Package com.opengamma.strata.measure.bond

Class BillTradeCalculations

java.lang.Object

com.opengamma.strata.measure.bond.BillTradeCalculations

public class BillTradeCalculations
extends Object

Calculates pricing and risk measures for bill trades.

This provides a high-level entry point for bill pricing and risk measures.

Each method takes a ResolvedBillTrade, whereas application code will typically work with BillTrade. Call BillTrade::resolve(ReferenceData) to convert BillTrade to ResolvedBillTrade.

Price and yield

Strata uses decimal yields and prices for bills in the trade model, pricers and market data. For example, a price of 99.32% is represented in Strata by 0.9932 and a yield of 1.32% is represented by 0.0132.

Field Summary

Fields

Modifier and Type	Field	Description
static BillTradeCalculations	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
BillTradeCalculations(DiscountingBillTradePricer tradePricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyScenarioArray	currencyExposure(ResolvedBillTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates currency exposure across one or more scenarios.
MultiCurrencyAmount	currencyExposure(ResolvedBillTrade trade, LegalEntityDiscountingProvider ratesProvider)	Calculates currency exposure for a single set of market data.
CurrencyScenarioArray	currentCash(ResolvedBillTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates current cash across one or more scenarios.
CurrencyAmount	currentCash(ResolvedBillTrade trade, LegalEntityDiscountingProvider ratesProvider)	Calculates current cash for a single set of market data.
CurrencyScenarioArray	presentValue(ResolvedBillTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value across one or more scenarios.
CurrencyAmount	presentValue(ResolvedBillTrade trade, LegalEntityDiscountingProvider ratesProvider)	Calculates present value for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01CalibratedBucketed(ResolvedBillTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01CalibratedBucketed(ResolvedBillTrade trade, LegalEntityDiscountingProvider ratesProvider)	Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01CalibratedSum(ResolvedBillTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01CalibratedSum(ResolvedBillTrade trade, LegalEntityDiscountingProvider ratesProvider)	Calculates present value sensitivity for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01MarketQuoteBucketed(ResolvedBillTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01MarketQuoteBucketed(ResolvedBillTrade trade, LegalEntityDiscountingProvider ratesProvider)	Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01MarketQuoteSum(ResolvedBillTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01MarketQuoteSum(ResolvedBillTrade trade, LegalEntityDiscountingProvider ratesProvider)	Calculates present value sensitivity for a single set of market data.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final BillTradeCalculations DEFAULT

Default implementation.

Constructor Detail

BillTradeCalculations

public BillTradeCalculations(DiscountingBillTradePricer tradePricer)

Creates an instance.

In most cases, applications should use the DEFAULT instance.

Parameters:

tradePricer - the pricer for ResolvedBillTrade

Method Detail

presentValue

public CurrencyScenarioArray presentValue(ResolvedBillTrade trade,
                                          LegalEntityDiscountingMarketDataLookup lookup,
                                          ScenarioMarketData marketData)

Calculates present value across one or more scenarios.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value, one entry per scenario

presentValue

public CurrencyAmount presentValue(ResolvedBillTrade trade,
                                   LegalEntityDiscountingProvider ratesProvider)

Calculates present value for a single set of market data.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the present value

pv01CalibratedSum

public MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedBillTrade trade,
                                                    LegalEntityDiscountingMarketDataLookup lookup,
                                                    ScenarioMarketData marketData)

Calculates present value sensitivity across one or more scenarios.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is the sum of the sensitivities of all affected curves.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01CalibratedSum

public MultiCurrencyAmount pv01CalibratedSum(ResolvedBillTrade trade,
                                             LegalEntityDiscountingProvider ratesProvider)

Calculates present value sensitivity for a single set of market data.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is the sum of the sensitivities of all affected curves.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the present value sensitivity

pv01CalibratedBucketed

public ScenarioArray<CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedBillTrade trade,
                                                                            LegalEntityDiscountingMarketDataLookup lookup,
                                                                            ScenarioMarketData marketData)

Calculates present value sensitivity across one or more scenarios.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is provided for each affected curve and currency, bucketed by curve node.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01CalibratedBucketed

public CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedBillTrade trade,
                                                             LegalEntityDiscountingProvider ratesProvider)

Calculates present value sensitivity for a single set of market data.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is provided for each affected curve and currency, bucketed by curve node.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the present value sensitivity

pv01MarketQuoteSum

public MultiCurrencyScenarioArray pv01MarketQuoteSum(ResolvedBillTrade trade,
                                                     LegalEntityDiscountingMarketDataLookup lookup,
                                                     ScenarioMarketData marketData)

Calculates present value sensitivity across one or more scenarios.

This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is the sum of the sensitivities of all affected curves.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01MarketQuoteSum

public MultiCurrencyAmount pv01MarketQuoteSum(ResolvedBillTrade trade,
                                              LegalEntityDiscountingProvider ratesProvider)

Calculates present value sensitivity for a single set of market data.

This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is the sum of the sensitivities of all affected curves.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the present value sensitivity

pv01MarketQuoteBucketed

public ScenarioArray<CurrencyParameterSensitivities> pv01MarketQuoteBucketed(ResolvedBillTrade trade,
                                                                             LegalEntityDiscountingMarketDataLookup lookup,
                                                                             ScenarioMarketData marketData)

Calculates present value sensitivity across one or more scenarios.

This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is provided for each affected curve and currency, bucketed by curve node.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01MarketQuoteBucketed

public CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedBillTrade trade,
                                                              LegalEntityDiscountingProvider ratesProvider)

Calculates present value sensitivity for a single set of market data.

This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is provided for each affected curve and currency, bucketed by curve node.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the present value sensitivity

currencyExposure

public MultiCurrencyScenarioArray currencyExposure(ResolvedBillTrade trade,
                                                   LegalEntityDiscountingMarketDataLookup lookup,
                                                   ScenarioMarketData marketData)

Calculates currency exposure across one or more scenarios.

The currency risk, expressed as the equivalent amount in each currency.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the currency exposure, one entry per scenario

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedBillTrade trade,
                                            LegalEntityDiscountingProvider ratesProvider)

Calculates currency exposure for a single set of market data.

The currency risk, expressed as the equivalent amount in each currency.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the currency exposure

currentCash

public CurrencyScenarioArray currentCash(ResolvedBillTrade trade,
                                         LegalEntityDiscountingMarketDataLookup lookup,
                                         ScenarioMarketData marketData)

Calculates current cash across one or more scenarios.

The sum of all cash flows paid on the valuation date.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the current cash, one entry per scenario

currentCash

public CurrencyAmount currentCash(ResolvedBillTrade trade,
                                  LegalEntityDiscountingProvider ratesProvider)

Calculates current cash for a single set of market data.

The sum of all cash flows paid on the valuation date.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the current cash