Interface SwapPaymentEventPricer<T extends SwapPaymentEvent>

  • Type Parameters:
    T - the type of event

    public interface SwapPaymentEventPricer<T extends SwapPaymentEvent>
    Pricer for payment events.

    This function provides the ability to price a SwapPaymentEvent.

    Implementations must be immutable and thread-safe functions.

    • Method Detail

      • standard

        static SwapPaymentEventPricer<SwapPaymentEvent> standard()
        Returns the standard instance of the function.

        Use this method to avoid a direct dependency on the implementation.

        Returns:
        the payment event pricer
      • presentValue

        double presentValue​(T event,
                            RatesProvider provider)
        Calculates the present value of a single payment event.

        The amount is expressed in the currency of the event. This returns the value of the event with discounting.

        The payment date of the event should not be in the past. The result of this method for payment dates in the past is undefined.

        Parameters:
        event - the event
        provider - the rates provider
        Returns:
        the present value of the event
      • presentValueSensitivity

        PointSensitivityBuilder presentValueSensitivity​(T event,
                                                        RatesProvider provider)
        Calculates the present value sensitivity of a single payment event.

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

        Parameters:
        event - the event
        provider - the rates provider
        Returns:
        the present value curve sensitivity of the event
      • forecastValue

        double forecastValue​(T event,
                             RatesProvider provider)
        Calculates the forecast value of a single payment event.

        The amount is expressed in the currency of the event. This returns the value of the event without discounting.

        The payment date of the event should not be in the past. The result of this method for payment dates in the past is undefined.

        Parameters:
        event - the event
        provider - the rates provider
        Returns:
        the forecast value of the event
      • forecastValueSensitivity

        PointSensitivityBuilder forecastValueSensitivity​(T event,
                                                         RatesProvider provider)
        Calculates the forecast value sensitivity of a single payment event.

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

        Parameters:
        event - the event
        provider - the rates provider
        Returns:
        the forecast value curve sensitivity of the event
      • explainPresentValue

        void explainPresentValue​(T event,
                                 RatesProvider provider,
                                 ExplainMapBuilder builder)
        Explains the present value of a single payment event.

        This adds information to the ExplainMapBuilder to aid understanding of the calculation.

        Parameters:
        event - the event
        provider - the rates provider
        builder - the builder to populate
      • currencyExposure

        MultiCurrencyAmount currencyExposure​(T event,
                                             RatesProvider provider)
        Calculates the currency exposure of a single payment event.
        Parameters:
        event - the event
        provider - the rates provider
        Returns:
        the currency exposure
      • currentCash

        double currentCash​(T event,
                           RatesProvider provider)
        Calculates the current cash of a single payment event.
        Parameters:
        event - the event
        provider - the rates provider
        Returns:
        the current cash