Class DiscountingCmsTradePricer


  • public class DiscountingCmsTradePricer
    extends java.lang.Object
    Pricer for CMS trade 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.

    • Method Detail

      • presentValue

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

        public PointSensitivities presentValueSensitivity​(ResolvedCmsTrade trade,
                                                          RatesProvider ratesProvider)
        Calculates the present value curve sensitivity of the CMS trade by simple forward estimation.

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

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

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

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