Interface SwapPaymentPeriodPricer<T extends SwapPaymentPeriod>

 Type Parameters:
T
 the type of period
public interface SwapPaymentPeriodPricer<T extends SwapPaymentPeriod>
Pricer for payment periods.This function provides the ability to price a
SwapPaymentPeriod
.Implementations must be immutable and threadsafe functions.


Method Summary
All Methods Static Methods Instance Methods Abstract Methods Modifier and Type Method Description double
accruedInterest(T period, RatesProvider provider)
Calculates the accrued interest since the last payment.MultiCurrencyAmount
currencyExposure(T period, RatesProvider provider)
Calculates the currency exposure of a single payment period.double
currentCash(T period, RatesProvider provider)
Calculates the current cash of a single payment period.void
explainPresentValue(T period, RatesProvider provider, ExplainMapBuilder builder)
Explains the present value of a single payment period.double
forecastValue(T period, RatesProvider provider)
Calculates the forecast value of a single payment period.PointSensitivityBuilder
forecastValueSensitivity(T period, RatesProvider provider)
Calculates the forecast value sensitivity of a single payment period.double
presentValue(T period, RatesProvider provider)
Calculates the present value of a single payment period.PointSensitivityBuilder
presentValueSensitivity(T period, RatesProvider provider)
Calculates the present value sensitivity of a single payment period.double
pvbp(T period, RatesProvider provider)
Calculates the present value of a basis point of a period.PointSensitivityBuilder
pvbpSensitivity(T period, RatesProvider provider)
Calculates the present value of a basis point sensitivity of a single payment period.static SwapPaymentPeriodPricer<SwapPaymentPeriod>
standard()
Returns the standard instance of the function.



Method Detail

standard
static SwapPaymentPeriodPricer<SwapPaymentPeriod> standard()
Returns the standard instance of the function.Use this method to avoid a direct dependency on the implementation.
 Returns:
 the payment period pricer

presentValue
double presentValue(T period, RatesProvider provider)
Calculates the present value of a single payment period.The amount is expressed in the currency of the period. This returns the value of the period with discounting.
The payment date of the period should not be in the past. The result of this method for payment dates in the past is undefined.
 Parameters:
period
 the periodprovider
 the rates provider Returns:
 the present value of the period

presentValueSensitivity
PointSensitivityBuilder presentValueSensitivity(T period, RatesProvider provider)
Calculates the present value sensitivity of a single payment period.The present value sensitivity of the period is the sensitivity of the present value to the underlying curves.
 Parameters:
period
 the periodprovider
 the rates provider Returns:
 the present value curve sensitivity of the period

forecastValue
double forecastValue(T period, RatesProvider provider)
Calculates the forecast value of a single payment period.The amount is expressed in the currency of the period. This returns the value of the period without discounting.
The payment date of the period should not be in the past. The result of this method for payment dates in the past is undefined.
 Parameters:
period
 the periodprovider
 the rates provider Returns:
 the forecast value of the period

forecastValueSensitivity
PointSensitivityBuilder forecastValueSensitivity(T period, RatesProvider provider)
Calculates the forecast value sensitivity of a single payment period.The forecast value sensitivity of the period is the sensitivity of the forecast value to the underlying curves.
 Parameters:
period
 the periodprovider
 the rates provider Returns:
 the forecast value curve sensitivity of the period

pvbp
double pvbp(T period, RatesProvider provider)
Calculates the present value of a basis point of a period.This calculate the amount by which, to the first order, the period present value changes for a change of the rate defining the payment period. For known amount payments for which there is rate, the value is 0. In absence of compounding on the period, this measure is equivalent to the traditional PVBP.
 Parameters:
period
 the periodprovider
 the rates provider Returns:
 the present value of a basis point

pvbpSensitivity
PointSensitivityBuilder pvbpSensitivity(T period, RatesProvider provider)
Calculates the present value of a basis point sensitivity of a single payment period.This calculate the sensitivity of the present value of a basis point (pvbp) quantity to the underlying curves.
 Parameters:
period
 the periodprovider
 the rates provider Returns:
 the present value of a basis point sensitivity

accruedInterest
double accruedInterest(T period, RatesProvider provider)
Calculates the accrued interest since the last payment.This calculates the interest that has accrued between the start of the period and the valuation date. Discounting is not applied. The amount is expressed in the currency of the period. It is intended that this method is called only with the period where the valuation date is after the start date and before or equal to the end date.
 Parameters:
period
 the periodprovider
 the rates provider Returns:
 the accrued interest of the period

explainPresentValue
void explainPresentValue(T period, RatesProvider provider, ExplainMapBuilder builder)
Explains the present value of a single payment period.This adds information to the
ExplainMapBuilder
to aid understanding of the calculation. Parameters:
period
 the periodprovider
 the rates providerbuilder
 the builder to populate

currencyExposure
MultiCurrencyAmount currencyExposure(T period, RatesProvider provider)
Calculates the currency exposure of a single payment period. Parameters:
period
 the periodprovider
 the rates provider Returns:
 the currency exposure

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

