• public class DsfTradeCalculations
extends Object
Calculates pricing and risk measures for Deliverable Swap Future (DSF) trades.

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

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

#### Price

The price of a DSF is based on the present value (NPV) of the underlying swap on the delivery date. For example, a price of 100.182 represents a present value of $100,182.00, if the notional is$100,000. This price can also be viewed as a percentage present value - (100 + percentPv), or 0.182% in this example.

Strata uses decimal prices for DSFs in the trade model, pricers and market data. The decimal price is based on the decimal multiplier equivalent to the implied percentage. Thus the market price of 100.182 is represented in Strata by 1.00182.

• ### Field Summary

Fields
Modifier and Type Field Description
static DsfTradeCalculations DEFAULT
Default implementation.
• ### Constructor Summary

Constructors
Constructor Description
DsfTradeCalculations​(DiscountingDsfTradePricer tradePricer)
Creates an instance.
• ### Method Summary

All Methods
Modifier and Type Method Description
MultiCurrencyScenarioArray currencyExposure​(ResolvedDsfTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
Calculates currency exposure across one or more scenarios.
MultiCurrencyAmount currencyExposure​(ResolvedDsfTrade trade, RatesProvider ratesProvider)
Calculates currency exposure for a single set of market data.
CurrencyScenarioArray presentValue​(ResolvedDsfTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
Calculates present value across one or more scenarios.
CurrencyAmount presentValue​(ResolvedDsfTrade trade, RatesProvider ratesProvider)
Calculates present value for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities> pv01CalibratedBucketed​(ResolvedDsfTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities pv01CalibratedBucketed​(ResolvedDsfTrade trade, RatesProvider ratesProvider)
Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray pv01CalibratedSum​(ResolvedDsfTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount pv01CalibratedSum​(ResolvedDsfTrade trade, RatesProvider ratesProvider)
Calculates present value sensitivity for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities> pv01MarketQuoteBucketed​(ResolvedDsfTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities pv01MarketQuoteBucketed​(ResolvedDsfTrade trade, RatesProvider ratesProvider)
Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray pv01MarketQuoteSum​(ResolvedDsfTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount pv01MarketQuoteSum​(ResolvedDsfTrade trade, RatesProvider ratesProvider)
Calculates present value sensitivity for a single set of market data.
DoubleScenarioArray unitPrice​(ResolvedDsfTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
Calculates unit price across one or more scenarios.
double unitPrice​(ResolvedDsfTrade trade, RatesProvider ratesProvider)
Calculates unit price 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 DsfTradeCalculations DEFAULT
Default implementation.
• ### Constructor Detail

public DsfTradeCalculations​(DiscountingDsfTradePricer tradePricer)
Creates an instance.

In most cases, applications should use the DEFAULT instance.

Parameters:
tradePricer - the pricer for ResolvedDsfTrade
• ### Method Detail

• #### presentValue

public CurrencyScenarioArray presentValue​(ResolvedDsfTrade trade,
RatesMarketDataLookup 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​(ResolvedDsfTrade trade,
RatesProvider 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​(ResolvedDsfTrade trade,
RatesMarketDataLookup 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​(ResolvedDsfTrade trade,
RatesProvider 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​(ResolvedDsfTrade trade,
RatesMarketDataLookup 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​(ResolvedDsfTrade trade,
RatesProvider 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​(ResolvedDsfTrade trade,
RatesMarketDataLookup 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​(ResolvedDsfTrade trade,
RatesProvider 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​(ResolvedDsfTrade trade,
RatesMarketDataLookup 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​(ResolvedDsfTrade trade,
RatesProvider 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
• #### unitPrice

public DoubleScenarioArray unitPrice​(ResolvedDsfTrade trade,
RatesMarketDataLookup lookup,
ScenarioMarketData marketData)
Calculates unit price across one or more scenarios.

This is the price of a single unit of the security.

Strata uses decimal prices for DSFs in the trade model, pricers and market data. The decimal price is based on the decimal multiplier equivalent to the implied percentage. Thus the market price of 100.182 is represented in Strata by 1.00182.

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
• #### unitPrice

public double unitPrice​(ResolvedDsfTrade trade,
RatesProvider ratesProvider)
Calculates unit price for a single set of market data.

This is the price of a single unit of the security.

Strata uses decimal prices for DSFs in the trade model, pricers and market data. The decimal price is based on the decimal multiplier equivalent to the implied percentage. Thus the market price of 100.182 is represented in Strata by 1.00182.

Parameters:
trade - the trade
ratesProvider - the market data
Returns:
the present value
• #### currencyExposure

public MultiCurrencyScenarioArray currencyExposure​(ResolvedDsfTrade trade,
RatesMarketDataLookup 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​(ResolvedDsfTrade trade,
RatesProvider 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