//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
RecombiningTrinomialTreeData other = (RecombiningTrinomialTreeData)obj;
return(JodaBeanUtils.equal(stateValue, other.stateValue) && JodaBeanUtils.equal(transitionProbability, other.transitionProbability) && JodaBeanUtils.equal(discountFactor, other.discountFactor) && JodaBeanUtils.equal(time, other.time));
}
return(false);
}
//-------------------------------------------------------------------------
public virtual void test_withData()
{
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer pricer = new ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer(5);
RecombiningTrinomialTreeData data = pricer.Calibrator.calibrateTrinomialTree(CALL_DKO.UnderlyingOption, RATE_PROVIDER, VOLS);
double price = pricer.price(CALL_UKI_C, RATE_PROVIDER, VOLS);
double priceWithData = pricer.price(CALL_UKI_C, RATE_PROVIDER, VOLS, data);
assertEquals(price, priceWithData);
CurrencyAmount pv = pricer.presentValue(CALL_DKO, RATE_PROVIDER, VOLS);
CurrencyAmount pvWithData = pricer.presentValue(CALL_DKO, RATE_PROVIDER, VOLS, data);
assertEquals(pv, pvWithData);
MultiCurrencyAmount ce = pricer.currencyExposure(CALL_UKI_C, RATE_PROVIDER, VOLS);
MultiCurrencyAmount ceWithData = pricer.currencyExposure(CALL_UKI_C, RATE_PROVIDER, VOLS, data);
assertEquals(ce, ceWithData);
}
//-------------------------------------------------------------------------
private void validateData(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData data)
{
ResolvedFxVanillaOption underlyingOption = option.UnderlyingOption;
ArgChecker.isTrue(DoubleMath.fuzzyEquals(data.getTime(data.NumberOfSteps), volatilities.relativeTime(underlyingOption.Expiry), SMALL), "time to expiry mismatch between pricing option and trinomial tree data");
ArgChecker.isTrue(DoubleMath.fuzzyEquals(data.Spot, ratesProvider.fxRate(underlyingOption.Underlying.CurrencyPair), SMALL), "today's FX rate mismatch between rates provider and trinomial tree data");
}
//-------------------------------------------------------------------------
private ValueDerivatives priceDerivatives(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData data)
{
validate(option, ratesProvider, volatilities);
validateData(option, ratesProvider, volatilities, data);
int nSteps = data.NumberOfSteps;
ResolvedFxVanillaOption underlyingOption = option.UnderlyingOption;
double timeToExpiry = data.getTime(nSteps);
ResolvedFxSingle underlyingFx = underlyingOption.Underlying;
Currency ccyBase = underlyingFx.CounterCurrencyPayment.Currency;
Currency ccyCounter = underlyingFx.CounterCurrencyPayment.Currency;
DiscountFactors baseDiscountFactors = ratesProvider.discountFactors(ccyBase);
DiscountFactors counterDiscountFactors = ratesProvider.discountFactors(ccyCounter);
double rebateAtExpiry = 0d; // used to price knock-in option
double rebateAtExpiryDerivative = 0d; // used to price knock-in option
double notional = Math.Abs(underlyingFx.BaseCurrencyPayment.Amount);
double[] rebateArray = new double[nSteps + 1];
SimpleConstantContinuousBarrier barrier = (SimpleConstantContinuousBarrier)option.Barrier;
if (option.Rebate.Present)
{
CurrencyAmount rebateCurrencyAmount = option.Rebate.get();
double rebatePerUnit = rebateCurrencyAmount.Amount / notional;
bool isCounter = rebateCurrencyAmount.Currency.Equals(ccyCounter);
double rebate = isCounter ? rebatePerUnit : rebatePerUnit * barrier.BarrierLevel;
if (barrier.KnockType.KnockIn)
{ // use in-out parity
double dfCounterAtExpiry = counterDiscountFactors.discountFactor(timeToExpiry);
