Package com.opengamma.strata.measure.swaption

Class SwaptionTradeCalculationFunction

java.lang.Object

com.opengamma.strata.measure.swaption.SwaptionTradeCalculationFunction

All Implemented Interfaces:

CalculationFunction<SwaptionTrade>

public class SwaptionTradeCalculationFunction
extends Object
implements CalculationFunction<SwaptionTrade>

Perform calculations on a single SwaptionTrade for each of a set of scenarios.

This uses Black, Normal or SABR swaption volatilities, which must be specified using SwaptionMarketDataLookup. An instance of RatesMarketDataLookup must also be specified.

The supported built-in measures are:

• Present value
• PV01 calibrated sum on rate curves
• PV01 calibrated bucketed on rate curves
• PV01 market quote sum on rate curves
• PV01 market quote bucketed on rate curves
• normal vega market quote bucketed on vol curves/surfaces
• Currency exposure
• Current cash
• Resolved trade

The "natural" currency is determined from the first swap leg.

Constructor Summary

Constructors

Constructor	Description
SwaptionTradeCalculationFunction()	Creates an instance.

Method Summary

Modifier and Type	Method	Description
Map<Measure,Result<?>>	calculate(SwaptionTrade trade, Set<Measure> measures, CalculationParameters parameters, ScenarioMarketData scenarioMarketData, ReferenceData refData)	Calculates values of multiple measures for the target using multiple sets of market data.
Optional<String>	identifier(SwaptionTrade target)	Returns an identifier that should uniquely identify the specified target.
Currency	naturalCurrency(SwaptionTrade trade, ReferenceData refData)	Returns the "natural" currency for the specified target.
FunctionRequirements	requirements(SwaptionTrade trade, Set<Measure> measures, CalculationParameters parameters, ReferenceData refData)	Determines the market data required by this function to perform its calculations.
Set<Measure>	supportedMeasures()	Returns the set of measures that the function can calculate.
Class<SwaptionTrade>	targetType()	Gets the target type that this function applies to.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

SwaptionTradeCalculationFunction

public SwaptionTradeCalculationFunction()

Creates an instance.

Method Detail

targetType

public Class<SwaptionTrade> targetType()

Description copied from interface: CalculationFunction

Gets the target type that this function applies to.

The target type will typically be a concrete class.

Specified by:

targetType in interface CalculationFunction<SwaptionTrade>

Returns:

the target type

supportedMeasures

public Set<Measure> supportedMeasures()

Description copied from interface: CalculationFunction

Returns the set of measures that the function can calculate.

Specified by:

supportedMeasures in interface CalculationFunction<SwaptionTrade>

Returns:

the read-only set of measures that the function can calculate

identifier

public Optional<String> identifier(SwaptionTrade target)

Description copied from interface: CalculationFunction

Returns an identifier that should uniquely identify the specified target.

This identifier is used in error messages to identify the target. This should normally be overridden to provide a suitable identifier. For example, if the target is a trade, there will typically be a trade identifier available.

This method must not throw an exception.

Specified by:

identifier in interface CalculationFunction<SwaptionTrade>

Parameters:

target - the target of the calculation

Returns:

the identifier of the target, empty if no suitable identifier available

naturalCurrency

public Currency naturalCurrency(SwaptionTrade trade,
                                ReferenceData refData)

Description copied from interface: CalculationFunction

Returns the "natural" currency for the specified target.

This is the currency to which currency amounts are converted if the "natural" reporting currency is requested using ReportingCurrency.NATURAL. Most targets have a "natural" currency, for example the currency of a FRA or the base currency of an FX forward.

It is required that all functions that return a currency-convertible measure must choose a "natural" currency for each trade. The choice must be consistent not random, given the same trade the same currency must be returned. This might involve picking, the first leg or base currency from a currency pair. An exception must only be thrown if the function handles no currency-convertible measures.

Specified by:

naturalCurrency in interface CalculationFunction<SwaptionTrade>

Parameters:

trade - the target of the calculation

refData - the reference data to be used in the calculation

Returns:

the "natural" currency of the target

requirements

public FunctionRequirements requirements(SwaptionTrade trade,
                                         Set<Measure> measures,
                                         CalculationParameters parameters,
                                         ReferenceData refData)

Description copied from interface: CalculationFunction

Determines the market data required by this function to perform its calculations.

Any market data needed by the calculate method should be specified.

The set of measures may include measures that are not supported by this function.

Specified by:

requirements in interface CalculationFunction<SwaptionTrade>

Parameters:

trade - the target of the calculation

measures - the set of measures to be calculated

parameters - the parameters that affect how the calculation is performed

refData - the reference data to be used in the calculation

Returns:

the requirements specifying the market data the function needs to perform calculations

calculate

public Map<Measure,Result<?>> calculate(SwaptionTrade trade,
                                              Set<Measure> measures,
                                              CalculationParameters parameters,
                                              ScenarioMarketData scenarioMarketData,
                                              ReferenceData refData)

Description copied from interface: CalculationFunction

Calculates values of multiple measures for the target using multiple sets of market data.

The set of measures must only contain measures that the function supports, as returned by CalculationFunction.supportedMeasures(). The market data must provide at least the set of data requested by CalculationFunction.requirements(CalculationTarget, Set, CalculationParameters, ReferenceData).

The result of this method will often be an instance of ScenarioArray, which handles the common case where there is one calculated value for each scenario. However, it is also possible for the function to calculate an aggregated result, such as the maximum or minimum value across all scenarios, in which case the result would not implement ScenarioArray.

Specified by:

calculate in interface CalculationFunction<SwaptionTrade>

Parameters:

trade - the target of the calculation

measures - the set of measures to calculate

parameters - the parameters that affect how the calculation is performed

scenarioMarketData - the multi-scenario market data to be used in the calculation

refData - the reference data to be used in the calculation

Returns:

the read-only map of calculated values, keyed by their measure