/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.measure.fxopt;
import java.time.LocalDate;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.currency.CurrencyPair;
import com.opengamma.strata.basics.currency.MultiCurrencyAmount;
import com.opengamma.strata.collect.ArgChecker;
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.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivities;
import com.opengamma.strata.measure.rate.RatesScenarioMarketData;
import com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities;
import com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities;
import com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionTradePricer;
import com.opengamma.strata.pricer.fxopt.FxOptionVolatilities;
import com.opengamma.strata.pricer.fxopt.VannaVolgaFxVanillaOptionTradePricer;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.pricer.sensitivity.MarketQuoteSensitivityCalculator;
import com.opengamma.strata.product.fxopt.ResolvedFxVanillaOptionTrade;
/**
* Multi-scenario measure calculations for FX vanilla option trades.
* <p>
* Each method corresponds to a measure, typically calculated by one or more calls to the pricer.
*/
final class FxVanillaOptionMeasureCalculations {
/**
* Default implementation.
*/
public static final FxVanillaOptionMeasureCalculations DEFAULT = new FxVanillaOptionMeasureCalculations(
BlackFxVanillaOptionTradePricer.DEFAULT,
VannaVolgaFxVanillaOptionTradePricer.DEFAULT);
/**
* The market quote sensitivity calculator.
*/
private static final MarketQuoteSensitivityCalculator MARKET_QUOTE_SENS = MarketQuoteSensitivityCalculator.DEFAULT;
/**
* One basis point, expressed as a {@code double}.
*/
private static final double ONE_BASIS_POINT = 1e-4;
/**
* Pricer for {@link ResolvedFxVanillaOptionTrade}.
*/
private final BlackFxVanillaOptionTradePricer blackPricer;
/**
* Pricer for {@link ResolvedFxVanillaOptionTrade}.
*/
private final VannaVolgaFxVanillaOptionTradePricer vannaVolgaPricer;
/**
* Creates an instance.
*
* @param blackPricer the pricer for {@link ResolvedFxVanillaOptionTrade} using Black
* @param vannaVolgaPricer the pricer for {@link ResolvedFxVanillaOptionTrade} using Vanna-Volga
*/
FxVanillaOptionMeasureCalculations(
BlackFxVanillaOptionTradePricer blackPricer,
VannaVolgaFxVanillaOptionTradePricer vannaVolgaPricer) {
this.blackPricer = ArgChecker.notNull(blackPricer, "blackPricer");
this.vannaVolgaPricer = ArgChecker.notNull(vannaVolgaPricer, "vannaVolgaPricer");
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
MultiCurrencyScenarioArray presentValue(
ResolvedFxVanillaOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
FxOptionScenarioMarketData optionMarketData,
FxVanillaOptionMethod method) {
CurrencyPair currencyPair = trade.getProduct().getCurrencyPair();
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> presentValue(
trade,
ratesMarketData.scenario(i).ratesProvider(),
optionMarketData.scenario(i).volatilities(currencyPair),
method));
}
// present value for one scenario
MultiCurrencyAmount presentValue(
ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxVanillaOptionMethod method) {
if (method == FxVanillaOptionMethod.VANNA_VOLGA) {
return vannaVolgaPricer.presentValue(trade, ratesProvider, checkVannaVolgaVolatilities(volatilities));
} else {
return blackPricer.presentValue(trade, ratesProvider, checkBlackVolatilities(volatilities));
}
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
MultiCurrencyScenarioArray pv01RatesCalibratedSum(
ResolvedFxVanillaOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
FxOptionScenarioMarketData optionMarketData,
FxVanillaOptionMethod method) {
CurrencyPair currencyPair = trade.getProduct().getCurrencyPair();
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesCalibratedSum(
trade,
ratesMarketData.scenario(i).ratesProvider(),
optionMarketData.scenario(i).volatilities(currencyPair),
method));
}
// calibrated sum PV01 for one scenario
MultiCurrencyAmount pv01RatesCalibratedSum(
ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxVanillaOptionMethod method) {
CurrencyParameterSensitivities paramSens = pointSensitivity(trade, ratesProvider, volatilities, method);
return paramSens.total().multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
ScenarioArray<CurrencyParameterSensitivities> pv01RatesCalibratedBucketed(
ResolvedFxVanillaOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
FxOptionScenarioMarketData optionMarketData,
FxVanillaOptionMethod method) {
CurrencyPair currencyPair = trade.getProduct().getCurrencyPair();
return ScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesCalibratedBucketed(
trade,
ratesMarketData.scenario(i).ratesProvider(),
optionMarketData.scenario(i).volatilities(currencyPair),
method));
}
// calibrated bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01RatesCalibratedBucketed(
ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxVanillaOptionMethod method) {
CurrencyParameterSensitivities paramSens = pointSensitivity(trade, ratesProvider, volatilities, method);
