/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.measure.swaption;
import java.time.LocalDate;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.currency.MultiCurrencyAmount;
import com.opengamma.strata.basics.index.IborIndex;
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.rate.RatesProvider;
import com.opengamma.strata.pricer.sensitivity.MarketQuoteSensitivityCalculator;
import com.opengamma.strata.pricer.swaption.SabrSwaptionTradePricer;
import com.opengamma.strata.pricer.swaption.SabrSwaptionVolatilities;
import com.opengamma.strata.pricer.swaption.SwaptionVolatilities;
import com.opengamma.strata.pricer.swaption.VolatilitySwaptionTradePricer;
import com.opengamma.strata.product.swaption.ResolvedSwaptionTrade;
/**
* Multi-scenario measure calculations for Swaption trades.
* <p>
* Each method corresponds to a measure, typically calculated by one or more calls to the pricer.
*/
final class SwaptionMeasureCalculations {
/**
* Default implementation.
*/
public static final SwaptionMeasureCalculations DEFAULT = new SwaptionMeasureCalculations(
VolatilitySwaptionTradePricer.DEFAULT,
SabrSwaptionTradePricer.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 ResolvedSwaptionTrade}.
*/
private final VolatilitySwaptionTradePricer tradePricer;
/**
* Pricer for {@link ResolvedSwaptionTrade}.
*/
private final SabrSwaptionTradePricer sabrTradePricer;
/**
* Creates an instance.
*
* @param tradePricer the pricer for {@link ResolvedSwaptionTrade}
* @param sabrTradePricer the pricer for {@link ResolvedSwaptionTrade} SABR
*/
SwaptionMeasureCalculations(
VolatilitySwaptionTradePricer tradePricer,
SabrSwaptionTradePricer sabrTradePricer) {
this.tradePricer = ArgChecker.notNull(tradePricer, "tradePricer");
this.sabrTradePricer = ArgChecker.notNull(sabrTradePricer, "sabrTradePricer");
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
CurrencyScenarioArray presentValue(
ResolvedSwaptionTrade trade,
RatesScenarioMarketData ratesMarketData,
SwaptionScenarioMarketData swaptionMarketData) {
IborIndex index = trade.getProduct().getIndex();
return CurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> presentValue(
trade,
ratesMarketData.scenario(i).ratesProvider(),
swaptionMarketData.scenario(i).volatilities(index)));
}
// present value for one scenario
CurrencyAmount presentValue(
ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities volatilities) {
return tradePricer.presentValue(trade, ratesProvider, volatilities);
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
MultiCurrencyScenarioArray pv01RatesCalibratedSum(
ResolvedSwaptionTrade trade,
RatesScenarioMarketData ratesMarketData,
SwaptionScenarioMarketData swaptionMarketData) {
IborIndex index = trade.getProduct().getIndex();
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesCalibratedSum(
trade,
ratesMarketData.scenario(i).ratesProvider(),
swaptionMarketData.scenario(i).volatilities(index)));
}
// calibrated sum PV01 for one scenario
MultiCurrencyAmount pv01RatesCalibratedSum(
ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities volatilities) {
PointSensitivities pointSensitivity = pointSensitivity(trade, ratesProvider, volatilities);
return ratesProvider.parameterSensitivity(pointSensitivity).total().multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
ScenarioArray<CurrencyParameterSensitivities> pv01RatesCalibratedBucketed(
ResolvedSwaptionTrade trade,
RatesScenarioMarketData ratesMarketData,
SwaptionScenarioMarketData swaptionMarketData) {
IborIndex index = trade.getProduct().getIndex();
return ScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesCalibratedBucketed(
trade,
ratesMarketData.scenario(i).ratesProvider(),
swaptionMarketData.scenario(i).volatilities(index)));
}
// calibrated bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01RatesCalibratedBucketed(
ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities volatilities) {
PointSensitivities pointSensitivity = pointSensitivity(trade, ratesProvider, volatilities);
return ratesProvider.parameterSensitivity(pointSensitivity).multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates market quote sum PV01 for all scenarios
MultiCurrencyScenarioArray pv01RatesMarketQuoteSum(
ResolvedSwaptionTrade trade,
RatesScenarioMarketData ratesMarketData,
SwaptionScenarioMarketData swaptionMarketData) {
IborIndex index = trade.getProduct().getIndex();
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesMarketQuoteSum(
trade,
ratesMarketData.scenario(i).ratesProvider(),
swaptionMarketData.scenario(i).volatilities(index)));
}
// market quote sum PV01 for one scenario
MultiCurrencyAmount pv01RatesMarketQuoteSum(
ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities volatilities) {
PointSensitivities pointSensitivity = pointSensitivity(trade, ratesProvider, volatilities);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
return MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider).total().multipliedBy(ONE_BASIS_POINT);
}
//-------------------------------------------------------------------------
// calculates market quote bucketed PV01 for all scenarios
ScenarioArray<CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(
ResolvedSwaptionTrade trade,
RatesScenarioMarketData ratesMarketData,
SwaptionScenarioMarketData swaptionMarketData) {
IborIndex index = trade.getProduct().getIndex();
return ScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> pv01RatesMarketQuoteBucketed(
trade,
ratesMarketData.scenario(i).ratesProvider(),
swaptionMarketData.scenario(i).volatilities(index)));
}
// market quote bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(
ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities volatilities) {
PointSensitivities pointSensitivity = pointSensitivity(trade, ratesProvider, volatilities);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
return MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider).multipliedBy(ONE_BASIS_POINT);
}
// point sensitivity
private PointSensitivities pointSensitivity(
ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities volatilities) {
if (volatilities instanceof SabrSwaptionVolatilities) {
return sabrTradePricer.presentValueSensitivityRatesStickyModel(
trade, ratesProvider, (SabrSwaptionVolatilities) volatilities);
}
return tradePricer.presentValueSensitivityRatesStickyStrike(trade, ratesProvider, volatilities);
}
//-------------------------------------------------------------------------
// calculates currency exposure for all scenarios
MultiCurrencyScenarioArray currencyExposure(
ResolvedSwaptionTrade trade,
RatesScenarioMarketData ratesMarketData,
SwaptionScenarioMarketData swaptionMarketData) {
IborIndex index = trade.getProduct().getIndex();
return MultiCurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> currencyExposure(
trade,
ratesMarketData.scenario(i).ratesProvider(),
swaptionMarketData.scenario(i).volatilities(index)));
}
// currency exposure for one scenario
MultiCurrencyAmount currencyExposure(
ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities volatilities) {
return tradePricer.currencyExposure(trade, ratesProvider, volatilities);
}
//-------------------------------------------------------------------------
// calculates current cash for all scenarios
CurrencyScenarioArray currentCash(
ResolvedSwaptionTrade trade,
RatesScenarioMarketData ratesMarketData,
SwaptionScenarioMarketData swaptionMarketData) {
return CurrencyScenarioArray.of(
ratesMarketData.getScenarioCount(),
i -> currentCash(
trade,
ratesMarketData.scenario(i).getValuationDate()));
}
// current cash for one scenario
CurrencyAmount currentCash(
ResolvedSwaptionTrade trade,
LocalDate valuationDate) {
return tradePricer.currentCash(trade, valuationDate);
}
}