com.opengamma.strata.measure.swap

Class SwapTradeCalculations

java.lang.Object

com.opengamma.strata.measure.swap.SwapTradeCalculations

public class SwapTradeCalculations
extends Object

Calculates pricing and risk measures for swap trades.

This provides a high-level entry point for swap pricing and risk measures.

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

Field Summary

Fields

Modifier and Type	Field and Description
static SwapTradeCalculations	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
SwapTradeCalculations(DiscountingSwapTradePricer tradePricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
MultiCurrencyScenarioArray	accruedInterest(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) Calculates accrued interest across one or more scenarios.
MultiCurrencyAmount	accruedInterest(ResolvedSwapTrade trade, RatesProvider ratesProvider) Calculates accrued interest for a single set of market data.
ScenarioArray<CashFlows>	cashFlows(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) Calculates cash flows across one or more scenarios.
CashFlows	cashFlows(ResolvedSwapTrade trade, RatesProvider ratesProvider) Calculates cash flows for a single set of market data.
MultiCurrencyScenarioArray	currencyExposure(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) Calculates currency exposure across one or more scenarios.
MultiCurrencyAmount	currencyExposure(ResolvedSwapTrade trade, RatesProvider ratesProvider) Calculates currency exposure for a single set of market data.
MultiCurrencyScenarioArray	currentCash(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) Calculates current cash across one or more scenarios.
MultiCurrencyAmount	currentCash(ResolvedSwapTrade trade, RatesProvider ratesProvider) Calculates current cash for a single set of market data.
ScenarioArray<ExplainMap>	explainPresentValue(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) Explains the present value calculation across one or more scenarios.
ExplainMap	explainPresentValue(ResolvedSwapTrade trade, RatesProvider ratesProvider) Explains the present value calculation for a single set of market data.
LegAmounts	legInitialNotional(ResolvedSwapTrade trade) Calculates the initial notional of each leg.
ScenarioArray<LegAmounts>	legPresentValue(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) Calculates the present value of each leg across one or more scenarios.
LegAmounts	legPresentValue(ResolvedSwapTrade trade, RatesProvider ratesProvider) Calculates the present value of each leg for a single set of market data.
DoubleScenarioArray	parRate(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) Calculates par rate across one or more scenarios.
double	parRate(ResolvedSwapTrade trade, RatesProvider ratesProvider) Calculates par rate for a single set of market data.
DoubleScenarioArray	parSpread(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) Calculates par spread across one or more scenarios.
double	parSpread(ResolvedSwapTrade trade, RatesProvider ratesProvider) Calculates par spread for a single set of market data.
MultiCurrencyScenarioArray	presentValue(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) Calculates present value across one or more scenarios.
MultiCurrencyAmount	presentValue(ResolvedSwapTrade trade, RatesProvider ratesProvider) Calculates present value for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01CalibratedBucketed(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01CalibratedBucketed(ResolvedSwapTrade trade, RatesProvider ratesProvider) Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01CalibratedSum(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01CalibratedSum(ResolvedSwapTrade trade, RatesProvider ratesProvider) Calculates present value sensitivity for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01MarketQuoteBucketed(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01MarketQuoteBucketed(ResolvedSwapTrade trade, RatesProvider ratesProvider) Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01MarketQuoteSum(ResolvedSwapTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData) Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01MarketQuoteSum(ResolvedSwapTrade trade, RatesProvider ratesProvider) 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

Field Detail

DEFAULT

public static final SwapTradeCalculations DEFAULT

Default implementation.

Constructor Detail

SwapTradeCalculations

public SwapTradeCalculations(DiscountingSwapTradePricer tradePricer)

Creates an instance.

In most cases, applications should use the DEFAULT instance.

Parameters:

tradePricer - the pricer for ResolvedSwapTrade

Method Detail

presentValue

public MultiCurrencyScenarioArray presentValue(ResolvedSwapTrade trade,
                                               RatesMarketDataLookup lookup,
                                               ScenarioMarketData marketData)

Calculates present value across one or more scenarios.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value, one entry per scenario

presentValue

public MultiCurrencyAmount presentValue(ResolvedSwapTrade trade,
                                        RatesProvider ratesProvider)

Calculates present value for a single set of market data.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the present value

explainPresentValue

public ScenarioArray<ExplainMap> explainPresentValue(ResolvedSwapTrade trade,
                                                     RatesMarketDataLookup lookup,
                                                     ScenarioMarketData marketData)

Explains the present value calculation across one or more scenarios.

This provides a breakdown of how present value was calculated, typically used for debugging and validation.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value explanation, one entry per scenario

explainPresentValue

public ExplainMap explainPresentValue(ResolvedSwapTrade trade,
                                      RatesProvider ratesProvider)

Explains the present value calculation for a single set of market data.

