//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the settlement of the bond trade from the real clean price.
/// <para>
/// The present value sensitivity of the settlement 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, used to determine price index values </param>
/// <param name="refData"> the reference data used to calculate the settlement date </param>
/// <param name="discountingProvider"> the discount factors provider </param>
/// <param name="cleanRealPrice"> the clean real price </param>
/// <returns> the present value sensitivity of the settlement </returns>
public virtual PointSensitivities presentValueSensitivityFromCleanPrice(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, ReferenceData refData, double cleanRealPrice)
{
validate(ratesProvider, discountingProvider);
LocalDate valuationDate = ratesProvider.ValuationDate;
ResolvedCapitalIndexedBond bond = trade.Product;
LocalDate standardSettlementDate = bond.calculateSettlementDateFromValuation(valuationDate, refData);
LocalDate tradeSettlementDate = settlementDate(trade, valuationDate);
RepoCurveDiscountFactors repoDf = DiscountingCapitalIndexedBondProductPricer.repoCurveDf(bond, discountingProvider);
double df = repoDf.discountFactor(standardSettlementDate);
PointSensitivityBuilder dfSensi = repoDf.zeroRatePointSensitivity(standardSettlementDate);
PointSensitivityBuilder pvSensiStandard = forecastValueSensitivityStandardFromCleanPrice(bond, ratesProvider, standardSettlementDate, cleanRealPrice).multipliedBy(df).combinedWith(dfSensi.multipliedBy(forecastValueStandardFromCleanPrice(bond, ratesProvider, standardSettlementDate, cleanRealPrice).Amount));
if (standardSettlementDate.isEqual(tradeSettlementDate))
{
return(presentValueSensitivityFromProductPresentValueSensitivity(trade, ratesProvider, discountingProvider, pvSensiStandard).build());
}
// check coupon payment between two settlement dates
IssuerCurveDiscountFactors issuerDf = DiscountingCapitalIndexedBondProductPricer.issuerCurveDf(bond, discountingProvider);
PointSensitivityBuilder pvSensiDiff = PointSensitivityBuilder.none();
if (standardSettlementDate.isAfter(tradeSettlementDate))
{
pvSensiDiff = pvSensiDiff.combinedWith(productPricer.presentValueSensitivityCoupon(bond, ratesProvider, issuerDf, tradeSettlementDate, standardSettlementDate).multipliedBy(-1d));
}
else
{
pvSensiDiff = pvSensiDiff.combinedWith(productPricer.presentValueSensitivityCoupon(bond, ratesProvider, issuerDf, standardSettlementDate, tradeSettlementDate));
}
return(presentValueSensitivityFromProductPresentValueSensitivity(trade, ratesProvider, discountingProvider, pvSensiStandard.combinedWith(pvSensiDiff)).build());
}
/// <summary>
/// Calculates the present value of the settlement of the bond trade from the clean price with z-spread.
