//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the deliverable swap futures trade.
/// <para>
/// The present value of the product is the value on the valuation date.
/// The current price is calculated using the discounting 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="lastSettlementPrice"> the last settlement price used for margining, in decimal form </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(ResolvedDsfTrade trade, RatesProvider ratesProvider, double lastSettlementPrice)
{
double price = this.price(trade, ratesProvider);
double referencePrice = this.referencePrice(trade, ratesProvider.ValuationDate, lastSettlementPrice);
return(presentValue(trade, price, referencePrice));
}
// market quote bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedDsfTrade 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));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the deliverable swap futures 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>
/// <returns> the present value curve sensitivity of the trade </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedDsfTrade trade, RatesProvider ratesProvider)
{
ResolvedDsf product = trade.Product;
PointSensitivities priceSensi = productPricer.priceSensitivity(product, ratesProvider);
PointSensitivities marginIndexSensi = productPricer.marginIndexSensitivity(product, priceSensi);
return(marginIndexSensi.multipliedBy(trade.Quantity));
}
//-------------------------------------------------------------------------
// gets the settlement price
private double settlementPrice(ResolvedDsfTrade trade, RatesProvider ratesProvider)
{
StandardId standardId = trade.Product.SecurityId.StandardId;
QuoteId id = QuoteId.of(standardId, FieldName.SETTLEMENT_PRICE);
double price = ratesProvider.data(id);
ArgChecker.isTrue(price < 10, "Price must be in decimal form, such as 1.007 for a 0.7% present value, but was: {}", price);
return(price);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the deliverable swap futures trade from the current price.
/// <para>
/// The present value of the product is the value on the valuation date.
/// The current price is specified, not calculated.
/// </para>
/// <para>
/// The calculation is performed against a reference price. The reference price
/// must be the last settlement price used for margining, except on the trade date,
/// when it must be the trade price.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="currentPrice"> the current price, in decimal form </param>
/// <param name="referencePrice"> the reference price to margin against, typically the last settlement price, in decimal form </param>
/// <returns> the present value </returns>
private CurrencyAmount presentValue(ResolvedDsfTrade trade, double currentPrice, double referencePrice)
{
ResolvedDsf future = trade.Product;
double priceIndex = productPricer.marginIndex(future, currentPrice);
double referenceIndex = productPricer.marginIndex(future, referencePrice);
double pv = (priceIndex - referenceIndex) * trade.Quantity;
return(CurrencyAmount.of(future.Currency, pv));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedDsfTrade, 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(ResolvedDsfTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.pv01MarketQuoteSum(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(ResolvedDsfTrade, 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(ResolvedDsfTrade trade, RatesProvider ratesProvider)
{
return(calc.pv01MarketQuoteSum(trade, ratesProvider));
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedDsfTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedBucketed(trade, marketData.scenario(i).ratesProvider())));
}
// calibrated bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedDsfTrade trade, RatesProvider ratesProvider)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
return(ratesProvider.parameterSensitivity(pointSensitivity).multipliedBy(ONE_BASIS_POINT));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the reference price for the trade.
/// <para>
/// If the valuation date equals the trade date, then the reference price is the trade price.
/// Otherwise, the reference price is the last settlement price used for margining.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="valuationDate"> the date for which the reference price should be calculated </param>
/// <param name="lastSettlementPrice"> the last settlement price used for margining, in decimal form </param>
/// <returns> the reference price, in decimal form </returns>
private double referencePrice(ResolvedDsfTrade trade, LocalDate valuationDate, double lastSettlementPrice)
{
ArgChecker.notNull(valuationDate, "valuationDate");
return(trade.TradedPrice.filter(tp => tp.TradeDate.Equals(valuationDate)).map(tp => tp.Price).orElse(lastSettlementPrice));
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
internal MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedDsfTrade trade, RatesScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedSum(trade, marketData.scenario(i).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(ResolvedDsfTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.currencyExposure(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates unit price across one or more scenarios.
/// <para>
/// This is the price of a single unit of the security.
/// </para>
/// <para>
/// Strata uses <i>decimal prices</i> for DSFs in the trade model, pricers and market data.
