Class Measures


  • public final class Measures
    extends java.lang.Object
    The standard set of measures that can be calculated by Strata.

    A measure identifies the calculation result that is required. For example present value, par rate or spread.

    Note that not all measures will be available for all targets.

    • Field Detail

      • PRESENT_VALUE

        public static final Measure PRESENT_VALUE
        Measure representing the present value of the calculation target.

        The result is a single currency monetary amount in the reporting currency.

      • EXPLAIN_PRESENT_VALUE

        public static final Measure EXPLAIN_PRESENT_VALUE
        Measure representing a break-down of the present value calculation on the target.

        No currency conversion is performed on the monetary amounts.

      • PV01_CALIBRATED_SUM

        public static final Measure PV01_CALIBRATED_SUM
        Measure representing the calibrated sum PV01 on the calculation target.

        This is the sensitivity of present value to a one basis point shift in the calibrated data structure. The result is the sum of the sensitivities of all affected curves. It is expressed in the reporting currency.

      • PV01_CALIBRATED_BUCKETED

        public static final Measure PV01_CALIBRATED_BUCKETED
        Measure representing the calibrated bucketed PV01 on the calculation target.

        This is the sensitivity of present value to a one basis point shift in the calibrated data structure. The result is provided for each affected curve and currency, bucketed by parameter. It is expressed in the reporting currency.

      • PV01_MARKET_QUOTE_SUM

        public static final Measure PV01_MARKET_QUOTE_SUM
        Measure representing the market quote sum PV01 on the calculation target.

        This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the data structure. The result is the sum of the sensitivities of all affected curves. It is expressed in the reporting currency.

      • PV01_MARKET_QUOTE_BUCKETED

        public static final Measure PV01_MARKET_QUOTE_BUCKETED
        Measure representing the market quote bucketed PV01 on the calculation target.

        This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the data structure. The result is provided for each affected curve and currency, bucketed by parameter. It is expressed in the reporting currency.

      • PAR_RATE

        public static final Measure PAR_RATE
        Measure representing the par rate of the calculation target.
      • PAR_SPREAD

        public static final Measure PAR_SPREAD
        Measure representing the par spread of the calculation target.
      • LEG_PRESENT_VALUE

        public static final Measure LEG_PRESENT_VALUE
        Measure representing the present value of each leg of the calculation target.

        The result is expressed in the reporting currency.

      • LEG_INITIAL_NOTIONAL

        public static final Measure LEG_INITIAL_NOTIONAL
        Measure representing the initial notional amount of each leg of the calculation target.

        The result is expressed in the reporting currency.

      • ACCRUED_INTEREST

        public static final Measure ACCRUED_INTEREST
        Measure representing the accrued interest of the calculation target.
      • CASH_FLOWS

        public static final Measure CASH_FLOWS
        Measure representing the cash flows of the calculation target.

        Cash flows provide details about the payments of the target. The result is expressed in the reporting currency.

      • CURRENCY_EXPOSURE

        public static final Measure CURRENCY_EXPOSURE
        Measure representing the currency exposure of the calculation target.

        Currency exposure is the currency risk, expressed as the equivalent amount in each currency. Calculated values are not converted to the reporting currency and may contain values in multiple currencies if the target contains multiple currencies.

      • CURRENT_CASH

        public static final Measure CURRENT_CASH
        Measure representing the current cash of the calculation target.

        Current cash is the sum of all cash flows paid on the valuation date. The result is expressed in the reporting currency.

      • FORWARD_FX_RATE

        public static final Measure FORWARD_FX_RATE
        Measure representing the forward FX rate of the calculation target.
      • UNIT_PRICE

        public static final Measure UNIT_PRICE
        Measure representing the unit price of the instrument.

        This is the price of a single unit of a security using Strata market conventions. The price is represented as a double, even if it is actually a currency amount.

      • RESOLVED_TARGET

        public static final Measure RESOLVED_TARGET
        Measure representing the resolved form of the calculation target.

        Many calculation targets have a resolved form that is optimized for pricing. This measure allows the resolved form to be obtained. Since the target is the same for all scenarios, the result is not wrapped in ScenarioArray.