// present value for one scenario
internal CurrencyAmount presentValue(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
// mark to model
double settlementPrice = this.settlementPrice(trade, discountingProvider);
return(tradePricer.presentValue(trade, discountingProvider, settlementPrice));
}
// market quote bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider ratesProvider)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
return(MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider).multipliedBy(ONE_BASIS_POINT));
}
//-------------------------------------------------------------------------
// gets the settlement price
private double settlementPrice(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
StandardId standardId = trade.Product.SecurityId.StandardId;
QuoteId id = QuoteId.of(standardId, FieldName.SETTLEMENT_PRICE);
return(discountingProvider.data(id) / 100); // convert market quote to value needed
}
/// <summary>
/// Calculates the currency exposure of the bond future trade with z-spread.
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates
/// of the issuer discounting curve.
/// </para>
/// <para>
/// This method calculates based on the difference between the model price and the
/// last settlement price, or the trade price if traded on the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="discountingProvider"> the discounting provider </param>
/// <param name="lastSettlementPrice"> the last settlement price used for margining, in decimal form </param>
/// <param name="zSpread"> the z-spread </param>
/// <param name="compoundedRateType"> the compounded rate type </param>
/// <param name="periodPerYear"> the number of periods per year </param>
/// <returns> the currency exposure of the bond future trade </returns>
public MultiCurrencyAmount currencyExposureWithZSpread(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider, double lastSettlementPrice, double zSpread, CompoundedRateType compoundedRateType, int periodPerYear)
{
double price = priceWithZSpread(trade, discountingProvider, zSpread, compoundedRateType, periodPerYear);
double referencePrice = this.referencePrice(trade, discountingProvider.ValuationDate, lastSettlementPrice);
return(MultiCurrencyAmount.of(presentValue(trade, price, referencePrice)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure of the bond future trade.
/// <para>
/// This method calculates based on the difference between the model price and the
/// last settlement price, or the trade price if traded on the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="discountingProvider"> the discounting provider </param>
/// <param name="lastSettlementPrice"> the last settlement price used for margining, in decimal form </param>
/// <returns> the currency exposure of the bond future trade </returns>
public MultiCurrencyAmount currencyExposure(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider, double lastSettlementPrice)
{
double price = this.price(trade, discountingProvider);
double referencePrice = this.referencePrice(trade, discountingProvider.ValuationDate, lastSettlementPrice);
return(MultiCurrencyAmount.of(presentValue(trade, price, referencePrice)));
}
/// <summary>
/// Calculates the present value sensitivity of the bond future trade with z-spread.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to
/// the underlying curves.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates
/// of the issuer discounting curve.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="discountingProvider"> the discounting provider </param>
/// <param name="zSpread"> the z-spread </param>
/// <param name="compoundedRateType"> the compounded rate type </param>
/// <param name="periodPerYear"> the number of periods per year </param>
/// <returns> the present value curve sensitivity of the trade </returns>
public PointSensitivities presentValueSensitivityWithZSpread(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider, double zSpread, CompoundedRateType compoundedRateType, int periodPerYear)
{
ResolvedBondFuture product = trade.Product;
PointSensitivities priceSensi = productPricer.priceSensitivityWithZSpread(product, discountingProvider, zSpread, compoundedRateType, periodPerYear);
PointSensitivities marginIndexSensi = productPricer.marginIndexSensitivity(product, priceSensi);
return(marginIndexSensi.multipliedBy(trade.Quantity));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the bond future 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="discountingProvider"> the discounting provider </param>
/// <returns> the present value curve sensitivity of the trade </returns>
public PointSensitivities presentValueSensitivity(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
ResolvedBondFuture product = trade.Product;
PointSensitivities priceSensi = productPricer.priceSensitivity(product, discountingProvider);
PointSensitivities marginIndexSensi = productPricer.marginIndexSensitivity(product, priceSensi);
return(marginIndexSensi.multipliedBy(trade.Quantity));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the bond future trade from the current price.
/// <para>
/// The present value of the product is the value on the valuation date.
