/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.measure.payment;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.currency.MultiCurrencyAmount;
import com.opengamma.strata.basics.currency.Payment;
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.amount.CashFlows;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.measure.rate.RatesMarketDataLookup;
import com.opengamma.strata.pricer.DiscountingPaymentPricer;
import com.opengamma.strata.pricer.payment.DiscountingBulletPaymentTradePricer;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.payment.BulletPaymentTrade;
import com.opengamma.strata.product.payment.ResolvedBulletPaymentTrade;
/**
* Calculates pricing and risk measures for bullet payment trades.
* <p>
* This provides a high-level entry point for bullet payment pricing and risk measures.
* <p>
* Each method takes a {@link ResolvedBulletPaymentTrade}, whereas application code will
* typically work with {@link BulletPaymentTrade}. Call
* {@link BulletPaymentTrade#resolve(com.opengamma.strata.basics.ReferenceData) BulletPaymentTrade::resolve(ReferenceData)}
* to convert {@code BulletPaymentTrade} to {@code ResolvedBulletPaymentTrade}.
*/
public class BulletPaymentTradeCalculations {
/**
* Default implementation.
*/
public static final BulletPaymentTradeCalculations DEFAULT = new BulletPaymentTradeCalculations(
DiscountingBulletPaymentTradePricer.DEFAULT);
/**
* Pricer for {@link ResolvedBulletPaymentTrade}.
*/
private final BulletPaymentMeasureCalculations calc;
/**
* Creates an instance.
* <p>
* In most cases, applications should use the {@link #DEFAULT} instance.
*
* @param paymentPricer the pricer for {@link Payment}
* @deprecated use constructor taking {@link DiscountingBulletPaymentTradePricer}
*/
@Deprecated
public BulletPaymentTradeCalculations(DiscountingPaymentPricer paymentPricer) {
this(new DiscountingBulletPaymentTradePricer(paymentPricer));
}
/**
* Creates an instance.
* <p>
* In most cases, applications should use the {@link #DEFAULT} instance.
*
* @param tradePricer the pricer for {@link ResolvedBulletPaymentTrade}
*/
public BulletPaymentTradeCalculations(
DiscountingBulletPaymentTradePricer tradePricer) {
this.calc = new BulletPaymentMeasureCalculations(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(
ResolvedBulletPaymentTrade 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(
ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade, 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(
ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade, 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(
ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade, 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(
ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade, 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(
ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade, 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(
ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade, 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(
ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade, 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(
ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade, 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(
ResolvedBulletPaymentTrade trade,
RatesProvider ratesProvider) {
return calc.pv01MarketQuoteBucketed(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(
ResolvedBulletPaymentTrade 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(
ResolvedBulletPaymentTrade 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(
ResolvedBulletPaymentTrade 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(
ResolvedBulletPaymentTrade 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(
ResolvedBulletPaymentTrade 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(
ResolvedBulletPaymentTrade trade,
RatesProvider ratesProvider) {
return calc.currentCash(trade, ratesProvider);
}
}