// ensures that the volatilities are correct
private BlackFxOptionVolatilities checkTrinomialTreeVolatilities(FxOptionVolatilities volatilities)
{
if (volatilities is BlackFxOptionVolatilities)
{
return((BlackFxOptionVolatilities)volatilities);
}
throw new System.ArgumentException("FX single barrier option Trinomial Tree pricing requires BlackFxOptionVolatilities");
}
// ensures that the volatilities are correct
private BlackFxOptionSmileVolatilities checkVannaVolgaVolatilities(FxOptionVolatilities volatilities)
{
if (volatilities is BlackFxOptionSmileVolatilities)
{
return((BlackFxOptionSmileVolatilities)volatilities);
}
throw new System.ArgumentException("FX vanilla option Vanna Volga pricing requires BlackFxOptionSmileVolatilities");
}
// point sensitivity
private CurrencyParameterSensitivities pointSensitivity(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
PointSensitivities pointSens;
if (method == FxVanillaOptionMethod.VANNA_VOLGA)
{
pointSens = vannaVolgaPricer.presentValueSensitivityRatesStickyStrike(trade, ratesProvider, checkVannaVolgaVolatilities(volatilities));
}
else
{
pointSens = blackPricer.presentValueSensitivityRatesStickyStrike(trade, ratesProvider, checkBlackVolatilities(volatilities));
}
return(ratesProvider.parameterSensitivity(pointSens));
}
// market quote bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
CurrencyParameterSensitivities paramSens = pointSensitivity(trade, ratesProvider, volatilities, method);
return(MARKET_QUOTE_SENS.sensitivity(paramSens, ratesProvider).multipliedBy(ONE_BASIS_POINT));
}
/// <summary>
/// Calculates present value for a single set of market data.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <param name="volatilities"> the option volatilities </param>
/// <param name="method"> the pricing method </param>
/// <returns> the present value </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
return(calc.presentValue(trade, ratesProvider, volatilities, method));
}
/// <summary>
/// Calculates current cash for a single set of market data.
/// <para>
/// The sum of all cash flows paid on the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <param name="volatilities"> the option volatilities </param>
/// <param name="method"> the pricing method </param>
/// <returns> the current cash </returns>
public virtual CurrencyAmount currentCash(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
return(calc.currentCash(trade, ratesProvider.ValuationDate, method));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// 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.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <param name="volatilities"> the option volatilities </param>
/// <param name="method"> the pricing method </param>
/// <returns> the present value sensitivity </returns>
public virtual CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
return(calc.pv01RatesMarketQuoteBucketed(trade, ratesProvider, volatilities, method));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// 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.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <param name="volatilities"> the option volatilities </param>
/// <param name="method"> the pricing method </param>
/// <returns> the present value sensitivity </returns>
public virtual CurrencyParameterSensitivities pv01RatesCalibratedBucketed(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)
{
return(calc.pv01RatesCalibratedBucketed(trade, ratesProvider, volatilities, method));
}
// present value for one scenario
internal MultiCurrencyAmount presentValue(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)
{
if (method == FxSingleBarrierOptionMethod.TRINOMIAL_TREE)
{
return(trinomialTreePricer.presentValue(trade, ratesProvider, checkTrinomialTreeVolatilities(volatilities)));
}
else
{
return(blackPricer.presentValue(trade, ratesProvider, checkBlackVolatilities(volatilities)));
}
}
// point sensitivity
private CurrencyParameterSensitivities parameterSensitivities(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)
{
if (method == FxSingleBarrierOptionMethod.TRINOMIAL_TREE)
{
return(trinomialTreePricer.presentValueSensitivityRates(trade, ratesProvider, checkTrinomialTreeVolatilities(volatilities)));
}
else
{
PointSensitivities pointSens = blackPricer.presentValueSensitivityRatesStickyStrike(trade, ratesProvider, checkBlackVolatilities(volatilities));
return(ratesProvider.parameterSensitivity(pointSens));
}
}
// market quote sum PV01 for one scenario
internal MultiCurrencyAmount pv01RatesMarketQuoteSum(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)
{
CurrencyParameterSensitivities paramSens = parameterSensitivities(trade, ratesProvider, volatilities, method);
return(MARKET_QUOTE_SENS.sensitivity(paramSens, ratesProvider).total().multipliedBy(ONE_BASIS_POINT));
}
// calibrated bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01RatesCalibratedBucketed(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)
{
CurrencyParameterSensitivities paramSens = parameterSensitivities(trade, ratesProvider, volatilities, method);
return(paramSens.multipliedBy(ONE_BASIS_POINT));
}
/// <summary>
/// Calculates currency exposure for a single set of market data.
/// <para>
/// The currency risk, expressed as the equivalent amount in each currency.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <param name="volatilities"> the option volatilities </param>
/// <param name="method"> the pricing method </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)
{
return(calc.currencyExposure(trade, ratesProvider, volatilities, method));
}
// present value for one scenario
internal MultiCurrencyAmount presentValue(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
if (method == FxVanillaOptionMethod.VANNA_VOLGA)
{
return(vannaVolgaPricer.presentValue(trade, ratesProvider, checkVannaVolgaVolatilities(volatilities)));
}
else
{
return(blackPricer.presentValue(trade, ratesProvider, checkBlackVolatilities(volatilities)));
}
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// 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.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <param name="volatilities"> the option volatilities </param>
/// <param name="method"> the pricing method </param>
/// <returns> the present value sensitivity </returns>
public virtual MultiCurrencyAmount pv01RatesMarketQuoteSum(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
return(calc.pv01RatesMarketQuoteSum(trade, ratesProvider, volatilities, method));
}
// calibrated sum PV01 for one scenario
internal MultiCurrencyAmount pv01RatesCalibratedSum(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
CurrencyParameterSensitivities paramSens = pointSensitivity(trade, ratesProvider, volatilities, method);
return(paramSens.total().multipliedBy(ONE_BASIS_POINT));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// 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.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <param name="volatilities"> the option volatilities </param>
/// <param name="method"> the pricing method </param>
/// <returns> the present value sensitivity </returns>
public virtual MultiCurrencyAmount pv01RatesCalibratedSum(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)
{
return(calc.pv01RatesCalibratedSum(trade, ratesProvider, volatilities, method));
}
