// market quote bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedFraTrade trade, RatesProvider ratesProvider)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
return(MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider).multipliedBy(ONE_BASIS_POINT));
}
//-----------------------------------------------------------------------------------------------------------
private void checkFraPvIsZero(FraCurveNode node, RatesProvider ratesProvider, MarketData marketDataMap)
{
ResolvedFraTrade trade = node.resolvedTrade(1d, marketDataMap, REF_DATA);
CurrencyAmount currencyAmount = DiscountingFraTradePricer.DEFAULT.presentValue(trade, ratesProvider);
double pv = currencyAmount.Amount;
assertThat(pv).isCloseTo(0, offset(PV_TOLERANCE));
}
// calculates the sensitivity
private CurrencyParameterSensitivity calculateCurveSensitivity(ResolvedFraTrade trade, RatesMarketData marketData, CurveId curveId, Curve bumpedCurve)
{
MarketData bumpedMarketData = marketData.MarketData.withValue(curveId, bumpedCurve);
RatesProvider bumpedRatesProvider = marketData.withMarketData(bumpedMarketData).ratesProvider();
PointSensitivities pointSensitivities = tradePricer.presentValueSensitivity(trade, bumpedRatesProvider);
CurrencyParameterSensitivities paramSensitivities = bumpedRatesProvider.parameterSensitivity(pointSensitivities);
return(Iterables.getOnlyElement(paramSensitivities.Sensitivities));
}
// calculate one measure
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: private com.opengamma.strata.collect.result.Result<?> calculate(com.opengamma.strata.calc.Measure measure, com.opengamma.strata.product.fra.ResolvedFraTrade trade, com.opengamma.strata.measure.rate.RatesScenarioMarketData marketData)
private Result <object> calculate(Measure measure, ResolvedFraTrade trade, RatesScenarioMarketData marketData)
{
SingleMeasureCalculation calculator = CALCULATORS.get(measure);
if (calculator == null)
{
return(Result.failure(FailureReason.UNSUPPORTED, "Unsupported measure for FraTrade: {}", measure));
}
return(Result.of(() => calculator(trade, marketData)));
}
//-------------------------------------------------------------------------
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: @Override public java.util.Map<com.opengamma.strata.calc.Measure, com.opengamma.strata.collect.result.Result<?>> calculate(com.opengamma.strata.product.fra.FraTrade trade, java.util.Set<com.opengamma.strata.calc.Measure> measures, com.opengamma.strata.calc.runner.CalculationParameters parameters, com.opengamma.strata.data.scenario.ScenarioMarketData scenarioMarketData, com.opengamma.strata.basics.ReferenceData refData)
public virtual IDictionary <Measure, Result <object> > calculate(FraTrade trade, ISet <Measure> measures, CalculationParameters parameters, ScenarioMarketData scenarioMarketData, ReferenceData refData)
{
// resolve the trade once for all measures and all scenarios
ResolvedFraTrade resolved = trade.resolve(refData);
// use lookup to query market data
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
RatesScenarioMarketData marketData = ratesLookup.marketDataView(scenarioMarketData);
// loop around measures, calculating all scenarios for one measure
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.calc.Measure, com.opengamma.strata.collect.result.Result<?>> results = new java.util.HashMap<>();
IDictionary <Measure, Result <object> > results = new Dictionary <Measure, Result <object> >();
foreach (Measure measure in measures)
{
results[measure] = calculate(measure, resolved, marketData);
}
return(results);
}
// semi-parallel gamma PV01 for one scenario
private CurrencyParameterSensitivities pv01SemiParallelGammaBucketed(ResolvedFraTrade trade, RatesMarketData marketData)
{
// find the curve identifiers and resolve to a single curve
Currency currency = trade.Product.Currency;
ISet <IborIndex> indices = trade.Product.allIndices();
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.google.common.collect.ImmutableSet<com.opengamma.strata.data.MarketDataId<?>> discountIds = marketData.getLookup().getDiscountMarketDataIds(currency);
ImmutableSet <MarketDataId <object> > discountIds = marketData.Lookup.getDiscountMarketDataIds(currency);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.google.common.collect.ImmutableSet<com.opengamma.strata.data.MarketDataId<?>> forwardIds = indices.stream().flatMap(idx -> marketData.getLookup().getForwardMarketDataIds(idx).stream()).collect(toImmutableSet());
ImmutableSet <MarketDataId <object> > forwardIds = indices.stream().flatMap(idx => marketData.Lookup.getForwardMarketDataIds(idx).stream()).collect(toImmutableSet());
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Set<com.opengamma.strata.data.MarketDataId<?>> allIds = com.google.common.collect.Sets.union(discountIds, forwardIds);
ISet <MarketDataId <object> > allIds = Sets.union(discountIds, forwardIds);
if (allIds.Count != 1)
{
throw new System.ArgumentException(Messages.format("Implementation only supports a single curve, but lookup refers to more than one: {}", allIds));
