com.opengamma.strata.measure.cms

Class CmsTradeCalculations

java.lang.Object

com.opengamma.strata.measure.cms.CmsTradeCalculations

public class CmsTradeCalculations
extends Object

Calculates pricing and risk measures for constant maturity swap (CMS) trades.

This provides a high-level entry point for CMS pricing and risk measures. CMS pricing uses swaption volatilities with the SABR model. Additional model parameters must be specified using CmsSabrExtrapolationParams.

Each method takes a ResolvedCmsTrade, whereas application code will typically work with CmsTrade. Call CmsTrade::resolve(ReferenceData) to convert CmsTrade to ResolvedCmsTrade.

Constructor Summary

Constructors

Constructor and Description
CmsTradeCalculations(SabrExtrapolationReplicationCmsTradePricer tradePricer) Creates an instance specifying the SABR pricer.

Method Summary

Modifier and Type	Method and Description
MultiCurrencyScenarioArray	currencyExposure(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData) Calculates currency exposure across one or more scenarios.
MultiCurrencyAmount	currencyExposure(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities) Calculates currency exposure for a single set of market data.
MultiCurrencyScenarioArray	currentCash(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData) Calculates current cash across one or more scenarios.
MultiCurrencyAmount	currentCash(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities) Calculates current cash for a single set of market data.
static CmsTradeCalculations	of(CmsSabrExtrapolationParams cmsParams) Obtains an instance specifying the SABR extrapolation parameters.
MultiCurrencyScenarioArray	presentValue(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData) Calculates present value across one or more scenarios.
MultiCurrencyAmount	presentValue(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities) Calculates present value for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01RatesCalibratedBucketed(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData) Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01RatesCalibratedBucketed(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities) Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01RatesCalibratedSum(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData) Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01RatesCalibratedSum(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities) Calculates present value sensitivity for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01RatesMarketQuoteBucketed(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData) Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01RatesMarketQuoteBucketed(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities) Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01RatesMarketQuoteSum(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData) Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01RatesMarketQuoteSum(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities) Calculates present value sensitivity for a single set of market data.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CmsTradeCalculations

public CmsTradeCalculations(SabrExtrapolationReplicationCmsTradePricer tradePricer)

Creates an instance specifying the SABR pricer.

Parameters:

tradePricer - the pricer for ResolvedCmsTrade

Method Detail

of

public static CmsTradeCalculations of(CmsSabrExtrapolationParams cmsParams)

Obtains an instance specifying the SABR extrapolation parameters.

Parameters:

cmsParams - the parameters for SABR pricing of CMS

Returns:

the trade calculations

presentValue

public MultiCurrencyScenarioArray presentValue(ResolvedCmsTrade trade,
                                               RatesMarketDataLookup ratesLookup,
                                               SwaptionMarketDataLookup swaptionLookup,
                                               ScenarioMarketData marketData)

Calculates present value across one or more scenarios.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

swaptionLookup - the lookup used to query the swaption market data

marketData - the market data

Returns:

the present value, one entry per scenario

presentValue

public MultiCurrencyAmount presentValue(ResolvedCmsTrade trade,
                                        RatesProvider ratesProvider,
                                        SwaptionVolatilities volatilities)

Calculates present value for a single set of market data.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the swaption volatilities

Returns:

the present value

pv01RatesCalibratedSum

public MultiCurrencyScenarioArray pv01RatesCalibratedSum(ResolvedCmsTrade trade,
                                                         RatesMarketDataLookup ratesLookup,
                                                         SwaptionMarketDataLookup swaptionLookup,
                                                         ScenarioMarketData marketData)

Calculates present value sensitivity across one or more scenarios.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is the sum of the sensitivities of all affected curves.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

swaptionLookup - the lookup used to query the swaption market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01RatesCalibratedSum

public MultiCurrencyAmount pv01RatesCalibratedSum(ResolvedCmsTrade trade,
                                                  RatesProvider ratesProvider,
                                                  SwaptionVolatilities volatilities)

Calculates present value sensitivity for a single set of market data.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is the sum of the sensitivities of all affected curves.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the swaption volatilities

