Class CapitalIndexedBondTradeCalculations


  • public class CapitalIndexedBondTradeCalculations
    extends java.lang.Object
    Calculates pricing and risk measures for forward rate agreement (capital indexed bond) trades.

    This provides a high-level entry point for capital indexed bond pricing and risk measures.

    Each method takes a ResolvedCapitalIndexedBondTrade, whereas application code will typically work with CapitalIndexedBondTrade. Call CapitalIndexedBondTrade::resolve(ReferenceData) to convert CapitalIndexedBondTrade to ResolvedCapitalIndexedBondTrade.

    Price

    Strata uses decimal prices for bonds in the trade model, pricers and market data. For example, a price of 99.32% is represented in Strata by 0.9932.