// checks that the volatilities are for SABR
private static SabrSwaptionVolatilities checkSabr(SwaptionVolatilities volatilities)
{
if (volatilities is SabrSwaptionVolatilities)
{
return((SabrSwaptionVolatilities)volatilities);
}
throw new System.ArgumentException("Swaption volatiliies for pricing CMS must be for SABR model, but was: " + volatilities.VolatilityType);
}
/// <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 swaption volatilities </param>
/// <returns> the present value </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
return(calc.presentValue(trade, ratesProvider, volatilities));
}
/// <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>
/// <param name="volatilities"> the swaption volatilities </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
return(calc.currencyExposure(trade, ratesProvider, volatilities));
}
/// <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 swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
return(calc.pv01RatesMarketQuoteBucketed(trade, ratesProvider, volatilities));
}
/// <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 swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual MultiCurrencyAmount pv01RatesMarketQuoteSum(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
return(calc.pv01RatesMarketQuoteSum(trade, ratesProvider, volatilities));
}
// calibrated sum PV01 for one scenario
internal MultiCurrencyAmount pv01RatesCalibratedSum(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
PointSensitivities pointSensitivity = this.pointSensitivity(trade, ratesProvider, volatilities);
return(ratesProvider.parameterSensitivity(pointSensitivity).total().multipliedBy(ONE_BASIS_POINT));
}
// present value for one scenario
internal CurrencyAmount presentValue(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
return(tradePricer.presentValue(trade, ratesProvider, volatilities));
}
// currency exposure for one scenario
internal MultiCurrencyAmount currencyExposure(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
return(tradePricer.currencyExposure(trade, ratesProvider, volatilities));
}
// point sensitivity
private PointSensitivities pointSensitivity(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
if (volatilities is SabrSwaptionVolatilities)
{
return(sabrTradePricer.presentValueSensitivityRatesStickyModel(trade, ratesProvider, (SabrSwaptionVolatilities)volatilities));
}
return(tradePricer.presentValueSensitivityRatesStickyStrike(trade, ratesProvider, volatilities));
}
// market quote bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
PointSensitivities pointSensitivity = this.pointSensitivity(trade, ratesProvider, volatilities);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
return(MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider).multipliedBy(ONE_BASIS_POINT));
}
/// <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 swaption volatilities </param>
/// <returns> the current cash </returns>
public virtual CurrencyAmount currentCash(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
return(calc.currentCash(trade, ratesProvider.ValuationDate));
}
/// <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 calibrated 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 swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual MultiCurrencyAmount pv01RatesCalibratedSum(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
return(calc.pv01RatesCalibratedSum(trade, ratesProvider, volatilities));
}
// present value for one scenario
internal MultiCurrencyAmount presentValue(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
return(tradePricer.presentValue(trade, ratesProvider, checkSabr(volatilities)));
}
// point sensitivity
private PointSensitivities pointSensitivity(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
return(tradePricer.presentValueSensitivityRates(trade, ratesProvider, checkSabr(volatilities)));
}
// calibrated bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01RatesCalibratedBucketed(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
PointSensitivities pointSensitivity = this.pointSensitivity(trade, ratesProvider, volatilities);
return(ratesProvider.parameterSensitivity(pointSensitivity).multipliedBy(ONE_BASIS_POINT));
}
