java.lang.Object
- com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

```
public class SwaptionTradeCalculations
extends Object
```
Calculates pricing and risk measures for swaption trades.
This provides a high-level entry point for swaption pricing and risk measures.
Each method takes a ResolvedSwaptionTrade, whereas application code will typically work with SwaptionTrade. Call SwaptionTrade::resolve(ReferenceData) to convert SwaptionTrade to ResolvedSwaptionTrade.

Field Summary

Fields
Modifier and Type Field Description

static SwaptionTradeCalculations DEFAULT
Default implementation.

Constructor Summary

Constructors
Constructor	Description
`SwaptionTradeCalculations(VolatilitySwaptionTradePricer tradePricer, SabrSwaptionTradePricer sabrTradePricer)`	Creates an instance.

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method	Description
`MultiCurrencyScenarioArray`	`currencyExposure(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)`	Calculates currency exposure across one or more scenarios.
`MultiCurrencyAmount`	`currencyExposure(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)`	Calculates currency exposure for a single set of market data.
`CurrencyScenarioArray`	`currentCash(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)`	Calculates current cash across one or more scenarios.
`CurrencyAmount`	`currentCash(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)`	Calculates current cash for a single set of market data.
`CurrencyScenarioArray`	`presentValue(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)`	Calculates present value across one or more scenarios.
`CurrencyAmount`	`presentValue(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)`	Calculates present value for a single set of market data.
`ScenarioArray<CurrencyParameterSensitivities>`	`pv01RatesCalibratedBucketed(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)`	Calculates present value sensitivity across one or more scenarios.
`CurrencyParameterSensitivities`	`pv01RatesCalibratedBucketed(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)`	Calculates present value sensitivity for a single set of market data.
`MultiCurrencyScenarioArray`	`pv01RatesCalibratedSum(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)`	Calculates present value sensitivity across one or more scenarios.
`MultiCurrencyAmount`	`pv01RatesCalibratedSum(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)`	Calculates present value sensitivity for a single set of market data.
`ScenarioArray<CurrencyParameterSensitivities>`	`pv01RatesMarketQuoteBucketed(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)`	Calculates present value sensitivity across one or more scenarios.
`CurrencyParameterSensitivities`	`pv01RatesMarketQuoteBucketed(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)`	Calculates present value sensitivity for a single set of market data.
`MultiCurrencyScenarioArray`	`pv01RatesMarketQuoteSum(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)`	Calculates present value sensitivity across one or more scenarios.
`MultiCurrencyAmount`	`pv01RatesMarketQuoteSum(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)`	Calculates present value sensitivity for a single set of market data.
`ScenarioArray<CurrencyParameterSensitivities>`	`vegaMarketQuoteBucketed(ResolvedSwaptionTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)`	Calculates present value vega sensitivity across one or more scenarios.
`CurrencyParameterSensitivities`	`vegaMarketQuoteBucketed(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)`	Calculates present value vega 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 SwaptionTradeCalculations DEFAULT

Default implementation.

Constructor Detail
- SwaptionTradeCalculations
```
public SwaptionTradeCalculations(VolatilitySwaptionTradePricer tradePricer,
                                 SabrSwaptionTradePricer sabrTradePricer)
```
  Creates an instance.
  In most cases, applications should use the DEFAULT instance.
  
  Parameters:
  
  tradePricer - the pricer for ResolvedSwaptionTrade
  
  sabrTradePricer - the pricer for ResolvedSwaptionTrade SABR

Method Detail

presentValue

public CurrencyScenarioArray presentValue(ResolvedSwaptionTrade 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 CurrencyAmount presentValue(ResolvedSwaptionTrade 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(ResolvedSwaptionTrade 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(ResolvedSwaptionTrade 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(ResolvedSwaptionTrade 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(ResolvedSwaptionTrade 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(ResolvedSwaptionTrade 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(ResolvedSwaptionTrade 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(ResolvedSwaptionTrade 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(ResolvedSwaptionTrade 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

vegaMarketQuoteBucketed

public ScenarioArray<CurrencyParameterSensitivities> vegaMarketQuoteBucketed(ResolvedSwaptionTrade trade,
                                                                             RatesMarketDataLookup ratesLookup,
                                                                             SwaptionMarketDataLookup swaptionLookup,
                                                                             ScenarioMarketData marketData)

Calculates present value vega sensitivity across one or more scenarios.

This is the sensitivity of present value to the normal implied volatilities used to calibrate the curves.

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

vegaMarketQuoteBucketed

public CurrencyParameterSensitivities vegaMarketQuoteBucketed(ResolvedSwaptionTrade trade,
                                                              RatesProvider ratesProvider,
                                                              SwaptionVolatilities volatilities)

Calculates present value vega sensitivity for a single set of market data.

This is the sensitivity of present value of the normal implied volatilities used to calibrate the curves.

Parameters:: trade - the trade; ratesProvider - the market data; volatilities - the swaption volatilities
Returns:: the present value sensitivity

currencyExposure

public MultiCurrencyScenarioArray currencyExposure(ResolvedSwaptionTrade 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(ResolvedSwaptionTrade 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 CurrencyScenarioArray currentCash(ResolvedSwaptionTrade 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 CurrencyAmount currentCash(ResolvedSwaptionTrade 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 SwaptionTradeCalculations

Field Summary

Constructor Summary

Method Summary

Methods inherited from class java.lang.Object

Field Detail

DEFAULT

Constructor Detail

SwaptionTradeCalculations

Method Detail

presentValue

presentValue

pv01RatesCalibratedSum

pv01RatesCalibratedSum

pv01RatesCalibratedBucketed

pv01RatesCalibratedBucketed

pv01RatesMarketQuoteSum

pv01RatesMarketQuoteSum

pv01RatesMarketQuoteBucketed

pv01RatesMarketQuoteBucketed

vegaMarketQuoteBucketed

vegaMarketQuoteBucketed

currencyExposure

currencyExposure

currentCash

currentCash