java.lang.Object
- com.opengamma.strata.measure.cms.CmsTradeCalculations

```
public class CmsTradeCalculations
extends Object
```
Calculates pricing and risk measures for constant maturity swap (CMS) trades.
This provides a high-level entry point for CMS pricing and risk measures. CMS pricing uses swaption volatilities with the SABR model. Additional model parameters must be specified using CmsSabrExtrapolationParams.
Each method takes a ResolvedCmsTrade, whereas application code will typically work with CmsTrade. Call CmsTrade::resolve(ReferenceData) to convert CmsTrade to ResolvedCmsTrade.

Constructor Summary

Constructors
Constructor Description

CmsTradeCalculations(SabrExtrapolationReplicationCmsTradePricer tradePricer)
Creates an instance specifying the SABR pricer.

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method	Description
`MultiCurrencyScenarioArray`	`currencyExposure(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)`	Calculates currency exposure across one or more scenarios.
`MultiCurrencyAmount`	`currencyExposure(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)`	Calculates currency exposure for a single set of market data.
`MultiCurrencyScenarioArray`	`currentCash(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)`	Calculates current cash across one or more scenarios.
`MultiCurrencyAmount`	`currentCash(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)`	Calculates current cash for a single set of market data.
`static CmsTradeCalculations`	`of(CmsSabrExtrapolationParams cmsParams)`	Obtains an instance specifying the SABR extrapolation parameters.
`MultiCurrencyScenarioArray`	`presentValue(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)`	Calculates present value across one or more scenarios.
`MultiCurrencyAmount`	`presentValue(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)`	Calculates present value for a single set of market data.
`ScenarioArray<CurrencyParameterSensitivities>`	`pv01RatesCalibratedBucketed(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)`	Calculates present value sensitivity across one or more scenarios.
`CurrencyParameterSensitivities`	`pv01RatesCalibratedBucketed(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)`	Calculates present value sensitivity for a single set of market data.
`MultiCurrencyScenarioArray`	`pv01RatesCalibratedSum(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)`	Calculates present value sensitivity across one or more scenarios.
`MultiCurrencyAmount`	`pv01RatesCalibratedSum(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)`	Calculates present value sensitivity for a single set of market data.
`ScenarioArray<CurrencyParameterSensitivities>`	`pv01RatesMarketQuoteBucketed(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)`	Calculates present value sensitivity across one or more scenarios.
`CurrencyParameterSensitivities`	`pv01RatesMarketQuoteBucketed(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)`	Calculates present value sensitivity for a single set of market data.
`MultiCurrencyScenarioArray`	`pv01RatesMarketQuoteSum(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)`	Calculates present value sensitivity across one or more scenarios.
`MultiCurrencyAmount`	`pv01RatesMarketQuoteSum(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities 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

Constructor Detail
- CmsTradeCalculations
```
public CmsTradeCalculations(SabrExtrapolationReplicationCmsTradePricer tradePricer)
```
  Creates an instance specifying the SABR pricer.
  
  Parameters:
  
  tradePricer - the pricer for ResolvedCmsTrade

Method Detail

of
```
public static CmsTradeCalculations of(CmsSabrExtrapolationParams cmsParams)
```
Obtains an instance specifying the SABR extrapolation parameters.

Parameters:

cmsParams - the parameters for SABR pricing of CMS

Returns:

the trade calculations

presentValue

public MultiCurrencyScenarioArray presentValue(ResolvedCmsTrade 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 MultiCurrencyAmount presentValue(ResolvedCmsTrade 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(ResolvedCmsTrade 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(ResolvedCmsTrade 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(ResolvedCmsTrade 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(ResolvedCmsTrade 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(ResolvedCmsTrade 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(ResolvedCmsTrade 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(ResolvedCmsTrade 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(ResolvedCmsTrade 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

currencyExposure

public MultiCurrencyScenarioArray currencyExposure(ResolvedCmsTrade 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(ResolvedCmsTrade 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 MultiCurrencyScenarioArray currentCash(ResolvedCmsTrade 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 MultiCurrencyAmount currentCash(ResolvedCmsTrade 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

Class CmsTradeCalculations

Constructor Summary

Method Summary

Methods inherited from class java.lang.Object

Constructor Detail

CmsTradeCalculations

Method Detail

of

presentValue

presentValue

pv01RatesCalibratedSum

pv01RatesCalibratedSum

pv01RatesCalibratedBucketed

pv01RatesCalibratedBucketed

pv01RatesMarketQuoteSum

pv01RatesMarketQuoteSum

pv01RatesMarketQuoteBucketed

pv01RatesMarketQuoteBucketed

currencyExposure

currencyExposure

currentCash

currentCash