Class DiscountingCmsProductPricer


  • public class DiscountingCmsProductPricer
    extends java.lang.Object
    Computes the price of a CMS product by simple forward estimation.

    This is an overly simplistic approach to CMS coupon pricer. It is provided only for testing and comparison purposes. It is not recommended to use this for valuation or risk management purposes.

    • Constructor Detail

      • DiscountingCmsProductPricer

        public DiscountingCmsProductPricer​(DiscountingSwapProductPricer swapPricer)
        Creates an instance.
        Parameters:
        swapPricer - the pricer for Swap
    • Method Detail

      • presentValue

        public MultiCurrencyAmount presentValue​(ResolvedCms cms,
                                                RatesProvider ratesProvider)
        Calculates the present value of the CMS product by simple forward estimation.
        Parameters:
        cms - the CMS product
        ratesProvider - the rates provider
        Returns:
        the present value
      • presentValueSensitivity

        public PointSensitivityBuilder presentValueSensitivity​(ResolvedCms cms,
                                                               RatesProvider ratesProvider)
        Calculates the present value curve sensitivity of the CMS product by simple forward estimation.

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

        Parameters:
        cms - the CMS product
        ratesProvider - the rates provider
        Returns:
        the present value sensitivity
      • currencyExposure

        public MultiCurrencyAmount currencyExposure​(ResolvedCms cms,
                                                    RatesProvider ratesProvider)
        Calculates the currency exposure of the product.
        Parameters:
        cms - the CMS product
        ratesProvider - the rates provider
        Returns:
        the currency exposure
      • currentCash

        public MultiCurrencyAmount currentCash​(ResolvedCms cms,
                                               RatesProvider ratesProvider)
        Calculates the current cash of the product.
        Parameters:
        cms - the CMS product
        ratesProvider - the rates provider
        Returns:
        the current cash