// calculates market quote sum PV01 for one scenario
internal MultiCurrencyAmount pv01MarketQuoteSum(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider, refData);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
CurrencyParameterSensitivities quoteSensitivity = MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider);
return(quoteSensitivity.total().multipliedBy(ONE_BASIS_POINT));
}
// calculates market quote bucketed IR01 for one scenario
internal CurrencyParameterSensitivities ir01MarketQuoteBucketed(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
PointSensitivities pointSensitivity = tradePricer.presentValueOnSettleSensitivity(trade, ratesProvider, refData);
CurrencyParameterSensitivity parameterSensitivity = ratesProvider.singleDiscountCurveParameterSensitivity(pointSensitivity, trade.Product.Currency);
CurrencyParameterSensitivities irSensitivity = MARKET_QUOTE_SENS.sensitivity(CurrencyParameterSensitivities.of(parameterSensitivity), ratesProvider);
return(irSensitivity.multipliedBy(ONE_BASIS_POINT));
}
/// <summary>
/// Calculates the present value sensitivity of the trade.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of present value to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
PointSensitivityBuilder pvSensiProduct = productPricer.presentValueSensitivity(trade.Product, ratesProvider, ratesProvider.ValuationDate, refData);
if (!trade.UpfrontFee.Present)
{
return(pvSensiProduct.build());
}
Payment upfront = trade.UpfrontFee.get();
PointSensitivityBuilder pvUpfront = upfrontPricer.presentValueSensitivity(upfront, ratesProvider.discountFactors(upfront.Currency).toDiscountFactors());
return(pvSensiProduct.combinedWith(pvUpfront).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the trade.
/// <para>
/// The present value of the product is based on the valuation date.
/// </para>
/// <para>
/// This method can calculate the clean or dirty present value, see <seealso cref="PriceType"/>.
/// If calculating the clean value, the accrued interest is calculated based on the step-in date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="priceType"> the price type </param>
/// <param name="refData"> the reference data </param>
/// <returns> the price </returns>
public virtual CurrencyAmount presentValue(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)
{
CurrencyAmount pvProduct = productPricer.presentValue(trade.Product, ratesProvider, ratesProvider.ValuationDate, priceType, refData);
if (!trade.UpfrontFee.Present)
{
return(pvProduct);
}
Payment upfront = trade.UpfrontFee.get();
CurrencyAmount pvUpfront = upfrontPricer.presentValue(upfront, ratesProvider.discountFactors(upfront.Currency).toDiscountFactors());
return(pvProduct.plus(pvUpfront));
}
//-------------------------------------------------------------------------
private LocalDate calculateSettlementDate(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
return(trade.Info.SettlementDate.orElse(trade.Product.calculateSettlementDateFromValuation(ratesProvider.ValuationDate, refData)));
}
//-------------------------------------------------------------------------
// calculates market quote sum PV01 for all scenarios
internal MultiCurrencyScenarioArray pv01MarketQuoteSum(ResolvedCdsTrade trade, CreditRatesScenarioMarketData marketData, ReferenceData refData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => pv01MarketQuoteSum(trade, marketData.scenario(i).creditRatesProvider(), refData)));
}
//-------------------------------------------------------------------------
// calculates principal for all scenarios
internal CurrencyScenarioArray principal(ResolvedCdsTrade trade, CreditRatesScenarioMarketData marketData, ReferenceData refData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => principal(trade, marketData.scenario(i).creditRatesProvider(), refData)));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal CurrencyScenarioArray presentValue(ResolvedCdsTrade trade, CreditRatesScenarioMarketData marketData, ReferenceData refData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => presentValue(trade, marketData.scenario(i).creditRatesProvider(), PriceType.DIRTY, refData)));
}
//-------------------------------------------------------------------------
// calculates expected loss for all scenarios
internal CurrencyScenarioArray expectedLoss(ResolvedCdsTrade trade, CreditRatesScenarioMarketData marketData, ReferenceData refData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => expectedLoss(trade, marketData.scenario(i).creditRatesProvider())));
}
//-------------------------------------------------------------------------
// calculates jump-to-default for all scenarios
internal ScenarioArray <JumpToDefault> jumpToDefault(ResolvedCdsTrade trade, CreditRatesScenarioMarketData marketData, ReferenceData refData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => jumpToDefault(trade, marketData.scenario(i).creditRatesProvider(), refData)));
}
// calculates bucketed CS01 for one scenario
internal CurrencyParameterSensitivity cs01Bucketed(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
return(cs01Calculator.bucketedCs01(trade, ratesProvider, refData));
}
// calculates parallel CS01 for one scenario
internal CurrencyAmount cs01Parallel(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
return(cs01Calculator.parallelCs01(trade, ratesProvider, refData));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the expected loss of the underlying product.
/// <para>
/// The expected loss is the (undiscounted) expected default settlement value paid by the protection seller.
/// The resulting value is always positive.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the expected loss </returns>
public virtual CurrencyAmount expectedLoss(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider)
{
return(productPricer.expectedLoss(trade.Product, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the jump-to-default of the underlying product.
/// <para>
/// The jump-to-default is the value of the product in case of immediate default.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the jump-to-default </returns>
public virtual JumpToDefault jumpToDefault(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
LocalDate settlementDate = calculateSettlementDate(trade, ratesProvider, refData);
return(productPricer.jumpToDefault(trade.Product, ratesProvider, settlementDate, refData));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the recovery01 of the underlying product.
