Class DiscountingIborFixingDepositTradePricer


  • public class DiscountingIborFixingDepositTradePricer
    extends java.lang.Object
    The methods associated to the pricing of Ibor fixing deposit trades by discounting.

    This provides the ability to price ResolvedIborFixingDepositTrade. These trades are synthetic trades which are used for curve calibration purposes. They should not be used as actual trades.

    • Method Detail

      • presentValue

        public CurrencyAmount presentValue​(ResolvedIborFixingDepositTrade trade,
                                           RatesProvider provider)
        Calculates the present value of the Ibor fixing deposit trade.

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

        Parameters:
        trade - the trade
        provider - the rates provider
        Returns:
        the present value of the product
      • presentValueSensitivity

        public PointSensitivities presentValueSensitivity​(ResolvedIborFixingDepositTrade trade,
                                                          RatesProvider provider)
        Calculates the present value sensitivity of the Ibor fixing deposit trade.

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

        Parameters:
        trade - the trade
        provider - the rates provider
        Returns:
        the point sensitivity of the present value
      • parRate

        public double parRate​(ResolvedIborFixingDepositTrade trade,
                              RatesProvider provider)
        Calculates the deposit fair rate given the start and end time and the accrual factor.
        Parameters:
        trade - the trade
        provider - the rates provider
        Returns:
        the par rate
      • parSpread

        public double parSpread​(ResolvedIborFixingDepositTrade trade,
                                RatesProvider provider)
        Calculates the spread to be added to the deposit rate to have a zero present value.
        Parameters:
        trade - the trade
        provider - the rates provider
        Returns:
        the par spread