Class 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.
    • 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