// market quote bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities 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 curve sensitivity of the CMS trade by simple forward estimation.
/// <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 CMS trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedCmsTrade trade, RatesProvider ratesProvider)
{
PointSensitivityBuilder pvSensiCms = productPricer.presentValueSensitivity(trade.Product, ratesProvider);
if (!trade.Premium.Present)
{
return(pvSensiCms.build());
}
PointSensitivityBuilder pvSensiPremium = paymentPricer.presentValueSensitivity(trade.Premium.get(), ratesProvider);
return(pvSensiCms.combinedWith(pvSensiPremium).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the CMS trade by simple forward estimation.
/// </summary>
/// <param name="trade"> the CMS trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the present value </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedCmsTrade trade, RatesProvider ratesProvider)
{
MultiCurrencyAmount pvCms = productPricer.presentValue(trade.Product, ratesProvider);
if (!trade.Premium.Present)
{
return(pvCms);
}
CurrencyAmount pvPremium = paymentPricer.presentValue(trade.Premium.get(), ratesProvider);
return(pvCms.plus(pvPremium));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure of the trade.
/// </summary>
/// <param name="trade"> the CMS trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
MultiCurrencyAmount ceCms = productPricer.currencyExposure(trade.Product, ratesProvider, swaptionVolatilities);
if (!trade.Premium.Present)
{
return(ceCms);
}
CurrencyAmount pvPremium = paymentPricer.presentValue(trade.Premium.get(), ratesProvider);
return(ceCms.plus(pvPremium));
}
/// <summary>
/// Calculates the current cash of the trade.
/// </summary>
/// <param name="trade"> the CMS trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the current cash </returns>
public virtual MultiCurrencyAmount currentCash(ResolvedCmsTrade trade, RatesProvider ratesProvider)
{
MultiCurrencyAmount ccCms = productPricer.currentCash(trade.Product, ratesProvider);
if (!trade.Premium.Present)
{
return(ccCms);
}
Payment premium = trade.Premium.get();
if (premium.Date.Equals(ratesProvider.ValuationDate))
{
ccCms = ccCms.plus(premium.Currency, premium.Amount);
}
return(ccCms);
}
//-------------------------------------------------------------------------
/// <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="swaptionLookup"> the lookup used to query the swaption market data </param>
/// <returns> the present value sensitivity, one entry per scenario </returns>
public virtual ScenarioArray <CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)
{
return(calc.pv01RatesMarketQuoteBucketed(trade, ratesLookup.marketDataView(marketData), swaptionLookup.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 swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual MultiCurrencyAmount pv01RatesMarketQuoteSum(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
return(calc.pv01RatesMarketQuoteSum(trade, ratesProvider, volatilities));
}
/// <summary>
/// Calculates the present value sensitivity to the strike value.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to the strike value.
///
/// </para>
/// </summary>
/// <param name="trade"> the CMS trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual double presentValueSensitivityStrike(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
return(productPricer.presentValueSensitivityStrike(trade.Product, ratesProvider, swaptionVolatilities));
}
//-------------------------------------------------------------------------
/// <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="swaptionLookup"> the lookup used to query the swaption market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value, one entry per scenario </returns>
public virtual MultiCurrencyScenarioArray presentValue(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)
{
return(calc.presentValue(trade, ratesLookup.marketDataView(marketData), swaptionLookup.marketDataView(marketData)));
}
// present value for one scenario
internal MultiCurrencyAmount presentValue(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
return(tradePricer.presentValue(trade, ratesProvider, checkSabr(volatilities)));
}
//-------------------------------------------------------------------------
// returns the Ibor index or the CMS leg
internal static IborIndex cmsLegIborIndex(ResolvedCmsTrade trade)
{
return(trade.Product.CmsLeg.UnderlyingIndex);
}
// point sensitivity
private PointSensitivities pointSensitivity(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
return(tradePricer.presentValueSensitivityRates(trade, ratesProvider, checkSabr(volatilities)));
}
//-------------------------------------------------------------------------
// calculates market quote bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(ResolvedCmsTrade trade, RatesScenarioMarketData ratesMarketData, SwaptionScenarioMarketData swaptionMarketData)
{
IborIndex index = cmsLegIborIndex(trade);
return(ScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01RatesMarketQuoteBucketed(trade, ratesMarketData.scenario(i).ratesProvider(), swaptionMarketData.scenario(i).volatilities(index))));
}
/// <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 swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
return(calc.pv01RatesMarketQuoteBucketed(trade, ratesProvider, volatilities));
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
internal MultiCurrencyScenarioArray pv01RatesCalibratedSum(ResolvedCmsTrade trade, RatesScenarioMarketData ratesMarketData, SwaptionScenarioMarketData swaptionMarketData)
{
IborIndex index = cmsLegIborIndex(trade);
return(MultiCurrencyScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01RatesCalibratedSum(trade, ratesMarketData.scenario(i).ratesProvider(), swaptionMarketData.scenario(i).volatilities(index))));
}
/// <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>
/// <param name="volatilities"> the swaption volatilities </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
return(calc.currencyExposure(trade, ratesProvider, volatilities));
}
// calibrated sum PV01 for one scenario
internal MultiCurrencyAmount pv01RatesCalibratedSum(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
PointSensitivities pointSensitivity = this.pointSensitivity(trade, ratesProvider, volatilities);
return(ratesProvider.parameterSensitivity(pointSensitivity).total().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 swaption volatilities </param>
/// <returns> the present value </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
return(calc.presentValue(trade, ratesProvider, volatilities));
}
/// <summary>
/// Calculates the present value sensitivity to the SABR model parameters.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to the SABR model parameters,
/// alpha, beta, rho and nu.
///
/// </para>
/// </summary>
/// <param name="trade"> the CMS trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivities presentValueSensitivityModelParamsSabr(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
return(productPricer.presentValueSensitivityModelParamsSabr(trade.Product, ratesProvider, swaptionVolatilities).build());
}
