//-------------------------------------------------------------------------
/// <summary>
/// Explains the present value of a CMS leg.
/// <para>
/// This returns explanatory information about the calculation.
///
/// </para>
/// </summary>
/// <param name="cmsLeg"> the CMS leg </param>
/// <param name="provider"> the rates provider </param>
/// <param name="volatilities"> the swaption volatilities </param>
/// <returns> the explanatory information </returns>
public virtual ExplainMap explainPresentValue(ResolvedCmsLeg cmsLeg, RatesProvider provider, SabrSwaptionVolatilities volatilities)
{
ExplainMapBuilder builder = ExplainMap.builder();
builder.put(ExplainKey.ENTRY_TYPE, "CmsLeg");
builder.put(ExplainKey.PAY_RECEIVE, cmsLeg.PayReceive);
builder.put(ExplainKey.PAYMENT_CURRENCY, cmsLeg.Currency);
builder.put(ExplainKey.START_DATE, cmsLeg.StartDate);
builder.put(ExplainKey.END_DATE, cmsLeg.EndDate);
builder.put(ExplainKey.INDEX, cmsLeg.Index);
foreach (CmsPeriod period in cmsLeg.CmsPeriods)
{
builder.addListEntry(ExplainKey.PAYMENT_PERIODS, child => cmsPeriodPricer.explainPresentValue(period, provider, volatilities, child));
}
builder.put(ExplainKey.PRESENT_VALUE, presentValue(cmsLeg, provider, volatilities));
return(builder.build());
}
/// <summary>
/// Calculates the current cash of the leg.
/// </summary>
/// <param name="cmsLeg"> the CMS leg </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the current cash </returns>
public virtual CurrencyAmount currentCash(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider)
{
return(cmsLeg.CmsPeriods.Where(x => x.PaymentDate.Equals(ratesProvider.ValuationDate)).Select(x => cmsPeriodPricer.presentValue(x, ratesProvider)).Aggregate((c1, c2) => c1.plus(c2)).orElse(CurrencyAmount.zero(cmsLeg.Currency)));
}
/// <summary>
/// Calculates the present value curve sensitivity of the CMS leg by simple forward rate estimation.
/// <para>
/// The present value sensitivity of the leg is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="cmsLeg"> the CMS leg </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivity(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider)
{
return(cmsLeg.CmsPeriods.Select(cmsPeriod => cmsPeriodPricer.presentValueSensitivity(cmsPeriod, ratesProvider)).Aggregate((p1, p2) => p1.combinedWith(p2)).get());
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes the present value of CMS leg by simple forward rate estimation.
/// <para>
/// The result is returned using the payment currency of the leg.
///
/// </para>
/// </summary>
/// <param name="cmsLeg"> the CMS leg </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider)
{
return(cmsLeg.CmsPeriods.Select(cmsPeriod => cmsPeriodPricer.presentValue(cmsPeriod, ratesProvider)).Aggregate((c1, c2) => c1.plus(c2)).get());
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the CMS leg.
/// <para>
/// The present value of the leg is the value on the valuation date.
/// The result is returned using the payment currency of the leg.
///
/// </para>
/// </summary>
/// <param name="cmsLeg"> the CMS leg </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
validate(ratesProvider, swaptionVolatilities);
return(cmsLeg.CmsPeriods.Select(cmsPeriod => cmsPeriodPricer.presentValue(cmsPeriod, ratesProvider, swaptionVolatilities)).Aggregate((c1, c2) => c1.plus(c2)).get());
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity to the strike value.
/// <para>
/// The present value sensitivity of the leg is the sensitivity of the present value to the strike value.
/// This is not relevant for CMS coupons and an exception is thrown in the underlying pricer.
///
/// </para>
/// </summary>
/// <param name="cmsLeg"> the CMS leg </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual double presentValueSensitivityStrike(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
validate(ratesProvider, swaptionVolatilities);
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
return(cmsLeg.CmsPeriods.Select(cmsPeriod => cmsPeriodPricer.presentValueSensitivityStrike(cmsPeriod, ratesProvider, swaptionVolatilities)).collect(Collectors.summingDouble(double?.doubleValue)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity to the SABR model parameters.
/// <para>
/// The present value sensitivity of the leg is the sensitivity of the present value to
/// the SABR model parameters, alpha, beta, rho and nu.
///
/// </para>
/// </summary>
/// <param name="cmsLeg"> the CMS leg </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivityModelParamsSabr(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
validate(ratesProvider, swaptionVolatilities);
return(cmsLeg.CmsPeriods.Select(cmsPeriod => cmsPeriodPricer.presentValueSensitivityModelParamsSabr(cmsPeriod, ratesProvider, swaptionVolatilities)).Aggregate(PointSensitivityBuilder.none(), PointSensitivityBuilder.combinedWith).normalize());
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value curve sensitivity of the CMS leg.
/// <para>
/// The present value sensitivity of the leg is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="cmsLeg"> the CMS leg </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivityRates(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
validate(ratesProvider, swaptionVolatilities);
return(cmsLeg.CmsPeriods.Select(cmsPeriod => cmsPeriodPricer.presentValueSensitivityRates(cmsPeriod, ratesProvider, swaptionVolatilities)).Aggregate((p1, p2) => p1.combinedWith(p2)).get());
}
