//-------------------------------------------------------------------------
private void validateData(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData data)
{
ResolvedFxVanillaOption underlyingOption = option.UnderlyingOption;
ArgChecker.isTrue(DoubleMath.fuzzyEquals(data.getTime(data.NumberOfSteps), volatilities.relativeTime(underlyingOption.Expiry), SMALL), "time to expiry mismatch between pricing option and trinomial tree data");
ArgChecker.isTrue(DoubleMath.fuzzyEquals(data.Spot, ratesProvider.fxRate(underlyingOption.Underlying.CurrencyPair), SMALL), "today's FX rate mismatch between rates provider and trinomial tree data");
}
// Check FX rates are transfered in multi-currency cases.
public virtual void calibrate_xccy()
{
RatesProvider multicurveSyn = CALIBRATOR_SYNTHETIC.calibrate(GROUPS_SYN_USDEUR, MULTICURVE_INPUT_USDEUR_TSEMPTY, REF_DATA);
double eurUsdInput = MULTICURVE_INPUT_USDEUR_TSEMPTY.fxRate(Currency.EUR, Currency.USD);
double eurUsdSynthetic = multicurveSyn.fxRate(Currency.EUR, Currency.USD);
assertEquals(eurUsdInput, eurUsdSynthetic, TOLERANCE_MQ);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the swap product, converted to the specified currency.
/// <para>
/// The present value of the product is the value on the valuation date.
/// This is the discounted forecast value.
/// The result is converted to the specified currency.
///
/// </para>
/// </summary>
/// <param name="swap"> the product </param>
/// <param name="currency"> the currency to convert to </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the present value of the swap product in the specified currency </returns>
public virtual CurrencyAmount presentValue(ResolvedSwap swap, Currency currency, RatesProvider provider)
{
double totalPv = 0;
foreach (ResolvedSwapLeg leg in swap.Legs)
{
double pv = legPricer.presentValueInternal(leg, provider);
totalPv += (pv * provider.fxRate(leg.Currency, currency));
}
return(CurrencyAmount.of(currency, totalPv));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure of the foreign exchange vanilla option product.
/// </summary>
/// <param name="option"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
CurrencyPair strikePair = option.Underlying.CurrencyPair;
double price = this.price(option, ratesProvider, volatilities);
double delta = this.delta(option, ratesProvider, volatilities);
double spot = ratesProvider.fxRate(strikePair);
double signedNotional = this.signedNotional(option);
CurrencyAmount domestic = CurrencyAmount.of(strikePair.Counter, (price - delta * spot) * signedNotional);
CurrencyAmount foreign = CurrencyAmount.of(strikePair.Base, delta * signedNotional);
return(MultiCurrencyAmount.of(domestic, foreign));
}
/// <summary>
/// Calculates the currency exposure of the FX barrier option product.
/// <para>
/// This assumes the tree is already calibrated and the tree data is stored as {@code RecombiningTrinomialTreeData}.
/// The tree data should be consistent with the pricer and other inputs, see <seealso cref="#validateData"/>.
