// market quote bucketed PV01 for one scenario
internal virtual CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedBillTrade trade, LegalEntityDiscountingProvider 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 current cash of a bill trade.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="valuationDate"> the valuation date </param>
/// <returns> the current cash amount </returns>
public virtual CurrencyAmount currentCash(ResolvedBillTrade trade, LocalDate valuationDate)
{
if (trade.Product.Notional.Date.Equals(valuationDate))
{
return(trade.Product.Notional.Value.multipliedBy(trade.Quantity));
}
if (trade.Settlement.Present && trade.Settlement.get().Date.Equals(valuationDate))
{
return(trade.Settlement.get().Value);
}
return(CurrencyAmount.zero(trade.Product.Currency));
}
/// <summary>
/// Calculates the present value of a bill trade with z-spread.
/// <para>
/// If the settlement details are provided, the present value is the sum of the underlying product's present value
/// multiplied by the quantity and the present value of the settlement payment if still due at the valuation date.
/// If not it is the underlying product's present value multiplied by the quantity.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of
/// the issuer discounting curve. The z-spread is applied only on the legal entity curve, not on the repo curve used
/// for the settlement amount.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the discounting provider </param>
/// <param name="zSpread"> the z-spread </param>
/// <param name="compoundedRateType"> the compounded rate type </param>
/// <param name="periodsPerYear"> the number of periods per year </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValueWithZSpread(ResolvedBillTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
if (provider.ValuationDate.isAfter(trade.Product.Notional.Date))
{
return(CurrencyAmount.of(trade.Product.Currency, 0.0d));
}
CurrencyAmount pvProduct = productPricer.presentValueWithZSpread(trade.Product, provider, zSpread, compoundedRateType, periodsPerYear).multipliedBy(trade.Quantity);
if (trade.Settlement.Present)
{
RepoCurveDiscountFactors repoDf = DiscountingBillProductPricer.repoCurveDf(trade.Product, provider);
CurrencyAmount pvSettle = paymentPricer.presentValue(trade.Settlement.get(), repoDf.DiscountFactors);
return(pvProduct.plus(pvSettle));
}
return(pvProduct);
}
/// <summary>
/// Calculates the present value sensitivity of a bill trade with z-spread.
/// <para>
/// If the settlement details are provided, the sensitivity is the sum of the underlying product's sensitivity
/// multiplied by the quantity and the sensitivity of the settlement payment if still due at the valuation date.
/// If not it is the underlying product's sensitivity multiplied by the quantity.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of
/// the issuer discounting curve. The z-spread is applied only on the legal entity curve, not on the repo curve used
/// for the settlement amount.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the discounting provider </param>
/// <param name="zSpread"> the z-spread </param>
/// <param name="compoundedRateType"> the compounded rate type </param>
/// <param name="periodsPerYear"> the number of periods per year </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivities presentValueSensitivityWithZSpread(ResolvedBillTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
if (provider.ValuationDate.isAfter(trade.Product.Notional.Date))
{
return(PointSensitivities.empty());
}
PointSensitivities sensiProduct = productPricer.presentValueSensitivityWithZSpread(trade.Product, provider, zSpread, compoundedRateType, periodsPerYear).multipliedBy(trade.Quantity);
if (!trade.Settlement.Present)
{
return(sensiProduct);
}
Payment settlement = trade.Settlement.get();
RepoCurveDiscountFactors repoDf = DiscountingBillProductPricer.repoCurveDf(trade.Product, provider);
PointSensitivities sensiSettle = presentValueSensitivitySettlement(settlement, repoDf);
return(sensiProduct.combinedWith(sensiSettle));
}
/// <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(ResolvedBillTrade trade, LegalEntityDiscountingProvider ratesProvider)
{
return(calc.presentValue(trade, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedBillTrade, LegalEntityDiscountingMarketDataLookup, 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(ResolvedBillTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.pv01CalibratedSum(trade, lookup.marketDataView(marketData)));
}
/// <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(ResolvedBillTrade trade, LegalEntityDiscountingProvider ratesProvider)
{
return(calc.currentCash(trade, 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(ResolvedBillTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.presentValue(trade, lookup.marketDataView(marketData)));
}
// currency exposure for one scenario
internal virtual MultiCurrencyAmount currencyExposure(ResolvedBillTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
return(tradePricer.currencyExposure(trade, discountingProvider));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal virtual CurrencyScenarioArray presentValue(ResolvedBillTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => presentValue(trade, marketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedBillTrade, LegalEntityDiscountingMarketDataLookup, 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(ResolvedBillTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.pv01MarketQuoteBucketed(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
// calculates currency exposure for all scenarios
internal virtual MultiCurrencyScenarioArray currencyExposure(ResolvedBillTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => currencyExposure(trade, marketData.scenario(i).discountingProvider())));
}
// calibrated bucketed PV01 for one scenario
internal virtual CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedBillTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, discountingProvider);
return(discountingProvider.parameterSensitivity(pointSensitivity).multipliedBy(ONE_BASIS_POINT));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedBillTrade, LegalEntityDiscountingMarketDataLookup, 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(ResolvedBillTrade trade, LegalEntityDiscountingProvider ratesProvider)
{
return(calc.pv01MarketQuoteSum(trade, ratesProvider));
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
internal virtual ScenarioArray <CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedBillTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedBucketed(trade, marketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
internal virtual MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedBillTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedSum(trade, marketData.scenario(i).discountingProvider())));
}
// present value for one scenario
internal virtual CurrencyAmount presentValue(ResolvedBillTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
return(tradePricer.presentValue(trade, discountingProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure of a bill trade.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the discounting provider </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedBillTrade trade, LegalEntityDiscountingProvider provider)
{
return(MultiCurrencyAmount.of(presentValue(trade, provider)));
}
//-------------------------------------------------------------------------
/// <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(ResolvedBillTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.currencyExposure(trade, lookup.marketDataView(marketData)));
}
/// <summary>
/// Calculates the currency exposure of a bill trade with z-spread.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the discounting provider </param>
/// <param name="zSpread"> the z-spread </param>
/// <param name="compoundedRateType"> the compounded rate type </param>
/// <param name="periodsPerYear"> the number of periods per year </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposureWithZSpread(ResolvedBillTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
return(MultiCurrencyAmount.of(presentValueWithZSpread(trade, provider, zSpread, compoundedRateType, periodsPerYear)));
}
/// <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(ResolvedBillTrade trade, LegalEntityDiscountingProvider ratesProvider)
{
return(calc.currencyExposure(trade, ratesProvider));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedBillTrade, LegalEntityDiscountingMarketDataLookup, 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(ResolvedBillTrade trade, LegalEntityDiscountingProvider ratesProvider)
{
return(calc.pv01MarketQuoteBucketed(trade, ratesProvider));
}
// current cash for one scenario
internal virtual CurrencyAmount currentCash(ResolvedBillTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
return(tradePricer.currentCash(trade, discountingProvider.ValuationDate));
}
