Merge of #2767

Author: mergify[bot]

modules/measure/src/main/java/com/opengamma/strata/measure/capfloor/IborCapFloorMeasureCalculations.java

@@ -195,6 +195,41 @@ private PointSensitivities pointSensitivity(
     return tradePricer.presentValueSensitivityRates(trade, ratesProvider, volatilities);
   }
 
+  //-------------------------------------------------------------------------
+  // calculates normal vega for all scenarios
+  ScenarioArray<CurrencyParameterSensitivities> vegaMarketQuoteBucketed(
+      ResolvedIborCapFloorTrade trade,
+      RatesScenarioMarketData ratesMarketData,
+      IborCapFloorScenarioMarketData capFloorMarketData) {
+
+    IborIndex index = trade.getProduct().getCapFloorLeg().getIndex();
+    return ScenarioArray.of(
+        ratesMarketData.getScenarioCount(),
+        i -> vegaMarketQuoteBucketed(
+            trade,
+            ratesMarketData.scenario(i).ratesProvider(),
+            capFloorMarketData.scenario(i).volatilities(index)));
+  }
+
+  //  vega for one scenario
+  CurrencyParameterSensitivities vegaMarketQuoteBucketed(
+      ResolvedIborCapFloorTrade trade,
+      RatesProvider ratesProvider,
+      IborCapletFloorletVolatilities volatilities) {
+
+    PointSensitivities pointSensitivity = pointSensitivityVega(trade, ratesProvider, volatilities);
+    return volatilities.parameterSensitivity(pointSensitivity);
+  }
+
+  //  vega point sensitivity
+  private PointSensitivities pointSensitivityVega(
+      ResolvedIborCapFloorTrade trade,
+      RatesProvider ratesProvider,
+      IborCapletFloorletVolatilities volatilities) {
+
+    return tradePricer.presentValueSensitivityModelParamsVolatility(trade, ratesProvider, volatilities).build();
+  }
+
   //-------------------------------------------------------------------------
   // calculates currency exposure for all scenarios
   MultiCurrencyScenarioArray currencyExposure(

modules/measure/src/main/java/com/opengamma/strata/measure/capfloor/IborCapFloorTradeCalculationFunction.java

@@ -43,9 +43,9 @@
  *   <li>{@linkplain Measures#PV01_CALIBRATED_BUCKETED PV01 calibrated bucketed on rate curves}
  *   <li>{@linkplain Measures#PV01_MARKET_QUOTE_SUM PV01 market quote sum on rate curves}
  *   <li>{@linkplain Measures#PV01_MARKET_QUOTE_BUCKETED PV01 market quote bucketed on rate curves}
+ *   <li>{@linkplain Measures#VEGA_MARKET_QUOTE_BUCKETED vega market quote bucketed on vol surfaces}
  *   <li>{@linkplain Measures#CURRENCY_EXPOSURE Currency exposure}
  *   <li>{@linkplain Measures#CURRENT_CASH Current cash}
- *   <li>{@linkplain Measures#CURRENT_CASH Current cash}
  *   <li>{@linkplain Measures#RESOLVED_TARGET Resolved trade}
  * </ul>
  * <p>
@@ -64,6 +64,7 @@ public class IborCapFloorTradeCalculationFunction
           .put(Measures.PV01_CALIBRATED_BUCKETED, IborCapFloorMeasureCalculations.DEFAULT::pv01RatesCalibratedBucketed)
           .put(Measures.PV01_MARKET_QUOTE_SUM, IborCapFloorMeasureCalculations.DEFAULT::pv01RatesMarketQuoteSum)
           .put(Measures.PV01_MARKET_QUOTE_BUCKETED, IborCapFloorMeasureCalculations.DEFAULT::pv01RatesMarketQuoteBucketed)
+          .put(Measures.VEGA_MARKET_QUOTE_BUCKETED, IborCapFloorMeasureCalculations.DEFAULT::vegaMarketQuoteBucketed)
           .put(Measures.CURRENCY_EXPOSURE, IborCapFloorMeasureCalculations.DEFAULT::currencyExposure)
           .put(Measures.CURRENT_CASH, IborCapFloorMeasureCalculations.DEFAULT::currentCash)
           .put(Measures.RESOLVED_TARGET, (rt, smd, m) -> rt)

modules/measure/src/test/java/com/opengamma/strata/measure/capfloor/IborCapFloorTradeCalculationFunctionTest.java

@@ -32,12 +32,14 @@
 import com.opengamma.strata.calc.runner.FunctionRequirements;
 import com.opengamma.strata.collect.result.Result;
 import com.opengamma.strata.data.scenario.MultiCurrencyScenarioArray;
+import com.opengamma.strata.data.scenario.ScenarioArray;
 import com.opengamma.strata.data.scenario.ScenarioMarketData;
 import com.opengamma.strata.market.curve.ConstantCurve;
 import com.opengamma.strata.market.curve.Curve;
 import com.opengamma.strata.market.curve.CurveId;
 import com.opengamma.strata.market.curve.Curves;
 import com.opengamma.strata.market.observable.IndexQuoteId;
+import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
 import com.opengamma.strata.measure.Measures;
 import com.opengamma.strata.measure.curve.TestMarketDataMap;
 import com.opengamma.strata.measure.rate.RatesMarketDataLookup;
@@ -116,18 +118,23 @@ public void test_simpleMeasures() {
     MultiCurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, VOLS);
     MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider, VOLS);
     MultiCurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider, VOLS);
+    CurrencyParameterSensitivities expectedVegaBucketed =
+        VOLS.parameterSensitivity(pricer.presentValueSensitivityModelParamsVolatility(RTRADE, provider, VOLS).build());
 
     Set<Measure> measures = ImmutableSet.of(
         Measures.PRESENT_VALUE,
         Measures.CURRENCY_EXPOSURE,
-        Measures.CURRENT_CASH);
+        Measures.CURRENT_CASH,
+        Measures.VEGA_MARKET_QUOTE_BUCKETED);
     assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA))
         .containsEntry(
             Measures.PRESENT_VALUE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv))))
         .containsEntry(
             Measures.CURRENCY_EXPOSURE, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure))))
         .containsEntry(
-            Measures.CURRENT_CASH, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash))));
+            Measures.CURRENT_CASH, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash))))
+        .containsEntry(
+            Measures.VEGA_MARKET_QUOTE_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedVegaBucketed))));
   }
 
   //-------------------------------------------------------------------------