/**
* 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 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.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.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.product.fxopt.FxVanillaOptionTrade;
import com.opengamma.strata.product.fxopt.ResolvedFxVanillaOptionTrade;
/**
* Calculates pricing and risk measures for FX vanilla option trades.
* <p>
* This provides a high-level entry point for FX vanilla option pricing and risk measures.
* Pricing is performed using the Black method.
* <p>
* Each method takes a {@link ResolvedFxVanillaOptionTrade}, whereas application code will
* typically work with {@link FxVanillaOptionTrade}. Call
* {@link FxVanillaOptionTrade#resolve(com.opengamma.strata.basics.ReferenceData) FxVanillaOptionTrade::resolve(ReferenceData)}
* to convert {@code FxVanillaOptionTrade} to {@code ResolvedFxVanillaOptionTrade}.
*/
public class FxVanillaOptionTradeCalculations {
/**
* Default implementation.
*/
public static final FxVanillaOptionTradeCalculations DEFAULT = new FxVanillaOptionTradeCalculations(
BlackFxVanillaOptionTradePricer.DEFAULT,
VannaVolgaFxVanillaOptionTradePricer.DEFAULT);
/**
* Pricer for {@link ResolvedFxVanillaOptionTrade}.
*/
private final FxVanillaOptionMeasureCalculations calc;
/**
* Creates an instance.
* <p>
* In most cases, applications should use the {@link #DEFAULT} instance.
*
* @param blackPricer the pricer for {@link ResolvedFxVanillaOptionTrade} using Black
* @param vannaVolgaPricer the pricer for {@link ResolvedFxVanillaOptionTrade} using Vanna-Volga
*/
public FxVanillaOptionTradeCalculations(
BlackFxVanillaOptionTradePricer blackPricer,
VannaVolgaFxVanillaOptionTradePricer vannaVolgaPricer) {
this.calc = new FxVanillaOptionMeasureCalculations(blackPricer, vannaVolgaPricer);
}
//-------------------------------------------------------------------------
/**
* Calculates present value across one or more scenarios.
*
* @param trade the trade
* @param ratesLookup the lookup used to query the market data
* @param fxLookup the lookup used to query the option market data
* @param marketData the market data
* @param method the pricing method
* @return the present value, one entry per scenario
*/
public MultiCurrencyScenarioArray presentValue(
ResolvedFxVanillaOptionTrade trade,
RatesMarketDataLookup ratesLookup,
FxOptionMarketDataLookup fxLookup,
ScenarioMarketData marketData,
FxVanillaOptionMethod method) {
return calc.presentValue(
trade,
ratesLookup.marketDataView(marketData),
fxLookup.marketDataView(marketData),
method);
}
/**
* Calculates present value for a single set of market data.
*
* @param trade the trade
* @param ratesProvider the market data
* @param volatilities the option volatilities
* @param method the pricing method
* @return the present value
*/
public MultiCurrencyAmount presentValue(
ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxVanillaOptionMethod method) {
return calc.presentValue(trade, ratesProvider, volatilities, method);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
* <p>
* This is the sensitivity of 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 ratesLookup the lookup used to query the market data
* @param fxLookup the lookup used to query the option market data
* @param marketData the market data
* @param method the pricing method
* @return the present value sensitivity, one entry per scenario
*/
public MultiCurrencyScenarioArray pv01RatesCalibratedSum(
ResolvedFxVanillaOptionTrade trade,
RatesMarketDataLookup ratesLookup,
FxOptionMarketDataLookup fxLookup,
ScenarioMarketData marketData,
FxVanillaOptionMethod method) {
return calc.pv01RatesCalibratedSum(
trade,
ratesLookup.marketDataView(marketData),
fxLookup.marketDataView(marketData),
method);
}
/**
* Calculates present value sensitivity for a single set of market data.
* <p>
* This is the sensitivity of 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
* @param volatilities the option volatilities
* @param method the pricing method
* @return the present value sensitivity
*/
public MultiCurrencyAmount pv01RatesCalibratedSum(
ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxVanillaOptionMethod method) {
return calc.pv01RatesCalibratedSum(trade, ratesProvider, volatilities, method);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
* <p>
* This is the sensitivity of 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 ratesLookup the lookup used to query the market data
* @param fxLookup the lookup used to query the option market data
* @param marketData the market data
* @param method the pricing method
* @return the present value sensitivity, one entry per scenario
*/
public ScenarioArray<CurrencyParameterSensitivities> pv01RatesCalibratedBucketed(
ResolvedFxVanillaOptionTrade trade,
RatesMarketDataLookup ratesLookup,
FxOptionMarketDataLookup fxLookup,
ScenarioMarketData marketData,
FxVanillaOptionMethod method) {
return calc.pv01RatesCalibratedBucketed(
trade,
ratesLookup.marketDataView(marketData),
fxLookup.marketDataView(marketData),
method);
}
/**
* Calculates present value sensitivity for a single set of market data.
