Package com.opengamma.strata.pricer.swap

Class DiscountingSwapTradePricer

java.lang.Object

com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer

public class DiscountingSwapTradePricer
extends Object

Pricer for for rate swap trades.

This function provides the ability to price a ResolvedSwapTrade. The product is priced by pricing the product.

Field Summary

Fields

Modifier and Type	Field	Description
static DiscountingSwapTradePricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
DiscountingSwapTradePricer(DiscountingSwapProductPricer productPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyAmount	accruedInterest(ResolvedSwapTrade trade, RatesProvider provider)	Calculates the accrued interest since the last payment.
CashFlows	cashFlows(ResolvedSwapTrade trade, RatesProvider provider)	Calculates the future cash flows of the swap trade.
MultiCurrencyAmount	currencyExposure(ResolvedSwapTrade trade, RatesProvider provider)	Calculates the currency exposure of the swap trade.
MultiCurrencyAmount	currentCash(ResolvedSwapTrade trade, RatesProvider provider)	Calculates the current cash of the swap trade.
ExplainMap	explainPresentValue(ResolvedSwapTrade trade, RatesProvider provider)	Explains the present value of the swap trade.
MultiCurrencyAmount	forecastValue(ResolvedSwapTrade trade, RatesProvider provider)	Calculates the forecast value of the swap trade.
PointSensitivities	forecastValueSensitivity(ResolvedSwapTrade trade, RatesProvider provider)	Calculates the forecast value sensitivity of the swap trade.
DiscountingSwapProductPricer	getProductPricer()	Gets the underlying product pricer.
double	parRate(ResolvedSwapTrade trade, RatesProvider provider)	Calculates the par rate of the swap trade.
PointSensitivities	parRateSensitivity(ResolvedSwapTrade trade, RatesProvider provider)	Calculates the par rate curve sensitivity of the swap trade.
double	parSpread(ResolvedSwapTrade trade, RatesProvider provider)	Calculates the par spread of the swap trade.
PointSensitivities	parSpreadSensitivity(ResolvedSwapTrade trade, RatesProvider provider)	Calculates the par spread curve sensitivity of the swap trade.
CurrencyAmount	presentValue(ResolvedSwapTrade trade, Currency currency, RatesProvider provider)	Calculates the present value of the swap trade, converted to the specified currency.
MultiCurrencyAmount	presentValue(ResolvedSwapTrade trade, RatesProvider provider)	Calculates the present value of the swap trade.
PointSensitivities	presentValueSensitivity(ResolvedSwapTrade trade, RatesProvider provider)	Calculates the present value sensitivity of the swap trade.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final DiscountingSwapTradePricer DEFAULT

Default implementation.

Constructor Detail

DiscountingSwapTradePricer

public DiscountingSwapTradePricer(DiscountingSwapProductPricer productPricer)

Creates an instance.

Parameters:

productPricer - the pricer for ResolvedSwap

Method Detail

getProductPricer

public DiscountingSwapProductPricer getProductPricer()

Gets the underlying product pricer.

Returns:

the product pricer

presentValue

public CurrencyAmount presentValue(ResolvedSwapTrade trade,
                                   Currency currency,
                                   RatesProvider provider)

Calculates the present value of the swap trade, converted to the specified currency.

The present value of the trade is the value on the valuation date. This is the discounted forecast value. The result is converted to the specified currency.

Parameters:

trade - the trade

currency - the currency to convert to

provider - the rates provider

Returns:

the present value of the swap trade in the specified currency

presentValue

public MultiCurrencyAmount presentValue(ResolvedSwapTrade trade,
                                        RatesProvider provider)

Calculates the present value of the swap trade.

The present value of the trade is the value on the valuation date. This is the discounted forecast value. The result is expressed using the payment currency of each leg.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the present value of the swap trade

explainPresentValue

public ExplainMap explainPresentValue(ResolvedSwapTrade trade,
                                      RatesProvider provider)

Explains the present value of the swap trade.

This returns explanatory information about the calculation.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the explanatory information

presentValueSensitivity

public PointSensitivities presentValueSensitivity(ResolvedSwapTrade trade,
                                                  RatesProvider provider)

Calculates the present value sensitivity of the swap 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 rates provider

Returns:

the present value curve sensitivity of the swap trade

forecastValue

public MultiCurrencyAmount forecastValue(ResolvedSwapTrade trade,
                                         RatesProvider provider)

Calculates the forecast value of the swap trade.

The forecast value of the trade is the value on the valuation date without present value discounting. The result is expressed using the payment currency of each leg.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the forecast value of the swap trade

forecastValueSensitivity

public PointSensitivities forecastValueSensitivity(ResolvedSwapTrade trade,
                                                   RatesProvider provider)

Calculates the forecast value sensitivity of the swap trade.

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

Parameters:

trade - the trade

provider - the rates provider

Returns:

the forecast value curve sensitivity of the swap trade

parRate

public double parRate(ResolvedSwapTrade trade,
                      RatesProvider provider)

Calculates the par rate of the swap trade.

The par rate is the rate for which the swap present value is 0.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the par rate

parRateSensitivity

public PointSensitivities parRateSensitivity(ResolvedSwapTrade trade,
                                             RatesProvider provider)

Calculates the par rate curve sensitivity of the swap trade.

The par rate curve sensitivity of the product is the sensitivity of the par rate to the underlying curves.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the par rate sensitivity

parSpread

public double parSpread(ResolvedSwapTrade trade,
                        RatesProvider provider)

Calculates the par spread of the swap trade.

This is spread to be added to the fixed rate to have a present value of 0.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the par spread

parSpreadSensitivity

public PointSensitivities parSpreadSensitivity(ResolvedSwapTrade trade,
                                               RatesProvider provider)

Calculates the par spread curve sensitivity of the swap trade.

The par spread curve sensitivity of the product is the sensitivity of the par spread to the underlying curves.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the par spread sensitivity

cashFlows

public CashFlows cashFlows(ResolvedSwapTrade trade,
                           RatesProvider provider)

Calculates the future cash flows of the swap trade.

Each expected cash flow is added to the result. This is based on forecastValue(ResolvedSwapTrade, RatesProvider).

Parameters:

trade - the trade

provider - the rates provider

Returns:

the cash flows

accruedInterest

public MultiCurrencyAmount accruedInterest(ResolvedSwapTrade trade,
                                           RatesProvider provider)

Calculates the accrued interest since the last payment.

This determines the payment period applicable at the valuation date and calculates the accrued interest since the last payment.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the accrued interest

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedSwapTrade trade,
                                            RatesProvider provider)

Calculates the currency exposure of the swap trade.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the currency exposure of the swap trade

currentCash

public MultiCurrencyAmount currentCash(ResolvedSwapTrade trade,
                                       RatesProvider provider)

Calculates the current cash of the swap trade.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the current cash of the swap trade