/// <para>
/// Since the sign of the settlement notional is opposite to that of the product, negative amount will be returned
/// for positive quantity of trade.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic
/// compounded rates of the discounting curve.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider, used to determine price index values </param>
/// <param name="discountingProvider"> the discount factors provider </param>
/// <param name="refData"> the reference data used to calculate the settlement date </param>
/// <param name="zSpread"> the z-spread </param>
/// <param name="compoundedRateType"> the compounded rate type </param>
/// <param name="periodsPerYear"> the number of periods per year </param>
/// <param name="cleanRealPrice"> the clean real price </param>
/// <returns> the present value of the settlement </returns>
public virtual CurrencyAmount presentValueFromCleanPriceWithZSpread(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, ReferenceData refData, double cleanRealPrice, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
validate(ratesProvider, discountingProvider);
LocalDate valuationDate = ratesProvider.ValuationDate;
ResolvedCapitalIndexedBond bond = trade.Product;
LocalDate standardSettlementDate = bond.calculateSettlementDateFromValuation(valuationDate, refData);
LocalDate tradeSettlementDate = settlementDate(trade, valuationDate);
RepoCurveDiscountFactors repoDf = DiscountingCapitalIndexedBondProductPricer.repoCurveDf(bond, discountingProvider);
double df = repoDf.discountFactor(standardSettlementDate);
CurrencyAmount pvStandard = forecastValueStandardFromCleanPrice(bond, ratesProvider, standardSettlementDate, cleanRealPrice).multipliedBy(df);
if (standardSettlementDate.isEqual(tradeSettlementDate))
{
return(presentValueFromProductPresentValue(trade, ratesProvider, discountingProvider, pvStandard));
}
// check coupon payment between two settlement dates
IssuerCurveDiscountFactors issuerDf = DiscountingCapitalIndexedBondProductPricer.issuerCurveDf(bond, discountingProvider);
double pvDiff = 0d;
if (standardSettlementDate.isAfter(tradeSettlementDate))
{
pvDiff = -productPricer.presentValueCouponWithZSpread(bond, ratesProvider, issuerDf, tradeSettlementDate, standardSettlementDate, zSpread, compoundedRateType, periodsPerYear);
}
else
{
pvDiff = productPricer.presentValueCouponWithZSpread(bond, ratesProvider, issuerDf, standardSettlementDate, tradeSettlementDate, zSpread, compoundedRateType, periodsPerYear);
}
return(presentValueFromProductPresentValue(trade, ratesProvider, discountingProvider, pvStandard.plus(pvDiff)));
}
private CurrencyAmount presentValueFromProductPresentValue(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, CurrencyAmount productPresentValue)
{
CurrencyAmount pvProduct = productPresentValue.multipliedBy(trade.Quantity);
CurrencyAmount pvPayment = presentValueSettlement(trade, ratesProvider, discountingProvider);
return(pvProduct.plus(pvPayment));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the bond trade.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to
/// the underlying curves.
/// </para>
/// <para>
/// Coupon payments of the underlying product are considered based on the settlement date of the trade.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider, used to determine price index values </param>
/// <param name="discountingProvider"> the discount factors provider </param>
/// <returns> the present value sensitivity of the bond trade </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider)
{
validate(ratesProvider, discountingProvider);
LocalDate settlementDate = this.settlementDate(trade, ratesProvider.ValuationDate);
PointSensitivityBuilder productSensi = productPricer.presentValueSensitivity(trade.Product, ratesProvider, discountingProvider, settlementDate);
return(presentValueSensitivityFromProductPresentValueSensitivity(trade, ratesProvider, discountingProvider, productSensi).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the bond trade.
/// <para>
/// The present value of the trade is the value on the valuation date.
/// The result is expressed using the payment currency of the bond.
/// </para>
/// <para>
/// Coupon payments of the underlying product are considered based on the settlement date of the trade.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider, used to determine price index values </param>
/// <param name="discountingProvider"> the discount factors provider </param>
/// <returns> the present value of the bond trade </returns>
public virtual CurrencyAmount presentValue(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider)
{
validate(ratesProvider, discountingProvider);
LocalDate settlementDate = this.settlementDate(trade, ratesProvider.ValuationDate);
CurrencyAmount pvProduct = productPricer.presentValue(trade.Product, ratesProvider, discountingProvider, settlementDate);
return(presentValueFromProductPresentValue(trade, ratesProvider, discountingProvider, pvProduct));
}
/// <summary>
/// Calculates the present value of the bond trade with z-spread.
/// <para>
/// The present value of the trade is the value on the valuation date.
/// The result is expressed using the payment currency of the bond.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic
/// compounded rates of the discounting curve.
