Class DiscountingFixedCouponBondPaymentPeriodPricer

• java.lang.Object
• com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondPaymentPeriodPricer

• public class DiscountingFixedCouponBondPaymentPeriodPricer
extends Object
Pricer implementation for bond payment periods based on a fixed coupon.

This pricer performs discounting of the fixed coupon payment.

• Field Summary

Fields
Modifier and Type Field Description
static DiscountingFixedCouponBondPaymentPeriodPricer DEFAULT
Default implementation.
• Constructor Summary

Constructors
Constructor Description
DiscountingFixedCouponBondPaymentPeriodPricer()
Creates an instance.
• Method Summary

All Methods
Modifier and Type Method Description
void explainPresentValue​(FixedCouponBondPaymentPeriod period, IssuerCurveDiscountFactors discountFactors, ExplainMapBuilder builder)
Explains the present value of a single fixed coupon payment period.
void explainPresentValueWithSpread​(FixedCouponBondPaymentPeriod period, IssuerCurveDiscountFactors discountFactors, ExplainMapBuilder builder, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
Explains the present value of a single fixed coupon payment period with z-spread.
double forecastValue​(FixedCouponBondPaymentPeriod period, IssuerCurveDiscountFactors discountFactors)
Calculates the forecast value of a single fixed coupon payment period.
PointSensitivityBuilder forecastValueSensitivity​(FixedCouponBondPaymentPeriod period, IssuerCurveDiscountFactors discountFactors)
Calculates the forecast value sensitivity of a single fixed coupon payment period.
double presentValue​(FixedCouponBondPaymentPeriod period, IssuerCurveDiscountFactors discountFactors)
Calculates the present value of a single fixed coupon payment period.
PointSensitivityBuilder presentValueSensitivity​(FixedCouponBondPaymentPeriod period, IssuerCurveDiscountFactors discountFactors)
Calculates the present value sensitivity of a single fixed coupon payment period.
PointSensitivityBuilder presentValueSensitivityWithSpread​(FixedCouponBondPaymentPeriod period, IssuerCurveDiscountFactors discountFactors, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
Calculates the present value sensitivity of a single fixed coupon payment period with z-spread.
double presentValueWithSpread​(FixedCouponBondPaymentPeriod period, IssuerCurveDiscountFactors discountFactors, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
Calculates the present value of a single fixed coupon payment period 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 DiscountingFixedCouponBondPaymentPeriodPricer DEFAULT
Default implementation.
• Constructor Detail

• DiscountingFixedCouponBondPaymentPeriodPricer

public DiscountingFixedCouponBondPaymentPeriodPricer()
Creates an instance.
• Method Detail

• presentValue

public double presentValue​(FixedCouponBondPaymentPeriod period,
IssuerCurveDiscountFactors discountFactors)
Calculates the present value of a single fixed coupon payment period.

The amount is expressed in the currency of the period. This returns the value of the period with discounting.

The payment date of the period should not be in the past. The result of this method for payment dates in the past is undefined.

Parameters:
period - the period to price
discountFactors - the discount factor provider
Returns:
the present value of the period

public double presentValueWithSpread​(FixedCouponBondPaymentPeriod period,
IssuerCurveDiscountFactors discountFactors,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the present value of a single fixed coupon payment period with z-spread.

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

The amount is expressed in the currency of the period. This returns the value of the period with discounting.

The payment date of the period should not be in the past. The result of this method for payment dates in the past is undefined.

Parameters:
period - the period to price
discountFactors - the discount factor provider
zSpread - the z-spread
compoundedRateType - the compounded rate type
periodsPerYear - the number of periods per year
Returns:
the present value of the period
• forecastValue

public double forecastValue​(FixedCouponBondPaymentPeriod period,
IssuerCurveDiscountFactors discountFactors)
Calculates the forecast value of a single fixed coupon payment period.

The amount is expressed in the currency of the period. This returns the value of the period with discounting.

The payment date of the period should not be in the past. The result of this method for payment dates in the past is undefined.

The forecast value is z-spread independent.

Parameters:
period - the period to price
discountFactors - the discount factor provider
Returns:
the present value of the period
• presentValueSensitivity

public PointSensitivityBuilder presentValueSensitivity​(FixedCouponBondPaymentPeriod period,
IssuerCurveDiscountFactors discountFactors)
Calculates the present value sensitivity of a single fixed coupon payment period.

The present value sensitivity of the period is the sensitivity of the present value to the underlying curves.

Parameters:
period - the period to price
discountFactors - the discount factor provider
Returns:
the present value curve sensitivity of the period

public PointSensitivityBuilder presentValueSensitivityWithSpread​(FixedCouponBondPaymentPeriod period,
IssuerCurveDiscountFactors discountFactors,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the present value sensitivity of a single fixed coupon payment period with z-spread.

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

The present value sensitivity of the period is the sensitivity of the present value to the underlying curves.

Parameters:
period - the period to price
discountFactors - the discount factor provider
zSpread - the z-spread
compoundedRateType - the compounded rate type
periodsPerYear - the number of periods per year
Returns:
the present value curve sensitivity of the period
• forecastValueSensitivity

public PointSensitivityBuilder forecastValueSensitivity​(FixedCouponBondPaymentPeriod period,
IssuerCurveDiscountFactors discountFactors)
Calculates the forecast value sensitivity of a single fixed coupon payment period.

The forecast value sensitivity of the period is the sensitivity of the forecast value to the underlying curves.

The forecast value sensitivity is zero and z-spread independent for the fixed payment.

Parameters:
period - the period to price
discountFactors - the discount factor provider
Returns:
the forecast value curve sensitivity of the period
• explainPresentValue

public void explainPresentValue​(FixedCouponBondPaymentPeriod period,
IssuerCurveDiscountFactors discountFactors,
ExplainMapBuilder builder)
Explains the present value of a single fixed coupon payment period.

This adds information to the ExplainMapBuilder to aid understanding of the calculation.

Parameters:
period - the period to price
discountFactors - the discount factor provider
builder - the builder to populate

public void explainPresentValueWithSpread​(FixedCouponBondPaymentPeriod period,
IssuerCurveDiscountFactors discountFactors,
ExplainMapBuilder builder,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Explains the present value of a single fixed coupon payment period with z-spread.

This adds information to the ExplainMapBuilder to aid understanding of the calculation.

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

Parameters:
period - the period to price
discountFactors - the discount factor provider
zSpread - the z-spread
compoundedRateType - the compounded rate type
periodsPerYear - the number of periods per year
builder - the builder to populate