/// <summary>
/// Calculates the present value of the swaption trade.
/// <para>
/// The result is expressed using the currency of the swapion.
///
/// </para>
/// </summary>
/// <param name="trade"> the swaption trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter trade </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
ResolvedSwaption product = trade.Product;
CurrencyAmount pvProduct = PRICER_PRODUCT.presentValue(product, ratesProvider, hwProvider);
Payment premium = trade.Premium;
CurrencyAmount pvPremium = PRICER_PREMIUM.presentValue(premium, ratesProvider);
return(pvProduct.plus(pvPremium));
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes the currency exposure of the swaption trade.
/// </summary>
/// <param name="trade"> the swaption trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
return(MultiCurrencyAmount.of(presentValue(trade, ratesProvider, hwProvider)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the swaption product.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the swaption trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <returns> the point sensitivity to the rate curves </returns>
public virtual PointSensitivities presentValueSensitivityRates(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
ResolvedSwaption product = trade.Product;
PointSensitivityBuilder pvcsProduct = PRICER_PRODUCT.presentValueSensitivityRates(product, ratesProvider, hwProvider);
Payment premium = trade.Premium;
PointSensitivityBuilder pvcsPremium = PRICER_PREMIUM.presentValueSensitivity(premium, ratesProvider);
return(pvcsProduct.combinedWith(pvcsPremium).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity piecewise constant volatility parameters of the Hull-White model.
/// </summary>
/// <param name="trade"> the swaption trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <returns> the present value Hull-White model parameter sensitivity of the swaption trade </returns>
public virtual DoubleArray presentValueSensitivityModelParamsHullWhite(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
ResolvedSwaption product = trade.Product;
return(PRICER_PRODUCT.presentValueSensitivityModelParamsHullWhite(product, ratesProvider, hwProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price of the Ibor future trade.
/// <para>
/// The price of the trade is the price on the valuation date.
/// The price is calculated using the Hull-White model.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <returns> the price of the trade, in decimal form </returns>
public virtual double price(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
return(productPricer.price(trade.Product, ratesProvider, hwProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price sensitivity of the Ibor future product.
/// <para>
/// The price sensitivity of the product is the sensitivity of the price to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <returns> the price curve sensitivity of the product </returns>
public virtual PointSensitivities priceSensitivityRates(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
return(productPricer.priceSensitivityRates(trade.Product, ratesProvider, hwProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure of the Ibor future trade.
/// <para>
/// Since the Ibor future is based on a single currency, the trade is exposed to only this currency.
/// </para>
/// <para>
/// This method calculates based on the difference between the model price and the
/// last settlement price, or the trade price if traded on the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <param name="lastSettlementPrice"> the last settlement price used for margining, in decimal form </param>
/// <returns> the currency exposure of the trade </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedIborFutureTrade trade, RatesProvider provider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider, double lastSettlementPrice)
{
return(MultiCurrencyAmount.of(presentValue(trade, provider, hwProvider, lastSettlementPrice)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the par spread of the Ibor future trade.
/// <para>
/// The par spread is defined in the following way. When the reference price (or market quote)
/// is increased by the par spread, the present value of the trade is zero.
/// The current price is calculated using the Hull-White model.
/// </para>
/// <para>
/// This method calculates based on the difference between the model price and the
/// last settlement price, or the trade price if traded on the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <param name="lastSettlementPrice"> the last settlement price used for margining, in decimal form </param>
/// <returns> the par spread. </returns>
public virtual double parSpread(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider, double lastSettlementPrice)
{
double referencePrice = this.referencePrice(trade, ratesProvider.ValuationDate, lastSettlementPrice);
return(price(trade, ratesProvider, hwProvider) - referencePrice);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity to piecewise constant volatility parameters of the Hull-White model.
/// </summary>
/// <param name="trade"> the trade to price </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <returns> the present value parameter sensitivity of the trade </returns>
public virtual DoubleArray presentValueSensitivityModelParamsHullWhite(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
ResolvedIborFuture product = trade.Product;
DoubleArray hwSensi = productPricer.priceSensitivityModelParamsHullWhite(product, ratesProvider, hwProvider);
hwSensi = hwSensi.multipliedBy(product.Notional * product.AccrualFactor * trade.Quantity);
return(hwSensi);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the Ibor future 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="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <returns> the present value curve sensitivity of the trade </returns>
public virtual PointSensitivities presentValueSensitivityRates(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
ResolvedIborFuture product = trade.Product;
PointSensitivities priceSensi = productPricer.priceSensitivityRates(product, ratesProvider, hwProvider);
PointSensitivities marginIndexSensi = productPricer.marginIndexSensitivity(product, priceSensi);
return(marginIndexSensi.multipliedBy(trade.Quantity));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the Ibor future trade.
/// <para>
/// The present value of the product is the value on the valuation date.
/// The current price is calculated using the Hull-White model.
/// </para>
/// <para>
/// This method calculates based on the difference between the model price and the
/// last settlement price, or the trade price if traded on the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <param name="lastSettlementPrice"> the last settlement price used for margining, in decimal form </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider, double lastSettlementPrice)
{
double referencePrice = this.referencePrice(trade, ratesProvider.ValuationDate, lastSettlementPrice);
double price = this.price(trade, ratesProvider, hwProvider);
return(presentValue(trade, price, referencePrice));
}
