Package com.opengamma.strata.measure.fra

Class FraTradeCalculations

java.lang.Object

com.opengamma.strata.measure.fra.FraTradeCalculations

public class FraTradeCalculations
extends Object

Calculates pricing and risk measures for forward rate agreement (FRA) trades.

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

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

Field Summary

Fields

Modifier and Type	Field	Description
static FraTradeCalculations	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
FraTradeCalculations(DiscountingFraTradePricer tradePricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
ScenarioArray<CashFlows>	cashFlows(ResolvedFraTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates cash flows across one or more scenarios.
CashFlows	cashFlows(ResolvedFraTrade trade, RatesProvider ratesProvider)	Calculates cash flows for a single set of market data.
MultiCurrencyScenarioArray	currencyExposure(ResolvedFraTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates currency exposure across one or more scenarios.
MultiCurrencyAmount	currencyExposure(ResolvedFraTrade trade, RatesProvider ratesProvider)	Calculates currency exposure for a single set of market data.
CurrencyScenarioArray	currentCash(ResolvedFraTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates current cash across one or more scenarios.
CurrencyAmount	currentCash(ResolvedFraTrade trade, RatesProvider ratesProvider)	Calculates current cash for a single set of market data.
ScenarioArray<ExplainMap>	explainPresentValue(ResolvedFraTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Explains the present value calculation across one or more scenarios.
ExplainMap	explainPresentValue(ResolvedFraTrade trade, RatesProvider ratesProvider)	Explains the present value calculation for a single set of market data.
DoubleScenarioArray	parRate(ResolvedFraTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates par rate across one or more scenarios.
double	parRate(ResolvedFraTrade trade, RatesProvider ratesProvider)	Calculates par rate for a single set of market data.
DoubleScenarioArray	parSpread(ResolvedFraTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates par spread across one or more scenarios.
double	parSpread(ResolvedFraTrade trade, RatesProvider ratesProvider)	Calculates par spread for a single set of market data.
CurrencyScenarioArray	presentValue(ResolvedFraTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value across one or more scenarios.
CurrencyAmount	presentValue(ResolvedFraTrade trade, RatesProvider ratesProvider)	Calculates present value for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01CalibratedBucketed(ResolvedFraTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01CalibratedBucketed(ResolvedFraTrade trade, RatesProvider ratesProvider)	Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01CalibratedSum(ResolvedFraTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01CalibratedSum(ResolvedFraTrade trade, RatesProvider ratesProvider)	Calculates present value sensitivity for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01MarketQuoteBucketed(ResolvedFraTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01MarketQuoteBucketed(ResolvedFraTrade trade, RatesProvider ratesProvider)	Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01MarketQuoteSum(ResolvedFraTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01MarketQuoteSum(ResolvedFraTrade trade, RatesProvider 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 FraTradeCalculations DEFAULT

Default implementation.

Constructor Detail

FraTradeCalculations

public FraTradeCalculations(DiscountingFraTradePricer tradePricer)

Creates an instance.

In most cases, applications should use the DEFAULT instance.

Parameters:

tradePricer - the pricer for ResolvedFraTrade

Method Detail

presentValue

public CurrencyScenarioArray presentValue(ResolvedFraTrade 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(ResolvedFraTrade 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

explainPresentValue

public ScenarioArray<ExplainMap> explainPresentValue(ResolvedFraTrade trade,
                                                     RatesMarketDataLookup lookup,
                                                     ScenarioMarketData marketData)

Explains the present value calculation across one or more scenarios.

This provides a breakdown of how present value was calculated, typically used for debugging and validation.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value explanation, one entry per scenario

explainPresentValue

public ExplainMap explainPresentValue(ResolvedFraTrade trade,
                                      RatesProvider ratesProvider)

Explains the present value calculation for a single set of market data.

This provides a breakdown of how present value was calculated, typically used for debugging and validation.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the present value explanation

pv01CalibratedSum

public MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedFraTrade 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(ResolvedFraTrade 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(ResolvedFraTrade 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(ResolvedFraTrade 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(ResolvedFraTrade 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(ResolvedFraTrade 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(ResolvedFraTrade 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(ResolvedFraTrade 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

parRate

public DoubleScenarioArray parRate(ResolvedFraTrade trade,
                                   RatesMarketDataLookup lookup,
                                   ScenarioMarketData marketData)

Calculates par rate across one or more scenarios.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the par rate, one entry per scenario

parRate

public double parRate(ResolvedFraTrade trade,
                      RatesProvider ratesProvider)

Calculates par rate for a single set of market data.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the par rate

parSpread

public DoubleScenarioArray parSpread(ResolvedFraTrade trade,
                                     RatesMarketDataLookup lookup,
                                     ScenarioMarketData marketData)

Calculates par spread across one or more scenarios.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the par spread, one entry per scenario

parSpread

public double parSpread(ResolvedFraTrade trade,
                        RatesProvider ratesProvider)

Calculates par spread for a single set of market data.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the par spread

cashFlows

public ScenarioArray<CashFlows> cashFlows(ResolvedFraTrade trade,
                                          RatesMarketDataLookup lookup,
                                          ScenarioMarketData marketData)

Calculates cash flows across one or more scenarios.

The cash flows provide details about the payments of the trade.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the cash flows, one entry per scenario

cashFlows

public CashFlows cashFlows(ResolvedFraTrade trade,
                           RatesProvider ratesProvider)

Calculates cash flows for a single set of market data.

The cash flows provide details about the payments of the trade.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the cash flows

currencyExposure

public MultiCurrencyScenarioArray currencyExposure(ResolvedFraTrade 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(ResolvedFraTrade 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

currentCash

public CurrencyScenarioArray currentCash(ResolvedFraTrade trade,
                                         RatesMarketDataLookup 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(ResolvedFraTrade trade,
                                  RatesProvider 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