return paramSens.multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates market quote sum PV01 for all scenarios
MultiCurrencyScenarioArray pv01RatesMarketQuoteSum(
ResolvedFxVanillaOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
FxOptionScenarioMarketData optionMarketData,
FxVanillaOptionMethod method) {
CurrencyPair currencyPair = trade.getProduct().getCurrencyPair();
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesMarketQuoteSum(
trade,
ratesMarketData.scenario(i).ratesProvider(),
optionMarketData.scenario(i).volatilities(currencyPair),
method));
}
// market quote sum PV01 for one scenario
MultiCurrencyAmount pv01RatesMarketQuoteSum(
ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxVanillaOptionMethod method) {
CurrencyParameterSensitivities paramSens = pointSensitivity(trade, ratesProvider, volatilities, method);
return MARKET_QUOTE_SENS.sensitivity(paramSens, ratesProvider).total().multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates market quote bucketed PV01 for all scenarios
ScenarioArray<CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(
ResolvedFxVanillaOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
FxOptionScenarioMarketData optionMarketData,
FxVanillaOptionMethod method) {
CurrencyPair currencyPair = trade.getProduct().getCurrencyPair();
return ScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesMarketQuoteBucketed(
trade,
ratesMarketData.scenario(i).ratesProvider(),
optionMarketData.scenario(i).volatilities(currencyPair),
method));
}
// market quote bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(
ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxVanillaOptionMethod method) {
CurrencyParameterSensitivities paramSens = pointSensitivity(trade, ratesProvider, volatilities, method);
return MARKET_QUOTE_SENS.sensitivity(paramSens, ratesProvider).multipliedBy(ONE_BASIS_POINT);
}
// point sensitivity
private CurrencyParameterSensitivities pointSensitivity(
ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxVanillaOptionMethod method) {
PointSensitivities pointSens;
if (method == FxVanillaOptionMethod.VANNA_VOLGA) {
pointSens = vannaVolgaPricer.presentValueSensitivityRatesStickyStrike(
trade, ratesProvider, checkVannaVolgaVolatilities(volatilities));
} else {
pointSens = blackPricer.presentValueSensitivityRatesStickyStrike(
trade, ratesProvider, checkBlackVolatilities(volatilities));
}
return ratesProvider.parameterSensitivity(pointSens);
}
//-------------------------------------------------------------------------
// calculates currency exposure for all scenarios
MultiCurrencyScenarioArray currencyExposure(
ResolvedFxVanillaOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
FxOptionScenarioMarketData optionMarketData,
FxVanillaOptionMethod method) {
CurrencyPair currencyPair = trade.getProduct().getCurrencyPair();
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> currencyExposure(
trade,
ratesMarketData.scenario(i).ratesProvider(),
optionMarketData.scenario(i).volatilities(currencyPair),
method));
}
// currency exposure for one scenario
MultiCurrencyAmount currencyExposure(
ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxVanillaOptionMethod method) {
if (method == FxVanillaOptionMethod.VANNA_VOLGA) {
return vannaVolgaPricer.currencyExposure(trade, ratesProvider, checkVannaVolgaVolatilities(volatilities));
} else {
return blackPricer.currencyExposure(trade, ratesProvider, checkBlackVolatilities(volatilities));
}
}
//-------------------------------------------------------------------------
// calculates current cash for all scenarios
CurrencyScenarioArray currentCash(
ResolvedFxVanillaOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
FxOptionScenarioMarketData optionMarketData,
FxVanillaOptionMethod method) {
return CurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> currentCash(
trade,
ratesMarketData.scenario(i).getValuationDate(),
method));
}
// current cash for one scenario
CurrencyAmount currentCash(
ResolvedFxVanillaOptionTrade trade,
LocalDate valuationDate,
FxVanillaOptionMethod method) {
if (method == FxVanillaOptionMethod.VANNA_VOLGA) {
return vannaVolgaPricer.currentCash(trade, valuationDate);
} else {
return blackPricer.currentCash(trade, valuationDate);
}
}
//-------------------------------------------------------------------------
// ensures that the volatilities are correct
private BlackFxOptionVolatilities checkBlackVolatilities(FxOptionVolatilities volatilities) {
if (volatilities instanceof BlackFxOptionVolatilities) {
return (BlackFxOptionVolatilities) volatilities;
}
throw new IllegalArgumentException("FX vanilla option Black pricing requires BlackFxOptionVolatilities");
}
// ensures that the volatilities are correct
private BlackFxOptionSmileVolatilities checkVannaVolgaVolatilities(FxOptionVolatilities volatilities) {
if (volatilities instanceof BlackFxOptionSmileVolatilities) {
return (BlackFxOptionSmileVolatilities) volatilities;
}
throw new IllegalArgumentException("FX vanilla option Vanna Volga pricing requires BlackFxOptionSmileVolatilities");
}
}