// market quote bucketed PV01 for one scenario internal CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedBulletPaymentTrade 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)); }
//------------------------------------------------------------------------- public virtual void coverage() { ResolvedTradeParameterMetadata test1 = ResolvedTradeParameterMetadata.of(TRADE, "Label"); coverImmutableBean(test1); ResolvedTrade trade = ResolvedBulletPaymentTrade.of(TradeInfo.empty(), BulletPayment.builder().date(AdjustableDate.of(LocalDate.of(2017, 3, 3))).value(CurrencyAmount.of(Currency.USD, 100d)).payReceive(PayReceive.PAY).build().resolve(REF_DATA)); ResolvedTradeParameterMetadata test2 = ResolvedTradeParameterMetadata.builder().trade(trade).label("Label2").build(); coverBeanEquals(test1, test2); }
/// <summary> /// Calculates the current cash of the bullet payment trade. /// </summary> /// <param name="trade"> the trade </param> /// <param name="provider"> the provider </param> /// <returns> the current cash </returns> public virtual CurrencyAmount currentCash(ResolvedBulletPaymentTrade trade, BaseProvider provider) { return(paymentPricer.currentCash(trade.Product.Payment, provider)); }
/// <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(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider) { return(calc.presentValue(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(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider) { return(calc.currentCash(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(ResolvedBulletPaymentTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) { return(calc.currencyExposure(trade, lookup.marketDataView(marketData))); }
//------------------------------------------------------------------------- /// <summary> /// Calculates cash flows across one or more scenarios. /// <para> /// The cash flows provide details about the payments of the trade. /// /// </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 cash flows, one entry per scenario </returns> public virtual ScenarioArray <CashFlows> cashFlows(ResolvedBulletPaymentTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) { return(calc.cashFlows(trade, lookup.marketDataView(marketData))); }
//------------------------------------------------------------------------- /// <summary> /// Calculates present value sensitivity across one or more scenarios. /// <para> /// This is the sensitivity of /// <seealso cref="#presentValue(ResolvedBulletPaymentTrade, 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(ResolvedBulletPaymentTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) { return(calc.pv01MarketQuoteBucketed(trade, lookup.marketDataView(marketData))); }
// calibrated sum PV01 for one scenario internal MultiCurrencyAmount pv01CalibratedSum(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider) { PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider); return(ratesProvider.parameterSensitivity(pointSensitivity).total().multipliedBy(ONE_BASIS_POINT)); }
//------------------------------------------------------------------------- // calculates cash flows for all scenarios internal ScenarioArray <CashFlows> cashFlows(ResolvedBulletPaymentTrade trade, RatesScenarioMarketData marketData) { return(ScenarioArray.of(marketData.ScenarioCount, i => cashFlows(trade, marketData.scenario(i).ratesProvider()))); }
// single-node gamma PV01 for one scenario private CurrencyParameterSensitivities pv01SingleNodeGammaBucketed(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider) { CrossGammaParameterSensitivities crossGamma = CROSS_GAMMA.calculateCrossGammaIntraCurve(ratesProvider, p => p.parameterSensitivity(tradePricer.presentValueSensitivity(trade, p))); return(crossGamma.diagonal().multipliedBy(ONE_BASIS_POINT * ONE_BASIS_POINT)); }
//------------------------------------------------------------------------- // calculates single-node gamma PV01 for all scenarios internal ScenarioArray <CurrencyParameterSensitivities> pv01SingleNodeGammaBucketed(ResolvedBulletPaymentTrade trade, RatesScenarioMarketData marketData) { return(ScenarioArray.of(marketData.ScenarioCount, i => pv01SingleNodeGammaBucketed(trade, marketData.scenario(i).ratesProvider()))); }
/// <summary> /// Calculates the present value sensitivity of the bullet payment trade. /// <para> /// The present value sensitivity of the trade is the sensitivity of the present value to /// the underlying curves. /// /// </para> /// </summary> /// <param name="trade"> the trade </param> /// <param name="provider"> the provider </param> /// <returns> the point sensitivity of the present value </returns> public virtual PointSensitivities presentValueSensitivity(ResolvedBulletPaymentTrade trade, BaseProvider provider) { return(paymentPricer.presentValueSensitivity(trade.Product.Payment, provider).build()); }
/// <summary> /// Explains the present value of the bullet payment product. /// <para> /// This returns explanatory information about the calculation. /// /// </para> /// </summary> /// <param name="trade"> the trade </param> /// <param name="provider"> the provider </param> /// <returns> the explanatory information </returns> public virtual ExplainMap explainPresentValue(ResolvedBulletPaymentTrade trade, BaseProvider provider) { return(paymentPricer.explainPresentValue(trade.Product.Payment, provider)); }
