// present value for one scenario
internal CurrencyAmount presentValue(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
{
// mark to model
double settlementPrice = this.settlementPrice(trade, ratesProvider);
return(tradePricer.presentValue(trade, ratesProvider, settlementPrice));
}
//-------------------------------------------------------------------------
// gets the settlement price
private double settlementPrice(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
{
StandardId standardId = trade.Product.SecurityId.StandardId;
QuoteId id = QuoteId.of(standardId, FieldName.SETTLEMENT_PRICE);
return(ratesProvider.data(id) / 100); // convert market quote to value needed
}
// market quote bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedOvernightFutureTrade 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));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the Overnight rate future trade.
/// <para>
/// The present value of the product is the value on the valuation date.
/// The current price is calculated using the discounting model.
/// </para>
/// <para>
/// 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.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="lastSettlementPrice"> the last settlement price used for margining, in decimal form </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider, double lastSettlementPrice)
{
double referencePrice = this.referencePrice(trade, ratesProvider.ValuationDate, lastSettlementPrice);
double price = this.price(trade, ratesProvider);
return(presentValue(trade, price, referencePrice));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the Overnight rate future trade.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the present value curve sensitivity of the trade </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
{
ResolvedOvernightFuture product = trade.Product;
PointSensitivities priceSensi = productPricer.priceSensitivity(product, ratesProvider);
PointSensitivities marginIndexSensi = productPricer.marginIndexSensitivity(product, priceSensi);
return(marginIndexSensi.multipliedBy(trade.Quantity));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the Overnight rate future trade from the current price.
/// <para>
/// The present value of the product is the value on the valuation date.
/// </para>
/// <para>
/// 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.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="currentPrice"> the current price, in decimal form </param>
/// <param name="referencePrice"> the reference price to margin against, typically the last settlement price, in decimal form </param>
/// <returns> the present value </returns>
internal virtual CurrencyAmount presentValue(ResolvedOvernightFutureTrade trade, double currentPrice, double referencePrice)
{
ResolvedOvernightFuture future = trade.Product;
double priceIndex = productPricer.marginIndex(future, currentPrice);
double referenceIndex = productPricer.marginIndex(future, referencePrice);
double pv = (priceIndex - referenceIndex) * trade.Quantity;
return(CurrencyAmount.of(future.Currency, pv));
}
// unit price for one scenario
internal double unitPrice(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
{
// mark to model
return(tradePricer.price(trade, ratesProvider));
}
//-------------------------------------------------------------------------
// calculates unit price for all scenarios
internal DoubleScenarioArray unitPrice(ResolvedOvernightFutureTrade trade, RatesScenarioMarketData marketData)
{
return(DoubleScenarioArray.of(marketData.ScenarioCount, i => unitPrice(trade, marketData.scenario(i).ratesProvider())));
}
// par spread for one scenario
internal double parSpread(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
{
double settlementPrice = this.settlementPrice(trade, ratesProvider);
return(tradePricer.parSpread(trade, ratesProvider, settlementPrice));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedOvernightFutureTrade, RatesMarketDataLookup, ScenarioMarketData) 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="lookup"> the lookup used to query the market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value sensitivity, one entry per scenario </returns>
public virtual ScenarioArray <CurrencyParameterSensitivities> pv01MarketQuoteBucketed(ResolvedOvernightFutureTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.pv01MarketQuoteBucketed(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the reference price for the trade.
/// <para>
/// 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.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="valuationDate"> the date for which the reference price should be calculated </param>
/// <param name="lastSettlementPrice"> the last settlement price used for margining, in decimal form </param>
/// <returns> the reference price, in decimal form </returns>
internal virtual double referencePrice(ResolvedOvernightFutureTrade trade, LocalDate valuationDate, double lastSettlementPrice)
{
ArgChecker.notNull(valuationDate, "valuationDate");
return(trade.TradedPrice.filter(tp => tp.TradeDate.Equals(valuationDate)).map(tp => tp.Price).orElse(lastSettlementPrice));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price sensitivity of the Overnight rate future product.
/// <para>
/// The price sensitivity of the product is the sensitivity of the price to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the price curve sensitivity of the product </returns>
public virtual PointSensitivities priceSensitivity(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
{
return(productPricer.priceSensitivity(trade.Product, ratesProvider));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedOvernightFutureTrade, RatesMarketDataLookup, ScenarioMarketData) 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>
/// <returns> the present value sensitivity </returns>
public virtual MultiCurrencyAmount pv01MarketQuoteSum(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
{
return(calc.pv01MarketQuoteSum(trade, ratesProvider));
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedOvernightFutureTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedBucketed(trade, marketData.scenario(i).ratesProvider())));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedOvernightFutureTrade, RatesMarketDataLookup, ScenarioMarketData) 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>
/// <returns> the present value sensitivity </returns>
public virtual CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
{
return(calc.pv01MarketQuoteBucketed(trade, ratesProvider));
}
/// <summary>
/// Calculates par spread for a single set of market data.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <returns> the par spread </returns>
public virtual double parSpread(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
{
return(calc.parSpread(trade, ratesProvider));
}
/// <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>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
{
return(calc.presentValue(trade, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value across one or more scenarios.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="lookup"> the lookup used to query the market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value, one entry per scenario </returns>
public virtual CurrencyScenarioArray presentValue(ResolvedOvernightFutureTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.presentValue(trade, lookup.marketDataView(marketData)));
}
/// <summary>
/// Calculates unit price for a single set of market data.
/// <para>
/// This is the price of a single unit of the security.
/// </para>
/// <para>
/// Strata uses <i>decimal prices</i> for Overnight rate 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.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <returns> the present value </returns>
public virtual double unitPrice(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
{
return(calc.unitPrice(trade, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates unit price across one or more scenarios.
/// <para>
/// This is the price of a single unit of the security.
/// </para>
/// <para>
/// Strata uses <i>decimal prices</i> for Overnight rate 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.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="lookup"> the lookup used to query the market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value, one entry per scenario </returns>
public virtual DoubleScenarioArray unitPrice(ResolvedOvernightFutureTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.unitPrice(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal CurrencyScenarioArray presentValue(ResolvedOvernightFutureTrade trade, RatesScenarioMarketData marketData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => presentValue(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the par spread of the Overnight rate future trade.
/// <para>
/// 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.
/// </para>
/// <para>
/// 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.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="lastSettlementPrice"> the last settlement price used for margining, in decimal form </param>
/// <returns> the par spread. </returns>
public virtual double parSpread(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider, double lastSettlementPrice)
{
double referencePrice = this.referencePrice(trade, ratesProvider.ValuationDate, lastSettlementPrice);
return(price(trade, ratesProvider) - referencePrice);
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
internal MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedOvernightFutureTrade trade, RatesScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedSum(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price of the Overnight rate future trade.
/// <para>
/// The price of the trade is the price on the valuation date.
/// The price is calculated using the discounting model.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the price of the trade, in decimal form </returns>
public virtual double price(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
{
return(productPricer.price(trade.Product, ratesProvider));
}
// calibrated bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
return(ratesProvider.parameterSensitivity(pointSensitivity).multipliedBy(ONE_BASIS_POINT));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedOvernightFutureTrade, RatesMarketDataLookup, ScenarioMarketData) 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="lookup"> the lookup used to query the market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value sensitivity, one entry per scenario </returns>
public virtual MultiCurrencyScenarioArray pv01MarketQuoteSum(ResolvedOvernightFutureTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.pv01MarketQuoteSum(trade, lookup.marketDataView(marketData)));
}