/// </para>
/// <para>
/// Coupon payments of the underlying product are considered based on the settlement date of the trade.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider, used to determine price index values </param>
/// <param name="discountingProvider"> the discount factors provider </param>
/// <param name="zSpread"> the z-spread </param>
/// <param name="compoundedRateType"> the compounded rate type </param>
/// <param name="periodsPerYear"> the number of periods per year </param>
/// <returns> the present value of the bond trade </returns>
public virtual CurrencyAmount presentValueWithZSpread(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
validate(ratesProvider, discountingProvider);
LocalDate settlementDate = this.settlementDate(trade, ratesProvider.ValuationDate);
CurrencyAmount pvProduct = productPricer.presentValueWithZSpread(trade.Product, ratesProvider, discountingProvider, settlementDate, zSpread, compoundedRateType, periodsPerYear);
return(presentValueFromProductPresentValue(trade, ratesProvider, discountingProvider, pvProduct));
}
/// <summary>
/// Calculates the present value sensitivity of the bond trade with z-spread.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to
/// the underlying curves.
/// </para>
/// <para>
/// Coupon payments of the underlying product are considered based on the settlement date of the trade.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider, used to determine price index values </param>
/// <param name="discountingProvider"> the discount factors provider </param>
/// <param name="zSpread"> the z-spread </param>
/// <param name="compoundedRateType"> the compounded rate type </param>
/// <param name="periodsPerYear"> the number of periods per year </param>
/// <returns> the present value sensitivity of the bond trade </returns>
public virtual PointSensitivities presentValueSensitivityWithZSpread(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
validate(ratesProvider, discountingProvider);
LocalDate settlementDate = this.settlementDate(trade, ratesProvider.ValuationDate);
PointSensitivityBuilder productSensi = productPricer.presentValueSensitivityWithZSpread(trade.Product, ratesProvider, discountingProvider, settlementDate, zSpread, compoundedRateType, periodsPerYear);
return(presentValueSensitivityFromProductPresentValueSensitivity(trade, ratesProvider, discountingProvider, productSensi).build());
}
//-------------------------------------------------------------------------
private CurrencyAmount presentValueSettlement(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider)
{
if (!trade.Settlement.Present)
{
// position has no settlement, thus it has no value
return(CurrencyAmount.zero(trade.Product.Currency));
}
BondPaymentPeriod settlePeriod = trade.Settlement.get().Payment;
ResolvedCapitalIndexedBond product = trade.Product;
CurrencyAmount netAmount = this.netAmount(trade, ratesProvider);
RepoCurveDiscountFactors repoDf = DiscountingCapitalIndexedBondProductPricer.repoCurveDf(product, discountingProvider);
return(netAmount.multipliedBy(repoDf.discountFactor(settlePeriod.PaymentDate)));
}
/// <summary>
/// Calculates the current cash of the bond trade.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider, used to determine price index values </param>
/// <returns> the current cash </returns>
public virtual CurrencyAmount currentCash(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider)
{
LocalDate valuationDate = ratesProvider.ValuationDate;
LocalDate settlementDate = this.settlementDate(trade, valuationDate);
CurrencyAmount cashProduct = productPricer.currentCash(trade.Product, ratesProvider, settlementDate);
if (!trade.Settlement.Present)
{
return(cashProduct);
}
BondPaymentPeriod settlePeriod = trade.Settlement.get().Payment;
double cashSettle = settlePeriod.PaymentDate.isEqual(valuationDate) ? netAmount(trade, ratesProvider).Amount : 0d;
return(cashProduct.plus(cashSettle));
}
// the sensitivity of the present value of the settlement
private PointSensitivityBuilder presentValueSensitivitySettlement(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider)
{
if (!trade.Settlement.Present)
{
// position has no settlement, thus it has no sensitivity
return(PointSensitivityBuilder.none());
}
ResolvedCapitalIndexedBondSettlement settlement = trade.Settlement.get();
BondPaymentPeriod settlePeriod = settlement.Payment;
ResolvedCapitalIndexedBond product = trade.Product;
RepoCurveDiscountFactors repoDf = DiscountingCapitalIndexedBondProductPricer.repoCurveDf(product, discountingProvider);
double df = repoDf.discountFactor(settlePeriod.PaymentDate);
double netAmount = this.netAmount(trade, ratesProvider).Amount;
PointSensitivityBuilder dfSensi = repoDf.zeroRatePointSensitivity(settlePeriod.PaymentDate).multipliedBy(netAmount);
PointSensitivityBuilder naSensi = netAmountSensitivity(settlement, ratesProvider).multipliedBy(df);
return(dfSensi.combinedWith(naSensi));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the net amount of the settlement of the bond trade.
