Class DiscountingOvernightFutureProductPricer


  • public class DiscountingOvernightFutureProductPricer
    extends java.lang.Object
    Pricer for for Overnight rate future products.

    This function provides the ability to price a ResolvedOvernightFuture.

    Price

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

    Strata uses decimal prices for Overnight rate 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

      • DiscountingOvernightFutureProductPricer

        public DiscountingOvernightFutureProductPricer​(RateComputationFn<RateComputation> rateComputationFn)
        Creates an instance.
        Parameters:
        rateComputationFn - the rate computation function
    • Method Detail

      • price

        public double price​(ResolvedOvernightFuture future,
                            RatesProvider ratesProvider)
        Calculates the price of the Overnight rate 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​(ResolvedOvernightFuture future,
                                                   RatesProvider ratesProvider)
        Calculates the price sensitivity of the Overnight rate 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