Class IborCapFloorTradeCalculations


  • public class IborCapFloorTradeCalculations
    extends java.lang.Object
    Calculates pricing and risk measures for cap/floor trades.

    This provides a high-level entry point for cap/floor pricing and risk measures.

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

    • Method Detail

      • pv01RatesCalibratedSum

        public MultiCurrencyScenarioArray pv01RatesCalibratedSum​(ResolvedIborCapFloorTrade trade,
                                                                 RatesMarketDataLookup ratesLookup,
                                                                 IborCapFloorMarketDataLookup capFloorLookup,
                                                                 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
        capFloorLookup - the lookup used to query the cap/floor market data
        marketData - the market data
        Returns:
        the present value sensitivity, one entry per scenario
      • pv01RatesCalibratedSum

        public MultiCurrencyAmount pv01RatesCalibratedSum​(ResolvedIborCapFloorTrade trade,
                                                          RatesProvider ratesProvider,
                                                          IborCapletFloorletVolatilities 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 cap/floor volatilities
        Returns:
        the present value sensitivity
      • pv01RatesCalibratedBucketed

        public ScenarioArray<CurrencyParameterSensitivities> pv01RatesCalibratedBucketed​(ResolvedIborCapFloorTrade trade,
                                                                                         RatesMarketDataLookup ratesLookup,
                                                                                         IborCapFloorMarketDataLookup capFloorLookup,
                                                                                         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
        capFloorLookup - the lookup used to query the cap/floor market data
        marketData - the market data
        Returns:
        the present value sensitivity, one entry per scenario
      • pv01RatesCalibratedBucketed

        public CurrencyParameterSensitivities pv01RatesCalibratedBucketed​(ResolvedIborCapFloorTrade trade,
                                                                          RatesProvider ratesProvider,
                                                                          IborCapletFloorletVolatilities 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 cap/floor volatilities
        Returns:
        the present value sensitivity
      • pv01RatesMarketQuoteSum

        public MultiCurrencyScenarioArray pv01RatesMarketQuoteSum​(ResolvedIborCapFloorTrade trade,
                                                                  RatesMarketDataLookup ratesLookup,
                                                                  IborCapFloorMarketDataLookup capFloorLookup,
                                                                  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
        capFloorLookup - the lookup used to query the cap/floor market data
        marketData - the market data
        Returns:
        the present value sensitivity, one entry per scenario
      • pv01RatesMarketQuoteSum

        public MultiCurrencyAmount pv01RatesMarketQuoteSum​(ResolvedIborCapFloorTrade trade,
                                                           RatesProvider ratesProvider,
                                                           IborCapletFloorletVolatilities 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 cap/floor volatilities
        Returns:
        the present value sensitivity
      • pv01RatesMarketQuoteBucketed

        public ScenarioArray<CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed​(ResolvedIborCapFloorTrade trade,
                                                                                          RatesMarketDataLookup ratesLookup,
                                                                                          IborCapFloorMarketDataLookup capFloorLookup,
                                                                                          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
        capFloorLookup - the lookup used to query the cap/floor market data
        Returns:
        the present value sensitivity, one entry per scenario
      • pv01RatesMarketQuoteBucketed

        public CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed​(ResolvedIborCapFloorTrade trade,
                                                                           RatesProvider ratesProvider,
                                                                           IborCapletFloorletVolatilities 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 cap/floor volatilities
        Returns:
        the present value sensitivity
      • currencyExposure

        public MultiCurrencyScenarioArray currencyExposure​(ResolvedIborCapFloorTrade trade,
                                                           RatesMarketDataLookup ratesLookup,
                                                           IborCapFloorMarketDataLookup capFloorLookup,
                                                           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
        capFloorLookup - the lookup used to query the cap/floor market data
        marketData - the market data
        Returns:
        the currency exposure, one entry per scenario
      • currencyExposure

        public MultiCurrencyAmount currencyExposure​(ResolvedIborCapFloorTrade trade,
                                                    RatesProvider ratesProvider,
                                                    IborCapletFloorletVolatilities 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 cap/floor volatilities
        Returns:
        the currency exposure