//-------------------------------------------------------------------------
/// <summary>
/// Calculates the current of the FX vanilla option trade.
/// </summary>
/// <param name="trade"> the option trade </param>
/// <param name="valuationDate"> the valuation date </param>
/// <returns> the current cash amount </returns>
public virtual CurrencyAmount currentCash(ResolvedFxVanillaOptionTrade trade, LocalDate valuationDate)
{
Payment premium = trade.Premium;
if (premium.Date.Equals(valuationDate))
{
return(CurrencyAmount.of(premium.Currency, premium.Amount));
}
return(CurrencyAmount.of(premium.Currency, 0d));
}
// present value for one scenario
internal MultiCurrencyAmount presentValue(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
if (method == FxVanillaOptionMethod.VANNA_VOLGA)
{
return(vannaVolgaPricer.presentValue(trade, ratesProvider, checkVannaVolgaVolatilities(volatilities)));
}
else
{
return(blackPricer.presentValue(trade, ratesProvider, checkBlackVolatilities(volatilities)));
}
}
// current cash for one scenario
internal CurrencyAmount currentCash(ResolvedFxVanillaOptionTrade trade, LocalDate valuationDate, FxVanillaOptionMethod method)
{
if (method == FxVanillaOptionMethod.VANNA_VOLGA)
{
return(vannaVolgaPricer.currentCash(trade, valuationDate));
}
else
{
return(blackPricer.currentCash(trade, valuationDate));
}
}
// point sensitivity
private CurrencyParameterSensitivities pointSensitivity(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
PointSensitivities pointSens;
if (method == FxVanillaOptionMethod.VANNA_VOLGA)
{
pointSens = vannaVolgaPricer.presentValueSensitivityRatesStickyStrike(trade, ratesProvider, checkVannaVolgaVolatilities(volatilities));
}
else
{
pointSens = blackPricer.presentValueSensitivityRatesStickyStrike(trade, ratesProvider, checkBlackVolatilities(volatilities));
}
return(ratesProvider.parameterSensitivity(pointSens));
}
public virtual void test_price_presentValue_afterExpiry()
{
for (int i = 0; i < NB_STRIKES; ++i)
{
ResolvedFxVanillaOption call = CALLS[i];
ResolvedFxVanillaOptionTrade callTrade = ResolvedFxVanillaOptionTrade.builder().product(call).premium(Payment.of(EUR, 0, VOLS_AFTER.ValuationDate)).build();
double computedPriceCall = PRICER.price(call, RATES_PROVIDER_AFTER, VOLS_AFTER);
CurrencyAmount computedCall = PRICER.presentValue(call, RATES_PROVIDER_AFTER, VOLS_AFTER);
assertEquals(computedPriceCall, 0d, TOL);
assertEquals(computedCall.Amount, 0d, TOL);
ResolvedFxVanillaOption put = PUTS[i];
ResolvedFxVanillaOptionTrade putTrade = ResolvedFxVanillaOptionTrade.builder().product(put).premium(Payment.of(EUR, 0, VOLS_AFTER.ValuationDate)).build();
double computedPricePut = PRICER.price(put, RATES_PROVIDER_AFTER, VOLS_AFTER);
CurrencyAmount computedPut = PRICER.presentValue(put, RATES_PROVIDER_AFTER, VOLS_AFTER);
assertEquals(computedPricePut, 0d, TOL);
assertEquals(computedPut.Amount, 0d, TOL);
// test against trade pricer
assertEquals(computedCall, TRADE_PRICER.presentValue(callTrade, RATES_PROVIDER_AFTER, VOLS_AFTER).getAmount(USD));
assertEquals(computedPut, TRADE_PRICER.presentValue(putTrade, RATES_PROVIDER_AFTER, VOLS_AFTER).getAmount(USD));
}
}
//-------------------------------------------------------------------------
// calculates current cash for all scenarios
internal CurrencyScenarioArray currentCash(ResolvedFxVanillaOptionTrade trade, RatesScenarioMarketData ratesMarketData, FxOptionScenarioMarketData optionMarketData, FxVanillaOptionMethod method)
{
return(CurrencyScenarioArray.of(ratesMarketData.ScenarioCount, i => currentCash(trade, ratesMarketData.scenario(i).ValuationDate, method)));
}
// market quote bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
CurrencyParameterSensitivities paramSens = pointSensitivity(trade, ratesProvider, volatilities, method);
return(MARKET_QUOTE_SENS.sensitivity(paramSens, ratesProvider).multipliedBy(ONE_BASIS_POINT));
}
//-------------------------------------------------------------------------
// calculates market quote bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade, RatesScenarioMarketData ratesMarketData, FxOptionScenarioMarketData optionMarketData, FxVanillaOptionMethod method)
{
CurrencyPair currencyPair = trade.Product.CurrencyPair;
return(ScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01RatesMarketQuoteBucketed(trade, ratesMarketData.scenario(i).ratesProvider(), optionMarketData.scenario(i).volatilities(currencyPair), method)));
