolve(com.opengamma.strata.basics.ReferenceData) FxNdfTrade::resolve(ReferenceData)}
 * to convert {@code FxNdfTrade} to {@code ResolvedFxNdfTrade}.
 */
public class FxNdfTradeCalculations {

  /**
   * Default implementation.
   */
  public static final FxNdfTradeCalculations DEFAULT = new FxNdfTradeCalculations(
      DiscountingFxNdfTradePricer.DEFAULT);

  /**
   * Pricer for {@link ResolvedFxNdfTrade}.
   */
  private final FxNdfMeasureCalculations calc;

  /**
   * Creates an instance.
   * <p>
   * In most cases, applications should use the {@link #DEFAULT} instance.
   * 
   * @param tradePricer  the pricer for {@link ResolvedFxNdfTrade}
   */
  public FxNdfTradeCalculations(
      DiscountingFxNdfTradePricer tradePricer) {
    this.calc = new FxNdfMeasureCalculations(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(
      ResolvedFxNdfTrade 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(
      ResolvedFxNdfTrade trade,
      RatesProvider ratesProvider) {

    return calc.presentValue(trade, ratesProvider);
  }

  //-------------------------------------------------------------------------
  /**
   * Calculates present value sensitivity across one or more scenarios.
   * <p>
   * This is the sensitivity of
   * {@linkplain #presentValue(ResolvedFxNdfTrade, 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(
      ResolvedFxNdfTrade 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(ResolvedFxNdfTrade, 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(
      ResolvedFxNdfTrade 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(ResolvedFxNdfTrade, 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(
      ResolvedFxNdfTrade 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(ResolvedFxNdfTrade, 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(
      ResolvedFxNdfTrade 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(ResolvedFxNdfTrade, 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(
      ResolvedFxNdfTrade 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(ResolvedFxNdfTrade, 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(
      ResolvedFxNdfTrade 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(ResolvedFxNdfTrade, 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(
      ResolvedFxNdfTrade 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(ResolvedFxNdfTrade, 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(
      ResolvedFxNdfTrade trade,
      RatesProvider ratesProvider) {

    return calc.pv01MarketQuoteBucketed(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(
      ResolvedFxNdfTrade 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(
      ResolvedFxNdfTrade 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(
      ResolvedFxNdfTrade 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(
      ResolvedFxNdfTrade trade,
      RatesProvider ratesProvider) {

    return calc.currentCash(trade, ratesProvider);
  }

  //-------------------------------------------------------------------------
  /**
   * Calculates the forward FX 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 current cash, one entry per scenario
   */
  public ScenarioArray<FxRate> forwardFxRate(
      ResolvedFxNdfTrade trade,
      RatesMarketDataLookup lookup,
      ScenarioMarketData marketData) {

    return calc.forwardFxRate(trade, lookup.marketDataView(marketData));
  }

  /**
   * Calculates the forward FX rate for a single set of market data.
   * 
   * @param trade  the trade
   * @param ratesProvider  the market data
   * @return the current cash
   */
  public FxRate forwardFxRate(
      ResolvedFxNdfTrade trade,
      RatesProvider ratesProvider) {

    return calc.forwardFxRate(trade, ratesProvider);
  }

}