* <p>
* This is the sensitivity of 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
* @param volatilities the option volatilities
* @param method the pricing method
* @return the present value sensitivity
*/
public CurrencyParameterSensitivities pv01RatesCalibratedBucketed(
ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxVanillaOptionMethod method) {
return calc.pv01RatesCalibratedBucketed(trade, ratesProvider, volatilities, method);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
* <p>
* This is the sensitivity of 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 ratesLookup the lookup used to query the market data
* @param fxLookup the lookup used to query the option market data
* @param marketData the market data
* @param method the pricing method
* @return the present value sensitivity, one entry per scenario
*/
public MultiCurrencyScenarioArray pv01RatesMarketQuoteSum(
ResolvedFxVanillaOptionTrade trade,
RatesMarketDataLookup ratesLookup,
FxOptionMarketDataLookup fxLookup,
ScenarioMarketData marketData,
FxVanillaOptionMethod method) {
return calc.pv01RatesMarketQuoteSum(
trade,
ratesLookup.marketDataView(marketData),
fxLookup.marketDataView(marketData),
method);
}
/**
* Calculates present value sensitivity for a single set of market data.
* <p>
* This is the sensitivity of 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
* @param volatilities the option volatilities
* @param method the pricing method
* @return the present value sensitivity
*/
public MultiCurrencyAmount pv01RatesMarketQuoteSum(
ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxVanillaOptionMethod method) {
return calc.pv01RatesMarketQuoteSum(trade, ratesProvider, volatilities, method);
}
//-------------------------------------------------------------------------
/**
* Calculates present value sensitivity across one or more scenarios.
* <p>
* This is the sensitivity of 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 ratesLookup the lookup used to query the market data
* @param marketData the market data
* @param fxLookup the lookup used to query the option market data
* @param method the pricing method
* @return the present value sensitivity, one entry per scenario
*/
public ScenarioArray<CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(
ResolvedFxVanillaOptionTrade trade,
RatesMarketDataLookup ratesLookup,
FxOptionMarketDataLookup fxLookup,
ScenarioMarketData marketData,
FxVanillaOptionMethod method) {
return calc.pv01RatesMarketQuoteBucketed(
trade,
ratesLookup.marketDataView(marketData),
fxLookup.marketDataView(marketData),
method);
}
/**
* Calculates present value sensitivity for a single set of market data.
* <p>
* This is the sensitivity of 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
* @param volatilities the option volatilities
* @param method the pricing method
* @return the present value sensitivity
*/
public CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(
ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxVanillaOptionMethod method) {
return calc.pv01RatesMarketQuoteBucketed(trade, ratesProvider, volatilities, method);
}
//-------------------------------------------------------------------------
/**
* 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 ratesLookup the lookup used to query the market data
* @param fxLookup the lookup used to query the option market data
* @param marketData the market data
* @param method the pricing method
* @return the currency exposure, one entry per scenario
*/
public MultiCurrencyScenarioArray currencyExposure(
ResolvedFxVanillaOptionTrade trade,
RatesMarketDataLookup ratesLookup,
FxOptionMarketDataLookup fxLookup,
ScenarioMarketData marketData,
FxVanillaOptionMethod method) {
return calc.currencyExposure(
trade,
ratesLookup.marketDataView(marketData),
fxLookup.marketDataView(marketData),
method);
}
/**
* 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
* @param volatilities the option volatilities
* @param method the pricing method
* @return the currency exposure
*/
public MultiCurrencyAmount currencyExposure(
ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxVanillaOptionMethod method) {
return calc.currencyExposure(trade, ratesProvider, volatilities, method);
}
//-------------------------------------------------------------------------
/**
* 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 ratesLookup the lookup used to query the market data
* @param fxLookup the lookup used to query the option market data
* @param marketData the market data
* @param method the pricing method
* @return the current cash, one entry per scenario
*/
public CurrencyScenarioArray currentCash(
ResolvedFxVanillaOptionTrade trade,
RatesMarketDataLookup ratesLookup,
FxOptionMarketDataLookup fxLookup,
ScenarioMarketData marketData,
FxVanillaOptionMethod method) {
return calc.currentCash(
trade,
ratesLookup.marketDataView(marketData),
fxLookup.marketDataView(marketData),
method);
}
/**
* 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
* @param volatilities the option volatilities
* @param method the pricing method
* @return the current cash
*/
public CurrencyAmount currentCash(
ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
FxOptionVolatilities volatilities,
FxVanillaOptionMethod method) {
return calc.currentCash(trade, ratesProvider.getValuationDate(), method);
}
}