Class TermDepositTradeCalculations


  • public class TermDepositTradeCalculations
    extends java.lang.Object
    Calculates pricing and risk measures for term deposit trades.

    This provides a high-level entry point for term deposit pricing and risk measures.

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

    • Method Detail

      • presentValue

        public CurrencyAmount presentValue​(ResolvedTermDepositTrade trade,
                                           RatesProvider ratesProvider)
        Calculates present value for a single set of market data.
        Parameters:
        trade - the trade
        ratesProvider - the market data
        Returns:
        the present value
      • pv01CalibratedSum

        public MultiCurrencyScenarioArray pv01CalibratedSum​(ResolvedTermDepositTrade trade,
                                                            RatesMarketDataLookup lookup,
                                                            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
        lookup - the lookup used to query the market data
        marketData - the market data
        Returns:
        the present value sensitivity, one entry per scenario
      • pv01CalibratedSum

        public MultiCurrencyAmount pv01CalibratedSum​(ResolvedTermDepositTrade trade,
                                                     RatesProvider ratesProvider)
        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
        Returns:
        the present value sensitivity
      • pv01CalibratedBucketed

        public ScenarioArray<CurrencyParameterSensitivities> pv01CalibratedBucketed​(ResolvedTermDepositTrade trade,
                                                                                    RatesMarketDataLookup lookup,
                                                                                    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
        lookup - the lookup used to query the market data
        marketData - the market data
        Returns:
        the present value sensitivity, one entry per scenario
      • pv01CalibratedBucketed

        public CurrencyParameterSensitivities pv01CalibratedBucketed​(ResolvedTermDepositTrade trade,
                                                                     RatesProvider ratesProvider)
        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
        Returns:
        the present value sensitivity
      • pv01MarketQuoteSum

        public MultiCurrencyScenarioArray pv01MarketQuoteSum​(ResolvedTermDepositTrade trade,
                                                             RatesMarketDataLookup lookup,
                                                             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
        lookup - the lookup used to query the market data
        marketData - the market data
        Returns:
        the present value sensitivity, one entry per scenario
      • pv01MarketQuoteSum

        public MultiCurrencyAmount pv01MarketQuoteSum​(ResolvedTermDepositTrade trade,
                                                      RatesProvider ratesProvider)
        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
        Returns:
        the present value sensitivity
      • pv01MarketQuoteBucketed

        public ScenarioArray<CurrencyParameterSensitivities> pv01MarketQuoteBucketed​(ResolvedTermDepositTrade trade,
                                                                                     RatesMarketDataLookup lookup,
                                                                                     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
        lookup - the lookup used to query the market data
        marketData - the market data
        Returns:
        the present value sensitivity, one entry per scenario
      • pv01MarketQuoteBucketed

        public CurrencyParameterSensitivities pv01MarketQuoteBucketed​(ResolvedTermDepositTrade trade,
                                                                      RatesProvider ratesProvider)
        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
        Returns:
        the present value sensitivity
      • parRate

        public double parRate​(ResolvedTermDepositTrade trade,
                              RatesProvider ratesProvider)
        Calculates par rate for a single set of market data.
        Parameters:
        trade - the trade
        ratesProvider - the market data
        Returns:
        the par rate
      • parSpread

        public double parSpread​(ResolvedTermDepositTrade trade,
                                RatesProvider ratesProvider)
        Calculates par spread for a single set of market data.
        Parameters:
        trade - the trade
        ratesProvider - the market data
        Returns:
        the par spread
      • currencyExposure

        public MultiCurrencyScenarioArray currencyExposure​(ResolvedTermDepositTrade trade,
                                                           RatesMarketDataLookup lookup,
                                                           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
        lookup - the lookup used to query the market data
        marketData - the market data
        Returns:
        the currency exposure, one entry per scenario
      • currencyExposure

        public MultiCurrencyAmount currencyExposure​(ResolvedTermDepositTrade trade,
                                                    RatesProvider ratesProvider)
        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
        Returns:
        the currency exposure
      • currentCash

        public CurrencyScenarioArray currentCash​(ResolvedTermDepositTrade trade,
                                                 RatesMarketDataLookup lookup,
                                                 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
        lookup - the lookup used to query the market data
        marketData - the market data
        Returns:
        the current cash, one entry per scenario
      • currentCash

        public CurrencyAmount currentCash​(ResolvedTermDepositTrade trade,
                                          RatesProvider ratesProvider)
        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
        Returns:
        the current cash