Package com.opengamma.strata.pricer.impl.swap

Class DiscountingKnownAmountPaymentPeriodPricer

java.lang.Object

com.opengamma.strata.pricer.impl.swap.DiscountingKnownAmountPaymentPeriodPricer

All Implemented Interfaces:

SwapPaymentPeriodPricer<KnownAmountSwapPaymentPeriod>

public class DiscountingKnownAmountPaymentPeriodPricer
extends Object
implements SwapPaymentPeriodPricer<KnownAmountSwapPaymentPeriod>

Pricer implementation for swap payment periods based on a known amount.

This pricer performs discounting of the known amount.

Field Summary

Fields

Modifier and Type	Field	Description
static DiscountingKnownAmountPaymentPeriodPricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
DiscountingKnownAmountPaymentPeriodPricer(DiscountingPaymentPricer paymentPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
double	accruedInterest(KnownAmountSwapPaymentPeriod period, RatesProvider provider)	Calculates the accrued interest since the last payment.
MultiCurrencyAmount	currencyExposure(KnownAmountSwapPaymentPeriod period, RatesProvider provider)	Calculates the currency exposure of a single payment period.
double	currentCash(KnownAmountSwapPaymentPeriod period, RatesProvider provider)	Calculates the current cash of a single payment period.
void	explainPresentValue(KnownAmountSwapPaymentPeriod period, RatesProvider provider, ExplainMapBuilder builder)	Explains the present value of a single payment period.
double	forecastValue(KnownAmountSwapPaymentPeriod period, RatesProvider provider)	Calculates the forecast value of a single payment period.
PointSensitivityBuilder	forecastValueSensitivity(KnownAmountSwapPaymentPeriod period, RatesProvider provider)	Calculates the forecast value sensitivity of a single payment period.
double	presentValue(KnownAmountSwapPaymentPeriod period, RatesProvider provider)	Calculates the present value of a single payment period.
PointSensitivityBuilder	presentValueSensitivity(KnownAmountSwapPaymentPeriod period, RatesProvider provider)	Calculates the present value sensitivity of a single payment period.
double	pvbp(KnownAmountSwapPaymentPeriod period, RatesProvider provider)	Calculates the present value of a basis point of a period.
PointSensitivityBuilder	pvbpSensitivity(KnownAmountSwapPaymentPeriod period, RatesProvider provider)	Calculates the present value of a basis point sensitivity of a single payment period.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final DiscountingKnownAmountPaymentPeriodPricer DEFAULT

Default implementation.

Constructor Detail

DiscountingKnownAmountPaymentPeriodPricer

public DiscountingKnownAmountPaymentPeriodPricer(DiscountingPaymentPricer paymentPricer)

Creates an instance.

Parameters:

paymentPricer - the payment pricer

Method Detail

presentValue

public double presentValue(KnownAmountSwapPaymentPeriod period,
                           RatesProvider provider)

Description copied from interface: SwapPaymentPeriodPricer

Calculates the present value of a single payment period.

The amount is expressed in the currency of the period. This returns the value of the period with discounting.

The payment date of the period should not be in the past. The result of this method for payment dates in the past is undefined.

Specified by:

presentValue in interface SwapPaymentPeriodPricer<KnownAmountSwapPaymentPeriod>

Parameters:

period - the period

provider - the rates provider

Returns:

the present value of the period

forecastValue

public double forecastValue(KnownAmountSwapPaymentPeriod period,
                            RatesProvider provider)

Description copied from interface: SwapPaymentPeriodPricer

Calculates the forecast value of a single payment period.

The amount is expressed in the currency of the period. This returns the value of the period without discounting.

The payment date of the period should not be in the past. The result of this method for payment dates in the past is undefined.

Specified by:

forecastValue in interface SwapPaymentPeriodPricer<KnownAmountSwapPaymentPeriod>

Parameters:

period - the period

provider - the rates provider

Returns:

the forecast value of the period

accruedInterest

public double accruedInterest(KnownAmountSwapPaymentPeriod period,
                              RatesProvider provider)

Description copied from interface: SwapPaymentPeriodPricer

Calculates the accrued interest since the last payment.

