//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure of the FX barrier option trade.
/// <para>
/// The trinomial tree is first calibrated to Black volatilities,
/// then the price is computed based on the calibrated tree.
///
/// </para>
/// </summary>
/// <param name="trade"> the option trade </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(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
Payment premium = trade.Premium;
CurrencyAmount pvPremium = paymentPricer.presentValue(premium, ratesProvider);
ResolvedFxSingleBarrierOption product = trade.Product;
return(productPricer.currencyExposure(product, ratesProvider, volatilities).plus(pvPremium));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the FX barrier option trade.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to
/// the underlying curves.
/// </para>
/// <para>
/// The volatility is fixed in this sensitivity computation, i.e., sticky-strike.
///
/// </para>
/// </summary>
/// <param name="trade"> the option trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <returns> the present value curve sensitivity of the trade </returns>
public virtual PointSensitivities presentValueSensitivityRatesStickyStrike(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
ResolvedFxSingleBarrierOption product = trade.Product;
PointSensitivityBuilder pvcsProduct = productPricer.presentValueSensitivityRatesStickyStrike(product, ratesProvider, volatilities);
Payment premium = trade.Premium;
PointSensitivityBuilder pvcsPremium = paymentPricer.presentValueSensitivity(premium, ratesProvider);
return(pvcsProduct.combinedWith(pvcsPremium).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the FX barrier option trade.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to
/// the underlying curves.
/// </para>
/// <para>
/// The sensitivity is computed by bump and re-price, returning <seealso cref="CurrencyParameterSensitivities"/>,
/// not <seealso cref="PointSensitivities"/>.
/// </para>
/// <para>
/// The trinomial tree is first calibrated to Black volatilities,
/// then the price is computed based on the calibrated tree.
///
/// </para>
/// </summary>
/// <param name="trade"> the option trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <returns> the present value curve sensitivity of the trade </returns>
public virtual CurrencyParameterSensitivities presentValueSensitivityRates(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
ResolvedFxSingleBarrierOption product = trade.Product;
CurrencyParameterSensitivities sensProduct = productPricer.presentValueSensitivityRates(product, ratesProvider, volatilities);
Payment premium = trade.Premium;
PointSensitivityBuilder pvcsPremium = paymentPricer.presentValueSensitivity(premium, ratesProvider);
CurrencyParameterSensitivities sensPremium = ratesProvider.parameterSensitivity(pvcsPremium.build());
return(sensProduct.combinedWith(sensPremium));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the current of the FX barrier option trade.
/// </summary>
/// <param name="trade"> the option trade </param>
/// <param name="valuationDate"> the valuation date </param>
/// <returns> the current cash amount </returns>
public virtual CurrencyAmount currentCash(ResolvedFxSingleBarrierOptionTrade trade, LocalDate valuationDate)
{
Payment premium = trade.Premium;
if (premium.Date.Equals(valuationDate))
{
return(CurrencyAmount.of(premium.Currency, premium.Amount));
}
return(CurrencyAmount.of(premium.Currency, 0d));
}
// present value for one scenario
internal MultiCurrencyAmount presentValue(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)
{
if (method == FxSingleBarrierOptionMethod.TRINOMIAL_TREE)
{
return(trinomialTreePricer.presentValue(trade, ratesProvider, checkTrinomialTreeVolatilities(volatilities)));
}
else
{
return(blackPricer.presentValue(trade, ratesProvider, checkBlackVolatilities(volatilities)));
}
}
// current cash for one scenario
internal CurrencyAmount currentCash(ResolvedFxSingleBarrierOptionTrade trade, LocalDate valuationDate, FxSingleBarrierOptionMethod method)
{
if (method == FxSingleBarrierOptionMethod.TRINOMIAL_TREE)
{
return(trinomialTreePricer.currentCash(trade, valuationDate));
}
else
{
return(blackPricer.currentCash(trade, valuationDate));
}
}
// point sensitivity
private CurrencyParameterSensitivities parameterSensitivities(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)
{
if (method == FxSingleBarrierOptionMethod.TRINOMIAL_TREE)
{