This provides a breakdown of how present value was calculated, typically used for debugging and validation.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the present value explanation

pv01CalibratedSum

public MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedSwapTrade trade,
                                                    RatesMarketDataLookup lookup,
                                                    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

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01CalibratedSum

public MultiCurrencyAmount pv01CalibratedSum(ResolvedSwapTrade trade,
                                             RatesProvider ratesProvider)

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

Returns:

the present value sensitivity

pv01CalibratedBucketed

public ScenarioArray<CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedSwapTrade trade,
                                                                            RatesMarketDataLookup lookup,
                                                                            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

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01CalibratedBucketed

public CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedSwapTrade trade,
                                                             RatesProvider ratesProvider)

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

Returns:

the present value sensitivity

pv01MarketQuoteSum

public MultiCurrencyScenarioArray pv01MarketQuoteSum(ResolvedSwapTrade trade,
                                                     RatesMarketDataLookup lookup,
                                                     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

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01MarketQuoteSum

public MultiCurrencyAmount pv01MarketQuoteSum(ResolvedSwapTrade trade,
                                              RatesProvider ratesProvider)

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

Returns:

the present value sensitivity

pv01MarketQuoteBucketed

public ScenarioArray<CurrencyParameterSensitivities> pv01MarketQuoteBucketed(ResolvedSwapTrade trade,
                                                                             RatesMarketDataLookup lookup,
                                                                             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

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01MarketQuoteBucketed

public CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedSwapTrade trade,
                                                              RatesProvider ratesProvider)

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

Returns:

the present value sensitivity

parRate

public DoubleScenarioArray parRate(ResolvedSwapTrade trade,
                                   RatesMarketDataLookup lookup,
                                   ScenarioMarketData marketData)

Calculates par rate across one or more scenarios.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the par rate, one entry per scenario

parRate

public double parRate(ResolvedSwapTrade trade,
                      RatesProvider ratesProvider)

Calculates par rate for a single set of market data.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the par rate

parSpread

public DoubleScenarioArray parSpread(ResolvedSwapTrade trade,
                                     RatesMarketDataLookup lookup,
                                     ScenarioMarketData marketData)

Calculates par spread across one or more scenarios.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the par spread, one entry per scenario

parSpread

public double parSpread(ResolvedSwapTrade trade,
                        RatesProvider ratesProvider)

Calculates par spread for a single set of market data.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the par spread

cashFlows

public ScenarioArray<CashFlows> cashFlows(ResolvedSwapTrade trade,
                                          RatesMarketDataLookup lookup,
                                          ScenarioMarketData marketData)

Calculates cash flows across one or more scenarios.

The cash flows provide details about the payments of the trade.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the cash flows, one entry per scenario

cashFlows

public CashFlows cashFlows(ResolvedSwapTrade trade,
                           RatesProvider ratesProvider)

Calculates cash flows for a single set of market data.

The cash flows provide details about the payments of the trade.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the cash flows

accruedInterest

public MultiCurrencyScenarioArray accruedInterest(ResolvedSwapTrade trade,
                                                  RatesMarketDataLookup lookup,
                                                  ScenarioMarketData marketData)

Calculates accrued interest across one or more scenarios.

The accrued interest since the last payment.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the accrued interest, one entry per scenario

accruedInterest

public MultiCurrencyAmount accruedInterest(ResolvedSwapTrade trade,
                                           RatesProvider ratesProvider)

Calculates accrued interest for a single set of market data.

The accrued interest since the last payment.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the accrued interest

legInitialNotional

public LegAmounts legInitialNotional(ResolvedSwapTrade trade)

Calculates the initial notional of each leg.

This does not require market data.

Parameters:

trade - the trade

Returns:

the initial notional of each leg

legPresentValue

public ScenarioArray<LegAmounts> legPresentValue(ResolvedSwapTrade trade,
                                                 RatesMarketDataLookup lookup,
                                                 ScenarioMarketData marketData)

Calculates the present value of each leg across one or more scenarios.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value of each leg, one entry per scenario

legPresentValue

public LegAmounts legPresentValue(ResolvedSwapTrade trade,
                                  RatesProvider ratesProvider)

Calculates the present value of each leg for a single set of market data.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the present value of each leg

currencyExposure

public MultiCurrencyScenarioArray currencyExposure(ResolvedSwapTrade trade,
                                                   RatesMarketDataLookup lookup,
                                                   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

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the currency exposure, one entry per scenario

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedSwapTrade trade,
                                            RatesProvider ratesProvider)

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

Returns:

the currency exposure

currentCash

public MultiCurrencyScenarioArray currentCash(ResolvedSwapTrade trade,
                                              RatesMarketDataLookup lookup,
                                              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

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the current cash, one entry per scenario

currentCash

public MultiCurrencyAmount currentCash(ResolvedSwapTrade trade,
                                       RatesProvider ratesProvider)

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

Returns:

the current cash