// current cash for one scenario
internal MultiCurrencyAmount accruedInterest(ResolvedSwapTrade trade, RatesProvider ratesProvider)
{
return(tradePricer.accruedInterest(trade, ratesProvider));
}
// calculates the present value curve sensitivity of the periods composing the leg in the currency of the swap leg
internal virtual PointSensitivityBuilder presentValueSensitivityPeriodsInternal(ResolvedSwapLeg leg, RatesProvider provider)
{
PointSensitivityBuilder builder = PointSensitivityBuilder.none();
foreach (SwapPaymentPeriod period in leg.PaymentPeriods)
{
if (!period.PaymentDate.isBefore(provider.ValuationDate))
{
builder = builder.combinedWith(paymentPeriodPricer.presentValueSensitivity(period, provider));
}
}
return(builder);
}
private MultiCurrencyAmount currencyExposureEventsInternal(ResolvedSwapLeg leg, RatesProvider provider)
{
MultiCurrencyAmount total = MultiCurrencyAmount.empty();
foreach (SwapPaymentEvent @event in leg.PaymentEvents)
{
if ([email protected](provider.ValuationDate))
{
total = total.plus(paymentEventPricer.currencyExposure(@event, provider));
}
}
return(total);
}
// calculates the present value in the currency of the swap leg
internal virtual double forecastValueInternal(ResolvedSwapLeg leg, RatesProvider provider)
{
return(forecastValuePeriodsInternal(leg, provider) + forecastValueEventsInternal(leg, provider));
}
/// <summary>
/// Calculates the forecast value sensitivity of the swap leg.
/// <para>
/// The forecast value sensitivity of the leg is the sensitivity of the forecast value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="leg"> the leg </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the forecast value curve sensitivity of the swap leg </returns>
public virtual PointSensitivityBuilder forecastValueSensitivity(ResolvedSwapLeg leg, RatesProvider provider)
{
return(legValueSensitivity(leg, provider, paymentPeriodPricer.forecastValueSensitivity, paymentEventPricer.forecastValueSensitivity));
}
public virtual void calibration_present_value_twoGroups()
{
RatesProvider result = CALIBRATOR.calibrate(ImmutableList.of(GROUP_1, GROUP_2), KNOWN_DATA, ALL_QUOTES_BD, REF_DATA);
assertResult(result, ALL_QUOTES_BD);
}
// calculates the present value in the currency of the swap leg
internal virtual double presentValueInternal(ResolvedSwapLeg leg, RatesProvider provider)
{
return(presentValuePeriodsInternal(leg, provider) + presentValueEventsInternal(leg, provider));
}
/// <summary>
/// Calculates the forecast value sensitivity of the swap product.
/// <para>
/// The forecast value sensitivity of the product is the sensitivity of the forecast value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="swap"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the forecast value curve sensitivity of the swap product </returns>
public virtual PointSensitivityBuilder forecastValueSensitivity(ResolvedSwap swap, RatesProvider provider)
{
return(swapValueSensitivity(swap, provider, legPricer.forecastValueSensitivity));
}
// calculate present or forecast value sensitivity for the swap
private static PointSensitivityBuilder swapValueSensitivity(ResolvedSwap swap, RatesProvider provider, System.Func <ResolvedSwapLeg, RatesProvider, PointSensitivityBuilder> legFn)
{
PointSensitivityBuilder builder = PointSensitivityBuilder.none();
foreach (ResolvedSwapLeg leg in swap.Legs)
{
builder = builder.combinedWith(legFn(leg, provider));
}
return(builder);
}
/// <summary>
/// Calculates the forecast value of the swap product.
/// <para>
/// The forecast value of the product is the value on the valuation date without present value discounting.
/// The result is expressed using the payment currency of each leg.