/// <para>
/// The recovery01 is defined as the present value sensitivity to the recovery rate.
/// Since the ISDA standard model requires the recovery rate to be constant throughout the lifetime of the CDS,
/// one currency amount is returned by this method.
/// </para>
/// <para>
/// This is computed based on the settlement date rather than the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the recovery01 </returns>
public virtual CurrencyAmount recovery01OnSettle(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
LocalDate settlementDate = calculateSettlementDate(trade, ratesProvider, refData);
return(productPricer.recovery01(trade.Product, ratesProvider, settlementDate, refData));
}
/// <summary>
/// Calculates the present value sensitivity of the underlying product.
/// <para>
/// The present value sensitivity of the product is the sensitivity of present value to the underlying curves.
/// The present value sensitivity is computed based on the settlement date rather than the valuation date.
/// </para>
/// <para>
/// This is coherent to <seealso cref="#presentValueOnSettle(ResolvedCdsTrade, CreditRatesProvider, PriceType, ReferenceData)"/>.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivities presentValueOnSettleSensitivity(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
LocalDate settlementDate = calculateSettlementDate(trade, ratesProvider, refData);
return(productPricer.presentValueSensitivity(trade.Product, ratesProvider, settlementDate, refData).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the underlying product.
/// <para>
/// The present value is computed based on the settlement date rather than the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="priceType"> the price type </param>
/// <param name="refData"> the reference data </param>
/// <returns> the price </returns>
public virtual CurrencyAmount presentValueOnSettle(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)
{
LocalDate settlementDate = calculateSettlementDate(trade, ratesProvider, refData);
return(productPricer.presentValue(trade.Product, ratesProvider, settlementDate, priceType, refData));
}
//-------------------------------------------------------------------------
// calculates bucketed CS01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivity> cs01Bucketed(ResolvedCdsTrade trade, CreditRatesScenarioMarketData marketData, ReferenceData refData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => cs01Bucketed(trade, marketData.scenario(i).creditRatesProvider(), refData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price of the underlying product, which is the present value per unit notional.
/// <para>
/// This method can calculate the clean or dirty price, see <seealso cref="PriceType"/>.
/// If calculating the clean price, the accrued interest is calculated based on the step-in date.
/// </para>
/// <para>
/// This is coherent to <seealso cref="#presentValueOnSettle(ResolvedCdsTrade, CreditRatesProvider, PriceType, ReferenceData)"/>.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="priceType"> the price type </param>
/// <param name="refData"> the reference data </param>
/// <returns> the price </returns>
public virtual double price(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)
{
return(price(trade, ratesProvider, trade.Product.FixedRate, priceType, refData));
}
// calculates recovery01 for one scenario
internal CurrencyAmount recovery01(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
return(tradePricer.recovery01OnSettle(trade, ratesProvider, refData));
}
// internal price computation with specified coupon rate
internal virtual double price(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, double fractionalSpread, PriceType priceType, ReferenceData refData)
{
LocalDate settlementDate = calculateSettlementDate(trade, ratesProvider, refData);
return(productPricer.price(trade.Product, ratesProvider, fractionalSpread, settlementDate, priceType, refData));
}
// calculates jump-to-default for one scenario
internal JumpToDefault jumpToDefault(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
return(tradePricer.jumpToDefault(trade, ratesProvider, refData));
}
//-------------------------------------------------------------------------
// calculates price for all scenarios
internal DoubleScenarioArray unitPrice(ResolvedCdsTrade trade, CreditRatesScenarioMarketData marketData, ReferenceData refData)
{
return(DoubleScenarioArray.of(marketData.ScenarioCount, i => unitPrice(trade, marketData.scenario(i).creditRatesProvider(), refData)));
}
// calculates expected loss for one scenario
internal CurrencyAmount expectedLoss(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider)
{
return(tradePricer.expectedLoss(trade, ratesProvider));
}
// calculates price for one scenario
internal double unitPrice(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
double puf = tradePricer.price(trade, ratesProvider, PriceType.CLEAN, refData);
return(converter.cleanPriceFromPointsUpfront(puf));
}
// calculates present value for one scenario
internal CurrencyAmount presentValue(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)
{
return(tradePricer.presentValue(trade, ratesProvider, priceType, refData));
}
// calculates calibrated bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider, refData);
return(ratesProvider.parameterSensitivity(pointSensitivity).multipliedBy(ONE_BASIS_POINT));
}
// calculates principal for one scenario
internal CurrencyAmount principal(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
return(tradePricer.presentValueOnSettle(trade, ratesProvider, PriceType.CLEAN, refData));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the par spread of the underlying product.
/// <para>
/// The par spread is a coupon rate such that the clean price is 0.
/// The result is represented in decimal form.
/// </para>
/// <para>
/// This is coherent to <seealso cref="#price(ResolvedCdsTrade, CreditRatesProvider, PriceType, ReferenceData)"/>.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the par spread </returns>
public virtual double parSpread(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
LocalDate settlementDate = calculateSettlementDate(trade, ratesProvider, refData);
return(productPricer.parSpread(trade.Product, ratesProvider, settlementDate, refData));
}