Package com.opengamma.strata.measure.bond

Class CapitalIndexedBondTradeCalculations

java.lang.Object

com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculations

public class CapitalIndexedBondTradeCalculations
extends Object

Calculates pricing and risk measures for forward rate agreement (capital indexed bond) trades.

This provides a high-level entry point for capital indexed bond pricing and risk measures.

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

Price

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

Field Summary

Fields

Modifier and Type	Field	Description
static CapitalIndexedBondTradeCalculations	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
CapitalIndexedBondTradeCalculations(DiscountingCapitalIndexedBondTradePricer tradePricer)	Creates an instance.

Method Summary

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

Default implementation.

Constructor Detail

CapitalIndexedBondTradeCalculations

public CapitalIndexedBondTradeCalculations(DiscountingCapitalIndexedBondTradePricer tradePricer)

Creates an instance.

In most cases, applications should use the DEFAULT instance.

Parameters:

tradePricer - the pricer for ResolvedCapitalIndexedBondTrade

Method Detail

presentValue

public CurrencyScenarioArray presentValue(ResolvedCapitalIndexedBondTrade trade,
                                          RatesMarketDataLookup ratesLookup,
                                          LegalEntityDiscountingMarketDataLookup legalEntityLookup,
                                          ScenarioMarketData marketData)

Calculates present value across one or more scenarios.

Parameters:

trade - the trade

ratesLookup - the lookup used to query the market data

legalEntityLookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value, one entry per scenario

presentValue

public CurrencyAmount presentValue(ResolvedCapitalIndexedBondTrade trade,
                                   RatesProvider ratesProvider,
                                   LegalEntityDiscountingProvider legalEntityProvider)

Calculates present value for a single set of market data.

Parameters:

trade - the trade

ratesProvider - the market data

legalEntityProvider - the market data

Returns:

the present value

pv01CalibratedSum

public MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedCapitalIndexedBondTrade trade,
                                                    RatesMarketDataLookup ratesLookup,
                                                    LegalEntityDiscountingMarketDataLookup legalEntityLookup,
                                                    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

ratesLookup - the lookup used to query the market data

legalEntityLookup - 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(ResolvedCapitalIndexedBondTrade trade,
                                             RatesProvider ratesProvider,
                                             LegalEntityDiscountingProvider legalEntityProvider)

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

legalEntityProvider - the market data

Returns:

the present value sensitivity

pv01CalibratedBucketed

public ScenarioArray<CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedCapitalIndexedBondTrade trade,
                                                                            RatesMarketDataLookup ratesLookup,
                                                                            LegalEntityDiscountingMarketDataLookup legalEntityLookup,
                                                                            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

ratesLookup - the lookup used to query the market data

legalEntityLookup - 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(ResolvedCapitalIndexedBondTrade trade,
                                                             RatesProvider ratesProvider,
                                                             LegalEntityDiscountingProvider legalEntityProvider)

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

legalEntityProvider - the market data

Returns:

the present value sensitivity

currencyExposure

public MultiCurrencyScenarioArray currencyExposure(ResolvedCapitalIndexedBondTrade trade,
                                                   RatesMarketDataLookup ratesLookup,
                                                   LegalEntityDiscountingMarketDataLookup legalEntityLookup,
                                                   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

ratesLookup - the lookup used to query the market data

legalEntityLookup - the lookup used to query the market data

marketData - the market data

Returns:

the currency exposure, one entry per scenario

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedCapitalIndexedBondTrade trade,
                                            RatesProvider ratesProvider,
                                            LegalEntityDiscountingProvider legalEntityProvider)

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

legalEntityProvider - the market data

Returns:

the currency exposure

currentCash

public CurrencyScenarioArray currentCash(ResolvedCapitalIndexedBondTrade trade,
                                         RatesMarketDataLookup ratesLookup,
                                         LegalEntityDiscountingMarketDataLookup legalEntityLookup,
                                         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

ratesLookup - the lookup used to query the market data

legalEntityLookup - the lookup used to query the market data

marketData - the market data

Returns:

the current cash, one entry per scenario

currentCash

public CurrencyAmount currentCash(ResolvedCapitalIndexedBondTrade trade,
                                  RatesProvider ratesProvider,
                                  LegalEntityDiscountingProvider legalEntityProvider)

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

legalEntityProvider - the market data

Returns:

the current cash