/// <para>
/// Since the sign of the settlement notional is opposite to that of the product, negative amount will be returned
/// for positive quantity of trade.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider, used to determine price index values </param>
/// <returns> the net amount </returns>
public virtual CurrencyAmount netAmount(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider)
{
if (!trade.Settlement.Present)
{
// position has no settlement, thus it has no value
return(CurrencyAmount.zero(trade.Product.Currency));
}
BondPaymentPeriod settlePeriod = trade.Settlement.get().Payment;
if (settlePeriod is KnownAmountBondPaymentPeriod)
{
Payment payment = ((KnownAmountBondPaymentPeriod)settlePeriod).Payment;
return(payment.Value);
}
else if (settlePeriod is CapitalIndexedBondPaymentPeriod)
{
CapitalIndexedBondPaymentPeriod casted = (CapitalIndexedBondPaymentPeriod)settlePeriod;
double netAmount = productPricer.PeriodPricer.forecastValue(casted, ratesProvider);
return(CurrencyAmount.of(casted.Currency, netAmount));
}
throw new System.NotSupportedException("unsupported settlement type");
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedCapitalIndexedBondTrade, RatesMarketDataLookup, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) 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="ratesLookup"> the lookup used to query the market data </param>
/// <param name="legalEntityLookup"> 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> pv01CalibratedBucketed(ResolvedCapitalIndexedBondTrade trade, RatesMarketDataLookup ratesLookup, LegalEntityDiscountingMarketDataLookup legalEntityLookup, ScenarioMarketData marketData)
{
return(calc.pv01CalibratedBucketed(trade, ratesLookup.marketDataView(marketData), legalEntityLookup.marketDataView(marketData)));
}
// currency exposure for one scenario
internal MultiCurrencyAmount currencyExposure(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider)
{
return(tradePricer.currencyExposure(trade, ratesProvider, discountingProvider));
}
// current cash for one scenario
internal CurrencyAmount currentCash(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider)
{
return(tradePricer.currentCash(trade, ratesProvider));
}
/// <summary>
/// Calculates the currency exposure of the bond trade.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider, used to determine price index values </param>
/// <param name="discountingProvider"> the discount factors provider </param>
/// <returns> the currency exposure of the trade </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider)
{
CurrencyAmount pv = presentValue(trade, ratesProvider, discountingProvider);
return(MultiCurrencyAmount.of(pv));
}
/// <summary>
/// Calculates the currency exposure of the bond trade with z-spread.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider, used to determine price index values </param>
/// <param name="discountingProvider"> the discount factors provider </param>
/// <param name="zSpread"> the z-spread </param>
/// <param name="compoundedRateType"> the compounded rate type </param>
/// <param name="periodsPerYear"> the number of periods per year </param>
/// <returns> the currency exposure of the trade </returns>
public virtual MultiCurrencyAmount currencyExposureWithZSpread(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
CurrencyAmount pv = presentValueWithZSpread(trade, ratesProvider, discountingProvider, zSpread, compoundedRateType, periodsPerYear);
return(MultiCurrencyAmount.of(pv));
}
/// <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="legalEntityProvider"> the market data </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider legalEntityProvider)
{
return(calc.presentValue(trade, ratesProvider, legalEntityProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure of the bond trade.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider, used to determine price index values </param>
/// <param name="discountingProvider"> the discount factors provider </param>
/// <param name="refData"> the reference data used to calculate the settlement date </param>
/// <param name="cleanRealPrice"> the clean real price </param>
/// <returns> the currency exposure of the trade </returns>
public virtual MultiCurrencyAmount currencyExposureFromCleanPrice(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, ReferenceData refData, double cleanRealPrice)
{
CurrencyAmount pv = presentValueFromCleanPrice(trade, ratesProvider, discountingProvider, refData, cleanRealPrice);
return(MultiCurrencyAmount.of(pv));
}
//-------------------------------------------------------------------------
