Package com.opengamma.strata.measure.capfloor

Class IborCapFloorTradeCalculations

java.lang.Object

com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculations

public class IborCapFloorTradeCalculations
extends 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.

Field Summary

Fields

Modifier and Type	Field	Description
static IborCapFloorTradeCalculations	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
IborCapFloorTradeCalculations(VolatilityIborCapFloorTradePricer tradePricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyScenarioArray	currencyExposure(ResolvedIborCapFloorTrade trade, RatesMarketDataLookup ratesLookup, IborCapFloorMarketDataLookup capFloorLookup, ScenarioMarketData marketData)	Calculates currency exposure across one or more scenarios.
MultiCurrencyAmount	currencyExposure(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates currency exposure for a single set of market data.
MultiCurrencyScenarioArray	currentCash(ResolvedIborCapFloorTrade trade, RatesMarketDataLookup ratesLookup, IborCapFloorMarketDataLookup capFloorLookup, ScenarioMarketData marketData)	Calculates current cash across one or more scenarios.
MultiCurrencyAmount	currentCash(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates current cash for a single set of market data.
MultiCurrencyScenarioArray	presentValue(ResolvedIborCapFloorTrade trade, RatesMarketDataLookup ratesLookup, IborCapFloorMarketDataLookup capFloorLookup, ScenarioMarketData marketData)	Calculates present value across one or more scenarios.
MultiCurrencyAmount	presentValue(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates present value for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01RatesCalibratedBucketed(ResolvedIborCapFloorTrade trade, RatesMarketDataLookup ratesLookup, IborCapFloorMarketDataLookup capFloorLookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01RatesCalibratedBucketed(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01RatesCalibratedSum(ResolvedIborCapFloorTrade trade, RatesMarketDataLookup ratesLookup, IborCapFloorMarketDataLookup capFloorLookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01RatesCalibratedSum(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates present value sensitivity for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01RatesMarketQuoteBucketed(ResolvedIborCapFloorTrade trade, RatesMarketDataLookup ratesLookup, IborCapFloorMarketDataLookup capFloorLookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01RatesMarketQuoteBucketed(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)	Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01RatesMarketQuoteSum(ResolvedIborCapFloorTrade trade, RatesMarketDataLookup ratesLookup, IborCapFloorMarketDataLookup capFloorLookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01RatesMarketQuoteSum(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities 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

Field Detail

DEFAULT

public static final IborCapFloorTradeCalculations DEFAULT

Default implementation.

Constructor Detail

IborCapFloorTradeCalculations

public IborCapFloorTradeCalculations(VolatilityIborCapFloorTradePricer tradePricer)

Creates an instance.

In most cases, applications should use the DEFAULT instance.

Parameters:

tradePricer - the pricer for ResolvedIborCapFloorTrade

Method Detail

presentValue

public MultiCurrencyScenarioArray presentValue(ResolvedIborCapFloorTrade trade,
                                               RatesMarketDataLookup ratesLookup,
                                               IborCapFloorMarketDataLookup capFloorLookup,
                                               ScenarioMarketData marketData)

Calculates present value across one or more scenarios.

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, one entry per scenario

presentValue

public MultiCurrencyAmount presentValue(ResolvedIborCapFloorTrade trade,
                                        RatesProvider ratesProvider,
                                        IborCapletFloorletVolatilities volatilities)

Calculates present value for a single set of market data.

Parameters:

trade - the trade

ratesProvider - the market data

volatilities - the cap/floor volatilities

Returns:

the present value

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

currentCash

public MultiCurrencyScenarioArray currentCash(ResolvedIborCapFloorTrade trade,
                                              RatesMarketDataLookup ratesLookup,
                                              IborCapFloorMarketDataLookup capFloorLookup,
                                              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

capFloorLookup - the lookup used to query the cap/floor market data

marketData - the market data

Returns:

the current cash, one entry per scenario

currentCash

public MultiCurrencyAmount currentCash(ResolvedIborCapFloorTrade trade,
                                       RatesProvider ratesProvider,
                                       IborCapletFloorletVolatilities 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 cap/floor volatilities

Returns:

the current cash