double dfBaseAtExpiry = baseDiscountFactors.discountFactor(timeToExpiry);
for (int i = 0; i < nSteps + 1; ++i)
{
rebateArray[i] = isCounter ? rebate * dfCounterAtExpiry / counterDiscountFactors.discountFactor(data.getTime(i)) : rebate * dfBaseAtExpiry / baseDiscountFactors.discountFactor(data.getTime(i));
}
if (isCounter)
{
rebateAtExpiry = rebatePerUnit * dfCounterAtExpiry;
}
else
{
rebateAtExpiry = rebatePerUnit * data.Spot * dfBaseAtExpiry;
rebateAtExpiryDerivative = rebatePerUnit * dfBaseAtExpiry;
}
}
else
{
Arrays.fill(rebateArray, rebate);
}
}
ConstantContinuousSingleBarrierKnockoutFunction barrierFunction = ConstantContinuousSingleBarrierKnockoutFunction.of(underlyingOption.Strike, timeToExpiry, underlyingOption.PutCall, nSteps, barrier.BarrierType, barrier.BarrierLevel, DoubleArray.ofUnsafe(rebateArray));
ValueDerivatives barrierPrice = TREE.optionPriceAdjoint(barrierFunction, data);
if (barrier.KnockType.KnockIn)
{ // use in-out parity
EuropeanVanillaOptionFunction vanillaFunction = EuropeanVanillaOptionFunction.of(underlyingOption.Strike, timeToExpiry, underlyingOption.PutCall, nSteps);
ValueDerivatives vanillaPrice = TREE.optionPriceAdjoint(vanillaFunction, data);
return(ValueDerivatives.of(vanillaPrice.Value + rebateAtExpiry - barrierPrice.Value, DoubleArray.of(vanillaPrice.getDerivative(0) + rebateAtExpiryDerivative - barrierPrice.getDerivative(0))));
}
return(barrierPrice);
}
/// <summary>
/// Calculates the currency exposure of the FX barrier option product.
/// <para>
/// This assumes the tree is already calibrated and the tree data is stored as {@code RecombiningTrinomialTreeData}.
/// The tree data should be consistent with the pricer and other inputs, see <seealso cref="#validateData"/>.
///
/// </para>
/// </summary>
/// <param name="option"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <param name="treeData"> the trinomial tree data </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData treeData)
{
ResolvedFxVanillaOption underlyingOption = option.UnderlyingOption;
ValueDerivatives priceDerivatives = this.priceDerivatives(option, ratesProvider, volatilities, treeData);
double price = priceDerivatives.Value;
double delta = priceDerivatives.getDerivative(0);
CurrencyPair currencyPair = underlyingOption.Underlying.CurrencyPair;
double todayFx = ratesProvider.fxRate(currencyPair);
double signedNotional = this.signedNotional(underlyingOption);
CurrencyAmount domestic = CurrencyAmount.of(currencyPair.Counter, (price - delta * todayFx) * signedNotional);
CurrencyAmount foreign = CurrencyAmount.of(currencyPair.Base, delta * signedNotional);
return(MultiCurrencyAmount.of(domestic, foreign));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure of the FX barrier option product.
/// <para>
/// The trinomial tree is first calibrated to Black volatilities,
/// then the price is computed based on the calibrated tree.
///
/// </para>
/// </summary>
/// <param name="option"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
RecombiningTrinomialTreeData treeData = calibrator.calibrateTrinomialTree(option.UnderlyingOption, ratesProvider, volatilities);
return(currencyExposure(option, ratesProvider, volatilities, treeData));
}
/// <summary>
/// Calculates the present value sensitivity of the FX barrier option product.
/// <para>
/// The present value sensitivity of the product is the sensitivity of <seealso cref="#presentValue"/> to
/// the underlying curve parameters.
/// </para>
/// <para>
/// The sensitivity is computed by bump and re-price.