///
/// </para>
/// </summary>
/// <param name="option"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <param name="treeData"> the trinomial tree data </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData treeData)
{
ResolvedFxVanillaOption underlyingOption = option.UnderlyingOption;
ValueDerivatives priceDerivatives = this.priceDerivatives(option, ratesProvider, volatilities, treeData);
double price = priceDerivatives.Value;
double delta = priceDerivatives.getDerivative(0);
CurrencyPair currencyPair = underlyingOption.Underlying.CurrencyPair;
double todayFx = ratesProvider.fxRate(currencyPair);
double signedNotional = this.signedNotional(underlyingOption);
CurrencyAmount domestic = CurrencyAmount.of(currencyPair.Counter, (price - delta * todayFx) * signedNotional);
CurrencyAmount foreign = CurrencyAmount.of(currencyPair.Base, delta * signedNotional);
return(MultiCurrencyAmount.of(domestic, foreign));
}
//-------------------------------------------------------------------------
// The derivatives are [0] spot, [1] strike, [2] rate, [3] cost-of-carry, [4] volatility, [5] timeToExpiry, [6] spot twice
private ValueDerivatives priceDerivatives(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
validate(option, ratesProvider, volatilities);
SimpleConstantContinuousBarrier barrier = (SimpleConstantContinuousBarrier)option.Barrier;
ResolvedFxVanillaOption underlyingOption = option.UnderlyingOption;
double[] derivatives = new double[7];
if (volatilities.relativeTime(underlyingOption.Expiry) < 0d)
{
return(ValueDerivatives.of(0d, DoubleArray.ofUnsafe(derivatives)));
}
ResolvedFxSingle underlyingFx = underlyingOption.Underlying;
CurrencyPair currencyPair = underlyingFx.CurrencyPair;
Currency ccyBase = currencyPair.Base;
Currency ccyCounter = currencyPair.Counter;
DiscountFactors baseDiscountFactors = ratesProvider.discountFactors(ccyBase);
DiscountFactors counterDiscountFactors = ratesProvider.discountFactors(ccyCounter);
double rateBase = baseDiscountFactors.zeroRate(underlyingFx.PaymentDate);
double rateCounter = counterDiscountFactors.zeroRate(underlyingFx.PaymentDate);
double costOfCarry = rateCounter - rateBase;
double dfBase = baseDiscountFactors.discountFactor(underlyingFx.PaymentDate);
double dfCounter = counterDiscountFactors.discountFactor(underlyingFx.PaymentDate);
double todayFx = ratesProvider.fxRate(currencyPair);
double strike = underlyingOption.Strike;
double forward = todayFx * dfBase / dfCounter;
double volatility = volatilities.volatility(currencyPair, underlyingOption.Expiry, strike, forward);
double timeToExpiry = volatilities.relativeTime(underlyingOption.Expiry);
ValueDerivatives valueDerivatives = BARRIER_PRICER.priceAdjoint(todayFx, strike, timeToExpiry, costOfCarry, rateCounter, volatility, underlyingOption.PutCall.Call, barrier);
if (!option.Rebate.Present)
{
return(valueDerivatives);
}
CurrencyAmount rebate = option.Rebate.get();
ValueDerivatives valueDerivativesRebate = rebate.Currency.Equals(ccyCounter) ? CASH_REBATE_PRICER.priceAdjoint(todayFx, timeToExpiry, costOfCarry, rateCounter, volatility, barrier.inverseKnockType()) : ASSET_REBATE_PRICER.priceAdjoint(todayFx, timeToExpiry, costOfCarry, rateCounter, volatility, barrier.inverseKnockType());
double rebateRate = rebate.Amount / Math.Abs(underlyingFx.BaseCurrencyPayment.Amount);
double price = valueDerivatives.Value + rebateRate * valueDerivativesRebate.Value;
derivatives[0] = valueDerivatives.getDerivative(0) + rebateRate * valueDerivativesRebate.getDerivative(0);
derivatives[1] = valueDerivatives.getDerivative(1);
for (int i = 2; i < 7; ++i)
{
derivatives[i] = valueDerivatives.getDerivative(i) + rebateRate * valueDerivativesRebate.getDerivative(i - 1);
}
return(ValueDerivatives.of(price, DoubleArray.ofUnsafe(derivatives)));
}
/// <summary>
/// Calculates the currency exposure of the foreign exchange vanilla option product.