/// </para>
/// <para>
/// The calculation is performed against a reference price. The reference price
/// must be the last settlement price used for margining, except on the trade date,
/// when it must be the trade price.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="currentPrice"> the price on the valuation date </param>
/// <param name="referencePrice"> the price with respect to which the margining should be done </param>
/// <returns> the present value </returns>
internal CurrencyAmount presentValue(ResolvedBondFutureTrade trade, double currentPrice, double referencePrice)
{
ResolvedBondFuture future = trade.Product;
double priceIndex = productPricer.marginIndex(future, currentPrice);
double referenceIndex = productPricer.marginIndex(future, referencePrice);
double pv = (priceIndex - referenceIndex) * trade.Quantity;
return(CurrencyAmount.of(future.Currency, pv));
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedBondFutureTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedBucketed(trade, marketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
// calculates currency exposure for all scenarios
internal MultiCurrencyScenarioArray currencyExposure(ResolvedBondFutureTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => currencyExposure(trade, marketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
// calculates unit price for all scenarios
internal DoubleScenarioArray unitPrice(ResolvedBondFutureTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(DoubleScenarioArray.of(marketData.ScenarioCount, i => unitPrice(trade, marketData.scenario(i).discountingProvider())));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, 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(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider ratesProvider)
{
return(calc.pv01MarketQuoteSum(trade, ratesProvider));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, 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="discountingProvider"> the market data </param>
/// <returns> the present value sensitivity </returns>
public virtual MultiCurrencyAmount pv01CalibratedSum(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
return(calc.pv01CalibratedSum(trade, discountingProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, 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(ResolvedBondFutureTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.pv01CalibratedSum(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price of the bond future trade.
/// <para>
/// The price of the trade is the price on the valuation date.
/// </para>
/// <para>
/// Strata uses <i>decimal prices</i> for bond futures. This is coherent with the pricing of <seealso cref="FixedCouponBond"/>.
/// For example, a price of 99.32% is represented in Strata by 0.9932.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="discountingProvider"> the discounting provider </param>
/// <returns> the price of the trade, in decimal form </returns>
public double price(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
return(productPricer.price(trade.Product, discountingProvider));
}
//-------------------------------------------------------------------------
/// <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(ResolvedBondFutureTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.presentValue(trade, lookup.marketDataView(marketData)));
}
/// <summary>
/// Calculates present value for a single set of market data.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="discountingProvider"> the market data </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
return(calc.presentValue(trade, discountingProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, 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(ResolvedBondFutureTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.pv01MarketQuoteBucketed(trade, lookup.marketDataView(marketData)));
}
// par spread for one scenario
internal double parSpread(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
double settlementPrice = this.settlementPrice(trade, discountingProvider);
return(tradePricer.parSpread(trade, discountingProvider, settlementPrice));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, 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(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider ratesProvider)
{
return(calc.pv01MarketQuoteBucketed(trade, ratesProvider));
}
// unit price for one scenario
internal double unitPrice(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
// mark to model
return(tradePricer.price(trade, discountingProvider));
}
/// <summary>
/// Calculates par spread for a single set of market data.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="discountingProvider"> the market data </param>
/// <returns> the par spread </returns>
public virtual double parSpread(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
return(calc.parSpread(trade, discountingProvider));
}
// currency exposure for one scenario
internal MultiCurrencyAmount currencyExposure(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
double settlementPrice = this.settlementPrice(trade, discountingProvider);
return(tradePricer.currencyExposure(trade, discountingProvider, settlementPrice));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates unit price across one or more scenarios.
/// <para>
/// This is the price of a single unit of the security.
///
/// <h4>Price</h4>
/// Strata uses <i>decimal prices</i> for bond futures in the trade model, pricers and market data.
/// This is coherent with the pricing of <seealso cref="FixedCouponBond"/>. The bond futures delivery is a bond
/// for an amount computed from the bond future price, a conversion factor and the accrued interest.
///
/// </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, one entry per scenario </returns>
public virtual DoubleScenarioArray unitPrice(ResolvedBondFutureTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.unitPrice(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal CurrencyScenarioArray presentValue(ResolvedBondFutureTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => presentValue(trade, marketData.scenario(i).discountingProvider())));
}
/// <summary>
/// Calculates unit price for a single set of market data.
/// <para>
/// This is the price of a single unit of the security.
///
/// <h4>Price</h4>
/// Strata uses <i>decimal prices</i> for bond futures in the trade model, pricers and market data.
/// This is coherent with the pricing of <seealso cref="FixedCouponBond"/>. The bond futures delivery is a bond
/// for an amount computed from the bond future price, a conversion factor and the accrued interest.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="discountingProvider"> the market data </param>
/// <returns> the present value </returns>
public virtual double unitPrice(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
return(calc.unitPrice(trade, discountingProvider));
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
internal MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedBondFutureTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedSum(trade, marketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
/// <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(ResolvedBondFutureTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.currencyExposure(trade, lookup.marketDataView(marketData)));
}
// calibrated bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, discountingProvider);
return(discountingProvider.parameterSensitivity(pointSensitivity).multipliedBy(ONE_BASIS_POINT));
}
/// <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="discountingProvider"> the market data </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
return(calc.currencyExposure(trade, discountingProvider));
}
