// ensure volatilities are Black
private BlackBondFutureVolatilities checkBlackVols(BondFutureVolatilities volatilities)
{
if (volatilities is BlackBondFutureVolatilities)
{
return((BlackBondFutureVolatilities)volatilities);
}
throw new System.ArgumentException(Messages.format("Bond future option only supports Black volatilities, but was '{}'", volatilities.VolatilityType));
}
/// <summary>
/// Calculates present value for a single set of market data.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="discountingProvider"> the market data </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)
{
return(calc.presentValue(trade, discountingProvider, volatilities));
}
/// <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="discountingProvider"> the market data </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)
{
return(calc.currencyExposure(trade, discountingProvider, volatilities));
}
/// <summary>
/// Calculates unit price for a single set of market data.
/// <para>
/// This is the price of a single unit of the security.
///
/// <h4>Price</h4>
/// Strata uses <i>decimal prices</i> for bond futures options in the trade model, pricers and market data.
/// This is coherent with the pricing of <seealso cref="BondFuture"/>.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="discountingProvider"> the market data </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the present value </returns>
public virtual double unitPrice(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)
{
return(calc.unitPrice(trade, discountingProvider, volatilities));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedBondFutureOptionTrade, LegalEntityDiscountingMarketDataLookup, BondFutureOptionMarketDataLookup, 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="discountingProvider"> the market data </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)
{
return(calc.pv01CalibratedBucketed(trade, discountingProvider, volatilities));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedBondFutureOptionTrade, LegalEntityDiscountingMarketDataLookup, BondFutureOptionMarketDataLookup, 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="discountingProvider"> the market data </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual MultiCurrencyAmount pv01CalibratedSum(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)
{
return(calc.pv01CalibratedSum(trade, discountingProvider, volatilities));
}
// calibrated sum PV01 for one scenario
internal MultiCurrencyAmount pv01CalibratedSum(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)
{
BlackBondFutureVolatilities normalVols = checkBlackVols(volatilities);
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivityRates(trade, discountingProvider, normalVols);
return(discountingProvider.parameterSensitivity(pointSensitivity).total().multipliedBy(ONE_BASIS_POINT));
}
// present value for one scenario
internal CurrencyAmount presentValue(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)
{
// mark to model
double settlementPrice = this.settlementPrice(trade, discountingProvider);
BlackBondFutureVolatilities normalVols = checkBlackVols(volatilities);
return(tradePricer.presentValue(trade, discountingProvider, normalVols, settlementPrice));
}
// currency exposure for one scenario
internal MultiCurrencyAmount currencyExposure(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)
{
double settlementPrice = this.settlementPrice(trade, discountingProvider);
return(tradePricer.currencyExposure(trade, discountingProvider, volatilities, settlementPrice));
}
// unit price for one scenario
internal double unitPrice(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)
{
// mark to model
BlackBondFutureVolatilities normalVols = checkBlackVols(volatilities);
return(tradePricer.price(trade, discountingProvider, normalVols));
}