// the sensitivity of the product plus settlement
private PointSensitivityBuilder presentValueSensitivityFromProductPresentValueSensitivity(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, PointSensitivityBuilder productPresnetValueSensitivity)
{
PointSensitivityBuilder sensiProduct = productPresnetValueSensitivity.multipliedBy(trade.Quantity);
PointSensitivityBuilder sensiPayment = presentValueSensitivitySettlement(trade, ratesProvider, discountingProvider);
return(sensiProduct.combinedWith(sensiPayment));
}
//-------------------------------------------------------------------------
// calculate the settlement date
private LocalDate settlementDate(ResolvedCapitalIndexedBondTrade trade, LocalDate valuationDate)
{
return(trade.Settlement.map(settle => settle.SettlementDate).orElse(valuationDate));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedCapitalIndexedBondTrade, RatesMarketDataLookup, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) 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="legalEntityProvider"> the market data </param>
/// <returns> the present value sensitivity </returns>
public virtual MultiCurrencyAmount pv01CalibratedSum(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider legalEntityProvider)
{
return(calc.pv01CalibratedSum(trade, ratesProvider, legalEntityProvider));
}
// present value for one scenario
internal CurrencyAmount presentValue(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider)
{
return(tradePricer.presentValue(trade, ratesProvider, discountingProvider));
}
//-------------------------------------------------------------------------
// calculates currency exposure for all scenarios
internal MultiCurrencyScenarioArray currencyExposure(ResolvedCapitalIndexedBondTrade trade, RatesScenarioMarketData ratesMarketData, LegalEntityDiscountingScenarioMarketData legalEntityMarketData)
{
return(MultiCurrencyScenarioArray.of(legalEntityMarketData.ScenarioCount, i => currencyExposure(trade, ratesMarketData.scenario(i).ratesProvider(), legalEntityMarketData.scenario(i).discountingProvider())));
}
// calibrated bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider, discountingProvider);
return(discountingProvider.parameterSensitivity(pointSensitivity).multipliedBy(ONE_BASIS_POINT));
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedCapitalIndexedBondTrade trade, RatesScenarioMarketData ratesMarketData, LegalEntityDiscountingScenarioMarketData legalEntityMarketData)
{
return(ScenarioArray.of(legalEntityMarketData.ScenarioCount, i => pv01CalibratedBucketed(trade, ratesMarketData.scenario(i).ratesProvider(), legalEntityMarketData.scenario(i).discountingProvider())));
}
/// <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="legalEntityProvider"> the market data </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider legalEntityProvider)
{
return(calc.currencyExposure(trade, ratesProvider, legalEntityProvider));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedCapitalIndexedBondTrade, RatesMarketDataLookup, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) 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="legalEntityProvider"> the market data </param>
/// <returns> the present value sensitivity </returns>
public virtual CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider legalEntityProvider)
{
return(calc.pv01CalibratedBucketed(trade, ratesProvider, legalEntityProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedCapitalIndexedBondTrade, RatesMarketDataLookup, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) 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="ratesLookup"> the lookup used to query the market data </param>
/// <param name="legalEntityLookup"> 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 pv01CalibratedSum(ResolvedCapitalIndexedBondTrade trade, RatesMarketDataLookup ratesLookup, LegalEntityDiscountingMarketDataLookup legalEntityLookup, ScenarioMarketData marketData)
{
return(calc.pv01CalibratedSum(trade, ratesLookup.marketDataView(marketData), legalEntityLookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value across one or more scenarios.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesLookup"> the lookup used to query the market data </param>
/// <param name="legalEntityLookup"> 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(ResolvedCapitalIndexedBondTrade trade, RatesMarketDataLookup ratesLookup, LegalEntityDiscountingMarketDataLookup legalEntityLookup, ScenarioMarketData marketData)
{
return(calc.presentValue(trade, ratesLookup.marketDataView(marketData), legalEntityLookup.marketDataView(marketData)));
}
