// market quote bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
return(MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider).multipliedBy(ONE_BASIS_POINT));
}
//-------------------------------------------------------------------------
// calculates par spread for all scenarios
internal DoubleScenarioArray parSpread(ResolvedFxSingleTrade trade, RatesScenarioMarketData marketData)
{
return(DoubleScenarioArray.of(marketData.ScenarioCount, i => parSpread(trade, marketData.scenario(i).ratesProvider())));
}
/// <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>
/// <returns> the present value </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)
{
return(calc.presentValue(trade, ratesProvider));
}
/// <summary>
/// Calculates the forward FX rate for a single set of market data.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <returns> the current cash </returns>
public virtual FxRate forwardFxRate(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)
{
return(calc.forwardFxRate(trade, ratesProvider));
}
/// <summary>
/// Calculates current cash for a single set of market data.
/// <para>
/// The sum of all cash flows paid on the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <returns> the current cash </returns>
public virtual MultiCurrencyAmount currentCash(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)
{
return(calc.currentCash(trade, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates par spread 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 par spread, one entry per scenario </returns>
public virtual DoubleScenarioArray parSpread(ResolvedFxSingleTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.parSpread(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedFxSingleTrade, RatesMarketDataLookup, 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(ResolvedFxSingleTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.pv01MarketQuoteBucketed(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure by discounting each payment in its own currency.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedFxSingleTrade trade, RatesProvider provider)
{
return(productPricer.currencyExposure(trade.Product, provider));
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
internal MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedFxSingleTrade trade, RatesScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedSum(trade, marketData.scenario(i).ratesProvider())));
}
// present value for one scenario
internal MultiCurrencyAmount presentValue(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)
{
return(tradePricer.presentValue(trade, ratesProvider));
}
// forward FX rate for one scenario
internal FxRate forwardFxRate(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)
{
return(tradePricer.forwardFxRate(trade, ratesProvider));
}
//-------------------------------------------------------------------------
// calculates forward FX rate for all scenarios
internal ScenarioArray <FxRate> forwardFxRate(ResolvedFxSingleTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => forwardFxRate(trade, marketData.scenario(i).ratesProvider())));
}
// current cash for one scenario
internal MultiCurrencyAmount currentCash(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)
{
return(tradePricer.currentCash(trade, ratesProvider));
}
//-------------------------------------------------------------------------
// calculates currency exposure for all scenarios
internal MultiCurrencyScenarioArray currencyExposure(ResolvedFxSingleTrade trade, RatesScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => currencyExposure(trade, marketData.scenario(i).ratesProvider())));
}
// par spread for one scenario
internal double parSpread(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)
{
return(tradePricer.parSpread(trade, ratesProvider));
}
/// <summary>
/// Calculates the present value curve sensitivity of the 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="provider"> the rates provider </param>
/// <returns> the point sensitivity of the present value </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedFxSingleTrade trade, RatesProvider provider)
{
return(productPricer.presentValueSensitivity(trade.Product, provider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the par spread.
/// <para>
/// This is the spread that should be added to the FX points to have a zero value.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the spread </returns>
public virtual double parSpread(ResolvedFxSingleTrade trade, RatesProvider provider)
{
return(productPricer.parSpread(trade.Product, provider));
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedFxSingleTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedBucketed(trade, marketData.scenario(i).ratesProvider())));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedFxSingleTrade, RatesMarketDataLookup, 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(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)
{
return(calc.pv01MarketQuoteSum(trade, ratesProvider));
}
// calibrated bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
return(ratesProvider.parameterSensitivity(pointSensitivity).multipliedBy(ONE_BASIS_POINT));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedFxSingleTrade, RatesMarketDataLookup, 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(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)
{
return(calc.pv01MarketQuoteBucketed(trade, ratesProvider));
}
/// <summary>
/// Calculates the current cash of the trade.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the current cash of the trade in the settlement currency </returns>
public virtual MultiCurrencyAmount currentCash(ResolvedFxSingleTrade trade, RatesProvider provider)
{
return(productPricer.currentCash(trade.Product, provider.ValuationDate));
}
/// <summary>
/// Calculates par spread for a single set of market data.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <returns> the par spread </returns>
public virtual double parSpread(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)
{
return(calc.parSpread(trade, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the forward exchange rate.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the forward rate </returns>
public virtual FxRate forwardFxRate(ResolvedFxSingleTrade trade, RatesProvider provider)
{
return(productPricer.forwardFxRate(trade.Product, provider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the forward FX rate 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 current cash, one entry per scenario </returns>
public virtual ScenarioArray <FxRate> forwardFxRate(ResolvedFxSingleTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.forwardFxRate(trade, lookup.marketDataView(marketData)));
}
/// <summary>
/// Calculates the forward exchange rate point sensitivity.
/// <para>
/// The returned value is based on the direction of the FX product.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the point sensitivity </returns>
public virtual PointSensitivities forwardFxRatePointSensitivity(ResolvedFxSingleTrade trade, RatesProvider provider)
{
return(productPricer.forwardFxRatePointSensitivity(trade.Product, provider).build());
}
//-------------------------------------------------------------------------
/// <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 MultiCurrencyScenarioArray presentValue(ResolvedFxSingleTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.presentValue(trade, lookup.marketDataView(marketData)));
}
/// <summary>
/// Calculates the sensitivity of the forward exchange rate to the spot rate.
/// <para>
/// The returned value is based on the direction of the FX product.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the sensitivity to spot </returns>
public virtual double forwardFxRateSpotSensitivity(ResolvedFxSingleTrade trade, RatesProvider provider)
{
return(productPricer.forwardFxRateSpotSensitivity(trade.Product, provider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedFxSingleTrade, RatesMarketDataLookup, 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(ResolvedFxSingleTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.pv01CalibratedSum(trade, lookup.marketDataView(marketData)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the trade.
/// <para>
/// The present value of the trade is the value on the valuation date.
/// The present value is returned in the settlement currency.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the present value of the trade in the settlement currency </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedFxSingleTrade trade, RatesProvider provider)
{
return(productPricer.presentValue(trade.Product, provider));
}
