/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.measure.index;
import java.util.HashMap;
import java.util.Map;
import java.util.Optional;
import java.util.Set;
import com.google.common.collect.ImmutableMap;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.index.IborIndex;
import com.opengamma.strata.calc.Measure;
import com.opengamma.strata.calc.runner.CalculationFunction;
import com.opengamma.strata.calc.runner.CalculationParameters;
import com.opengamma.strata.calc.runner.FunctionRequirements;
import com.opengamma.strata.collect.result.FailureReason;
import com.opengamma.strata.collect.result.Result;
import com.opengamma.strata.data.FieldName;
import com.opengamma.strata.data.MarketDataId;
import com.opengamma.strata.data.scenario.ScenarioMarketData;
import com.opengamma.strata.market.observable.QuoteId;
import com.opengamma.strata.measure.Measures;
import com.opengamma.strata.measure.rate.RatesMarketDataLookup;
import com.opengamma.strata.measure.rate.RatesScenarioMarketData;
import com.opengamma.strata.product.index.IborFutureOption;
import com.opengamma.strata.product.index.IborFutureOptionTrade;
import com.opengamma.strata.product.index.ResolvedIborFutureOptionTrade;
/**
* Perform calculations on a single {@code IborFutureOptionTrade} for each of a set of scenarios.
* <p>
* This uses Normal pricing.
* An instance of {@link RatesMarketDataLookup} and {@link IborFutureOptionMarketDataLookup} must be specified.
* The supported built-in measures are:
* <ul>
* <li>{@linkplain Measures#PRESENT_VALUE Present value}
* <li>{@linkplain Measures#PV01_CALIBRATED_SUM PV01 calibrated sum}
* <li>{@linkplain Measures#PV01_CALIBRATED_BUCKETED PV01 calibrated bucketed}
* <li>{@linkplain Measures#PV01_MARKET_QUOTE_SUM PV01 market quote sum}
* <li>{@linkplain Measures#PV01_MARKET_QUOTE_BUCKETED PV01 market quote bucketed}
* <li>{@linkplain Measures#UNIT_PRICE Unit price}
* <li>{@linkplain Measures#RESOLVED_TARGET Resolved trade}
* </ul>
*
* <h4>Price</h4>
* The price of an Ibor future option is based on the price of the underlying future, the volatility
* and the time to expiry. The price of the at-the-money option tends to zero as expiry approaches.
* <p>
* Strata uses <i>decimal prices</i> for Ibor future options in the trade model, pricers and market data.
* The decimal price is based on the decimal rate equivalent to the percentage.
* For example, an option price of 0.2 is related to a futures price of 99.32 that implies an
* interest rate of 0.68%. Strata represents the price of the future as 0.9932 and thus
* represents the price of the option as 0.002.
*/
public class IborFutureOptionTradeCalculationFunction
implements CalculationFunction<IborFutureOptionTrade> {
/**
* The calculations by measure.
*/
private static final ImmutableMap<Measure, SingleMeasureCalculation> CALCULATORS =
ImmutableMap.<Measure, SingleMeasureCalculation>builder()
.put(Measures.PRESENT_VALUE, IborFutureOptionMeasureCalculations.DEFAULT::presentValue)
.put(Measures.PV01_CALIBRATED_SUM, IborFutureOptionMeasureCalculations.DEFAULT::pv01CalibratedSum)
.put(Measures.PV01_CALIBRATED_BUCKETED, IborFutureOptionMeasureCalculations.DEFAULT::pv01CalibratedBucketed)
.put(Measures.PV01_MARKET_QUOTE_SUM, IborFutureOptionMeasureCalculations.DEFAULT::pv01MarketQuoteSum)
.put(Measures.PV01_MARKET_QUOTE_BUCKETED, IborFutureOptionMeasureCalculations.DEFAULT::pv01MarketQuoteBucketed)
.put(Measures.UNIT_PRICE, IborFutureOptionMeasureCalculations.DEFAULT::unitPrice)
.put(Measures.RESOLVED_TARGET, (rt, smd, m) -> rt)
.build();
private static final ImmutableSet<Measure> MEASURES = CALCULATORS.keySet();
/**
* Creates an instance.
