Package com.opengamma.strata.measure.bond

Class FixedCouponBondTradeCalculations

java.lang.Object

com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculations

public class FixedCouponBondTradeCalculations
extends Object

Calculates pricing and risk measures for forward rate agreement (fixed coupon bond) trades.

This provides a high-level entry point for fixed coupon bond pricing and risk measures.

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

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 FixedCouponBondTradeCalculations	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
FixedCouponBondTradeCalculations(DiscountingFixedCouponBondTradePricer tradePricer)	Creates an instance.

Method Summary

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

Default implementation.

Constructor Detail

FixedCouponBondTradeCalculations

public FixedCouponBondTradeCalculations(DiscountingFixedCouponBondTradePricer tradePricer)

Creates an instance.

In most cases, applications should use the DEFAULT instance.

Parameters:

tradePricer - the pricer for ResolvedFixedCouponBondTrade

Method Detail

presentValue

public CurrencyScenarioArray presentValue(ResolvedFixedCouponBondTrade 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(ResolvedFixedCouponBondTrade 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(ResolvedFixedCouponBondTrade 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(ResolvedFixedCouponBondTrade 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(ResolvedFixedCouponBondTrade 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(ResolvedFixedCouponBondTrade 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(ResolvedFixedCouponBondTrade 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(ResolvedFixedCouponBondTrade 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(ResolvedFixedCouponBondTrade 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(ResolvedFixedCouponBondTrade 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(ResolvedFixedCouponBondTrade 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(ResolvedFixedCouponBondTrade 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(ResolvedFixedCouponBondTrade 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(ResolvedFixedCouponBondTrade 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