This calculates the interest that has accrued between the start of the period and the valuation date. Discounting is not applied. The amount is expressed in the currency of the period. It is intended that this method is called only with the period where the valuation date is after the start date and before or equal to the end date.

Specified by:

accruedInterest in interface SwapPaymentPeriodPricer<KnownAmountSwapPaymentPeriod>

Parameters:

period - the period

provider - the rates provider

Returns:

the accrued interest of the period

pvbp

public double pvbp(KnownAmountSwapPaymentPeriod period,
                   RatesProvider provider)

Description copied from interface: SwapPaymentPeriodPricer

Calculates the present value of a basis point of a period.

This calculate the amount by which, to the first order, the period present value changes for a change of the rate defining the payment period. For known amount payments for which there is rate, the value is 0. In absence of compounding on the period, this measure is equivalent to the traditional PVBP.

Specified by:

pvbp in interface SwapPaymentPeriodPricer<KnownAmountSwapPaymentPeriod>

Parameters:

period - the period

provider - the rates provider

Returns:

the present value of a basis point

presentValueSensitivity

public PointSensitivityBuilder presentValueSensitivity(KnownAmountSwapPaymentPeriod period,
                                                       RatesProvider provider)

Description copied from interface: SwapPaymentPeriodPricer

Calculates the present value sensitivity of a single payment period.

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

Specified by:

presentValueSensitivity in interface SwapPaymentPeriodPricer<KnownAmountSwapPaymentPeriod>

Parameters:

period - the period

provider - the rates provider

Returns:

the present value curve sensitivity of the period

forecastValueSensitivity

public PointSensitivityBuilder forecastValueSensitivity(KnownAmountSwapPaymentPeriod period,
                                                        RatesProvider provider)

Description copied from interface: SwapPaymentPeriodPricer

Calculates the forecast value sensitivity of a single payment period.

The forecast value sensitivity of the period is the sensitivity of the forecast value to the underlying curves.

Specified by:

forecastValueSensitivity in interface SwapPaymentPeriodPricer<KnownAmountSwapPaymentPeriod>

Parameters:

period - the period

provider - the rates provider

Returns:

the forecast value curve sensitivity of the period

pvbpSensitivity

public PointSensitivityBuilder pvbpSensitivity(KnownAmountSwapPaymentPeriod period,
                                               RatesProvider provider)

Description copied from interface: SwapPaymentPeriodPricer

Calculates the present value of a basis point sensitivity of a single payment period.

This calculate the sensitivity of the present value of a basis point (pvbp) quantity to the underlying curves.

Specified by:

pvbpSensitivity in interface SwapPaymentPeriodPricer<KnownAmountSwapPaymentPeriod>

Parameters:

period - the period

provider - the rates provider

Returns:

the present value of a basis point sensitivity

explainPresentValue

public void explainPresentValue(KnownAmountSwapPaymentPeriod period,
                                RatesProvider provider,
                                ExplainMapBuilder builder)

Description copied from interface: SwapPaymentPeriodPricer

Explains the present value of a single payment period.

This adds information to the ExplainMapBuilder to aid understanding of the calculation.

Specified by:

explainPresentValue in interface SwapPaymentPeriodPricer<KnownAmountSwapPaymentPeriod>

Parameters:

period - the period

provider - the rates provider

builder - the builder to populate

currencyExposure

public MultiCurrencyAmount currencyExposure(KnownAmountSwapPaymentPeriod period,
                                            RatesProvider provider)

Description copied from interface: SwapPaymentPeriodPricer

Calculates the currency exposure of a single payment period.

Specified by:

currencyExposure in interface SwapPaymentPeriodPricer<KnownAmountSwapPaymentPeriod>

Parameters:

period - the period

provider - the rates provider

Returns:

the currency exposure

currentCash

public double currentCash(KnownAmountSwapPaymentPeriod period,
                          RatesProvider provider)

Description copied from interface: SwapPaymentPeriodPricer

Calculates the current cash of a single payment period.

Specified by:

currentCash in interface SwapPaymentPeriodPricer<KnownAmountSwapPaymentPeriod>

Parameters:

period - the period

provider - the rates provider

Returns:

the current cash