// market quote bucketed PV01 for one scenario internal CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedTermDepositTrade trade, RatesProvider 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. /// </summary> /// <param name="trade"> the trade </param> /// <param name="provider"> the rates provider </param> /// <returns> the current cash </returns> public virtual CurrencyAmount currentCash(ResolvedTermDepositTrade trade, RatesProvider provider) { ResolvedTermDeposit product = trade.Product; if (product.StartDate.isEqual(provider.ValuationDate)) { return(CurrencyAmount.of(product.Currency, -product.Notional)); } if (product.EndDate.isEqual(provider.ValuationDate)) { return(CurrencyAmount.of(product.Currency, product.Notional + product.Interest)); } return(CurrencyAmount.zero(product.Currency)); }
//------------------------------------------------------------------------- /// <summary> /// Calculates the deposit fair rate given the start and end time and the accrual factor. /// <para> /// When the deposit has already started the number may not be meaningful as the remaining period /// is not in line with the accrual factor. /// /// </para> /// </summary> /// <param name="trade"> the trade </param> /// <param name="provider"> the rates provider </param> /// <returns> the par rate </returns> public virtual double parRate(ResolvedTermDepositTrade trade, RatesProvider provider) { return(productPricer.parRate(trade.Product, provider)); }
//------------------------------------------------------------------------- /// <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(ResolvedTermDepositTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) { return(calc.presentValue(trade, lookup.marketDataView(marketData))); }
//------------------------------------------------------------------------- /// <summary> /// Calculates present value sensitivity across one or more scenarios. /// <para> /// This is the sensitivity of /// <seealso cref="#presentValue(ResolvedTermDepositTrade, RatesMarketDataLookup, 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(ResolvedTermDepositTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) { return(calc.pv01MarketQuoteBucketed(trade, lookup.marketDataView(marketData))); }
/// <summary> /// Calculates the present value sensitivity by discounting the final cash flow (nominal + interest) /// and the initial payment (initial amount). /// </summary> /// <param name="trade"> the trade </param> /// <param name="provider"> the rates provider </param> /// <returns> the point sensitivity of the present value </returns> public virtual PointSensitivities presentValueSensitivity(ResolvedTermDepositTrade trade, RatesProvider provider) { return(productPricer.presentValueSensitivity(trade.Product, provider)); }
// present value for one scenario internal CurrencyAmount presentValue(ResolvedTermDepositTrade trade, RatesProvider ratesProvider) { return(tradePricer.presentValue(trade, ratesProvider)); }
//------------------------------------------------------------------------- // calculates calibrated bucketed PV01 for all scenarios internal ScenarioArray <CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedTermDepositTrade trade, RatesScenarioMarketData marketData) { return(ScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedBucketed(trade, marketData.scenario(i).ratesProvider()))); }
//------------------------------------------------------------------------- // calculates currency exposure for all scenarios internal MultiCurrencyScenarioArray currencyExposure(ResolvedTermDepositTrade trade, RatesScenarioMarketData marketData) { return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => currencyExposure(trade, marketData.scenario(i).ratesProvider()))); }
// current cash for one scenario internal CurrencyAmount currentCash(ResolvedTermDepositTrade trade, RatesProvider ratesProvider) { return(tradePricer.currentCash(trade, ratesProvider)); }
/// <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(ResolvedTermDepositTrade trade, RatesProvider ratesProvider) { return(calc.currentCash(trade, ratesProvider)); }
//------------------------------------------------------------------------- // calculates par spread for all scenarios internal DoubleScenarioArray parSpread(ResolvedTermDepositTrade trade, RatesScenarioMarketData marketData) { return(DoubleScenarioArray.of(marketData.ScenarioCount, i => parSpread(trade, marketData.scenario(i).ratesProvider()))); }
/// <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(ResolvedTermDepositTrade trade, RatesProvider ratesProvider) { return(calc.currencyExposure(trade, ratesProvider)); }
