Package com.opengamma.strata.pricer.cms

Class DiscountingCmsLegPricer

java.lang.Object

com.opengamma.strata.pricer.cms.DiscountingCmsLegPricer

public class DiscountingCmsLegPricer
extends Object

Pricer for CMS legs by simple forward estimation.

This is an overly simplistic approach to CMS coupon pricer. It is provided only for testing and comparison purposes. It is not recommended to use this for valuation or risk management purposes.

This function provides the ability to price ResolvedCmsLeg. One must apply resolved() in order to price CmsLeg.

Constructor Summary

Constructors

Constructor	Description
DiscountingCmsLegPricer(DiscountingCmsPeriodPricer cmsPeriodPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
CurrencyAmount	currentCash(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider)	Calculates the current cash of the leg.
CurrencyAmount	presentValue(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider)	Computes the present value of CMS leg by simple forward rate estimation.
PointSensitivityBuilder	presentValueSensitivity(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider)	Calculates the present value curve sensitivity of the CMS leg by simple forward rate estimation.

Methods inherited from class java.lang.Object

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

Constructor Detail

DiscountingCmsLegPricer

public DiscountingCmsLegPricer(DiscountingCmsPeriodPricer cmsPeriodPricer)

Creates an instance.

Parameters:

cmsPeriodPricer - the pricer for CmsPeriod

Method Detail

presentValue

public CurrencyAmount presentValue(ResolvedCmsLeg cmsLeg,
                                   RatesProvider ratesProvider)

Computes the present value of CMS leg by simple forward rate estimation.

The result is returned using the payment currency of the leg.

Parameters:

cmsLeg - the CMS leg

ratesProvider - the rates provider

Returns:

the present value

presentValueSensitivity

public PointSensitivityBuilder presentValueSensitivity(ResolvedCmsLeg cmsLeg,
                                                       RatesProvider ratesProvider)

Calculates the present value curve sensitivity of the CMS leg by simple forward rate estimation.

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

Parameters:

cmsLeg - the CMS leg

ratesProvider - the rates provider

Returns:

the present value sensitivity

currentCash

public CurrencyAmount currentCash(ResolvedCmsLeg cmsLeg,
                                  RatesProvider ratesProvider)

Calculates the current cash of the leg.

Parameters:

cmsLeg - the CMS leg

ratesProvider - the rates provider

Returns:

the current cash