/**
* Computes the present value curve sensitivity of a transaction.
*
* @param transaction The future option transaction.
* @param curves The yield curve bundle.
* @return The present value curve sensitivity.
*/
public InterestRateCurveSensitivity presentValueCurveSensitivity(
final BondFutureOptionPremiumTransaction transaction, final YieldCurveBundle curves) {
ArgumentChecker.notNull(transaction, "transaction");
ArgumentChecker.notNull(curves, "curves");
final InterestRateCurveSensitivity premiumSensitivity =
PVCSC.visit(transaction.getPremium(), curves);
final InterestRateCurveSensitivity securitySensitivity =
METHOD_SECURITY.priceCurveSensitivity(transaction.getUnderlyingOption(), curves);
return premiumSensitivity.plus(
securitySensitivity.multipliedBy(
transaction.getQuantity()
* transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()));
}
public final class BondFutureOptionPremiumTransactionBlackSurfaceMethod {
/** Creates the method unique instance. */
private static final BondFutureOptionPremiumTransactionBlackSurfaceMethod INSTANCE =
new BondFutureOptionPremiumTransactionBlackSurfaceMethod();
/**
* Return the method unique instance.
*
* @return The instance.
*/
public static BondFutureOptionPremiumTransactionBlackSurfaceMethod getInstance() {
return INSTANCE;
}
/** Constructor. */
private BondFutureOptionPremiumTransactionBlackSurfaceMethod() {}
/** The methods and calculators used. */
private static final BondFutureOptionPremiumSecurityBlackSurfaceMethod METHOD_SECURITY =
BondFutureOptionPremiumSecurityBlackSurfaceMethod.getInstance();
private static final PresentValueMCACalculator PVC = PresentValueMCACalculator.getInstance();
private static final PresentValueCurveSensitivityIRSCalculator PVCSC =
PresentValueCurveSensitivityIRSCalculator.getInstance();
/**
* Compute the present value of a bond future option transaction from the quoted option price.
*
* @param option The future option, not null
* @param curves The curves, not null
* @param price The quoted price
* @return The present value.
*/
public CurrencyAmount presentValueFromPrice(
final BondFutureOptionPremiumTransaction option,
final YieldCurveBundle curves,
final double price) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(curves, "curves");
final Currency ccy = option.getUnderlyingOption().getCurrency();
final CurrencyAmount premiumPV = option.getPremium().accept(PVC, curves).getCurrencyAmount(ccy);
final double optionPV =
price
* option.getQuantity()
* option.getUnderlyingOption().getUnderlyingFuture().getNotional();
return premiumPV.plus(optionPV);
}
/**
* Computes the present value of a bond future option. The option security price is computed
* according to the data available in the bundle. If the underlying future price is available it
* is used, if not it is computed from the curves.
*
* @param transaction The option transaction.
* @param curves The curves bundle.
* @return The present value.
*/
public CurrencyAmount presentValue(
final BondFutureOptionPremiumTransaction transaction, final YieldCurveBundle curves) {
ArgumentChecker.notNull(transaction, "transaction");
ArgumentChecker.notNull(curves, "curves");
final double priceSecurity =
METHOD_SECURITY.optionPrice(transaction.getUnderlyingOption(), curves);
final CurrencyAmount pvTransaction = presentValueFromPrice(transaction, curves, priceSecurity);
return pvTransaction;
}
/**
* Computes the present value curve sensitivity of a transaction.
*
* @param transaction The future option transaction.
* @param curves The yield curve bundle.
* @return The present value curve sensitivity.
*/
public InterestRateCurveSensitivity presentValueCurveSensitivity(
final BondFutureOptionPremiumTransaction transaction, final YieldCurveBundle curves) {
ArgumentChecker.notNull(transaction, "transaction");
ArgumentChecker.notNull(curves, "curves");
final InterestRateCurveSensitivity premiumSensitivity =
PVCSC.visit(transaction.getPremium(), curves);
final InterestRateCurveSensitivity securitySensitivity =
METHOD_SECURITY.priceCurveSensitivity(transaction.getUnderlyingOption(), curves);
return premiumSensitivity.plus(
securitySensitivity.multipliedBy(
transaction.getQuantity()
* transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()));
}
/**
* Computes the present value gamma of a transaction. This is with respect to futures rate
*
* @param transaction The future option transaction.
* @param blackData The curve and Black volatility data.
* @return The gamma.
*/
public double presentValueGamma(
final BondFutureOptionPremiumTransaction transaction,
final YieldCurveWithBlackCubeBundle blackData) {
ArgumentChecker.notNull(transaction, "transaction");
ArgumentChecker.notNull(blackData, "Black data");
final double securityGamma =
METHOD_SECURITY.optionPriceGamma(transaction.getUnderlyingOption(), blackData);
final double txnGamma =
securityGamma
* transaction.getQuantity()
* transaction.getUnderlyingOption().getUnderlyingFuture().getNotional();
return txnGamma;
}
/**
* Computes the present value delta of a transaction. This is with respect to futures rate
*
* @param transaction The future option transaction.
* @param blackData The curve and Black volatility data.
* @return The delta.
*/
public double presentValueDelta(
final BondFutureOptionPremiumTransaction transaction,
final YieldCurveWithBlackCubeBundle blackData) {
ArgumentChecker.notNull(transaction, "transaction");
ArgumentChecker.notNull(blackData, "Black data");
final double securityDelta =
METHOD_SECURITY.optionPriceDelta(transaction.getUnderlyingOption(), blackData);
final double txnDelta =
securityDelta
* transaction.getQuantity()
* transaction.getUnderlyingOption().getUnderlyingFuture().getNotional();
return txnDelta;
}
/**
* Computes the present value vega of a transaction.
*
* @param transaction The future option transaction.
* @param blackData The curve and Black volatility data.
* @return The delta.
*/
public double presentValueVega(
final BondFutureOptionPremiumTransaction transaction,
final YieldCurveWithBlackCubeBundle blackData) {
ArgumentChecker.notNull(transaction, "transaction");
ArgumentChecker.notNull(blackData, "Black data");
final double securityVega =
METHOD_SECURITY.optionPriceVega(transaction.getUnderlyingOption(), blackData);
final double txnVega =
securityVega
* transaction.getQuantity()
* transaction.getUnderlyingOption().getUnderlyingFuture().getNotional();
return txnVega;
}
}