/// </summary>
/// <param name="option"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionSmileVolatilities volatilities)
{
validate(ratesProvider, volatilities);
double timeToExpiry = volatilities.relativeTime(option.Expiry);
if (timeToExpiry <= 0d)
{
return(MultiCurrencyAmount.empty());
}
ResolvedFxSingle underlyingFx = option.Underlying;
Currency ccyCounter = option.CounterCurrency;
double df = ratesProvider.discountFactor(ccyCounter, underlyingFx.PaymentDate);
FxRate forward = fxPricer.forwardFxRate(underlyingFx, ratesProvider);
CurrencyPair currencyPair = underlyingFx.CurrencyPair;
double spot = ratesProvider.fxRate(currencyPair);
double forwardRate = forward.fxRate(currencyPair);
double fwdRateSpotSensitivity = fxPricer.forwardFxRateSpotSensitivity(option.PutCall.Call ? underlyingFx : underlyingFx.inverse(), ratesProvider);
double strikeRate = option.Strike;
bool isCall = option.PutCall.Call;
SmileDeltaParameters smileAtTime = volatilities.Smile.smileForExpiry(timeToExpiry);
double[] strikes = smileAtTime.strike(forwardRate).toArray();
double[] vols = smileAtTime.Volatility.toArray();
double volAtm = vols[1];
double[] x = vannaVolgaWeights(forwardRate, strikeRate, timeToExpiry, volAtm, strikes);
double priceFwd = BlackFormulaRepository.price(forwardRate, strikeRate, timeToExpiry, volAtm, isCall);
double deltaFwd = BlackFormulaRepository.delta(forwardRate, strikeRate, timeToExpiry, volAtm, isCall);
for (int i = 0; i < 3; i += 2)
{
double priceFwdAtm = BlackFormulaRepository.price(forwardRate, strikes[i], timeToExpiry, volAtm, isCall);
double priceFwdSmile = BlackFormulaRepository.price(forwardRate, strikes[i], timeToExpiry, vols[i], isCall);
priceFwd += x[i] * (priceFwdSmile - priceFwdAtm);
double deltaFwdAtm = BlackFormulaRepository.delta(forwardRate, strikes[i], timeToExpiry, volAtm, isCall);
double deltaFwdSmile = BlackFormulaRepository.delta(forwardRate, strikes[i], timeToExpiry, vols[i], isCall);
deltaFwd += x[i] * (deltaFwdSmile - deltaFwdAtm);
}
double price = df * priceFwd;
double delta = df * deltaFwd * fwdRateSpotSensitivity;
double signedNotional = this.signedNotional(option);
CurrencyAmount domestic = CurrencyAmount.of(currencyPair.Counter, (price - delta * spot) * signedNotional);
CurrencyAmount foreign = CurrencyAmount.of(currencyPair.Base, delta * signedNotional);
return(MultiCurrencyAmount.of(domestic, foreign));
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes the par rate for swaps with a fixed leg.
/// <para>
/// The par rate is the common rate on all payments of the fixed leg for which the total swap present value is 0.
/// </para>
/// <para>
/// At least one leg must be a fixed leg. The par rate will be computed with respect to the first fixed leg
/// in which all the payments are fixed payments with a unique accrual period (no compounding) and no FX reset.
/// If the fixed leg is compounding, the par rate is computed only when the number of fixed coupon payments is 1 and
/// accrual factor of each sub-period is 1
///
/// </para>
/// </summary>
/// <param name="swap"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par rate </returns>
public virtual double parRate(ResolvedSwap swap, RatesProvider provider)
{
// find fixed leg
ResolvedSwapLeg fixedLeg = this.fixedLeg(swap);
Currency ccyFixedLeg = fixedLeg.Currency;
// other payments (not fixed leg coupons) converted in fixed leg currency
double otherLegsConvertedPv = 0.0;
foreach (ResolvedSwapLeg leg in swap.Legs)
{
if (leg != fixedLeg)
{
double pvLocal = legPricer.presentValueInternal(leg, provider);
otherLegsConvertedPv += (pvLocal * provider.fxRate(leg.Currency, ccyFixedLeg));
}
}
double fixedLegEventsPv = legPricer.presentValueEventsInternal(fixedLeg, provider);
if (fixedLeg.PaymentPeriods.size() > 1)
{ // try multiperiod par-rate
// PVBP
double pvbpFixedLeg = legPricer.pvbp(fixedLeg, provider);
// Par rate
return(-(otherLegsConvertedPv + fixedLegEventsPv) / pvbpFixedLeg);
}
SwapPaymentPeriod firstPeriod = fixedLeg.PaymentPeriods.get(0);
ArgChecker.isTrue(firstPeriod is RatePaymentPeriod, "PaymentPeriod must be instance of RatePaymentPeriod");
RatePaymentPeriod payment = (RatePaymentPeriod)firstPeriod;
if (payment.AccrualPeriods.size() == 1)
{ // no compounding
// PVBP
double pvbpFixedLeg = legPricer.pvbp(fixedLeg, provider);
// Par rate
return(-(otherLegsConvertedPv + fixedLegEventsPv) / pvbpFixedLeg);
}
// try Compounding
Triple <bool, int, double> fixedCompounded = checkFixedCompounded(fixedLeg);
ArgChecker.isTrue(fixedCompounded.First, "Swap should have a fixed leg and for one payment it should be based on compunding witout spread.");
double notional = payment.Notional;
double df = provider.discountFactor(ccyFixedLeg, payment.PaymentDate);
return(Math.Pow(-(otherLegsConvertedPv + fixedLegEventsPv) / (notional * df) + 1.0d, 1.0 / fixedCompounded.Second) - 1.0d);
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes the present value sensitivity to the black volatility used in the pricing.
