Class DiscountingIborFutureTradePricer


  • public class DiscountingIborFutureTradePricer
    extends java.lang.Object
    Pricer implementation for Ibor future trades.

    This function provides the ability to price a ResolvedIborFutureTrade.

    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.

    • Method Detail

      • price

        public double price​(ResolvedIborFutureTrade trade,
                            RatesProvider ratesProvider)
        Calculates the price of the Ibor future trade.

        The price of the trade is the price on the valuation date. The price is calculated using the discounting model.

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

        public PointSensitivities priceSensitivity​(ResolvedIborFutureTrade trade,
                                                   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:
        trade - the trade
        ratesProvider - the rates provider
        Returns:
        the price curve sensitivity of the product
      • presentValue

        public CurrencyAmount presentValue​(ResolvedIborFutureTrade trade,
                                           RatesProvider ratesProvider,
                                           double lastSettlementPrice)
        Calculates the present value of the Ibor future trade.

        The present value of the product is the value on the valuation date. The current price is calculated using the discounting model.

        This method calculates based on the difference between the model price and the last settlement price, or the trade price if traded on the valuation date.

        Parameters:
        trade - the trade
        ratesProvider - the rates provider
        lastSettlementPrice - the last settlement price used for margining, in decimal form
        Returns:
        the present value
      • presentValueSensitivity

        public PointSensitivities presentValueSensitivity​(ResolvedIborFutureTrade trade,
                                                          RatesProvider ratesProvider)
        Calculates the present value sensitivity of the Ibor future trade.

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

        Parameters:
        trade - the trade
        ratesProvider - the rates provider
        Returns:
        the present value curve sensitivity of the trade
      • parSpread

        public double parSpread​(ResolvedIborFutureTrade trade,
                                RatesProvider ratesProvider,
                                double lastSettlementPrice)
        Calculates the par spread of the Ibor future trade.

        The par spread is defined in the following way. When the reference price (or market quote) is increased by the par spread, the present value of the trade is zero. The current price is calculated using the discounting model.

        This method calculates based on the difference between the model price and the last settlement price, or the trade price if traded on the valuation date.

        Parameters:
        trade - the trade
        ratesProvider - the rates provider
        lastSettlementPrice - the last settlement price used for margining, in decimal form
        Returns:
        the par spread.
      • parSpreadSensitivity

        public PointSensitivities parSpreadSensitivity​(ResolvedIborFutureTrade trade,
                                                       RatesProvider ratesProvider)
        Calculates the par spread sensitivity of the Ibor future trade.

        The par spread sensitivity of the trade is the sensitivity of the par spread to the underlying curves.

        Parameters:
        trade - the trade
        ratesProvider - the rates provider
        Returns:
        the par spread curve sensitivity of the trade