/**
* 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 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.rate.RatesProvider;
import com.opengamma.strata.pricer.swaption.SabrSwaptionTradePricer;
import com.opengamma.strata.pricer.swaption.SwaptionVolatilities;
import com.opengamma.strata.pricer.swaption.VolatilitySwaptionTradePricer;
import com.opengamma.strata.product.swaption.ResolvedSwaptionTrade;
import com.opengamma.strata.product.swaption.SwaptionTrade;
/**
* Calculates pricing and risk measures for swaption trades.
* <p>
* This provides a high-level entry point for swaption pricing and risk measures.
* <p>
* Each method takes a {@link ResolvedSwaptionTrade}, whereas application code will
* typically work with {@link SwaptionTrade}. Call
* {@link SwaptionTrade#resolve(com.opengamma.strata.basics.ReferenceData) SwaptionTrade::resolve(ReferenceData)}
* to convert {@code SwaptionTrade} to {@code ResolvedSwaptionTrade}.
*/
public class SwaptionTradeCalculations {
/**
* Default implementation.
*/
public static final SwaptionTradeCalculations DEFAULT = new SwaptionTradeCalculations(
VolatilitySwaptionTradePricer.DEFAULT,
SabrSwaptionTradePricer.DEFAULT);
/**
* Pricer for {@link ResolvedSwaptionTrade}.
*/
private final SwaptionMeasureCalculations calc;
/**
* Creates an instance.
* <p>
* In most cases, applications should use the {@link #DEFAULT} instance.
*
* @param tradePricer the pricer for {@link ResolvedSwaptionTrade}
* @param sabrTradePricer the pricer for {@link ResolvedSwaptionTrade} SABR
*/
public SwaptionTradeCalculations(
VolatilitySwaptionTradePricer tradePricer,
SabrSwaptionTradePricer sabrTradePricer) {
this.calc = new SwaptionMeasureCalculations(tradePricer, sabrTradePricer);
}
//-------------------------------------------------------------------------
/**
* Calculates present value across one or more scenarios.
*
* @param trade the trade
* @param ratesLookup the lookup used to query the market data
* @param swaptionLookup the lookup used to query the swaption market data
* @param marketData the market data
* @return the present value, one entry per scenario
*/
public CurrencyScenarioArray presentValue(
ResolvedSwaptionTrade trade,
RatesMarketDataLookup ratesLookup,
SwaptionMarketDataLookup swaptionLookup,
ScenarioMarketData marketData) {
return calc.presentValue(
trade,
ratesLookup.marketDataView(marketData),
swaptionLookup.marketDataView(marketData));
}
/**
* Calculates present value for a single set of market data.
*
* @param trade the trade
* @param ratesProvider the market data
* @param volatilities the swaption volatilities
* @return the present value
*/
public CurrencyAmount presentValue(
ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities volatilities) {
return calc.presentValue(trade, ratesProvider, volatilities);
}
//-------------------------------------------------------------------------
/**
* 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 swaptionLookup the lookup used to query the swaption market data
* @param marketData the market data
* @return the present value sensitivity, one entry per scenario
*/
public MultiCurrencyScenarioArray pv01RatesCalibratedSum(
ResolvedSwaptionTrade trade,
RatesMarketDataLookup ratesLookup,
SwaptionMarketDataLookup swaptionLookup,
ScenarioMarketData marketData) {
return calc.pv01RatesCalibratedSum(
trade,
ratesLookup.marketDataView(marketData),
swaptionLookup.marketDataView(marketData));
}
/**
* 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 swaption volatilities
* @return the present value sensitivity
*/
public MultiCurrencyAmount pv01RatesCalibratedSum(
ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities volatilities) {
return calc.pv01RatesCalibratedSum(trade, ratesProvider, volatilities);
}
//-------------------------------------------------------------------------
/**
* 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 swaptionLookup the lookup used to query the swaption market data
* @param marketData the market data
* @return the present value sensitivity, one entry per scenario
*/
public ScenarioArray<CurrencyParameterSensitivities> pv01RatesCalibratedBucketed(
ResolvedSwaptionTrade trade,
RatesMarketDataLookup ratesLookup,