/// <para>
/// The result is a single sensitivity to the volatility used. This is also called Black vega.
///
/// </para>
/// </summary>
/// <param name="option"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivityModelParamsVolatility(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
ResolvedFxVanillaOption underlyingOption = option.UnderlyingOption;
if (volatilities.relativeTime(underlyingOption.Expiry) <= 0d)
{
return(PointSensitivityBuilder.none());
}
ValueDerivatives priceDerivatives = this.priceDerivatives(option, ratesProvider, volatilities);
ResolvedFxSingle underlyingFx = underlyingOption.Underlying;
CurrencyPair currencyPair = underlyingFx.CurrencyPair;
Currency ccyBase = currencyPair.Base;
Currency ccyCounter = currencyPair.Counter;
double dfBase = ratesProvider.discountFactor(ccyBase, underlyingFx.PaymentDate);
double dfCounter = ratesProvider.discountFactor(ccyCounter, underlyingFx.PaymentDate);
double todayFx = ratesProvider.fxRate(currencyPair);
double forward = todayFx * dfBase / dfCounter;
return(FxOptionSensitivity.of(volatilities.Name, currencyPair, volatilities.relativeTime(underlyingOption.Expiry), underlyingOption.Strike, forward, ccyCounter, priceDerivatives.getDerivative(4) * signedNotional(underlyingOption)));
}
/// <summary>
/// Calculates the price of the FX barrier option product.
/// <para>
/// The price of the product is the value on the valuation date for one unit of the base currency
/// and is expressed in the counter currency. The price does not take into account the long/short flag.
/// See <seealso cref="#presentValue"/> for scaling and currency.
/// </para>
/// <para>
/// The volatility used in this computation is the Black implied volatility at expiry time and strike.
///
/// </para>
/// </summary>
/// <param name="option"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <returns> the price of the product </returns>
public virtual double price(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
validate(option, ratesProvider, volatilities);
SimpleConstantContinuousBarrier barrier = (SimpleConstantContinuousBarrier)option.Barrier;
ResolvedFxVanillaOption underlyingOption = option.UnderlyingOption;
if (volatilities.relativeTime(underlyingOption.Expiry) < 0d)
{
return(0d);
}
ResolvedFxSingle underlyingFx = underlyingOption.Underlying;
Currency ccyBase = underlyingFx.BaseCurrencyPayment.Currency;
Currency ccyCounter = underlyingFx.CounterCurrencyPayment.Currency;
CurrencyPair currencyPair = underlyingFx.CurrencyPair;
DiscountFactors baseDiscountFactors = ratesProvider.discountFactors(ccyBase);
DiscountFactors counterDiscountFactors = ratesProvider.discountFactors(ccyCounter);
double rateBase = baseDiscountFactors.zeroRate(underlyingFx.PaymentDate);
double rateCounter = counterDiscountFactors.zeroRate(underlyingFx.PaymentDate);
double costOfCarry = rateCounter - rateBase;
double dfBase = baseDiscountFactors.discountFactor(underlyingFx.PaymentDate);
double dfCounter = counterDiscountFactors.discountFactor(underlyingFx.PaymentDate);
double todayFx = ratesProvider.fxRate(currencyPair);
double strike = underlyingOption.Strike;
double forward = todayFx * dfBase / dfCounter;
double volatility = volatilities.volatility(currencyPair, underlyingOption.Expiry, strike, forward);
double timeToExpiry = volatilities.relativeTime(underlyingOption.Expiry);
double price = BARRIER_PRICER.price(todayFx, strike, timeToExpiry, costOfCarry, rateCounter, volatility, underlyingOption.PutCall.Call, barrier);
if (option.Rebate.Present)
{
CurrencyAmount rebate = option.Rebate.get();
double priceRebate = rebate.Currency.Equals(ccyCounter) ? CASH_REBATE_PRICER.price(todayFx, timeToExpiry, costOfCarry, rateCounter, volatility, barrier.inverseKnockType()) : ASSET_REBATE_PRICER.price(todayFx, timeToExpiry, costOfCarry, rateCounter, volatility, barrier.inverseKnockType());
price += priceRebate * rebate.Amount / Math.Abs(underlyingFx.BaseCurrencyPayment.Amount);
}
return(price);
}
/// <summary>
/// Calculates the par rate curve sensitivity for a swap with a fixed leg.
