Package com.opengamma.strata.pricer.bond

Class DiscountingBillTradePricer

java.lang.Object

com.opengamma.strata.pricer.bond.DiscountingBillTradePricer

public class DiscountingBillTradePricer
extends Object

Pricer for bill trades.

This function provides the ability to price a ResolvedBillTrade.

Field Summary

Fields

Modifier and Type	Field	Description
static DiscountingBillTradePricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
DiscountingBillTradePricer(DiscountingBillProductPricer productPricer, DiscountingPaymentPricer paymentPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyAmount	currencyExposure(ResolvedBillTrade trade, LegalEntityDiscountingProvider provider)	Calculates the currency exposure of a bill trade.
MultiCurrencyAmount	currencyExposureWithZSpread(ResolvedBillTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)	Calculates the currency exposure of a bill trade with z-spread.
CurrencyAmount	currentCash(ResolvedBillTrade trade, LocalDate valuationDate)	Calculates the current cash of a bill trade.
CurrencyAmount	presentValue(ResolvedBillTrade trade, LegalEntityDiscountingProvider provider)	Calculates the present value of a bill trade.
PointSensitivities	presentValueSensitivity(ResolvedBillTrade trade, LegalEntityDiscountingProvider provider)	Calculates the present value sensitivity of a bill trade.
PointSensitivities	presentValueSensitivityWithZSpread(ResolvedBillTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)	Calculates the present value sensitivity of a bill trade with z-spread.
CurrencyAmount	presentValueWithZSpread(ResolvedBillTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)	Calculates the present value of a bill trade with z-spread.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final DiscountingBillTradePricer DEFAULT

Default implementation.

Constructor Detail

DiscountingBillTradePricer

public DiscountingBillTradePricer(DiscountingBillProductPricer productPricer,
                                  DiscountingPaymentPricer paymentPricer)

Creates an instance.

Parameters:

productPricer - the pricer for ResolvedBill

paymentPricer - the pricer for Payment

Method Detail

presentValue

public CurrencyAmount presentValue(ResolvedBillTrade trade,
                                   LegalEntityDiscountingProvider provider)

Calculates the present value of a bill trade.

If the settlement details are provided, the present value is the sum of the underlying product's present value multiplied by the quantity and the present value of the settlement payment if still due at the valuation date. If not it is the underlying product's present value multiplied by the quantity.

Parameters:

trade - the trade

provider - the discounting provider

Returns:

the present value

presentValueWithZSpread

public CurrencyAmount presentValueWithZSpread(ResolvedBillTrade trade,
                                              LegalEntityDiscountingProvider provider,
                                              double zSpread,
                                              CompoundedRateType compoundedRateType,
                                              int periodsPerYear)

Calculates the present value of a bill trade with z-spread.

If the settlement details are provided, the present value is the sum of the underlying product's present value multiplied by the quantity and the present value of the settlement payment if still due at the valuation date. If not it is the underlying product's present value multiplied by the quantity.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the issuer discounting curve. The z-spread is applied only on the legal entity curve, not on the repo curve used for the settlement amount.

Parameters:

trade - the trade

provider - the discounting provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the present value

presentValueSensitivity

public PointSensitivities presentValueSensitivity(ResolvedBillTrade trade,
                                                  LegalEntityDiscountingProvider provider)

Calculates the present value sensitivity of a bill trade.

If the settlement details are provided, the sensitivity is the sum of the underlying product's sensitivity multiplied by the quantity and the sensitivity of the settlement payment if still due at the valuation date. If not it is the underlying product's sensitivity multiplied by the quantity.

Parameters:

trade - the trade

provider - the discounting provider

Returns:

the present value sensitivity

presentValueSensitivityWithZSpread

public PointSensitivities presentValueSensitivityWithZSpread(ResolvedBillTrade trade,
                                                             LegalEntityDiscountingProvider provider,
                                                             double zSpread,
                                                             CompoundedRateType compoundedRateType,
                                                             int periodsPerYear)

Calculates the present value sensitivity of a bill trade with z-spread.

If the settlement details are provided, the sensitivity is the sum of the underlying product's sensitivity multiplied by the quantity and the sensitivity of the settlement payment if still due at the valuation date. If not it is the underlying product's sensitivity multiplied by the quantity.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the issuer discounting curve. The z-spread is applied only on the legal entity curve, not on the repo curve used for the settlement amount.

Parameters:

trade - the trade

provider - the discounting provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the present value sensitivity

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedBillTrade trade,
                                            LegalEntityDiscountingProvider provider)

Calculates the currency exposure of a bill trade.

Parameters:

trade - the trade

provider - the discounting provider

Returns:

the currency exposure

currencyExposureWithZSpread

public MultiCurrencyAmount currencyExposureWithZSpread(ResolvedBillTrade trade,
                                                       LegalEntityDiscountingProvider provider,
                                                       double zSpread,
                                                       CompoundedRateType compoundedRateType,
                                                       int periodsPerYear)

Calculates the currency exposure of a bill trade with z-spread.

Parameters:

trade - the trade

provider - the discounting provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the currency exposure

currentCash

public CurrencyAmount currentCash(ResolvedBillTrade trade,
                                  LocalDate valuationDate)

Calculates the current cash of a bill trade.

Parameters:

trade - the trade

valuationDate - the valuation date

Returns:

the current cash amount