}
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.data.MarketDataId<?> singleId = allIds.iterator().next();
MarketDataId <object> singleId = allIds.GetEnumerator().next();
if (!(singleId is CurveId))
{
//JAVA TO C# CONVERTER WARNING: The .NET Type.FullName property will not always yield results identical to the Java Class.getName method:
throw new System.ArgumentException(Messages.format("Implementation only supports a single curve, but lookup does not refer to a curve: {} {}", singleId.GetType().FullName, singleId));
}
CurveId curveId = (CurveId)singleId;
Curve curve = marketData.MarketData.getValue(curveId);
// calculate gamma
CurrencyParameterSensitivity gamma = CurveGammaCalculator.DEFAULT.calculateSemiParallelGamma(curve, currency, c => calculateCurveSensitivity(trade, marketData, curveId, c));
return(CurrencyParameterSensitivities.of(gamma).multipliedBy(ONE_BASIS_POINT * ONE_BASIS_POINT));
}
// currency exposure for one scenario
internal MultiCurrencyAmount currencyExposure(ResolvedFraTrade trade, RatesProvider ratesProvider)
{
return(tradePricer.currencyExposure(trade, ratesProvider));
}
//-------------------------------------------------------------------------
// calculates currency exposure for all scenarios
internal MultiCurrencyScenarioArray currencyExposure(ResolvedFraTrade trade, RatesScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => currencyExposure(trade, marketData.scenario(i).ratesProvider())));
}
// cash flows for one scenario
internal CashFlows cashFlows(ResolvedFraTrade trade, RatesProvider ratesProvider)
{
return(tradePricer.cashFlows(trade, ratesProvider));
}
//-------------------------------------------------------------------------
// calculates cash flows for all scenarios
internal ScenarioArray <CashFlows> cashFlows(ResolvedFraTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => cashFlows(trade, marketData.scenario(i).ratesProvider())));
}
// par spread for one scenario
internal double parSpread(ResolvedFraTrade trade, RatesProvider ratesProvider)
{
return(tradePricer.parSpread(trade, ratesProvider));
}
//-------------------------------------------------------------------------
// calculates par spread for all scenarios
internal DoubleScenarioArray parSpread(ResolvedFraTrade trade, RatesScenarioMarketData marketData)
{
return(DoubleScenarioArray.of(marketData.ScenarioCount, i => parSpread(trade, marketData.scenario(i).ratesProvider())));
}
// explain present value for one scenario
internal ExplainMap explainPresentValue(ResolvedFraTrade trade, RatesProvider ratesProvider)
{
return(tradePricer.explainPresentValue(trade, ratesProvider));
}
// present value for one scenario
internal CurrencyAmount presentValue(ResolvedFraTrade trade, RatesProvider ratesProvider)
{
return(tradePricer.presentValue(trade, ratesProvider));
}
// current cash for one scenario
internal CurrencyAmount currentCash(ResolvedFraTrade trade, RatesProvider ratesProvider)
{
return(tradePricer.currentCash(trade, ratesProvider));
}
//-------------------------------------------------------------------------
// calculates semi-parallel gamma PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01SemiParallelGammaBucketed(ResolvedFraTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01SemiParallelGammaBucketed(trade, marketData.scenario(i))));
}
// calibrated bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedFraTrade trade, RatesProvider ratesProvider)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
return(ratesProvider.parameterSensitivity(pointSensitivity).multipliedBy(ONE_BASIS_POINT));
}
//-------------------------------------------------------------------------
// calculates market quote sum PV01 for all scenarios
internal MultiCurrencyScenarioArray pv01MarketQuoteSum(ResolvedFraTrade trade, RatesScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => pv01MarketQuoteSum(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal CurrencyScenarioArray presentValue(ResolvedFraTrade trade, RatesScenarioMarketData marketData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => presentValue(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates single-node gamma PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01SingleNodeGammaBucketed(ResolvedFraTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01SingleNodeGammaBucketed(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates explain present value for all scenarios
internal ScenarioArray <ExplainMap> explainPresentValue(ResolvedFraTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => explainPresentValue(trade, marketData.scenario(i).ratesProvider())));
}
// single-node gamma PV01 for one scenario
private CurrencyParameterSensitivities pv01SingleNodeGammaBucketed(ResolvedFraTrade trade, RatesProvider ratesProvider)
{
CrossGammaParameterSensitivities crossGamma = CROSS_GAMMA.calculateCrossGammaIntraCurve(ratesProvider, p => p.parameterSensitivity(tradePricer.presentValueSensitivity(trade, p)));
return(crossGamma.diagonal().multipliedBy(ONE_BASIS_POINT * ONE_BASIS_POINT));
}