return(trinomialTreePricer.presentValueSensitivityRates(trade, ratesProvider, checkTrinomialTreeVolatilities(volatilities)));
}
else
{
PointSensitivities pointSens = blackPricer.presentValueSensitivityRatesStickyStrike(trade, ratesProvider, checkBlackVolatilities(volatilities));
return(ratesProvider.parameterSensitivity(pointSens));
}
}
//-------------------------------------------------------------------------
// calculates market quote bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(ResolvedFxSingleBarrierOptionTrade trade, RatesScenarioMarketData ratesMarketData, FxOptionScenarioMarketData optionMarketData, FxSingleBarrierOptionMethod method)
{
CurrencyPair currencyPair = trade.Product.CurrencyPair;
return(ScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01RatesMarketQuoteBucketed(trade, ratesMarketData.scenario(i).ratesProvider(), optionMarketData.scenario(i).volatilities(currencyPair), method)));
}
// calibrated sum PV01 for one scenario
internal MultiCurrencyAmount pv01RatesCalibratedSum(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)
{
CurrencyParameterSensitivities paramSens = parameterSensitivities(trade, ratesProvider, volatilities, method);
return(paramSens.total().multipliedBy(ONE_BASIS_POINT));
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
internal MultiCurrencyScenarioArray pv01RatesCalibratedSum(ResolvedFxSingleBarrierOptionTrade trade, RatesScenarioMarketData ratesMarketData, FxOptionScenarioMarketData optionMarketData, FxSingleBarrierOptionMethod method)
{
CurrencyPair currencyPair = trade.Product.CurrencyPair;
return(MultiCurrencyScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01RatesCalibratedSum(trade, ratesMarketData.scenario(i).ratesProvider(), optionMarketData.scenario(i).volatilities(currencyPair), method)));
}
//-------------------------------------------------------------------------
// calculates current cash for all scenarios
internal CurrencyScenarioArray currentCash(ResolvedFxSingleBarrierOptionTrade trade, RatesScenarioMarketData ratesMarketData, FxOptionScenarioMarketData optionMarketData, FxSingleBarrierOptionMethod method)
{
return(CurrencyScenarioArray.of(ratesMarketData.ScenarioCount, i => currentCash(trade, ratesMarketData.scenario(i).ValuationDate, 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(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)
{
return(calc.pv01RatesMarketQuoteSum(trade, ratesProvider, volatilities, 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(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)
{
return(calc.presentValue(trade, ratesProvider, volatilities, method));
}
//-------------------------------------------------------------------------
/// <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(ResolvedFxSingleBarrierOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxSingleBarrierOptionMethod method)
{
return(calc.presentValue(trade, ratesLookup.marketDataView(marketData), fxLookup.marketDataView(marketData), method));
}
/// <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(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)
{
return(calc.currentCash(trade, ratesProvider.ValuationDate, 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(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod 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(ResolvedFxSingleBarrierOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxSingleBarrierOptionMethod method)
{
return(calc.pv01RatesMarketQuoteBucketed(trade, ratesLookup.marketDataView(marketData), fxLookup.marketDataView(marketData), method));
}
// market quote bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxSingleBarrierOptionMethod method)
{
CurrencyParameterSensitivities paramSens = parameterSensitivities(trade, ratesProvider, volatilities, method);
return(MARKET_QUOTE_SENS.sensitivity(paramSens, ratesProvider).multipliedBy(ONE_BASIS_POINT));
}
//-------------------------------------------------------------------------
/// <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.
///
/// </para>
/// </summary>
/// <param name="trade"> the option trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivities presentValueSensitivityModelParamsVolatility(ResolvedFxSingleBarrierOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities)
{
ResolvedFxSingleBarrierOption product = trade.Product;
return(productPricer.presentValueSensitivityModelParamsVolatility(product, ratesProvider, volatilities).build());
}
