Package com.opengamma.strata.measure.index

Class IborFutureTradeCalculations

java.lang.Object

com.opengamma.strata.measure.index.IborFutureTradeCalculations

public class IborFutureTradeCalculations
extends Object

Calculates pricing and risk measures for trades in a futures contract based on an Ibor index.

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

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

Price

The price of an Ibor future is based on the interest rate of the underlying index. It is defined as (100 - percentRate).

Strata uses decimal prices for Ibor futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.

Field Summary

Fields

Modifier and Type	Field	Description
static IborFutureTradeCalculations	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
IborFutureTradeCalculations(DiscountingIborFutureTradePricer tradePricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
DoubleScenarioArray	parSpread(ResolvedIborFutureTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates par spread across one or more scenarios.
double	parSpread(ResolvedIborFutureTrade trade, RatesProvider ratesProvider)	Calculates par spread for a single set of market data.
CurrencyScenarioArray	presentValue(ResolvedIborFutureTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value across one or more scenarios.
CurrencyAmount	presentValue(ResolvedIborFutureTrade trade, RatesProvider ratesProvider)	Calculates present value for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01CalibratedBucketed(ResolvedIborFutureTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01CalibratedBucketed(ResolvedIborFutureTrade trade, RatesProvider ratesProvider)	Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01CalibratedSum(ResolvedIborFutureTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01CalibratedSum(ResolvedIborFutureTrade trade, RatesProvider ratesProvider)	Calculates present value sensitivity for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01MarketQuoteBucketed(ResolvedIborFutureTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01MarketQuoteBucketed(ResolvedIborFutureTrade trade, RatesProvider ratesProvider)	Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01MarketQuoteSum(ResolvedIborFutureTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01MarketQuoteSum(ResolvedIborFutureTrade trade, RatesProvider ratesProvider)	Calculates present value sensitivity for a single set of market data.
DoubleScenarioArray	unitPrice(ResolvedIborFutureTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates unit price across one or more scenarios.
double	unitPrice(ResolvedIborFutureTrade 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 IborFutureTradeCalculations DEFAULT

Default implementation.

Constructor Detail

IborFutureTradeCalculations

public IborFutureTradeCalculations(DiscountingIborFutureTradePricer tradePricer)

Creates an instance.

In most cases, applications should use the DEFAULT instance.

Parameters:

tradePricer - the pricer for ResolvedIborFutureTrade

Method Detail

presentValue

public CurrencyScenarioArray presentValue(ResolvedIborFutureTrade 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(ResolvedIborFutureTrade 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(ResolvedIborFutureTrade 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(ResolvedIborFutureTrade 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(ResolvedIborFutureTrade 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(ResolvedIborFutureTrade 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(ResolvedIborFutureTrade 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(ResolvedIborFutureTrade 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(ResolvedIborFutureTrade 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(ResolvedIborFutureTrade 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

parSpread

public DoubleScenarioArray parSpread(ResolvedIborFutureTrade 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(ResolvedIborFutureTrade 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

unitPrice

public DoubleScenarioArray unitPrice(ResolvedIborFutureTrade 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 Ibor futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.

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(ResolvedIborFutureTrade 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 Ibor futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the present value