//-------------------------------------------------------------------------
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: @Override public java.util.Map<com.opengamma.strata.calc.Measure, com.opengamma.strata.collect.result.Result<?>> calculate(com.opengamma.strata.product.fxopt.FxVanillaOptionTrade trade, java.util.Set<com.opengamma.strata.calc.Measure> measures, com.opengamma.strata.calc.runner.CalculationParameters parameters, com.opengamma.strata.data.scenario.ScenarioMarketData scenarioMarketData, com.opengamma.strata.basics.ReferenceData refData)
public virtual IDictionary <Measure, Result <object> > calculate(FxVanillaOptionTrade trade, ISet <Measure> measures, CalculationParameters parameters, ScenarioMarketData scenarioMarketData, ReferenceData refData)
{
// expand the trade once for all measures and all scenarios
ResolvedFxVanillaOptionTrade resolved = trade.resolve(refData);
RatesMarketDataLookup ratesLookup = parameters.getParameter(typeof(RatesMarketDataLookup));
RatesScenarioMarketData ratesMarketData = ratesLookup.marketDataView(scenarioMarketData);
FxOptionMarketDataLookup optionLookup = parameters.getParameter(typeof(FxOptionMarketDataLookup));
FxOptionScenarioMarketData optionMarketData = optionLookup.marketDataView(scenarioMarketData);
FxVanillaOptionMethod method = parameters.findParameter(typeof(FxVanillaOptionMethod)).orElse(FxVanillaOptionMethod.BLACK);
// loop around measures, calculating all scenarios for one measure
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.calc.Measure, com.opengamma.strata.collect.result.Result<?>> results = new java.util.HashMap<>();
IDictionary <Measure, Result <object> > results = new Dictionary <Measure, Result <object> >();
foreach (Measure measure in measures)
{
results[measure] = calculate(measure, resolved, ratesMarketData, optionMarketData, method);
}
return(results);
}
//-------------------------------------------------------------------------
// calculates current cash for all scenarios
internal CurrencyScenarioArray currentCash(ResolvedFxVanillaOptionTrade trade, RatesScenarioMarketData ratesMarketData, FxOptionScenarioMarketData optionMarketData, FxVanillaOptionMethod method)
{
return(CurrencyScenarioArray.of(ratesMarketData.ScenarioCount, i => currentCash(trade, ratesMarketData.scenario(i).ValuationDate, method)));
}
// point sensitivity
private CurrencyParameterSensitivities pointSensitivity(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
PointSensitivities pointSens;
if (method == FxVanillaOptionMethod.VANNA_VOLGA)
{
pointSens = vannaVolgaPricer.presentValueSensitivityRatesStickyStrike(trade, ratesProvider, checkVannaVolgaVolatilities(volatilities));
}
else
{
pointSens = blackPricer.presentValueSensitivityRatesStickyStrike(trade, ratesProvider, checkBlackVolatilities(volatilities));
}
return(ratesProvider.parameterSensitivity(pointSens));
}
// market quote bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
CurrencyParameterSensitivities paramSens = pointSensitivity(trade, ratesProvider, volatilities, method);
return(MARKET_QUOTE_SENS.sensitivity(paramSens, ratesProvider).multipliedBy(ONE_BASIS_POINT));
}
//-------------------------------------------------------------------------
// calculates market quote bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade, RatesScenarioMarketData ratesMarketData, FxOptionScenarioMarketData optionMarketData, FxVanillaOptionMethod method)
{
CurrencyPair currencyPair = trade.Product.CurrencyPair;
return(ScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01RatesMarketQuoteBucketed(trade, ratesMarketData.scenario(i).ratesProvider(), optionMarketData.scenario(i).volatilities(currencyPair), method)));
}
/// <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>
/// <param name="volatilities"> the option volatilities </param>
/// <param name="method"> the pricing method </param>
/// <returns> the present value </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
return(calc.presentValue(trade, ratesProvider, volatilities, method));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_of_lookup(FxVanillaOptionMethod convention, String name)
public virtual void test_of_lookup(FxVanillaOptionMethod convention, string name)
{
assertEquals(FxVanillaOptionMethod.of(name), convention);
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
internal MultiCurrencyScenarioArray pv01RatesCalibratedSum(ResolvedFxVanillaOptionTrade trade, RatesScenarioMarketData ratesMarketData, FxOptionScenarioMarketData optionMarketData, FxVanillaOptionMethod method)
{
CurrencyPair currencyPair = trade.Product.CurrencyPair;
return(MultiCurrencyScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01RatesCalibratedSum(trade, ratesMarketData.scenario(i).ratesProvider(), optionMarketData.scenario(i).volatilities(currencyPair), method)));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of 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>
/// <param name="volatilities"> the option volatilities </param>