Returns:

the present value sensitivity

pv01RatesCalibratedBucketed

public ScenarioArray<CurrencyParameterSensitivities> pv01RatesCalibratedBucketed(ResolvedCmsTrade trade,
                                                                                 RatesMarketDataLookup ratesLookup,
                                                                                 SwaptionMarketDataLookup swaptionLookup,
                                                                                 ScenarioMarketData marketData)

Calculates present value sensitivity across one or more scenarios.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is provided for each affected curve and currency, bucketed by curve node.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

swaptionLookup - the lookup used to query the swaption market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01RatesCalibratedBucketed

public CurrencyParameterSensitivities pv01RatesCalibratedBucketed(ResolvedCmsTrade trade,
                                                                  RatesProvider ratesProvider,
                                                                  SwaptionVolatilities volatilities)

Calculates present value sensitivity for a single set of market data.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is provided for each affected curve and currency, bucketed by curve node.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the swaption volatilities

Returns:

the present value sensitivity

pv01RatesMarketQuoteSum

public MultiCurrencyScenarioArray pv01RatesMarketQuoteSum(ResolvedCmsTrade trade,
                                                          RatesMarketDataLookup ratesLookup,
                                                          SwaptionMarketDataLookup swaptionLookup,
                                                          ScenarioMarketData marketData)

Calculates present value sensitivity across one or more scenarios.

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.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

swaptionLookup - the lookup used to query the swaption market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01RatesMarketQuoteSum

public MultiCurrencyAmount pv01RatesMarketQuoteSum(ResolvedCmsTrade trade,
                                                   RatesProvider ratesProvider,
                                                   SwaptionVolatilities volatilities)

Calculates present value sensitivity for a single set of market data.

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.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the swaption volatilities

Returns:

the present value sensitivity

pv01RatesMarketQuoteBucketed

public ScenarioArray<CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(ResolvedCmsTrade trade,
                                                                                  RatesMarketDataLookup ratesLookup,
                                                                                  SwaptionMarketDataLookup swaptionLookup,
                                                                                  ScenarioMarketData marketData)

Calculates present value sensitivity across one or more scenarios.

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.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

marketData - the market data

swaptionLookup - the lookup used to query the swaption market data

Returns:

the present value sensitivity, one entry per scenario

pv01RatesMarketQuoteBucketed

public CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(ResolvedCmsTrade trade,
                                                                   RatesProvider ratesProvider,
                                                                   SwaptionVolatilities volatilities)

Calculates present value sensitivity for a single set of market data.

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.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the swaption volatilities

Returns:

the present value sensitivity

currencyExposure

public MultiCurrencyScenarioArray currencyExposure(ResolvedCmsTrade trade,
                                                   RatesMarketDataLookup ratesLookup,
                                                   SwaptionMarketDataLookup swaptionLookup,
                                                   ScenarioMarketData marketData)

Calculates currency exposure across one or more scenarios.

The currency risk, expressed as the equivalent amount in each currency.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

swaptionLookup - the lookup used to query the swaption market data

marketData - the market data

Returns:

the currency exposure, one entry per scenario

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedCmsTrade trade,
                                            RatesProvider ratesProvider,
                                            SwaptionVolatilities volatilities)

Calculates currency exposure for a single set of market data.

The currency risk, expressed as the equivalent amount in each currency.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the swaption volatilities

Returns:

the currency exposure

currentCash

public MultiCurrencyScenarioArray currentCash(ResolvedCmsTrade trade,
                                              RatesMarketDataLookup ratesLookup,
                                              SwaptionMarketDataLookup swaptionLookup,
                                              ScenarioMarketData marketData)

Calculates current cash across one or more scenarios.

The sum of all cash flows paid on the valuation date.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

swaptionLookup - the lookup used to query the swaption market data

marketData - the market data

Returns:

the current cash, one entry per scenario

currentCash

public MultiCurrencyAmount currentCash(ResolvedCmsTrade trade,
                                       RatesProvider ratesProvider,
                                       SwaptionVolatilities volatilities)

Calculates current cash for a single set of market data.

The sum of all cash flows paid on the valuation date.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the swaption volatilities

Returns:

the current cash