/// The decimal price is based on the decimal multiplier equivalent to the implied percentage.
/// Thus the market price of 100.182 is represented in Strata by 1.00182.
///
/// </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, one entry per scenario </returns>
public virtual DoubleScenarioArray unitPrice(ResolvedDsfTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.unitPrice(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
// calculates currency exposure for all scenarios
internal MultiCurrencyScenarioArray currencyExposure(ResolvedDsfTrade trade, RatesScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => currencyExposure(trade, marketData.scenario(i).ratesProvider())));
}
// currency exposure for one scenario
internal MultiCurrencyAmount currencyExposure(ResolvedDsfTrade trade, RatesProvider ratesProvider)
{
double settlementPrice = this.settlementPrice(trade, ratesProvider);
return(tradePricer.currencyExposure(trade, ratesProvider, settlementPrice));
}
// unit price for one scenario
internal double unitPrice(ResolvedDsfTrade trade, RatesProvider ratesProvider)
{
// mark to model
return(tradePricer.price(trade, ratesProvider));
}
//-------------------------------------------------------------------------
// calculates unit price for all scenarios
internal DoubleScenarioArray unitPrice(ResolvedDsfTrade trade, RatesScenarioMarketData marketData)
{
return(DoubleScenarioArray.of(marketData.ScenarioCount, i => unitPrice(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price of the underlying deliverable swap futures product.
/// <para>
/// The price of the trade is the price on the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the price of the trade, in decimal form </returns>
public virtual double price(ResolvedDsfTrade trade, RatesProvider ratesProvider)
{
return(productPricer.price(trade.Product, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedDsfTrade, 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(ResolvedDsfTrade 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 CurrencyScenarioArray presentValue(ResolvedDsfTrade 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(ResolvedDsfTrade, 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(ResolvedDsfTrade trade, RatesProvider ratesProvider)
{
return(calc.pv01MarketQuoteBucketed(trade, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure of the deliverable swap futures trade.
/// <para>
/// Since the deliverable swap futures is based on a single currency, the trade is exposed to only this currency.
/// The current price is calculated using the discounting 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="lastSettlementPrice"> the last settlement price used for margining, in decimal form </param>
/// <returns> the currency exposure of the trade </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedDsfTrade trade, RatesProvider ratesProvider, double lastSettlementPrice)
{
return(MultiCurrencyAmount.of(presentValue(trade, ratesProvider, lastSettlementPrice)));
}
/// <summary>
/// Calculates unit price for a single set of market data.
/// <para>
/// This is the price of a single unit of the security.
/// </para>
/// <para>
/// Strata uses <i>decimal prices</i> for DSFs in the trade model, pricers and market data.
/// The decimal price is based on the decimal multiplier equivalent to the implied percentage.
/// Thus the market price of 100.182 is represented in Strata by 1.00182.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <returns> the present value </returns>
public virtual double unitPrice(ResolvedDsfTrade trade, RatesProvider ratesProvider)
{
return(calc.unitPrice(trade, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price sensitivity of the deliverable swap futures 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>
/// <returns> the price curve sensitivity of the trade </returns>
public virtual PointSensitivities priceSensitivity(ResolvedDsfTrade trade, RatesProvider ratesProvider)
{
return(productPricer.priceSensitivity(trade.Product, 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(ResolvedDsfTrade trade, RatesProvider ratesProvider)
{
return(calc.currencyExposure(trade, ratesProvider));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal CurrencyScenarioArray presentValue(ResolvedDsfTrade trade, RatesScenarioMarketData marketData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => presentValue(trade, marketData.scenario(i).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 CurrencyAmount presentValue(ResolvedDsfTrade trade, RatesProvider ratesProvider)
{
return(calc.presentValue(trade, ratesProvider));
}
// present value for one scenario
internal CurrencyAmount presentValue(ResolvedDsfTrade trade, RatesProvider ratesProvider)
{
double settlementPrice = this.settlementPrice(trade, ratesProvider);
return(tradePricer.presentValue(trade, ratesProvider, settlementPrice));
}