SwaptionMarketDataLookup swaptionLookup,
ScenarioMarketData marketData) {
return calc.pv01RatesCalibratedBucketed(
trade,
ratesLookup.marketDataView(marketData),
swaptionLookup.marketDataView(marketData));
}
/**
* 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 swaption volatilities
* @return the present value sensitivity
*/
public CurrencyParameterSensitivities pv01RatesCalibratedBucketed(
ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities volatilities) {
return calc.pv01RatesCalibratedBucketed(trade, ratesProvider, volatilities);
}
//-------------------------------------------------------------------------
/**
* 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 swaptionLookup the lookup used to query the swaption market data
* @param marketData the market data
* @return the present value sensitivity, one entry per scenario
*/
public MultiCurrencyScenarioArray pv01RatesMarketQuoteSum(
ResolvedSwaptionTrade trade,
RatesMarketDataLookup ratesLookup,
SwaptionMarketDataLookup swaptionLookup,
ScenarioMarketData marketData) {
return calc.pv01RatesMarketQuoteSum(
trade,
ratesLookup.marketDataView(marketData),
swaptionLookup.marketDataView(marketData));
}
/**
* 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 swaption volatilities
* @return the present value sensitivity
*/
public MultiCurrencyAmount pv01RatesMarketQuoteSum(
ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities volatilities) {
return calc.pv01RatesMarketQuoteSum(trade, ratesProvider, volatilities);
}
//-------------------------------------------------------------------------
/**
* 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 swaptionLookup the lookup used to query the swaption market data
* @return the present value sensitivity, one entry per scenario
*/
public ScenarioArray<CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(
ResolvedSwaptionTrade trade,
RatesMarketDataLookup ratesLookup,
SwaptionMarketDataLookup swaptionLookup,
ScenarioMarketData marketData) {
return calc.pv01RatesMarketQuoteBucketed(
trade,
ratesLookup.marketDataView(marketData),
swaptionLookup.marketDataView(marketData));
}
/**
* 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 swaption volatilities
* @return the present value sensitivity
*/
public CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(
ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities volatilities) {
return calc.pv01RatesMarketQuoteBucketed(trade, ratesProvider, volatilities);
}
//-------------------------------------------------------------------------
/**
* 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 swaptionLookup the lookup used to query the swaption market data
* @param marketData the market data
* @return the currency exposure, one entry per scenario
*/
public MultiCurrencyScenarioArray currencyExposure(
ResolvedSwaptionTrade trade,
RatesMarketDataLookup ratesLookup,
SwaptionMarketDataLookup swaptionLookup,
ScenarioMarketData marketData) {
return calc.currencyExposure(
trade,
ratesLookup.marketDataView(marketData),
swaptionLookup.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
* @param volatilities the swaption volatilities
* @return the currency exposure
*/
public MultiCurrencyAmount currencyExposure(
ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities volatilities) {
return calc.currencyExposure(trade, ratesProvider, volatilities);
}
//-------------------------------------------------------------------------
/**
* 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 swaptionLookup the lookup used to query the swaption market data
* @param marketData the market data
* @return the current cash, one entry per scenario
*/
public CurrencyScenarioArray currentCash(
ResolvedSwaptionTrade trade,
RatesMarketDataLookup ratesLookup,
SwaptionMarketDataLookup swaptionLookup,
ScenarioMarketData marketData) {
return calc.currentCash(
trade,
ratesLookup.marketDataView(marketData),
swaptionLookup.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
* @param volatilities the swaption volatilities
* @return the current cash
*/
public CurrencyAmount currentCash(
ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities volatilities) {
return calc.currentCash(trade, ratesProvider.getValuationDate());
}
}