/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.index;
import java.time.LocalDate;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.market.sensitivity.PointSensitivities;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.index.ResolvedIborFuture;
import com.opengamma.strata.product.index.ResolvedIborFutureTrade;
/**
* Pricer implementation for Ibor future trades.
* <p>
* This function provides the ability to price a {@link ResolvedIborFutureTrade}.
*
* <h4>Price</h4>
* The price of an Ibor future is based on the interest rate of the underlying index.
* It is defined as {@code (100 - percentRate)}.
* <p>
* Strata uses <i>decimal prices</i> for Ibor futures in the trade model, pricers and market data.
* The decimal price is based on the decimal rate equivalent to the percentage.
* For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.
*/
public class DiscountingIborFutureTradePricer {
/**
* Default implementation.
*/
public static final DiscountingIborFutureTradePricer DEFAULT =
new DiscountingIborFutureTradePricer(DiscountingIborFutureProductPricer.DEFAULT);
/**
* Underlying pricer.
*/
private final DiscountingIborFutureProductPricer productPricer;
/**
* Creates an instance.
*
* @param productPricer the pricer for {@link ResolvedIborFuture}
*/
public DiscountingIborFutureTradePricer(
DiscountingIborFutureProductPricer productPricer) {
this.productPricer = ArgChecker.notNull(productPricer, "productPricer");
}
//-------------------------------------------------------------------------
/**
* Calculates the price of the Ibor future trade.
* <p>
* The price of the trade is the price on the valuation date.
* The price is calculated using the discounting model.
*
* @param trade the trade
* @param ratesProvider the rates provider
* @return the price of the trade, in decimal form
*/
public double price(ResolvedIborFutureTrade trade, RatesProvider ratesProvider) {
return productPricer.price(trade.getProduct(), ratesProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates the price sensitivity of the Ibor future product.
* <p>
* The price sensitivity of the product is the sensitivity of the price to the underlying curves.
*
* @param trade the trade
* @param ratesProvider the rates provider
* @return the price curve sensitivity of the product
*/
public PointSensitivities priceSensitivity(ResolvedIborFutureTrade trade, RatesProvider ratesProvider) {
return productPricer.priceSensitivity(trade.getProduct(), ratesProvider);
}
//-------------------------------------------------------------------------
/**
* Calculates the reference price for the trade.
* <p>
* If the valuation date equals the trade date, then the reference price is the trade price.
* Otherwise, the reference price is the last settlement price used for margining.
*
* @param trade the trade
* @param valuationDate the date for which the reference price should be calculated
* @param lastSettlementPrice the last settlement price used for margining, in decimal form
* @return the reference price, in decimal form
*/
double referencePrice(ResolvedIborFutureTrade trade, LocalDate valuationDate, double lastSettlementPrice) {
ArgChecker.notNull(valuationDate, "valuationDate");
return (trade.getTradeDate().equals(valuationDate) ? trade.getPrice() : lastSettlementPrice);
}
//-------------------------------------------------------------------------
/**
* Calculates the present value of the Ibor future trade from the current price.
* <p>
* The present value of the product is the value on the valuation date.
* <p>
* The calculation is performed against a reference price. The reference price
* must be the last settlement price used for margining, except on the trade date,
* when it must be the trade price.
*
* @param trade the trade
* @param currentPrice the current price, in decimal form
* @param referencePrice the reference price to margin against, typically the last settlement price, in decimal form
* @return the present value
*/
CurrencyAmount presentValue(ResolvedIborFutureTrade trade, double currentPrice, double referencePrice) {
ResolvedIborFuture future = trade.getProduct();
double priceIndex = productPricer.marginIndex(future, currentPrice);
double referenceIndex = productPricer.marginIndex(future, referencePrice);
double pv = (priceIndex - referenceIndex) * trade.getQuantity();
return CurrencyAmount.of(future.getCurrency(), pv);
}
//-------------------------------------------------------------------------
/**
* Calculates the present value of the Ibor future trade.
* <p>
* The present value of the product is the value on the valuation date.
* The current price is calculated using the discounting model.
* <p>
* This method calculates based on the difference between the model price and the
* last settlement price, or the trade price if traded on the valuation date.
*
* @param trade the trade
* @param ratesProvider the rates provider
* @param lastSettlementPrice the last settlement price used for margining, in decimal form
* @return the present value
*/
public CurrencyAmount presentValue(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, double lastSettlementPrice) {
double referencePrice = referencePrice(trade, ratesProvider.getValuationDate(), lastSettlementPrice);
double price = price(trade, ratesProvider);
return presentValue(trade, price, referencePrice);
}
//-------------------------------------------------------------------------
/**
* Calculates the present value sensitivity of the Ibor future trade.
* <p>
* The present value sensitivity of the trade is the sensitivity of the present value to
* the underlying curves.
*
* @param trade the trade
* @param ratesProvider the rates provider
* @return the present value curve sensitivity of the trade
*/
public PointSensitivities presentValueSensitivity(ResolvedIborFutureTrade trade, RatesProvider ratesProvider) {
ResolvedIborFuture product = trade.getProduct();
PointSensitivities priceSensi = productPricer.priceSensitivity(product, ratesProvider);
PointSensitivities marginIndexSensi = productPricer.marginIndexSensitivity(product, priceSensi);
return marginIndexSensi.multipliedBy(trade.getQuantity());
}
//-------------------------------------------------------------------------
/**
* Calculates the par spread of the Ibor future trade.
* <p>
* The par spread is defined in the following way. When the reference price (or market quote)
* is increased by the par spread, the present value of the trade is zero.
* The current price is calculated using the discounting model.
* <p>
* This method calculates based on the difference between the model price and the
* last settlement price, or the trade price if traded on the valuation date.
*
* @param trade the trade
* @param ratesProvider the rates provider
* @param lastSettlementPrice the last settlement price used for margining, in decimal form
* @return the par spread.
*/
public double parSpread(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, double lastSettlementPrice) {
double referencePrice = referencePrice(trade, ratesProvider.getValuationDate(), lastSettlementPrice);
return price(trade, ratesProvider) - referencePrice;
}
//-------------------------------------------------------------------------
/**
* Calculates the par spread sensitivity of the Ibor future trade.
* <p>
* The par spread sensitivity of the trade is the sensitivity of the par spread to
* the underlying curves.
*
* @param trade the trade
* @param ratesProvider the rates provider
* @return the par spread curve sensitivity of the trade
*/
public PointSensitivities parSpreadSensitivity(ResolvedIborFutureTrade trade, RatesProvider ratesProvider) {
return productPricer.priceSensitivity(trade.getProduct(), ratesProvider);
}
}