Package com.opengamma.strata.pricer.bond

Class DiscountingBondFutureTradePricer

java.lang.Object

com.opengamma.strata.pricer.bond.DiscountingBondFutureTradePricer

public final class DiscountingBondFutureTradePricer
extends Object

Pricer implementation for bond future trades.

This function provides the ability to price a BondFutureTrade.

Price

Strata uses decimal prices for bond futures in the trade model, pricers and market data. This is coherent with the pricing of FixedCouponBond. The bond futures delivery is a bond for an amount computed from the bond future price, a conversion factor and the accrued interest.

Field Summary

Fields

Modifier and Type	Field	Description
static DiscountingBondFutureTradePricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
DiscountingBondFutureTradePricer(DiscountingBondFutureProductPricer productPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyAmount	currencyExposure(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider, double lastSettlementPrice)	Calculates the currency exposure of the bond future trade.
MultiCurrencyAmount	currencyExposureWithZSpread(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider, double lastSettlementPrice, double zSpread, CompoundedRateType compoundedRateType, int periodPerYear)	Calculates the currency exposure of the bond future trade with z-spread.
double	parSpread(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider, double lastSettlementPrice)	Calculates the par spread of the bond future trade.
PointSensitivities	parSpreadSensitivity(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider)	Calculates the par spread sensitivity of the bond future trade.
PointSensitivities	parSpreadSensitivityWithZSpread(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider, double zSpread, CompoundedRateType compoundedRateType, int periodPerYear)	Calculates the par spread sensitivity of the bond future trade with z-spread.
double	parSpreadWithZSpread(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider, double lastSettlementPrice, double zSpread, CompoundedRateType compoundedRateType, int periodPerYear)	Calculates the par spread of the bond future trade with z-spread.
CurrencyAmount	presentValue(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider, double lastSettlementPrice)	Calculates the present value of the bond future trade.
PointSensitivities	presentValueSensitivity(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider)	Calculates the present value sensitivity of the bond future trade.
PointSensitivities	presentValueSensitivityWithZSpread(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider, double zSpread, CompoundedRateType compoundedRateType, int periodPerYear)	Calculates the present value sensitivity of the bond future trade with z-spread.
CurrencyAmount	presentValueWithZSpread(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider, double lastSettlementPrice, double zSpread, CompoundedRateType compoundedRateType, int periodPerYear)	Calculates the present value of the bond future trade with z-spread.
double	price(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider)	Calculates the price of the bond future trade.
double	priceWithZSpread(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider, double zSpread, CompoundedRateType compoundedRateType, int periodPerYear)	Calculates the price of the bond future trade with z-spread.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final DiscountingBondFutureTradePricer DEFAULT

Default implementation.

Constructor Detail

DiscountingBondFutureTradePricer

public DiscountingBondFutureTradePricer(DiscountingBondFutureProductPricer productPricer)

Creates an instance.

Parameters:

productPricer - the pricer for BondFuture

Method Detail

price

public double price(ResolvedBondFutureTrade trade,
                    LegalEntityDiscountingProvider discountingProvider)

Calculates the price of the bond future trade.

The price of the trade is the price on the valuation date.

Strata uses decimal prices for bond futures. This is coherent with the pricing of FixedCouponBond. For example, a price of 99.32% is represented in Strata by 0.9932.

Parameters:

trade - the trade

discountingProvider - the discounting provider

Returns:

the price of the trade, in decimal form

priceWithZSpread

public double priceWithZSpread(ResolvedBondFutureTrade trade,
                               LegalEntityDiscountingProvider discountingProvider,
                               double zSpread,
                               CompoundedRateType compoundedRateType,
                               int periodPerYear)

Calculates the price of the bond future trade with z-spread.

The price of the trade is the price on the valuation date.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the issuer discounting curve.

Parameters:

trade - the trade

discountingProvider - the discounting provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodPerYear - the number of periods per year

Returns:

the price of the trade, in decimal form

presentValue

public CurrencyAmount presentValue(ResolvedBondFutureTrade trade,
                                   LegalEntityDiscountingProvider discountingProvider,
                                   double lastSettlementPrice)

Calculates the present value of the bond future trade.

The present value of the product is the value on the valuation date.

This method calculates based on the difference between the model price and the last settlement price, or the trade price if traded on the valuation date.

Parameters:

trade - the trade

discountingProvider - the discounting provider

lastSettlementPrice - the last settlement price used for margining, in decimal form

Returns:

the present value

presentValueWithZSpread

public CurrencyAmount presentValueWithZSpread(ResolvedBondFutureTrade trade,
                                              LegalEntityDiscountingProvider discountingProvider,
                                              double lastSettlementPrice,
                                              double zSpread,
                                              CompoundedRateType compoundedRateType,
                                              int periodPerYear)

Calculates the present value of the bond future trade with z-spread.

The present value of the product is the value on the valuation date.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the issuer discounting curve.

This method calculates based on the difference between the model price and the last settlement price, or the trade price if traded on the valuation date.

