Class DiscountingFixedCouponBondTradePricer
 java.lang.Object

 com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondTradePricer

public class DiscountingFixedCouponBondTradePricer extends Object
Pricer for fixed coupon bond trades.This function provides the ability to price a
ResolvedFixedCouponBondTrade
.Price
Strata uses decimal prices for bonds in the trade model, pricers and market data. For example, a price of 99.32% is represented in Strata by 0.9932.


Field Summary
Fields Modifier and Type Field Description static DiscountingFixedCouponBondTradePricer
DEFAULT
Default implementation.

Constructor Summary
Constructors Constructor Description DiscountingFixedCouponBondTradePricer(DiscountingFixedCouponBondProductPricer productPricer, DiscountingPaymentPricer paymentPricer)
Creates an instance.

Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description MultiCurrencyAmount
currencyExposure(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider)
Calculates the currency exposure of the fixed coupon bond trade.MultiCurrencyAmount
currencyExposureWithZSpread(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
Calculates the currency exposure of the fixed coupon bond trade with zspread.CurrencyAmount
currentCash(ResolvedFixedCouponBondTrade trade, LocalDate valuationDate)
Calculates the current cash of the fixed coupon bond trade.CurrencyAmount
presentValue(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider)
Calculates the present value of the fixed coupon bond trade.CurrencyAmount
presentValueFromCleanPrice(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, ReferenceData refData, double cleanPrice)
Calculates the present value of the fixed coupon bond trade from the clean price of the underlying product.CurrencyAmount
presentValueFromCleanPriceWithZSpread(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, ReferenceData refData, double cleanPrice, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
Calculates the present value of the fixed coupon bond trade with zspread from the clean price of the underlying product.PointSensitivities
presentValueSensitivity(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider)
Calculates the present value sensitivity of the fixed coupon bond trade.PointSensitivities
presentValueSensitivityWithZSpread(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
Calculates the present value sensitivity of the fixed coupon bond trade with zspread.CurrencyAmount
presentValueWithZSpread(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
Calculates the present value of the fixed coupon bond trade with zspread.Payment
upfrontPayment(ResolvedFixedCouponBondTrade trade)
Calculates the payment that was made for the trade.



Field Detail

DEFAULT
public static final DiscountingFixedCouponBondTradePricer DEFAULT
Default implementation.


Constructor Detail

DiscountingFixedCouponBondTradePricer
public DiscountingFixedCouponBondTradePricer(DiscountingFixedCouponBondProductPricer productPricer, DiscountingPaymentPricer paymentPricer)
Creates an instance. Parameters:
productPricer
 the pricer forResolvedFixedCouponBond
paymentPricer
 the pricer forPayment


Method Detail

presentValue
public CurrencyAmount presentValue(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider)
Calculates the present value of the fixed coupon bond trade.The present value of the trade is the value on the valuation date. The result is expressed using the payment currency of the bond.
Coupon payments of the underlying product are considered based on the settlement date of the trade.
 Parameters:
trade
 the tradeprovider
 the discounting provider Returns:
 the present value of the fixed coupon bond trade

presentValueWithZSpread
public CurrencyAmount presentValueWithZSpread(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
Calculates the present value of the fixed coupon bond trade with zspread.The present value of the trade is the value on the valuation date. The result is expressed using the payment currency of the bond.
The zspread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the discounting curve.
Coupon payments of the underlying product are considered based on the settlement date of the trade.
 Parameters:
trade
 the tradeprovider
 the discounting providerzSpread
 the zspreadcompoundedRateType
 the compounded rate typeperiodsPerYear
 the number of periods per year Returns:
 the present value of the fixed coupon bond trade

presentValueFromCleanPrice
public CurrencyAmount presentValueFromCleanPrice(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, ReferenceData refData, double cleanPrice)
Calculates the present value of the fixed coupon bond trade from the clean price of the underlying product.The present value of the trade is the value on the valuation date. The result is expressed using the payment currency of the bond.
Coupon payments of the underlying product are considered based on the settlement date of the trade.
 Parameters:
trade
 the tradeprovider
 the discounting providerrefData
 the reference data used to calculate the settlement datecleanPrice
 the clean price Returns:
 the present value of the fixed coupon bond trade

presentValueFromCleanPriceWithZSpread
public CurrencyAmount presentValueFromCleanPriceWithZSpread(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, ReferenceData refData, double cleanPrice, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
Calculates the present value of the fixed coupon bond trade with zspread from the clean price of the underlying product.The present value of the trade is the value on the valuation date. The result is expressed using the payment currency of the bond.
The zspread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the discounting curve.
Coupon payments of the underlying product are considered based on the settlement date of the trade.
 Parameters:
trade
 the tradeprovider
 the discounting providerrefData
 the reference data used to calculate the settlement datecleanPrice
 the clean pricezSpread
 the zspreadcompoundedRateType
 the compounded rate typeperiodsPerYear
 the number of periods per year Returns:
 the present value of the fixed coupon bond trade

presentValueSensitivity
public PointSensitivities presentValueSensitivity(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider)
Calculates the present value sensitivity of the fixed coupon bond trade.The present value sensitivity of the trade is the sensitivity of the present value to the underlying curves.
Coupon payments of the underlying product are considered based on the settlement date of the trade.
 Parameters:
trade
 the tradeprovider
 the discounting provider Returns:
 the present value curve sensitivity of the trade

presentValueSensitivityWithZSpread
public PointSensitivities presentValueSensitivityWithZSpread(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
Calculates the present value sensitivity of the fixed coupon bond trade with zspread.The present value sensitivity of the trade is the sensitivity of the present value to the underlying curves.
The zspread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the discounting curve.
Coupon payments of the underlying product are considered based on the settlement date of the trade.
 Parameters:
trade
 the tradeprovider
 the discounting providerzSpread
 the zspreadcompoundedRateType
 the compounded rate typeperiodsPerYear
 the number of periods per year Returns:
 the present value curve sensitivity of the trade

currencyExposure
public MultiCurrencyAmount currencyExposure(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider)
Calculates the currency exposure of the fixed coupon bond trade. Parameters:
trade
 the tradeprovider
 the discounting provider Returns:
 the currency exposure of the fixed coupon bond trade

currencyExposureWithZSpread
public MultiCurrencyAmount currencyExposureWithZSpread(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
Calculates the currency exposure of the fixed coupon bond trade with zspread. Parameters:
trade
 the tradeprovider
 the discounting providerzSpread
 the zspreadcompoundedRateType
 the compounded rate typeperiodsPerYear
 the number of periods per year Returns:
 the currency exposure of the fixed coupon bond trade

currentCash
public CurrencyAmount currentCash(ResolvedFixedCouponBondTrade trade, LocalDate valuationDate)
Calculates the current cash of the fixed coupon bond trade. Parameters:
trade
 the tradevaluationDate
 the valuation date Returns:
 the current cash amount

upfrontPayment
public Payment upfrontPayment(ResolvedFixedCouponBondTrade trade)
Calculates the payment that was made for the trade.This is the payment that was made on the settlement date, based on the quantity and clean price.
 Parameters:
trade
 the trade Returns:
 the payment that was made