///
/// </para>
/// </summary>
/// <param name="option"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <param name="baseTreeData"> the trinomial tree data </param>
/// <returns> the present value of the product </returns>
public virtual CurrencyParameterSensitivities presentValueSensitivityRates(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData baseTreeData)
{
ArgChecker.isTrue(baseTreeData.NumberOfSteps == calibrator.NumberOfSteps, "the number of steps mismatch between pricer and trinomial tree data");
double shift = 1.0e-5;
CurrencyAmount pvBase = presentValue(option, ratesProvider, volatilities, baseTreeData);
ResolvedFxVanillaOption underlyingOption = option.UnderlyingOption;
ResolvedFxSingle underlyingFx = underlyingOption.Underlying;
CurrencyPair currencyPair = underlyingFx.CurrencyPair;
ImmutableRatesProvider immRatesProvider = ratesProvider.toImmutableRatesProvider();
ImmutableMap <Currency, Curve> baseCurves = immRatesProvider.DiscountCurves;
CurrencyParameterSensitivities result = CurrencyParameterSensitivities.empty();
foreach (KeyValuePair <Currency, Curve> entry in baseCurves.entrySet())
{
if (currencyPair.contains(entry.Key))
{
Curve curve = entry.Value;
int nParams = curve.ParameterCount;
DoubleArray sensitivity = DoubleArray.of(nParams, i =>
{
Curve dscBumped = curve.withParameter(i, curve.getParameter(i) + shift);
IDictionary <Currency, Curve> mapBumped = new Dictionary <Currency, Curve>(baseCurves);
mapBumped[entry.Key] = dscBumped;
ImmutableRatesProvider providerDscBumped = immRatesProvider.toBuilder().discountCurves(mapBumped).build();
double pvBumped = presentValue(option, providerDscBumped, volatilities).Amount;
return((pvBumped - pvBase.Amount) / shift);
});
result = result.combinedWith(curve.createParameterSensitivity(pvBase.Currency, sensitivity));
}
}
return(result);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the FX barrier option product.
/// <para>
/// The present value sensitivity of the product is the sensitivity of <seealso cref="#presentValue"/> to
/// the underlying curve parameters.
/// </para>
/// <para>
/// The sensitivity is computed by bump and re-price.
///
/// </para>
/// </summary>
/// <param name="option"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <returns> the present value of the product </returns>
public virtual CurrencyParameterSensitivities presentValueSensitivityRates(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
RecombiningTrinomialTreeData baseTreeData = calibrator.calibrateTrinomialTree(option.UnderlyingOption, ratesProvider, volatilities);
return(presentValueSensitivityRates(option, ratesProvider, volatilities, baseTreeData));
}
/// <summary>
/// Calculates the present value of the FX barrier option product.
/// <para>
/// The present value of the product is the value on the valuation date.
/// It is expressed in the counter currency.
/// </para>
/// <para>
/// This assumes the tree is already calibrated and the tree data is stored as {@code RecombiningTrinomialTreeData}.
/// The tree data should be consistent with the pricer and other inputs, see <seealso cref="#validateData"/>.
///
/// </para>
/// </summary>
/// <param name="option"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <param name="treeData"> the trinomial tree data </param>
/// <returns> the present value of the product </returns>
public virtual CurrencyAmount presentValue(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData treeData)
{
double price = this.price(option, ratesProvider, volatilities, treeData);
ResolvedFxVanillaOption underlyingOption = option.UnderlyingOption;
return(CurrencyAmount.of(underlyingOption.CounterCurrency, signedNotional(underlyingOption) * price));
}
/// <summary>
/// Calculates the price of the FX barrier option product.
/// <para>
/// The price of the product is the value on the valuation date for one unit of the base currency
/// and is expressed in the counter currency. The price does not take into account the long/short flag.
/// See <seealso cref="#presentValue(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities, RecombiningTrinomialTreeData) presnetValue"/>
/// for scaling and currency.
/// </para>
/// <para>
/// This assumes the tree is already calibrated and the tree data is stored as {@code RecombiningTrinomialTreeData}.
/// The tree data should be consistent with the pricer and other inputs, see <seealso cref="#validateData"/>.
///
/// </para>
/// </summary>
/// <param name="option"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <param name="treeData"> the trinomial tree data </param>
/// <returns> the price of the product </returns>
public virtual double price(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData treeData)
{
return(priceDerivatives(option, ratesProvider, volatilities, treeData).Value);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price of the FX barrier option product.
/// <para>
/// The price of the product is the value on the valuation date for one unit of the base currency
/// and is expressed in the counter currency. The price does not take into account the long/short flag.
/// See <seealso cref="#presentValue(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities) presentValue"/>
/// for scaling and currency.
/// </para>
/// <para>
/// The trinomial tree is first calibrated to Black volatilities,
/// then the price is computed based on the calibrated tree.
///
/// </para>
/// </summary>
/// <param name="option"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <returns> the price of the product </returns>
public virtual double price(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
RecombiningTrinomialTreeData treeData = calibrator.calibrateTrinomialTree(option.UnderlyingOption, ratesProvider, volatilities);
return(price(option, ratesProvider, volatilities, treeData));
}