com.opengamma.strata.measure.swaption

Class SwaptionTradeCalculations

java.lang.Object

com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

public class SwaptionTradeCalculations
extends Object

Calculates pricing and risk measures for swaption trades.

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

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

Field Summary

Fields

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

Constructor Summary

Constructors

Constructor and Description
SwaptionTradeCalculations(VolatilitySwaptionTradePricer tradePricer, SabrSwaptionTradePricer sabrTradePricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
MultiCurrencyScenarioArray	currencyExposure(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData) Calculates currency exposure across one or more scenarios.
MultiCurrencyAmount	currencyExposure(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities) Calculates currency exposure for a single set of market data.
CurrencyScenarioArray	currentCash(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData) Calculates current cash across one or more scenarios.
CurrencyAmount	currentCash(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities) Calculates current cash for a single set of market data.
CurrencyScenarioArray	presentValue(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData) Calculates present value across one or more scenarios.
CurrencyAmount	presentValue(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities) Calculates present value for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01RatesCalibratedBucketed(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData) Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01RatesCalibratedBucketed(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities) Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01RatesCalibratedSum(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData) Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01RatesCalibratedSum(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities) Calculates present value sensitivity for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01RatesMarketQuoteBucketed(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData) Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01RatesMarketQuoteBucketed(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities) Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01RatesMarketQuoteSum(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData) Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01RatesMarketQuoteSum(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities) Calculates present value sensitivity for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	vegaMarketQuoteBucketed(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData) Calculates present value vega sensitivity across one or more scenarios.
CurrencyParameterSensitivities	vegaMarketQuoteBucketed(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities) Calculates present value vega 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 SwaptionTradeCalculations DEFAULT

Default implementation.

Constructor Detail

SwaptionTradeCalculations

public SwaptionTradeCalculations(VolatilitySwaptionTradePricer tradePricer,
                                 SabrSwaptionTradePricer sabrTradePricer)

Creates an instance.

In most cases, applications should use the DEFAULT instance.

Parameters:

tradePricer - the pricer for ResolvedSwaptionTrade

sabrTradePricer - the pricer for ResolvedSwaptionTrade SABR

Method Detail

presentValue

public CurrencyScenarioArray presentValue(ResolvedSwaptionTrade 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 CurrencyAmount presentValue(ResolvedSwaptionTrade 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(ResolvedSwaptionTrade 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(ResolvedSwaptionTrade 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(ResolvedSwaptionTrade 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(ResolvedSwaptionTrade 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(ResolvedSwaptionTrade 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(ResolvedSwaptionTrade 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(ResolvedSwaptionTrade 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(ResolvedSwaptionTrade 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

vegaMarketQuoteBucketed

public ScenarioArray<CurrencyParameterSensitivities> vegaMarketQuoteBucketed(ResolvedSwaptionTrade trade,
                                                                             RatesMarketDataLookup ratesLookup,
                                                                             SwaptionMarketDataLookup swaptionLookup,
                                                                             ScenarioMarketData marketData)

Calculates present value vega sensitivity across one or more scenarios.

This is the sensitivity of present value to the normal implied volatilities used to calibrate the curves.

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

vegaMarketQuoteBucketed

public CurrencyParameterSensitivities vegaMarketQuoteBucketed(ResolvedSwaptionTrade trade,
                                                              RatesProvider ratesProvider,
                                                              SwaptionVolatilities volatilities)

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

This is the sensitivity of present value of the normal implied volatilities used to calibrate the curves.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the swaption volatilities

Returns:

the present value sensitivity

currencyExposure

public MultiCurrencyScenarioArray currencyExposure(ResolvedSwaptionTrade 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(ResolvedSwaptionTrade 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 CurrencyScenarioArray currentCash(ResolvedSwaptionTrade 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 CurrencyAmount currentCash(ResolvedSwaptionTrade 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