Class DiscountingIborFutureProductPricer


  • public class DiscountingIborFutureProductPricer
    extends java.lang.Object
    Pricer for for Ibor future products.

    This function provides the ability to price a ResolvedIborFuture.

    Price

    The price of an Ibor future is based on the interest rate of the underlying index. It is defined as (100 - percentRate).

    Strata uses decimal prices for Ibor futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.

    • Constructor Detail

      • DiscountingIborFutureProductPricer

        public DiscountingIborFutureProductPricer()
        Creates an instance.
    • Method Detail

      • price

        public double price​(ResolvedIborFuture future,
                            RatesProvider ratesProvider)
        Calculates the price of the Ibor future 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​(ResolvedIborFuture future,
                                                   RatesProvider ratesProvider)
        Calculates the price sensitivity of the Ibor future 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