///
/// </para>
/// </summary>
/// <param name="swap"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the forecast value of the swap product </returns>
public virtual MultiCurrencyAmount forecastValue(ResolvedSwap swap, RatesProvider provider)
{
return(swapValue(provider, swap, legPricer.forecastValueInternal));
}
/// <summary>
/// Calculates the present value sensitivity of the swap product converted in a given currency.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="swap"> the product </param>
/// <param name="currency"> the currency to convert to </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the present value curve sensitivity of the swap product converted in the given currency </returns>
public virtual PointSensitivityBuilder presentValueSensitivity(ResolvedSwap swap, Currency currency, RatesProvider provider)
{
PointSensitivityBuilder builder = PointSensitivityBuilder.none();
foreach (ResolvedSwapLeg leg in swap.Legs)
{
PointSensitivityBuilder ls = legPricer.presentValueSensitivity(leg, provider);
PointSensitivityBuilder lsConverted = ls.withCurrency(currency).multipliedBy(provider.fxRate(leg.Currency, currency));
builder = builder.combinedWith(lsConverted);
}
return(builder);
}
// current cash for one scenario
internal MultiCurrencyAmount currentCash(ResolvedSwapTrade trade, RatesProvider ratesProvider)
{
return(tradePricer.currentCash(trade, ratesProvider));
}
// present value for a leg
private SwapLegAmount legAmount(ResolvedSwapLeg leg, RatesProvider provider)
{
CurrencyAmount amount = tradePricer.ProductPricer.LegPricer.presentValue(leg, provider);
return(SwapLegAmount.of(leg, amount));
}
// leg present value for one scenario
internal LegAmounts legPresentValue(ResolvedSwapTrade trade, RatesProvider ratesProvider)
{
IList <LegAmount> legAmounts = trade.Product.Legs.Select(leg => legAmount(leg, ratesProvider)).ToList();
return(LegAmounts.of(legAmounts));
}
//-------------------------------------------------------------------------
public virtual void calibration_present_value_oneGroup_no_fixing()
{
RatesProvider result = CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, ALL_QUOTES_BD, REF_DATA);
assertResult(result, ALL_QUOTES_BD);
}
/// <summary>
/// Calculates the par spread curve sensitivity for a swap.
/// <para>
/// The par spread is the common spread on all payments of the first leg for which the total swap present value is 0.
/// </para>
/// <para>
/// The par spread is computed with respect to the first leg. For that leg, all the payments have a unique
/// accrual period (no compounding) and no FX reset.
///
/// </para>
/// </summary>
/// <param name="swap"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par spread curve sensitivity of the swap product </returns>
public virtual PointSensitivityBuilder parSpreadSensitivity(ResolvedSwap swap, RatesProvider provider)
{
ResolvedSwapLeg referenceLeg = swap.Legs.get(0);
Currency ccyReferenceLeg = referenceLeg.Currency;
double convertedPv = presentValue(swap, ccyReferenceLeg, provider).Amount;
PointSensitivityBuilder convertedPvDr = presentValueSensitivity(swap, ccyReferenceLeg, provider);
// try one payment compounding, typically for inflation swaps
Triple <bool, int, double> fixedCompounded = checkFixedCompounded(referenceLeg);
if (fixedCompounded.First)
{
double df = provider.discountFactor(ccyReferenceLeg, referenceLeg.PaymentPeriods.get(0).PaymentDate);
PointSensitivityBuilder dfDr = provider.discountFactors(ccyReferenceLeg).zeroRatePointSensitivity(referenceLeg.PaymentPeriods.get(0).PaymentDate);
double referenceConvertedPv = legPricer.presentValue(referenceLeg, provider).Amount;
PointSensitivityBuilder referenceConvertedPvDr = legPricer.presentValueSensitivity(referenceLeg, provider);
double notional = ((RatePaymentPeriod)referenceLeg.PaymentPeriods.get(0)).Notional;
PointSensitivityBuilder dParSpreadDr = convertedPvDr.combinedWith(referenceConvertedPvDr.multipliedBy(-1)).multipliedBy(-1.0d / (df * notional)).combinedWith(dfDr.multipliedBy((convertedPv - referenceConvertedPv) / (df * df * notional))).multipliedBy(1.0d / fixedCompounded.Second * Math.Pow(-(convertedPv - referenceConvertedPv) / (df * notional) + 1.0d, 1.0d / fixedCompounded.Second - 1.0d));
return(dParSpreadDr);
}
double pvbp = legPricer.pvbp(referenceLeg, provider);
// Backward sweep
double convertedPvBar = -1d / pvbp;
double pvbpBar = convertedPv / (pvbp * pvbp);
PointSensitivityBuilder pvbpDr = legPricer.pvbpSensitivity(referenceLeg, provider);
return(convertedPvDr.multipliedBy(convertedPvBar).combinedWith(pvbpDr.multipliedBy(pvbpBar)));
}
public virtual void calibration_present_value_oneGroup_holiday()
{
RatesProvider result = CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, ALL_QUOTES_HO.combinedWith(TS_HO_LIBOR3M), REF_DATA);
assertResult(result, ALL_QUOTES_HO);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the future cash flows of the swap product.