*/
public IborFutureOptionTradeCalculationFunction() {
}
//-------------------------------------------------------------------------
@Override
public Class<IborFutureOptionTrade> targetType() {
return IborFutureOptionTrade.class;
}
@Override
public Set<Measure> supportedMeasures() {
return MEASURES;
}
@Override
public Optional<String> identifier(IborFutureOptionTrade target) {
return target.getInfo().getId().map(id -> id.toString());
}
@Override
public Currency naturalCurrency(IborFutureOptionTrade trade, ReferenceData refData) {
return trade.getProduct().getCurrency();
}
//-------------------------------------------------------------------------
@Override
public FunctionRequirements requirements(
IborFutureOptionTrade trade,
Set<Measure> measures,
CalculationParameters parameters,
ReferenceData refData) {
// extract data from product
IborFutureOption option = trade.getProduct();
QuoteId optionQuoteId = QuoteId.of(option.getSecurityId().getStandardId(), FieldName.SETTLEMENT_PRICE);
Currency currency = option.getCurrency();
IborIndex index = option.getIndex();
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(RatesMarketDataLookup.class);
FunctionRequirements ratesReqs = ratesLookup.requirements(currency, index);
IborFutureOptionMarketDataLookup optionLookup = parameters.getParameter(IborFutureOptionMarketDataLookup.class);
FunctionRequirements optionReqs = optionLookup.requirements(index);
ImmutableSet<MarketDataId<?>> valueReqs = ImmutableSet.<MarketDataId<?>>builder()
.add(optionQuoteId)
.addAll(ratesReqs.getValueRequirements())
.addAll(optionReqs.getValueRequirements())
.build();
return ratesReqs.toBuilder().valueRequirements(valueReqs).build();
}
//-------------------------------------------------------------------------
@Override
public Map<Measure, Result<?>> calculate(
IborFutureOptionTrade trade,
Set<Measure> measures,
CalculationParameters parameters,
ScenarioMarketData scenarioMarketData,
ReferenceData refData) {
// resolve the trade once for all measures and all scenarios
ResolvedIborFutureOptionTrade resolved = trade.resolve(refData);
// use lookup to query market data
RatesMarketDataLookup ratesLookup = parameters.getParameter(RatesMarketDataLookup.class);
RatesScenarioMarketData ratesMarketData = ratesLookup.marketDataView(scenarioMarketData);
IborFutureOptionMarketDataLookup optionLookup = parameters.getParameter(IborFutureOptionMarketDataLookup.class);
IborFutureOptionScenarioMarketData optionMarketData = optionLookup.marketDataView(scenarioMarketData);
// loop around measures, calculating all scenarios for one measure
Map<Measure, Result<?>> results = new HashMap<>();
for (Measure measure : measures) {
results.put(measure, calculate(measure, resolved, ratesMarketData, optionMarketData));
}
return results;
}
// calculate one measure
private Result<?> calculate(
Measure measure,
ResolvedIborFutureOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
IborFutureOptionScenarioMarketData optionMarketData) {
SingleMeasureCalculation calculator = CALCULATORS.get(measure);
if (calculator == null) {
return Result.failure(FailureReason.UNSUPPORTED, "Unsupported measure for IborFutureOptionTrade: {}", measure);
}
return Result.of(() -> calculator.calculate(trade, ratesMarketData, optionMarketData));
}
//-------------------------------------------------------------------------
@FunctionalInterface
interface SingleMeasureCalculation {
public abstract Object calculate(
ResolvedIborFutureOptionTrade trade,
RatesScenarioMarketData ratesMarketData,
IborFutureOptionScenarioMarketData optionMarketData);
}
}