Parameters:

trade - the trade

discountingProvider - the discounting provider

lastSettlementPrice - the last settlement price used for margining, in decimal form

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodPerYear - the number of periods per year

Returns:

the present value

presentValueSensitivity

public PointSensitivities presentValueSensitivity(ResolvedBondFutureTrade trade,
                                                  LegalEntityDiscountingProvider discountingProvider)

Calculates the present value sensitivity of the bond future trade.

The present value sensitivity of the trade is the sensitivity of the present value to the underlying curves.

Parameters:

trade - the trade

discountingProvider - the discounting provider

Returns:

the present value curve sensitivity of the trade

presentValueSensitivityWithZSpread

public PointSensitivities presentValueSensitivityWithZSpread(ResolvedBondFutureTrade trade,
                                                             LegalEntityDiscountingProvider discountingProvider,
                                                             double zSpread,
                                                             CompoundedRateType compoundedRateType,
                                                             int periodPerYear)

Calculates the present value sensitivity of the bond future trade with z-spread.

The present value sensitivity of the trade is the sensitivity of the present value to the underlying curves.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the issuer discounting curve.

Parameters:

trade - the trade

discountingProvider - the discounting provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodPerYear - the number of periods per year

Returns:

the present value curve sensitivity of the trade

parSpread

public double parSpread(ResolvedBondFutureTrade trade,
                        LegalEntityDiscountingProvider discountingProvider,
                        double lastSettlementPrice)

Calculates the par spread of the bond future trade.

The par spread is defined in the following way. When the reference price (or market quote) is increased by the par spread, the present value of the trade is zero.

This method calculates based on the difference between the model price and the last settlement price, or the trade price if traded on the valuation date.

Parameters:

trade - the trade

discountingProvider - the discounting provider

lastSettlementPrice - the last settlement price used for margining, in decimal form

Returns:

the par spread

parSpreadWithZSpread

public double parSpreadWithZSpread(ResolvedBondFutureTrade trade,
                                   LegalEntityDiscountingProvider discountingProvider,
                                   double lastSettlementPrice,
                                   double zSpread,
                                   CompoundedRateType compoundedRateType,
                                   int periodPerYear)

Calculates the par spread of the bond future trade with z-spread.

The par spread is defined in the following way. When the reference price (or market quote) is increased by the par spread, the present value of the trade is zero.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the issuer discounting curve.

This method calculates based on the difference between the model price and the last settlement price, or the trade price if traded on the valuation date.

Parameters:

trade - the trade

discountingProvider - the discounting provider

lastSettlementPrice - the last settlement price used for margining, in decimal form

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodPerYear - the number of periods per year

Returns:

the par spread

parSpreadSensitivity

public PointSensitivities parSpreadSensitivity(ResolvedBondFutureTrade trade,
                                               LegalEntityDiscountingProvider discountingProvider)

Calculates the par spread sensitivity of the bond future trade.

The par spread sensitivity of the trade is the sensitivity of the par spread to the underlying curves.

Parameters:

trade - the trade

discountingProvider - the discounting provider

Returns:

the par spread curve sensitivity of the trade

parSpreadSensitivityWithZSpread

public PointSensitivities parSpreadSensitivityWithZSpread(ResolvedBondFutureTrade trade,
                                                          LegalEntityDiscountingProvider discountingProvider,
                                                          double zSpread,
                                                          CompoundedRateType compoundedRateType,
                                                          int periodPerYear)

Calculates the par spread sensitivity of the bond future trade with z-spread.

The par spread sensitivity of the trade is the sensitivity of the par spread to the underlying curves.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the issuer discounting curve.

Parameters:

trade - the trade

discountingProvider - the discounting provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodPerYear - the number of periods per year

Returns:

the par spread curve sensitivity of the trade

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedBondFutureTrade trade,
                                            LegalEntityDiscountingProvider discountingProvider,
                                            double lastSettlementPrice)

Calculates the currency exposure of the bond future trade.

This method calculates based on the difference between the model price and the last settlement price, or the trade price if traded on the valuation date.

Parameters:

trade - the trade

discountingProvider - the discounting provider

lastSettlementPrice - the last settlement price used for margining, in decimal form

Returns:

the currency exposure of the bond future trade

currencyExposureWithZSpread

public MultiCurrencyAmount currencyExposureWithZSpread(ResolvedBondFutureTrade trade,
                                                       LegalEntityDiscountingProvider discountingProvider,
                                                       double lastSettlementPrice,
                                                       double zSpread,
                                                       CompoundedRateType compoundedRateType,
                                                       int periodPerYear)

Calculates the currency exposure of the bond future trade with z-spread.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the issuer discounting curve.

This method calculates based on the difference between the model price and the last settlement price, or the trade price if traded on the valuation date.

Parameters:

trade - the trade

discountingProvider - the discounting provider

lastSettlementPrice - the last settlement price used for margining, in decimal form

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodPerYear - the number of periods per year

Returns:

the currency exposure of the bond future trade