/// <summary>
/// Calculates the forecast value sensitivity of the swap trade.
/// <para>
/// The forecast value sensitivity of the trade is the sensitivity of the forecast value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the forecast value curve sensitivity of the swap trade </returns>
public virtual PointSensitivities forecastValueSensitivity(ResolvedSwapTrade trade, RatesProvider provider)
{
return(productPricer.forecastValueSensitivity(trade.Product, provider).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates par spread 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 par spread, one entry per scenario </returns>
public virtual DoubleScenarioArray parSpread(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.parSpread(trade, lookup.marketDataView(marketData)));
}
/// <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>
/// <returns> the current cash </returns>
public virtual MultiCurrencyAmount currentCash(ResolvedSwapTrade trade, RatesProvider ratesProvider)
{
return(calc.currentCash(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 MultiCurrencyAmount presentValue(ResolvedSwapTrade trade, RatesProvider ratesProvider)
{
return(calc.presentValue(trade, ratesProvider));
}
/// <summary>
/// Calculates accrued interest for a single set of market data.
/// <para>
/// The accrued interest since the last payment.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <returns> the accrued interest </returns>
public virtual MultiCurrencyAmount accruedInterest(ResolvedSwapTrade trade, RatesProvider ratesProvider)
{
return(calc.accruedInterest(trade, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of each leg 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 of each leg, one entry per scenario </returns>
public virtual ScenarioArray <LegAmounts> legPresentValue(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.legPresentValue(trade, lookup.marketDataView(marketData)));
}
/// <summary>
/// Calculates the present value of the swap trade.
/// <para>
/// The present value of the trade is the value on the valuation date.
/// This is the discounted forecast value.
/// The result is expressed using the payment currency of each leg.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the present value of the swap trade </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedSwapTrade trade, RatesProvider provider)
{
return(productPricer.presentValue(trade.Product, provider));
}
/// <summary>
/// Calculates cash flows for a single set of market data.
/// <para>
/// The cash flows provide details about the payments of the trade.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <returns> the cash flows </returns>
public virtual CashFlows cashFlows(ResolvedSwapTrade trade, RatesProvider ratesProvider)
{
return(calc.cashFlows(trade, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the accrued interest since the last payment.
/// <para>
/// This determines the payment period applicable at the valuation date and calculates
/// the accrued interest since the last payment.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the accrued interest </returns>
public virtual MultiCurrencyAmount accruedInterest(ResolvedSwapTrade trade, RatesProvider provider)
{
return(productPricer.accruedInterest(trade.Product, provider));
}
/// <summary>
/// Calculates the current cash of the swap trade.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the current cash of the swap trade </returns>
public virtual MultiCurrencyAmount currentCash(ResolvedSwapTrade trade, RatesProvider provider)
{
return(productPricer.currentCash(trade.Product, provider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the future cash flows of the swap trade.
/// <para>
/// Each expected cash flow is added to the result.
/// This is based on <seealso cref="#forecastValue(ResolvedSwapTrade, RatesProvider)"/>.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the cash flows </returns>
public virtual CashFlows cashFlows(ResolvedSwapTrade trade, RatesProvider provider)
{
return(productPricer.cashFlows(trade.Product, provider));
}
/// <summary>
/// Calculates the par spread curve sensitivity of the swap trade.
/// <para>
/// The par spread curve sensitivity of the product is the sensitivity of the par spread to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par spread sensitivity </returns>
public virtual PointSensitivities parSpreadSensitivity(ResolvedSwapTrade trade, RatesProvider provider)
{
return(productPricer.parSpreadSensitivity(trade.Product, provider).build());
}
/// <summary>
/// Calculates the par spread of the swap trade.
/// <para>
/// This is spread to be added to the fixed rate to have a present value of 0.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par spread </returns>
public virtual double parSpread(ResolvedSwapTrade trade, RatesProvider provider)
{
return(productPricer.parSpread(trade.Product, provider));
}
/// <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(ResolvedSwapTrade trade, RatesProvider ratesProvider)
{
return(calc.parSpread(trade, ratesProvider));
}
public virtual void test_legInitialNotionalWithoutNotional()
{
ResolvedSwapTrade trade = ResolvedSwapTrade.builder().product(ResolvedSwap.of(KNOWN_AMOUNT_SWAP_LEG, KNOWN_AMOUNT_SWAP_LEG)).build();
assertThrowsIllegalArg(() => SwapMeasureCalculations.DEFAULT.legInitialNotional(trade));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates cash flows across one or more scenarios.
/// <para>
/// The cash flows provide details about the payments of the trade.
///
/// </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 cash flows, one entry per scenario </returns>
public virtual ScenarioArray <CashFlows> cashFlows(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.cashFlows(trade, lookup.marketDataView(marketData)));
}
/// <summary>
/// Explains the present value calculation for a single set of market data.
/// <para>
/// This provides a breakdown of how
/// <seealso cref="#presentValue(ResolvedSwapTrade, RatesMarketDataLookup, ScenarioMarketData) present value"/>
/// was calculated, typically used for debugging and validation.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <returns> the present value explanation </returns>
public virtual ExplainMap explainPresentValue(ResolvedSwapTrade trade, RatesProvider ratesProvider)
{
return(calc.explainPresentValue(trade, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates accrued interest across one or more scenarios.
/// <para>
/// The accrued interest since the last payment.
///
/// </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 accrued interest, one entry per scenario </returns>
public virtual MultiCurrencyScenarioArray accruedInterest(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.accruedInterest(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedSwapTrade, 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(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.pv01MarketQuoteSum(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the initial notional of each leg.
/// <para>
/// This does not require market data.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <returns> the initial notional of each leg </returns>
public virtual LegAmounts legInitialNotional(ResolvedSwapTrade trade)
{
return(calc.legInitialNotional(trade));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedSwapTrade, 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(ResolvedSwapTrade trade, RatesProvider ratesProvider)
{
return(calc.pv01MarketQuoteSum(trade, ratesProvider));
}
/// <summary>
/// Calculates the present value of each leg 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 of each leg </returns>
public virtual LegAmounts legPresentValue(ResolvedSwapTrade trade, RatesProvider ratesProvider)
{
return(calc.legPresentValue(trade, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedSwapTrade, 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(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.pv01MarketQuoteBucketed(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <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 MultiCurrencyScenarioArray presentValue(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.presentValue(trade, lookup.marketDataView(marketData)));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedSwapTrade, 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(ResolvedSwapTrade trade, RatesProvider ratesProvider)
{
return(calc.pv01MarketQuoteBucketed(trade, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Explains the present value calculation across one or more scenarios.
/// <para>
/// This provides a breakdown of how
/// <seealso cref="#presentValue(ResolvedSwapTrade, RatesMarketDataLookup, ScenarioMarketData) present value"/>
/// was calculated, typically used for debugging and validation.
///
/// </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 explanation, one entry per scenario </returns>
public virtual ScenarioArray <ExplainMap> explainPresentValue(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.explainPresentValue(trade, lookup.marketDataView(marketData)));
}
/// <summary>
/// Explains the present value of the swap trade.
/// <para>
/// This returns explanatory information about the calculation.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the explanatory information </returns>
public virtual ExplainMap explainPresentValue(ResolvedSwapTrade trade, RatesProvider provider)
{
return(productPricer.explainPresentValue(trade.Product, provider));
}