//------------------------------------------------------------------------- /// <summary> /// Calculates the present value of the bullet payment trade. /// <para> /// The present value of the trade is the value on the valuation date. /// This is the discounted forecast value. /// /// </para> /// </summary> /// <param name="trade"> the trade </param> /// <param name="provider"> the provider </param> /// <returns> the present value of the trade </returns> public virtual CurrencyAmount presentValue(ResolvedBulletPaymentTrade trade, BaseProvider provider) { return(paymentPricer.presentValue(trade.Product.Payment, provider)); }
// explain present value for one scenario internal ExplainMap explainPresentValue(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider) { return(tradePricer.explainPresentValue(trade, ratesProvider)); }
//------------------------------------------------------------------------- // calculates calibrated sum PV01 for all scenarios internal MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedBulletPaymentTrade trade, RatesScenarioMarketData marketData) { return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedSum(trade, marketData.scenario(i).ratesProvider()))); }
// cash flows for one scenario internal CashFlows cashFlows(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider) { return(tradePricer.cashFlows(trade, ratesProvider)); }
/// <summary> /// Calculates present value sensitivity for a single set of market data. /// <para> /// This is the sensitivity of /// <seealso cref="#presentValue(ResolvedBulletPaymentTrade, 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(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider) { return(calc.pv01MarketQuoteSum(trade, ratesProvider)); }
//------------------------------------------------------------------------- // calculates currency exposure for all scenarios internal MultiCurrencyScenarioArray currencyExposure(ResolvedBulletPaymentTrade trade, RatesScenarioMarketData marketData) { return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => currencyExposure(trade, marketData.scenario(i).ratesProvider()))); }
/// <summary> /// Calculates present value sensitivity for a single set of market data. /// <para> /// This is the sensitivity of /// <seealso cref="#presentValue(ResolvedBulletPaymentTrade, 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(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider) { return(calc.pv01MarketQuoteBucketed(trade, ratesProvider)); }
// currency exposure for one scenario internal MultiCurrencyAmount currencyExposure(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider) { return(MultiCurrencyAmount.of(tradePricer.currencyExposure(trade, ratesProvider))); }
/// <summary> /// Calculates cash flows for a single set of market data. /// <para> /// The cash flows provide details about the payments of the trade. /// /// </para> /// </summary> /// <param name="trade"> the trade </param> /// <param name="ratesProvider"> the market data </param> /// <returns> the cash flows </returns> public virtual CashFlows cashFlows(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider) { return(calc.cashFlows(trade, ratesProvider)); }
// current cash for one scenario internal CurrencyAmount currentCash(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider) { return(tradePricer.currentCash(trade, 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(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider) { return(calc.currencyExposure(trade, ratesProvider)); }
//------------------------------------------------------------------------- // calculates present value for all scenarios internal CurrencyScenarioArray presentValue(ResolvedBulletPaymentTrade trade, RatesScenarioMarketData marketData) { return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => presentValue(trade, marketData.scenario(i).ratesProvider()))); }
//------------------------------------------------------------------------- /// <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(ResolvedBulletPaymentTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) { return(calc.presentValue(trade, lookup.marketDataView(marketData))); }
// present value for one scenario internal CurrencyAmount presentValue(ResolvedBulletPaymentTrade trade, RatesProvider ratesProvider) { return(tradePricer.presentValue(trade, ratesProvider)); }
//------------------------------------------------------------------------- /// <summary> /// Calculates present value sensitivity across one or more scenarios. /// <para> /// This is the sensitivity of /// <seealso cref="#presentValue(ResolvedBulletPaymentTrade, 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(ResolvedBulletPaymentTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) { return(calc.pv01CalibratedSum(trade, lookup.marketDataView(marketData))); }
//------------------------------------------------------------------------- // calculates explain present value for all scenarios internal ScenarioArray <ExplainMap> explainPresentValue(ResolvedBulletPaymentTrade trade, RatesScenarioMarketData marketData) { return(ScenarioArray.of(marketData.ScenarioCount, i => explainPresentValue(trade, marketData.scenario(i).ratesProvider()))); }