/// <para>
/// Each expected cash flow is added to the result.
/// This is based on <seealso cref="#forecastValue(ResolvedSwap, RatesProvider)"/>.
///
/// </para>
/// </summary>
/// <param name="swap"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the cash flow </returns>
public virtual CashFlows cashFlows(ResolvedSwap swap, RatesProvider provider)
{
//JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter:
return(swap.Legs.Select(leg => legPricer.cashFlows(leg, provider)).Aggregate(CashFlows.NONE, CashFlows::combinedWith));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the swap leg, converted to the specified currency.
/// <para>
/// The present value of the leg is the value on the valuation date.
/// This is the discounted forecast value.
/// The result is converted to the specified currency.
///
/// </para>
/// </summary>
/// <param name="leg"> the leg </param>
/// <param name="currency"> the currency to convert to </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the present value of the swap leg in the specified currency </returns>
public virtual CurrencyAmount presentValue(ResolvedSwapLeg leg, Currency currency, RatesProvider provider)
{
double pv = presentValueInternal(leg, provider);
return(CurrencyAmount.of(currency, (pv * provider.fxRate(leg.Currency, currency))));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the swap product, converted to the specified currency.
/// <para>
/// The present value of the product is the value on the valuation date.
/// This is the discounted forecast value.
/// The result is converted to the specified currency.
///
/// </para>
/// </summary>
/// <param name="swap"> the product </param>
/// <param name="currency"> the currency to convert to </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the present value of the swap product in the specified currency </returns>
public virtual CurrencyAmount presentValue(ResolvedSwap swap, Currency currency, RatesProvider provider)
{
double totalPv = 0;
foreach (ResolvedSwapLeg leg in swap.Legs)
{
double pv = legPricer.presentValueInternal(leg, provider);
totalPv += (pv * provider.fxRate(leg.Currency, currency));
}
return(CurrencyAmount.of(currency, totalPv));
}
/// <summary>
/// Calculates the forecast value of the swap leg.
/// <para>
/// The forecast value of the leg is the value on the valuation date without present value discounting.
/// The result is returned using the payment currency of the leg.
///
/// </para>
/// </summary>
/// <param name="leg"> the leg </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the forecast value of the swap leg </returns>
public virtual CurrencyAmount forecastValue(ResolvedSwapLeg leg, RatesProvider provider)
{
return(CurrencyAmount.of(leg.Currency, forecastValueInternal(leg, provider)));
}
//-------------------------------------------------------------------------
public virtual void calibration_present_value_oneGroup()
{
RatesProvider result = CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, ALL_QUOTES, REF_DATA);
assertPresentValue(result);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the coupon equivalent of a swap leg.
/// <para>
/// The coupon equivalent is the common fixed coupon for all the periods which would
/// result in the same present value of the leg.
/// </para>
/// <para>
/// This is used in particular for swaption pricing with a model on the swap rate.
///
/// </para>
/// </summary>
/// <param name="leg"> the swap leg </param>
/// <param name="provider"> the rates provider </param>
/// <param name="pvbp"> the present value of a basis point </param>
/// <returns> the fixed coupon equivalent </returns>
public virtual double couponEquivalent(ResolvedSwapLeg leg, RatesProvider provider, double pvbp)
{
return(presentValuePeriodsInternal(leg, provider) / pvbp);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutableConstructor private DefaultRatesMarketData(RatesMarketDataLookup lookup, com.opengamma.strata.data.MarketData marketData)
private DefaultRatesMarketData(RatesMarketDataLookup lookup, MarketData marketData)
{
this.lookup = ArgChecker.notNull(lookup, "lookup");
this.marketData = ArgChecker.notNull(marketData, "marketData");
this.ratesProvider_Renamed = lookup.ratesProvider(marketData);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the Present Value of a Basis Point curve sensitivity for a fixed swap leg.
