Class OvernightFutureTradeCalculations


  • public class OvernightFutureTradeCalculations
    extends Object
    Calculates pricing and risk measures for trades in a futures contract based on an Overnight rate index.

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

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

    Price

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

    Strata uses decimal prices for Overnight rate 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.

    • Method Detail

      • pv01CalibratedSum

        public MultiCurrencyScenarioArray pv01CalibratedSum​(ResolvedOvernightFutureTrade 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​(ResolvedOvernightFutureTrade 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​(ResolvedOvernightFutureTrade 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​(ResolvedOvernightFutureTrade 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​(ResolvedOvernightFutureTrade 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​(ResolvedOvernightFutureTrade 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​(ResolvedOvernightFutureTrade 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​(ResolvedOvernightFutureTrade 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 double parSpread​(ResolvedOvernightFutureTrade 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​(ResolvedOvernightFutureTrade 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 Overnight rate 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​(ResolvedOvernightFutureTrade 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 Overnight rate 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