Package com.opengamma.strata.measure.payment

Class BulletPaymentTradeCalculations

java.lang.Object

com.opengamma.strata.measure.payment.BulletPaymentTradeCalculations

public class BulletPaymentTradeCalculations
extends Object

Calculates pricing and risk measures for bullet payment trades.

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

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

Field Summary

Fields

Modifier and Type	Field	Description
static BulletPaymentTradeCalculations	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
BulletPaymentTradeCalculations(DiscountingBulletPaymentTradePricer tradePricer)	Creates an instance.

Method Summary

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

Default implementation.

Constructor Detail

BulletPaymentTradeCalculations

public BulletPaymentTradeCalculations(DiscountingBulletPaymentTradePricer tradePricer)

Creates an instance.

In most cases, applications should use the DEFAULT instance.

Parameters:

tradePricer - the pricer for ResolvedBulletPaymentTrade

Method Detail

presentValue

public CurrencyScenarioArray presentValue(ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade 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

cashFlows

public ScenarioArray<CashFlows> cashFlows(ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade 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(ResolvedBulletPaymentTrade 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