// market quote bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedBulletPaymentTrade 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));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ResolvedTradeParameterMetadata test1 = ResolvedTradeParameterMetadata.of(TRADE, "Label");
coverImmutableBean(test1);
ResolvedTrade trade = ResolvedBulletPaymentTrade.of(TradeInfo.empty(), BulletPayment.builder().date(AdjustableDate.of(LocalDate.of(2017, 3, 3))).value(CurrencyAmount.of(Currency.USD, 100d)).payReceive(PayReceive.PAY).build().resolve(REF_DATA));
ResolvedTradeParameterMetadata test2 = ResolvedTradeParameterMetadata.builder().trade(trade).label("Label2").build();
coverBeanEquals(test1, test2);
}
/// <summary>
/// Calculates the current cash of the bullet payment trade.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the provider </param>
/// <returns> the current cash </returns>
public virtual CurrencyAmount currentCash(ResolvedBulletPaymentTrade trade, BaseProvider provider)
{
return(paymentPricer.currentCash(trade.Product.Payment, provider));
}
/// <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(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider)
{
return(calc.presentValue(trade, ratesProvider));
}
/// <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 CurrencyAmount currentCash(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider)
{
return(calc.currentCash(trade, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates currency exposure across one or more scenarios.
/// <para>
/// The currency risk, expressed as the equivalent amount in each currency.
///
/// </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 currency exposure, one entry per scenario </returns>
public virtual MultiCurrencyScenarioArray currencyExposure(ResolvedBulletPaymentTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.currencyExposure(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <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(ResolvedBulletPaymentTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.cashFlows(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedBulletPaymentTrade, 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(ResolvedBulletPaymentTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.pv01MarketQuoteBucketed(trade, lookup.marketDataView(marketData)));
}
// calibrated sum PV01 for one scenario
internal MultiCurrencyAmount pv01CalibratedSum(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
return(ratesProvider.parameterSensitivity(pointSensitivity).total().multipliedBy(ONE_BASIS_POINT));
}
//-------------------------------------------------------------------------
// calculates cash flows for all scenarios
internal ScenarioArray <CashFlows> cashFlows(ResolvedBulletPaymentTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => cashFlows(trade, marketData.scenario(i).ratesProvider())));
}
// single-node gamma PV01 for one scenario
private CurrencyParameterSensitivities pv01SingleNodeGammaBucketed(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider)
{
CrossGammaParameterSensitivities crossGamma = CROSS_GAMMA.calculateCrossGammaIntraCurve(ratesProvider, p => p.parameterSensitivity(tradePricer.presentValueSensitivity(trade, p)));
return(crossGamma.diagonal().multipliedBy(ONE_BASIS_POINT * ONE_BASIS_POINT));
}
//-------------------------------------------------------------------------
// calculates single-node gamma PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01SingleNodeGammaBucketed(ResolvedBulletPaymentTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01SingleNodeGammaBucketed(trade, marketData.scenario(i).ratesProvider())));
}
/// <summary>
/// Calculates the present value sensitivity of the bullet payment 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="provider"> the provider </param>
/// <returns> the point sensitivity of the present value </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedBulletPaymentTrade trade, BaseProvider provider)
{
return(paymentPricer.presentValueSensitivity(trade.Product.Payment, provider).build());
}
/// <summary>
/// Explains the present value of the bullet payment product.
/// <para>
/// This returns explanatory information about the calculation.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the provider </param>
/// <returns> the explanatory information </returns>
public virtual ExplainMap explainPresentValue(ResolvedBulletPaymentTrade trade, BaseProvider provider)
{
return(paymentPricer.explainPresentValue(trade.Product.Payment, provider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the bullet payment trade.
/// <para>
/// The present value of the trade is the value on the valuation date.
/// This is the discounted forecast value.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the provider </param>
/// <returns> the present value of the trade </returns>
public virtual CurrencyAmount presentValue(ResolvedBulletPaymentTrade trade, BaseProvider provider)
{
return(paymentPricer.presentValue(trade.Product.Payment, provider));
}
// explain present value for one scenario
internal ExplainMap explainPresentValue(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider)
{
return(tradePricer.explainPresentValue(trade, ratesProvider));
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
internal MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedBulletPaymentTrade trade, RatesScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedSum(trade, marketData.scenario(i).ratesProvider())));
}
// cash flows for one scenario
internal CashFlows cashFlows(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider)
{
return(tradePricer.cashFlows(trade, ratesProvider));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedBulletPaymentTrade, 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(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider)
{
return(calc.pv01MarketQuoteSum(trade, ratesProvider));
}
//-------------------------------------------------------------------------
// calculates currency exposure for all scenarios
internal MultiCurrencyScenarioArray currencyExposure(ResolvedBulletPaymentTrade trade, RatesScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => currencyExposure(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(ResolvedBulletPaymentTrade, 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(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider)
{
return(calc.pv01MarketQuoteBucketed(trade, ratesProvider));
}
// currency exposure for one scenario
internal MultiCurrencyAmount currencyExposure(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider)
{
return(MultiCurrencyAmount.of(tradePricer.currencyExposure(trade, ratesProvider)));
}
/// <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(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider)
{
return(calc.cashFlows(trade, ratesProvider));
}
// current cash for one scenario
internal CurrencyAmount currentCash(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider)
{
return(tradePricer.currentCash(trade, ratesProvider));
}
/// <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>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider)
{
return(calc.currencyExposure(trade, ratesProvider));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal CurrencyScenarioArray presentValue(ResolvedBulletPaymentTrade trade, RatesScenarioMarketData marketData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => presentValue(trade, marketData.scenario(i).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(ResolvedBulletPaymentTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.presentValue(trade, lookup.marketDataView(marketData)));
}
// present value for one scenario
internal CurrencyAmount presentValue(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider)
{
return(tradePricer.presentValue(trade, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedBulletPaymentTrade, RatesMarketDataLookup, 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="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 pv01CalibratedSum(ResolvedBulletPaymentTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.pv01CalibratedSum(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
// calculates explain present value for all scenarios
internal ScenarioArray <ExplainMap> explainPresentValue(ResolvedBulletPaymentTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => explainPresentValue(trade, marketData.scenario(i).ratesProvider())));
}