/// <para>
/// The par rate is the common rate on all payments of the fixed leg for which the total swap present value is 0.
/// </para>
/// <para>
/// At least one leg must be a fixed leg. The par rate will be computed with respect to the first fixed leg.
/// All the payments in that leg should be fixed payments with a unique accrual period (no compounding) and no FX reset.
///
/// </para>
/// </summary>
/// <param name="swap"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par rate curve sensitivity of the swap product </returns>
public virtual PointSensitivityBuilder parRateSensitivity(ResolvedSwap swap, RatesProvider provider)
{
ResolvedSwapLeg fixedLeg = this.fixedLeg(swap);
Currency ccyFixedLeg = fixedLeg.Currency;
// other payments (not fixed leg coupons) converted in fixed leg currency
double otherLegsConvertedPv = 0.0;
foreach (ResolvedSwapLeg leg in swap.Legs)
{
if (leg != fixedLeg)
{
double pvLocal = legPricer.presentValueInternal(leg, provider);
otherLegsConvertedPv += (pvLocal * provider.fxRate(leg.Currency, ccyFixedLeg));
}
}
double fixedLegEventsPv = legPricer.presentValueEventsInternal(fixedLeg, provider);
double pvbpFixedLeg = legPricer.pvbp(fixedLeg, provider);
// Backward sweep
double otherLegsConvertedPvBar = -1.0d / pvbpFixedLeg;
double fixedLegEventsPvBar = -1.0d / pvbpFixedLeg;
double pvbpFixedLegBar = (otherLegsConvertedPv + fixedLegEventsPv) / (pvbpFixedLeg * pvbpFixedLeg);
PointSensitivityBuilder pvbpFixedLegDr = legPricer.pvbpSensitivity(fixedLeg, provider);
PointSensitivityBuilder fixedLegEventsPvDr = legPricer.presentValueSensitivityEventsInternal(fixedLeg, provider);
PointSensitivityBuilder otherLegsConvertedPvDr = PointSensitivityBuilder.none();
foreach (ResolvedSwapLeg leg in swap.Legs)
{
if (leg != fixedLeg)
{
PointSensitivityBuilder pvLegDr = legPricer.presentValueSensitivity(leg, provider).multipliedBy(provider.fxRate(leg.Currency, ccyFixedLeg));
otherLegsConvertedPvDr = otherLegsConvertedPvDr.combinedWith(pvLegDr);
}
}
otherLegsConvertedPvDr = otherLegsConvertedPvDr.withCurrency(ccyFixedLeg);
return(pvbpFixedLegDr.multipliedBy(pvbpFixedLegBar).combinedWith(fixedLegEventsPvDr.multipliedBy(fixedLegEventsPvBar)).combinedWith(otherLegsConvertedPvDr.multipliedBy(otherLegsConvertedPvBar)));
}
/// <summary>
/// Constructs the synthetic market data from an existing rates provider and the configuration of the new curves.