}
//-------------------------------------------------------------------------
/// <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="fxLookup"> the lookup used to query the option market data </param>
/// <param name="marketData"> the market data </param>
/// <param name="method"> the pricing method </param>
/// <returns> the present value, one entry per scenario </returns>
public virtual MultiCurrencyScenarioArray presentValue(ResolvedFxVanillaOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxVanillaOptionMethod method)
{
return(calc.presentValue(trade, ratesLookup.marketDataView(marketData), fxLookup.marketDataView(marketData), method));
}
/// <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>
/// <param name="volatilities"> the option volatilities </param>
/// <param name="method"> the pricing method </param>
/// <returns> the current cash </returns>
public virtual CurrencyAmount currentCash(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
return(calc.currentCash(trade, ratesProvider.ValuationDate, method));
}
/// <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 option volatilities </param>
/// <param name="method"> the pricing method </param>
/// <returns> the present value sensitivity </returns>
public virtual CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
return(calc.pv01RatesMarketQuoteBucketed(trade, ratesProvider, volatilities, method));
}
//-------------------------------------------------------------------------
/// <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="fxLookup"> the lookup used to query the option market data </param>
/// <param name="method"> the pricing method </param>
/// <returns> the present value sensitivity, one entry per scenario </returns>
public virtual ScenarioArray <CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(ResolvedFxVanillaOptionTrade trade, RatesMarketDataLookup ratesLookup, FxOptionMarketDataLookup fxLookup, ScenarioMarketData marketData, FxVanillaOptionMethod method)
{
return(calc.pv01RatesMarketQuoteBucketed(trade, ratesLookup.marketDataView(marketData), fxLookup.marketDataView(marketData), method));
}
/// <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 option volatilities </param>
/// <param name="method"> the pricing method </param>
/// <returns> the present value sensitivity </returns>
public virtual MultiCurrencyAmount pv01RatesMarketQuoteSum(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
return(calc.pv01RatesMarketQuoteSum(trade, ratesProvider, volatilities, method));
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
internal MultiCurrencyScenarioArray pv01RatesCalibratedSum(ResolvedFxVanillaOptionTrade trade, RatesScenarioMarketData ratesMarketData, FxOptionScenarioMarketData optionMarketData, FxVanillaOptionMethod method)
{
CurrencyPair currencyPair = trade.Product.CurrencyPair;
return(MultiCurrencyScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01RatesCalibratedSum(trade, ratesMarketData.scenario(i).ratesProvider(), optionMarketData.scenario(i).volatilities(currencyPair), method)));
}
/// <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 option volatilities </param>
/// <param name="method"> the pricing method </param>
/// <returns> the present value </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
return(calc.presentValue(trade, ratesProvider, volatilities, method));
}
// calibrated sum PV01 for one scenario
internal MultiCurrencyAmount pv01RatesCalibratedSum(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
CurrencyParameterSensitivities paramSens = pointSensitivity(trade, ratesProvider, volatilities, method);
return(paramSens.total().multipliedBy(ONE_BASIS_POINT));
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes the present value sensitivity to the black volatility used in the pricing.
/// <para>
/// The result is a single sensitivity to the volatility used.
///
/// </para>
/// </summary>
/// <param name="trade"> the option trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivities presentValueSensitivityModelParamsVolatility(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, BlackFxOptionSmileVolatilities volatilities)
{
ResolvedFxVanillaOption product = trade.Product;
return(productPricer.presentValueSensitivityModelParamsVolatility(product, ratesProvider, volatilities).build());
}