//------------------------------------------------------------------------- /// <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(ResolvedTermDepositTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) { return(calc.currencyExposure(trade, lookup.marketDataView(marketData))); }
/// <summary> /// Calculates par spread for a single set of market data. /// </summary> /// <param name="trade"> the trade </param> /// <param name="ratesProvider"> the market data </param> /// <returns> the par spread </returns> public virtual double parSpread(ResolvedTermDepositTrade trade, RatesProvider ratesProvider) { return(calc.parSpread(trade, ratesProvider)); }
//------------------------------------------------------------------------- /// <summary> /// Calculates par spread 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 par spread, one entry per scenario </returns> public virtual DoubleScenarioArray parSpread(ResolvedTermDepositTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) { return(calc.parSpread(trade, lookup.marketDataView(marketData))); }
/// <summary> /// Calculates present value sensitivity for a single set of market data. /// <para> /// This is the sensitivity of /// <seealso cref="#presentValue(ResolvedTermDepositTrade, RatesMarketDataLookup, 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(ResolvedTermDepositTrade trade, RatesProvider ratesProvider) { return(calc.pv01MarketQuoteBucketed(trade, ratesProvider)); }
// par spread for one scenario internal double parSpread(ResolvedTermDepositTrade trade, RatesProvider ratesProvider) { return(tradePricer.parSpread(trade, ratesProvider)); }
/// <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(ResolvedTermDepositTrade trade, RatesProvider ratesProvider) { return(calc.presentValue(trade, ratesProvider)); }
// currency exposure for one scenario internal MultiCurrencyAmount currencyExposure(ResolvedTermDepositTrade trade, RatesProvider ratesProvider) { return(tradePricer.currencyExposure(trade, ratesProvider)); }
//------------------------------------------------------------------------- /// <summary> /// Calculates present value sensitivity across one or more scenarios. /// <para> /// This is the sensitivity of /// <seealso cref="#presentValue(ResolvedTermDepositTrade, RatesMarketDataLookup, 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(ResolvedTermDepositTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) { return(calc.pv01CalibratedSum(trade, lookup.marketDataView(marketData))); }
//------------------------------------------------------------------------- // calculates present value for all scenarios internal CurrencyScenarioArray presentValue(ResolvedTermDepositTrade trade, RatesScenarioMarketData marketData) { return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => presentValue(trade, marketData.scenario(i).ratesProvider()))); }
//------------------------------------------------------------------------- /// <summary> /// Calculates the currency exposure. /// </summary> /// <param name="trade"> the trade </param> /// <param name="provider"> the rates provider </param> /// <returns> the currency exposure </returns> public virtual MultiCurrencyAmount currencyExposure(ResolvedTermDepositTrade trade, RatesProvider provider) { return(MultiCurrencyAmount.of(presentValue(trade, provider))); }
//------------------------------------------------------------------------- // calculates calibrated sum PV01 for all scenarios internal MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedTermDepositTrade trade, RatesScenarioMarketData marketData) { return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedSum(trade, marketData.scenario(i).ratesProvider()))); }
//------------------------------------------------------------------------- /// <summary> /// Calculates the present value by discounting the final cash flow (nominal + interest) /// and the initial payment (initial amount). /// <para> /// The present value of the trade is the value on the valuation date. /// /// </para> /// </summary> /// <param name="trade"> the trade </param> /// <param name="provider"> the rates provider </param> /// <returns> the present value of the product </returns> public virtual CurrencyAmount presentValue(ResolvedTermDepositTrade trade, RatesProvider provider) { return(productPricer.presentValue(trade.Product, provider)); }
// calibrated bucketed PV01 for one scenario internal CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedTermDepositTrade trade, RatesProvider ratesProvider) { PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider); return(ratesProvider.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(ResolvedTermDepositTrade, RatesMarketDataLookup, 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(ResolvedTermDepositTrade trade, RatesProvider ratesProvider) { return(calc.pv01MarketQuoteSum(trade, ratesProvider)); }