Package com.opengamma.strata.measure.bond

Class BondFutureOptionTradeCalculations

java.lang.Object

com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculations

public class BondFutureOptionTradeCalculations
extends Object

Calculates pricing and risk measures for trades in an option contract based on an bond future.

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

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

Price

Strata uses decimal prices for bond futures options in the trade model, pricers and market data. This is coherent with the pricing of BondFuture.

Field Summary

Fields

Modifier and Type	Field	Description
static BondFutureOptionTradeCalculations	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
BondFutureOptionTradeCalculations(BlackBondFutureOptionMarginedTradePricer tradePricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyScenarioArray	currencyExposure(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingMarketDataLookup legalEntityLookup, BondFutureOptionMarketDataLookup volsLookup, ScenarioMarketData marketData)	Calculates currency exposure across one or more scenarios.
MultiCurrencyAmount	currencyExposure(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)	Calculates currency exposure for a single set of market data.
CurrencyScenarioArray	presentValue(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingMarketDataLookup legalEntityLookup, BondFutureOptionMarketDataLookup volsLookup, ScenarioMarketData marketData)	Calculates present value across one or more scenarios.
CurrencyAmount	presentValue(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)	Calculates present value for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01CalibratedBucketed(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingMarketDataLookup legalEntityLookup, BondFutureOptionMarketDataLookup volsLookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01CalibratedBucketed(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)	Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01CalibratedSum(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingMarketDataLookup legalEntityLookup, BondFutureOptionMarketDataLookup volsLookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01CalibratedSum(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)	Calculates present value sensitivity for a single set of market data.
DoubleScenarioArray	unitPrice(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingMarketDataLookup legalEntityLookup, BondFutureOptionMarketDataLookup volsLookup, ScenarioMarketData marketData)	Calculates unit price across one or more scenarios.
double	unitPrice(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)	Calculates unit price 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 BondFutureOptionTradeCalculations DEFAULT

Default implementation.

Constructor Detail

BondFutureOptionTradeCalculations

public BondFutureOptionTradeCalculations(BlackBondFutureOptionMarginedTradePricer tradePricer)

Creates an instance.

In most cases, applications should use the DEFAULT instance.

Parameters:

tradePricer - the pricer for ResolvedBondFutureOptionTrade

Method Detail

presentValue

public CurrencyScenarioArray presentValue(ResolvedBondFutureOptionTrade trade,
                                          LegalEntityDiscountingMarketDataLookup legalEntityLookup,
                                          BondFutureOptionMarketDataLookup volsLookup,
                                          ScenarioMarketData marketData)

Calculates present value across one or more scenarios.

Parameters:

trade - the trade

legalEntityLookup - the lookup used to query the rates market data

volsLookup - the lookup used to query the volatility market data

marketData - the market data

Returns:

the present value, one entry per scenario

presentValue

public CurrencyAmount presentValue(ResolvedBondFutureOptionTrade trade,
                                   LegalEntityDiscountingProvider discountingProvider,
                                   BondFutureVolatilities volatilities)

Calculates present value for a single set of market data.

Parameters:

trade - the trade

discountingProvider - the market data

volatilities - the volatilities

Returns:

the present value

pv01CalibratedSum

public MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedBondFutureOptionTrade trade,
                                                    LegalEntityDiscountingMarketDataLookup legalEntityLookup,
                                                    BondFutureOptionMarketDataLookup volsLookup,
                                                    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

legalEntityLookup - the lookup used to query the rates market data

volsLookup - the lookup used to query the volatility market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01CalibratedSum

public MultiCurrencyAmount pv01CalibratedSum(ResolvedBondFutureOptionTrade trade,
                                             LegalEntityDiscountingProvider discountingProvider,
                                             BondFutureVolatilities 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

discountingProvider - the market data

volatilities - the volatilities

Returns:

the present value sensitivity

pv01CalibratedBucketed

public ScenarioArray<CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedBondFutureOptionTrade trade,
                                                                            LegalEntityDiscountingMarketDataLookup legalEntityLookup,
                                                                            BondFutureOptionMarketDataLookup volsLookup,
                                                                            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

legalEntityLookup - the lookup used to query the rates market data

volsLookup - the lookup used to query the volatility market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01CalibratedBucketed

public CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedBondFutureOptionTrade trade,
                                                             LegalEntityDiscountingProvider discountingProvider,
                                                             BondFutureVolatilities 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

discountingProvider - the market data

volatilities - the volatilities

Returns:

the present value sensitivity

unitPrice

public DoubleScenarioArray unitPrice(ResolvedBondFutureOptionTrade trade,
                                     LegalEntityDiscountingMarketDataLookup legalEntityLookup,
                                     BondFutureOptionMarketDataLookup volsLookup,
                                     ScenarioMarketData marketData)

Calculates unit price across one or more scenarios.

This is the price of a single unit of the security.

Price

Strata uses decimal prices for bond futures options in the trade model, pricers and market data. This is coherent with the pricing of BondFuture.

Parameters:

trade - the trade

legalEntityLookup - the lookup used to query the rates market data

volsLookup - the lookup used to query the volatility market data

marketData - the market data

Returns:

the present value, one entry per scenario

unitPrice

public double unitPrice(ResolvedBondFutureOptionTrade trade,
                        LegalEntityDiscountingProvider discountingProvider,
                        BondFutureVolatilities volatilities)

Calculates unit price for a single set of market data.

This is the price of a single unit of the security.

Price

Strata uses decimal prices for bond futures options in the trade model, pricers and market data. This is coherent with the pricing of BondFuture.

Parameters:

trade - the trade

discountingProvider - the market data

volatilities - the volatilities

Returns:

the present value

currencyExposure

public MultiCurrencyScenarioArray currencyExposure(ResolvedBondFutureOptionTrade trade,
                                                   LegalEntityDiscountingMarketDataLookup legalEntityLookup,
                                                   BondFutureOptionMarketDataLookup volsLookup,
                                                   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

legalEntityLookup - the lookup used to query the rates market data

volsLookup - the lookup used to query the volatility market data

marketData - the market data

Returns:

the currency exposure, one entry per scenario

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedBondFutureOptionTrade trade,
                                            LegalEntityDiscountingProvider discountingProvider,
                                            BondFutureVolatilities 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

discountingProvider - the market data

volatilities - the volatilities

Returns:

the currency exposure