// ensure volatilities are Normal
private NormalIborFutureOptionVolatilities checkNormalVols(IborFutureOptionVolatilities volatilities)
{
if (volatilities is NormalIborFutureOptionVolatilities)
{
return((NormalIborFutureOptionVolatilities)volatilities);
}
throw new System.ArgumentException(Messages.format("Ibor future option only supports Normal volatilities, but was '{}'", volatilities.VolatilityType));
}
// calibrated sum PV01 for one scenario
internal MultiCurrencyAmount pv01CalibratedSum(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, IborFutureOptionVolatilities volatilities)
{
NormalIborFutureOptionVolatilities normalVols = checkNormalVols(volatilities);
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivityRates(trade, ratesProvider, normalVols);
return(ratesProvider.parameterSensitivity(pointSensitivity).total().multipliedBy(ONE_BASIS_POINT));
}
// present value for one scenario
internal CurrencyAmount presentValue(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, IborFutureOptionVolatilities volatilities)
{
// mark to model
double settlementPrice = this.settlementPrice(trade, ratesProvider);
NormalIborFutureOptionVolatilities normalVols = checkNormalVols(volatilities);
return(tradePricer.presentValue(trade, ratesProvider, normalVols, settlementPrice));
}
// unit price for one scenario
internal double unitPrice(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, IborFutureOptionVolatilities volatilities)
{
// mark to model
NormalIborFutureOptionVolatilities normalVols = checkNormalVols(volatilities);
return(tradePricer.price(trade, ratesProvider, normalVols));
}
// market quote bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, IborFutureOptionVolatilities volatilities)
{
NormalIborFutureOptionVolatilities normalVols = checkNormalVols(volatilities);
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivityRates(trade, ratesProvider, normalVols);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
return(MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider).multipliedBy(ONE_BASIS_POINT));
}
/// <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>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, IborFutureOptionVolatilities volatilities)
{
return(calc.presentValue(trade, ratesProvider, volatilities));
}
/// <summary>
/// Calculates unit price for a single set of market data.
/// <para>
/// This is the price of a single unit of the security.
/// </para>
/// <para>
/// Strata uses <i>decimal prices</i> for Ibor futures in the trade model, pricers and market data.
/// The decimal price is based on the decimal rate equivalent to the percentage.
/// For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <param name="volatilities"> the option volatilities </param>
/// <returns> the present value </returns>
public virtual double unitPrice(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, IborFutureOptionVolatilities volatilities)
{
return(calc.unitPrice(trade, ratesProvider, volatilities));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedIborFutureOptionTrade, RatesMarketDataLookup, IborFutureOptionMarketDataLookup, 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>
/// <param name="volatilities"> the option volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, IborFutureOptionVolatilities volatilities)
{
return(calc.pv01MarketQuoteBucketed(trade, ratesProvider, volatilities));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedIborFutureOptionTrade, RatesMarketDataLookup, IborFutureOptionMarketDataLookup, 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>
/// <param name="volatilities"> the option volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual MultiCurrencyAmount pv01MarketQuoteSum(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, IborFutureOptionVolatilities volatilities)
{
return(calc.pv01MarketQuoteSum(trade, ratesProvider, volatilities));
}
