Class DiscountingBulletPaymentTradePricer


  • public class DiscountingBulletPaymentTradePricer
    extends java.lang.Object
    Pricer for for bullet payment trades.

    This provides the ability to price ResolvedBulletPaymentTrade. The trade is priced by discounting the underlying payment.

    • Constructor Detail

      • DiscountingBulletPaymentTradePricer

        public DiscountingBulletPaymentTradePricer​(DiscountingPaymentPricer paymentPricer)
        Creates an instance.
        Parameters:
        paymentPricer - the pricer for Payment
    • Method Detail

      • getPaymentPricer

        public DiscountingPaymentPricer getPaymentPricer()
        Gets the underlying payment pricer.
        Returns:
        the payment pricer
      • presentValue

        public CurrencyAmount presentValue​(ResolvedBulletPaymentTrade trade,
                                           BaseProvider provider)
        Calculates the present value of the bullet payment trade.

        The present value of the trade is the value on the valuation date. This is the discounted forecast value.

        Parameters:
        trade - the trade
        provider - the provider
        Returns:
        the present value of the trade
      • explainPresentValue

        public ExplainMap explainPresentValue​(ResolvedBulletPaymentTrade trade,
                                              BaseProvider provider)
        Explains the present value of the bullet payment product.

        This returns explanatory information about the calculation.

        Parameters:
        trade - the trade
        provider - the provider
        Returns:
        the explanatory information
      • presentValueSensitivity

        public PointSensitivities presentValueSensitivity​(ResolvedBulletPaymentTrade trade,
                                                          BaseProvider provider)
        Calculates the present value sensitivity of the bullet payment trade.

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

        Parameters:
        trade - the trade
        provider - the provider
        Returns:
        the point sensitivity of the present value
      • cashFlows

        public CashFlows cashFlows​(ResolvedBulletPaymentTrade trade,
                                   BaseProvider provider)
        Calculates the future cash flow of the bullet payment trade.

        There is only one cash flow on the payment date for the bullet payment trade.

        Parameters:
        trade - the trade
        provider - the provider
        Returns:
        the cash flows
      • currencyExposure

        public CurrencyAmount currencyExposure​(ResolvedBulletPaymentTrade trade,
                                               BaseProvider provider)
        Calculates the currency exposure of the bullet payment trade.
        Parameters:
        trade - the trade
        provider - the provider
        Returns:
        the currency exposure