Class DiscountingDsfProductPricer


  • public final class DiscountingDsfProductPricer
    extends java.lang.Object
    Pricer for for Deliverable Swap Futures (DSFs).

    This function provides the ability to price a ResolvedDsf.

    Price

    The price of a DSF is based on the present value (NPV) of the underlying swap on the delivery date. For example, a price of 100.182 represents a present value of $100,182.00, if the notional is $100,000. This price can also be viewed as a percentage present value - (100 + percentPv), or 0.182% in this example.

    Strata uses decimal prices for DSFs in the trade model, pricers and market data. The decimal price is based on the decimal multiplier equivalent to the implied percentage. Thus the market price of 100.182 is represented in Strata by 1.00182.

    • Method Detail

      • price

        public double price​(ResolvedDsf future,
                            RatesProvider ratesProvider)
        Calculates the price of the deliverable swap futures product.

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

        Parameters:
        future - the future
        ratesProvider - the rates provider
        Returns:
        the price of the product, in decimal form
      • priceSensitivity

        public PointSensitivities priceSensitivity​(ResolvedDsf future,
                                                   RatesProvider ratesProvider)
        Calculates the price sensitivity of the deliverable swap futures product.

        The price sensitivity of the product is the sensitivity of the price to the underlying curves.

        Parameters:
        future - the future
        ratesProvider - the rates provider
        Returns:
        the price curve sensitivity of the product