Class Measures
 java.lang.Object

 com.opengamma.strata.measure.Measures

public final class Measures extends Object
The standard set of measures that can be calculated by Strata.A measure identifies the calculation result that is required. For example present value, par rate or spread.
Note that not all measures will be available for all targets.


Field Summary
Fields Modifier and Type Field Description static Measure
ACCRUED_INTEREST
Measure representing the accrued interest of the calculation target.static Measure
CASH_FLOWS
Measure representing the cash flows of the calculation target.static Measure
CURRENCY_EXPOSURE
Measure representing the currency exposure of the calculation target.static Measure
CURRENT_CASH
Measure representing the current cash of the calculation target.static Measure
EXPLAIN_PRESENT_VALUE
Measure representing a breakdown of the present value calculation on the target.static Measure
FORWARD_FX_RATE
Measure representing the forward FX rate of the calculation target.static Measure
LEG_INITIAL_NOTIONAL
Measure representing the initial notional amount of each leg of the calculation target.static Measure
LEG_PRESENT_VALUE
Measure representing the present value of each leg of the calculation target.static Measure
PAR_RATE
Measure representing the par rate of the calculation target.static Measure
PAR_SPREAD
Measure representing the par spread of the calculation target.static Measure
PRESENT_VALUE
Measure representing the present value of the calculation target.static Measure
PV01_CALIBRATED_BUCKETED
Measure representing the calibrated bucketed PV01 on the calculation target.static Measure
PV01_CALIBRATED_SUM
Measure representing the calibrated sum PV01 on the calculation target.static Measure
PV01_MARKET_QUOTE_BUCKETED
Measure representing the market quote bucketed PV01 on the calculation target.static Measure
PV01_MARKET_QUOTE_SUM
Measure representing the market quote sum PV01 on the calculation target.static Measure
RESOLVED_TARGET
Measure representing the resolved form of the calculation target.static Measure
UNIT_PRICE
Measure representing the unit price of the instrument.static Measure
VEGA_MARKET_QUOTE_BUCKETED
Measure representing the market quote bucketed vega on the calculation target.



Field Detail

PRESENT_VALUE
public static final Measure PRESENT_VALUE
Measure representing the present value of the calculation target.The result is a single currency monetary amount in the reporting currency.

EXPLAIN_PRESENT_VALUE
public static final Measure EXPLAIN_PRESENT_VALUE
Measure representing a breakdown of the present value calculation on the target.No currency conversion is performed on the monetary amounts.

PV01_CALIBRATED_SUM
public static final Measure PV01_CALIBRATED_SUM
Measure representing the calibrated sum PV01 on the calculation target.This is the sensitivity of present value to a one basis point shift in the calibrated data structure. The result is the sum of the sensitivities of all affected curves. It is expressed in the reporting currency.

PV01_CALIBRATED_BUCKETED
public static final Measure PV01_CALIBRATED_BUCKETED
Measure representing the calibrated bucketed PV01 on the calculation target.This is the sensitivity of present value to a one basis point shift in the calibrated data structure. The result is provided for each affected curve and currency, bucketed by parameter. It is expressed in the reporting currency.

PV01_MARKET_QUOTE_SUM
public static final Measure PV01_MARKET_QUOTE_SUM
Measure representing the market quote sum PV01 on the calculation target.This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the data structure. The result is the sum of the sensitivities of all affected curves. It is expressed in the reporting currency.

PV01_MARKET_QUOTE_BUCKETED
public static final Measure PV01_MARKET_QUOTE_BUCKETED
Measure representing the market quote bucketed PV01 on the calculation target.This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the data structure. The result is provided for each affected curve and currency, bucketed by parameter. It is expressed in the reporting currency.

VEGA_MARKET_QUOTE_BUCKETED
public static final Measure VEGA_MARKET_QUOTE_BUCKETED
Measure representing the market quote bucketed vega on the calculation target.This is the sensitivity of the present value to the market implied volatilities used to calibrate the data structure.

PAR_RATE
public static final Measure PAR_RATE
Measure representing the par rate of the calculation target.

PAR_SPREAD
public static final Measure PAR_SPREAD
Measure representing the par spread of the calculation target.

LEG_PRESENT_VALUE
public static final Measure LEG_PRESENT_VALUE
Measure representing the present value of each leg of the calculation target.The result is expressed in the reporting currency.

LEG_INITIAL_NOTIONAL
public static final Measure LEG_INITIAL_NOTIONAL
Measure representing the initial notional amount of each leg of the calculation target.The result is expressed in the reporting currency.

ACCRUED_INTEREST
public static final Measure ACCRUED_INTEREST
Measure representing the accrued interest of the calculation target.

CASH_FLOWS
public static final Measure CASH_FLOWS
Measure representing the cash flows of the calculation target.Cash flows provide details about the payments of the target. The result is expressed in the reporting currency.

CURRENCY_EXPOSURE
public static final Measure CURRENCY_EXPOSURE
Measure representing the currency exposure of the calculation target.Currency exposure is the currency risk, expressed as the equivalent amount in each currency. Calculated values are not converted to the reporting currency and may contain values in multiple currencies if the target contains multiple currencies.

CURRENT_CASH
public static final Measure CURRENT_CASH
Measure representing the current cash of the calculation target.Current cash is the sum of all cash flows paid on the valuation date. The result is expressed in the reporting currency.

FORWARD_FX_RATE
public static final Measure FORWARD_FX_RATE
Measure representing the forward FX rate of the calculation target.

UNIT_PRICE
public static final Measure UNIT_PRICE
Measure representing the unit price of the instrument.This is the price of a single unit of a security using Strata market conventions. The price is represented as a
double
, even if it is actually a currency amount.

RESOLVED_TARGET
public static final Measure RESOLVED_TARGET
Measure representing the resolved form of the calculation target.Many calculation targets have a resolved form that is optimized for pricing. This measure allows the resolved form to be obtained. Since the target is the same for all scenarios, the result is not wrapped in
ScenarioArray
.

