// market quote bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities 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 the present value of the Ibor cap/floor trade.
/// <para>
/// The present value of the trade is the value on the valuation date.
/// </para>
/// <para>
/// The cap/floor leg and pay leg are typically in the same currency, thus the
/// present value gamma is expressed as a single currency amount in most cases.
///
/// </para>
/// </summary>
/// <param name="trade"> the Ibor cap/floor trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the present value </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
MultiCurrencyAmount pvProduct = productPricer.presentValue(trade.Product, ratesProvider, volatilities);
if (!trade.Premium.Present)
{
return(pvProduct);
}
CurrencyAmount pvPremium = paymentPricer.presentValue(trade.Premium.get(), ratesProvider);
return(pvProduct.plus(pvPremium));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value rates sensitivity of the Ibor cap/floor trade.
/// <para>
/// The present value rates sensitivity of the trade is the sensitivity
/// of the present value to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the Ibor cap/floor trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivities presentValueSensitivityRates(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
PointSensitivityBuilder pvSensiProduct = productPricer.presentValueSensitivityRates(trade.Product, ratesProvider, volatilities);
if (!trade.Premium.Present)
{
return(pvSensiProduct.build());
}
PointSensitivityBuilder pvSensiPremium = paymentPricer.presentValueSensitivity(trade.Premium.get(), ratesProvider);
return(pvSensiProduct.combinedWith(pvSensiPremium).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the current cash of the Ibor cap/floor trade.
/// </summary>
/// <param name="trade"> the Ibor cap/floor trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the current cash </returns>
public virtual MultiCurrencyAmount currentCash(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
MultiCurrencyAmount ccProduct = productPricer.currentCash(trade.Product, ratesProvider, volatilities);
if (!trade.Premium.Present)
{
return(ccProduct);
}
Payment premium = trade.Premium.get();
if (premium.Date.Equals(ratesProvider.ValuationDate))
{
ccProduct = ccProduct.plus(premium.Currency, premium.Amount);
}
return(ccProduct);
}
// calibrated bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01RatesCalibratedBucketed(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
PointSensitivities pointSensitivity = this.pointSensitivity(trade, ratesProvider, volatilities);
return(ratesProvider.parameterSensitivity(pointSensitivity).multipliedBy(ONE_BASIS_POINT));
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01RatesCalibratedBucketed(ResolvedIborCapFloorTrade trade, RatesScenarioMarketData ratesMarketData, IborCapFloorScenarioMarketData capFloorMarketData)
{
IborIndex index = trade.Product.CapFloorLeg.Index;
return(ScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01RatesCalibratedBucketed(trade, ratesMarketData.scenario(i).ratesProvider(), capFloorMarketData.scenario(i).volatilities(index))));
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
internal MultiCurrencyScenarioArray pv01RatesCalibratedSum(ResolvedIborCapFloorTrade trade, RatesScenarioMarketData ratesMarketData, IborCapFloorScenarioMarketData capFloorMarketData)
{
IborIndex index = trade.Product.CapFloorLeg.Index;
return(MultiCurrencyScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01RatesCalibratedSum(trade, ratesMarketData.scenario(i).ratesProvider(), capFloorMarketData.scenario(i).volatilities(index))));
}
// present value for one scenario
internal MultiCurrencyAmount presentValue(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
return(tradePricer.presentValue(trade, ratesProvider, volatilities));
}
// point sensitivity
private PointSensitivities pointSensitivity(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
return(tradePricer.presentValueSensitivityRates(trade, ratesProvider, volatilities));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value volatility sensitivity of the Ibor cap/floor product.
/// <para>
/// The present value volatility sensitivity of the product is the sensitivity
/// of the present value to the volatility values.
///
/// </para>
/// </summary>
/// <param name="trade"> the Ibor cap/floor trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivityModelParamsVolatility(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
return(productPricer.presentValueSensitivityModelParamsVolatility(trade.Product, ratesProvider, volatilities));
}
//-------------------------------------------------------------------------
/// <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 calibrated curves.
/// The result is the sum of the sensitivities of all affected curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesLookup"> the lookup used to query the market data </param>
/// <param name="capFloorLookup"> the lookup used to query the cap/floor market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value sensitivity, one entry per scenario </returns>
public virtual MultiCurrencyScenarioArray pv01RatesCalibratedSum(ResolvedIborCapFloorTrade trade, RatesMarketDataLookup ratesLookup, IborCapFloorMarketDataLookup capFloorLookup, ScenarioMarketData marketData)
{
return(calc.pv01RatesCalibratedSum(trade, ratesLookup.marketDataView(marketData), capFloorLookup.marketDataView(marketData)));
}
/// <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 cap/floor volatilities </param>
/// <returns> the present value </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
return(calc.presentValue(trade, ratesProvider, volatilities));
}
//-------------------------------------------------------------------------
/// <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="ratesLookup"> the lookup used to query the market data </param>
/// <param name="capFloorLookup"> the lookup used to query the cap/floor market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the currency exposure, one entry per scenario </returns>
public virtual MultiCurrencyScenarioArray currencyExposure(ResolvedIborCapFloorTrade trade, RatesMarketDataLookup ratesLookup, IborCapFloorMarketDataLookup capFloorLookup, ScenarioMarketData marketData)
{
return(calc.currencyExposure(trade, ratesLookup.marketDataView(marketData), capFloorLookup.marketDataView(marketData)));
}
/// <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 cap/floor volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
return(calc.pv01RatesMarketQuoteBucketed(trade, ratesProvider, volatilities));
}
//-------------------------------------------------------------------------
/// <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="capFloorLookup"> the lookup used to query the cap/floor market data </param>
/// <returns> the present value sensitivity, one entry per scenario </returns>
public virtual ScenarioArray <CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(ResolvedIborCapFloorTrade trade, RatesMarketDataLookup ratesLookup, IborCapFloorMarketDataLookup capFloorLookup, ScenarioMarketData marketData)
{
return(calc.pv01RatesMarketQuoteBucketed(trade, ratesLookup.marketDataView(marketData), capFloorLookup.marketDataView(marketData)));
}
/// <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 cap/floor volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual MultiCurrencyAmount pv01RatesMarketQuoteSum(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
return(calc.pv01RatesMarketQuoteSum(trade, ratesProvider, volatilities));
}
