Package com.opengamma.strata.pricer.bond

Class DiscountingBondFutureProductPricer

java.lang.Object

com.opengamma.strata.pricer.bond.DiscountingBondFutureProductPricer

public final class DiscountingBondFutureProductPricer
extends Object

Pricer for for bond future products.

This function provides the ability to price a ResolvedBondFuture.

Price

Strata uses decimal prices for bond futures in the trade model, pricers and market data. This is coherent with the pricing of FixedCouponBond. The bond futures delivery is a bond for an amount computed from the bond future price, a conversion factor and the accrued interest.

Field Summary

Fields

Modifier and Type	Field	Description
static DiscountingBondFutureProductPricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
DiscountingBondFutureProductPricer(DiscountingFixedCouponBondProductPricer bondPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
double	price(ResolvedBondFuture future, LegalEntityDiscountingProvider discountingProvider)	Calculates the price of the bond future product.
PointSensitivities	priceSensitivity(ResolvedBondFuture future, LegalEntityDiscountingProvider discountingProvider)	Calculates the price sensitivity of the bond future product.
PointSensitivities	priceSensitivityWithZSpread(ResolvedBondFuture future, LegalEntityDiscountingProvider discountingProvider, double zSpread, CompoundedRateType compoundedRateType, int periodPerYear)	Calculates the price sensitivity of the bond future product with z-spread.
double	priceWithZSpread(ResolvedBondFuture future, LegalEntityDiscountingProvider discountingProvider, double zSpread, CompoundedRateType compoundedRateType, int periodPerYear)	Calculates the price of the bond future product 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 DiscountingBondFutureProductPricer DEFAULT

Default implementation.

Constructor Detail

DiscountingBondFutureProductPricer

public DiscountingBondFutureProductPricer(DiscountingFixedCouponBondProductPricer bondPricer)

Creates an instance.

Parameters:

bondPricer - the pricer for ResolvedFixedCouponBond.

Method Detail

price

public double price(ResolvedBondFuture future,
                    LegalEntityDiscountingProvider discountingProvider)

Calculates the price of the bond future product.

The price of the product is the price on the valuation date.

Strata uses decimal prices for bond futures. This is coherent with the pricing of FixedCouponBond. For example, a price of 99.32% is represented in Strata by 0.9932.

Parameters:

future - the future

discountingProvider - the discounting provider

Returns:

the price of the product, in decimal form

priceWithZSpread

public double priceWithZSpread(ResolvedBondFuture future,
                               LegalEntityDiscountingProvider discountingProvider,
                               double zSpread,
                               CompoundedRateType compoundedRateType,
                               int periodPerYear)

Calculates the price of the bond future product with z-spread.

The price of the product is the price on the valuation date.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the issuer discounting curve.

Strata uses decimal prices for bond futures. This is coherent with the pricing of FixedCouponBond. For example, a price of 99.32% is represented in Strata by 0.9932.

Parameters:

future - the future

discountingProvider - the discounting provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodPerYear - the number of periods per year

Returns:

the price of the product, in decimal form

priceSensitivity

public PointSensitivities priceSensitivity(ResolvedBondFuture future,
                                           LegalEntityDiscountingProvider discountingProvider)

Calculates the price sensitivity of the bond future product.

The price sensitivity of the product is the sensitivity of the price to the underlying curves.

Note that the price sensitivity should be no currency.

Parameters:

future - the future

discountingProvider - the discounting provider

Returns:

the price curve sensitivity of the product

priceSensitivityWithZSpread

public PointSensitivities priceSensitivityWithZSpread(ResolvedBondFuture future,
                                                      LegalEntityDiscountingProvider discountingProvider,
                                                      double zSpread,
                                                      CompoundedRateType compoundedRateType,
                                                      int periodPerYear)

Calculates the price sensitivity of the bond future product with z-spread.

The price sensitivity of the product is the sensitivity of the price to the underlying curves.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the issuer discounting curve.

Note that the price sensitivity should be no currency.

Parameters:

future - the future

discountingProvider - the discounting provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodPerYear - the number of periods per year

Returns:

the price curve sensitivity of the product