/// <para>
/// The Present Value of a Basis Point is the value of the leg when the rate is equal to 1.
/// A better name would be "Present Value of 1".
/// The quantity is also known as "physical annuity" or "level".
/// </para>
/// <para>
/// Each period must not have FX reset or compounding.
/// They must not be of type <seealso cref="KnownAmountSwapPaymentPeriod"/>.
///
/// </para>
/// </summary>
/// <param name="fixedLeg"> the swap fixed leg </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the Present Value of a Basis Point sensitivity to the curves </returns>
public virtual PointSensitivityBuilder pvbpSensitivity(ResolvedSwapLeg fixedLeg, RatesProvider provider)
{
PointSensitivityBuilder builder = PointSensitivityBuilder.none();
foreach (SwapPaymentPeriod period in fixedLeg.PaymentPeriods)
{
builder = builder.combinedWith(paymentPeriodPricer.pvbpSensitivity(period, provider));
}
return(builder);
}
/// <summary> /// Calibrates caplet volatilities to cap volatilities. /// </summary> /// <param name="definition"> the caplet volatility definition </param> /// <param name="calibrationDateTime"> the calibration time </param> /// <param name="capFloorData"> the cap data </param> /// <param name="ratesProvider"> the rates provider </param> /// <returns> the calibration result </returns> public abstract IborCapletFloorletVolatilityCalibrationResult calibrate(IborCapletFloorletVolatilityDefinition definition, ZonedDateTime calibrationDateTime, RawOptionData capFloorData, RatesProvider ratesProvider);
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure of the swap leg.
/// </summary>
/// <param name="leg"> the leg </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the currency exposure of the swap leg </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedSwapLeg leg, RatesProvider provider)
{
return(currencyExposurePeriodsInternal(leg, provider).plus(currencyExposureEventsInternal(leg, provider)));
}
//-------------------------------------------------------------------------
// create complete lists of caps, volatilities, strikes, expiries
protected internal virtual void reduceRawData(IborCapletFloorletVolatilityDefinition definition, RatesProvider ratesProvider, DoubleArray strikes, DoubleArray volatilityData, DoubleArray errors, LocalDate startDate, LocalDate endDate, SurfaceMetadata metadata, System.Func <Surface, IborCapletFloorletVolatilities> volatilityFunction, IList <double> timeList, IList <double> strikeList, IList <double> volList, IList <ResolvedIborCapFloorLeg> capList, IList <double> priceList, IList <double> errorList)
{
int nStrikes = strikes.size();
for (int i = 0; i < nStrikes; ++i)
{
if (Double.isFinite(volatilityData.get(i)))
{
ResolvedIborCapFloorLeg capFloor = definition.createCap(startDate, endDate, strikes.get(i)).resolve(referenceData);
capList.Add(capFloor);
strikeList.Add(strikes.get(i));
volList.Add(volatilityData.get(i));
ConstantSurface constVolSurface = ConstantSurface.of(metadata, volatilityData.get(i));
IborCapletFloorletVolatilities vols = volatilityFunction(constVolSurface);
timeList.Add(vols.relativeTime(capFloor.FinalFixingDateTime));
priceList.Add(pricer.presentValue(capFloor, ratesProvider, vols).Amount);
errorList.Add(errors.get(i));
}
}
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the current cash of the swap leg.
/// </summary>
/// <param name="leg"> the leg </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the current cash of the swap leg </returns>
public virtual CurrencyAmount currentCash(ResolvedSwapLeg leg, RatesProvider provider)
{
return(CurrencyAmount.of(leg.Currency, currentCashPeriodsInternal(leg, provider) + (currentCashEventsInternal(leg, provider))));
}
// cash flows for one scenario
internal CashFlows cashFlows(ResolvedSwapTrade trade, RatesProvider ratesProvider)
{
return(tradePricer.cashFlows(trade, ratesProvider));
}