/// </summary>
/// <param name="group"> the curve group definition for the synthetic curves and instruments </param>
/// <param name="inputProvider"> the input rates provider </param>
/// <param name="refData"> the reference data, used to resolve the trades </param>
/// <returns> the market data </returns>
public ImmutableMarketData marketData(RatesCurveGroupDefinition group, RatesProvider inputProvider, ReferenceData refData)
{
// Retrieve the set of required indices and the list of required currencies
ISet <Index> indicesRequired = new HashSet <Index>();
IList <Currency> ccyRequired = new List <Currency>();
foreach (RatesCurveGroupEntry entry in group.Entries)
{
indicesRequired.addAll(entry.Indices);
((IList <Currency>)ccyRequired).AddRange(entry.DiscountCurrencies);
}
// Retrieve the required time series if present in the original provider
IDictionary <IndexQuoteId, LocalDateDoubleTimeSeries> ts = new Dictionary <IndexQuoteId, LocalDateDoubleTimeSeries>();
foreach (Index idx in Sets.intersection(inputProvider.TimeSeriesIndices, indicesRequired))
{
ts[IndexQuoteId.of(idx)] = inputProvider.timeSeries(idx);
}
LocalDate valuationDate = inputProvider.ValuationDate;
ImmutableList <CurveDefinition> curveGroups = group.CurveDefinitions;
// Create fake market quotes of 0, only to be able to generate trades
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, double> mapId0 = new java.util.HashMap<>();
IDictionary <MarketDataId <object>, double> mapId0 = new Dictionary <MarketDataId <object>, double>();
foreach (CurveDefinition entry in curveGroups)
{
ImmutableList <CurveNode> nodes = entry.Nodes;
for (int i = 0; i < nodes.size(); i++)
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: for (com.opengamma.strata.data.MarketDataId<?> key : nodes.get(i).requirements())
foreach (MarketDataId <object> key in nodes.get(i).requirements())
{
mapId0[key] = 0.0d;
}
}
}
ImmutableMarketData marketQuotes0 = ImmutableMarketData.of(valuationDate, mapId0);
// Generate market quotes from the trades
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> mapIdSy = new java.util.HashMap<>();
IDictionary <MarketDataId <object>, object> mapIdSy = new Dictionary <MarketDataId <object>, object>();
foreach (CurveDefinition entry in curveGroups)
{
ImmutableList <CurveNode> nodes = entry.Nodes;
foreach (CurveNode node in nodes)
{
ResolvedTrade trade = node.resolvedTrade(1d, marketQuotes0, refData);
double mq = measures.value(trade, inputProvider);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: com.opengamma.strata.data.MarketDataId<?> k = node.requirements().iterator().next();
MarketDataId <object> k = node.requirements().GetEnumerator().next();
mapIdSy[k] = mq;
}
}
// Generate quotes for FX pairs. The first currency is arbitrarily selected as starting point.
// The crosses are automatically generated by the MarketDataFxRateProvider used in calibration.
for (int loopccy = 1; loopccy < ccyRequired.Count; loopccy++)
{
CurrencyPair ccyPair = CurrencyPair.of(ccyRequired[0], ccyRequired[loopccy]);
FxRateId fxId = FxRateId.of(ccyPair);
mapIdSy[fxId] = FxRate.of(ccyPair, inputProvider.fxRate(ccyPair));
}
return(ImmutableMarketData.builder(valuationDate).addValueMap(mapIdSy).addTimeSeriesMap(ts).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the swap leg, converted to the specified currency.
/// <para>
/// The present value of the leg is the value on the valuation date.
/// This is the discounted forecast value.
/// The result is converted to the specified currency.
///
/// </para>
/// </summary>
/// <param name="leg"> the leg </param>
/// <param name="currency"> the currency to convert to </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the present value of the swap leg in the specified currency </returns>
public virtual CurrencyAmount presentValue(ResolvedSwapLeg leg, Currency currency, RatesProvider provider)
{
double pv = presentValueInternal(leg, provider);
return(CurrencyAmount.of(currency, (pv * provider.fxRate(leg.Currency, currency))));
}
/// <summary>
/// Calculates the present value sensitivity of the swap product converted in a given currency.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="swap"> the product </param>
/// <param name="currency"> the currency to convert to </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the present value curve sensitivity of the swap product converted in the given currency </returns>
public virtual PointSensitivityBuilder presentValueSensitivity(ResolvedSwap swap, Currency currency, RatesProvider provider)
{
PointSensitivityBuilder builder = PointSensitivityBuilder.none();
foreach (ResolvedSwapLeg leg in swap.Legs)
{
PointSensitivityBuilder ls = legPricer.presentValueSensitivity(leg, provider);
PointSensitivityBuilder lsConverted = ls.withCurrency(currency).multipliedBy(provider.fxRate(leg.Currency, currency));
builder = builder.combinedWith(lsConverted);
}
return(builder);
}