/// <param name="method"> the pricing method </param>
/// <returns> the present value sensitivity </returns>
public virtual CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
return(calc.pv01RatesMarketQuoteBucketed(trade, ratesProvider, volatilities, method));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of 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="ratesLookup"> the lookup used to query the market data </param>
/// <param name="marketData"> the market data </param>
/// <param name="fxLookup"> the lookup used to query the option market data </param>
/// <param name="method"> the pricing method </param>
/// <returns> the present value sensitivity, one entry per scenario </returns>
public virtual ScenarioArray <CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxVanillaOptionMethod method)
{
return(calc.pv01RatesMarketQuoteBucketed(trade, ratesLookup.marketDataView(marketData), fxLookup.marketDataView(marketData), method));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of 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>
/// <param name="volatilities"> the option volatilities </param>
/// <param name="method"> the pricing method </param>
/// <returns> the present value sensitivity </returns>
public virtual MultiCurrencyAmount pv01RatesMarketQuoteSum(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
return(calc.pv01RatesMarketQuoteSum(trade, ratesProvider, volatilities, method));
}
// calculate one measure
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: private com.opengamma.strata.collect.result.Result<?> calculate(com.opengamma.strata.calc.Measure measure, com.opengamma.strata.product.fxopt.ResolvedFxVanillaOptionTrade trade, com.opengamma.strata.measure.rate.RatesScenarioMarketData ratesMarketData, FxOptionScenarioMarketData optionMarketData, FxVanillaOptionMethod method)
private Result <object> calculate(Measure measure, ResolvedFxVanillaOptionTrade trade, RatesScenarioMarketData ratesMarketData, FxOptionScenarioMarketData optionMarketData, FxVanillaOptionMethod method)
{
SingleMeasureCalculation calculator = CALCULATORS.get(measure);
if (calculator == null)
{
return(Result.failure(FailureReason.UNSUPPORTED, "Unsupported measure for FxVanillaOptionTrade: {}", measure));
}
return(Result.of(() => calculator(trade, ratesMarketData, optionMarketData, method)));
}
public virtual void test_of_lookup_null()
{
assertThrows(() => FxVanillaOptionMethod.of(null), typeof(System.ArgumentException));
}
public virtual void test_of_lookup_notFound()
{
assertThrows(() => FxVanillaOptionMethod.of("Rubbish"), typeof(System.ArgumentException));
}
// current cash for one scenario
internal CurrencyAmount currentCash(ResolvedFxVanillaOptionTrade trade, LocalDate valuationDate, FxVanillaOptionMethod method)
{
if (method == FxVanillaOptionMethod.VANNA_VOLGA)
{
return(vannaVolgaPricer.currentCash(trade, valuationDate));
}
else
{
return(blackPricer.currentCash(trade, valuationDate));
}
}
/// <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>
/// <param name="volatilities"> the option volatilities </param>
/// <param name="method"> the pricing method </param>
/// <returns> the current cash </returns>
public virtual CurrencyAmount currentCash(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
return(calc.currentCash(trade, ratesProvider.ValuationDate, method));
}
// present value for one scenario
internal MultiCurrencyAmount presentValue(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
if (method == FxVanillaOptionMethod.VANNA_VOLGA)
{
return(vannaVolgaPricer.presentValue(trade, ratesProvider, checkVannaVolgaVolatilities(volatilities)));
}
else
{
return(blackPricer.presentValue(trade, ratesProvider, checkBlackVolatilities(volatilities)));
}
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value across one or more scenarios.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesLookup"> the lookup used to query the market data </param>
/// <param name="fxLookup"> the lookup used to query the option market data </param>
/// <param name="marketData"> the market data </param>
/// <param name="method"> the pricing method </param>
/// <returns> the present value, one entry per scenario </returns>
public virtual MultiCurrencyScenarioArray presentValue(ResolvedFxVanillaOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxVanillaOptionMethod method)
{
return(calc.presentValue(trade, ratesLookup.marketDataView(marketData), fxLookup.marketDataView(marketData), method));
}
// calibrated sum PV01 for one scenario
internal MultiCurrencyAmount pv01RatesCalibratedSum(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
CurrencyParameterSensitivities paramSens = pointSensitivity(trade, ratesProvider, volatilities, method);
return(paramSens.total().multipliedBy(ONE_BASIS_POINT));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_toString(FxVanillaOptionMethod convention, String name)
public virtual void test_toString(FxVanillaOptionMethod convention, string name)
{
assertEquals(convention.ToString(), name);
}