Package com.opengamma.strata.pricer.cms

Class DiscountingCmsProductPricer

java.lang.Object

com.opengamma.strata.pricer.cms.DiscountingCmsProductPricer

public class DiscountingCmsProductPricer
extends Object

Computes the price of a CMS product 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.

Field Summary

Fields

Modifier and Type	Field	Description
static DiscountingCmsProductPricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
DiscountingCmsProductPricer(DiscountingSwapProductPricer swapPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyAmount	currencyExposure(ResolvedCms cms, RatesProvider ratesProvider)	Calculates the currency exposure of the product.
MultiCurrencyAmount	currentCash(ResolvedCms cms, RatesProvider ratesProvider)	Calculates the current cash of the product.
MultiCurrencyAmount	presentValue(ResolvedCms cms, RatesProvider ratesProvider)	Calculates the present value of the CMS product by simple forward estimation.
PointSensitivityBuilder	presentValueSensitivity(ResolvedCms cms, RatesProvider ratesProvider)	Calculates the present value curve sensitivity of the CMS product by simple forward estimation.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final DiscountingCmsProductPricer DEFAULT

Default implementation.

Constructor Detail

DiscountingCmsProductPricer

public DiscountingCmsProductPricer(DiscountingSwapProductPricer swapPricer)

Creates an instance.

Parameters:

swapPricer - the pricer for Swap

Method Detail

presentValue

public MultiCurrencyAmount presentValue(ResolvedCms cms,
                                        RatesProvider ratesProvider)

Calculates the present value of the CMS product by simple forward estimation.

Parameters:

cms - the CMS product

ratesProvider - the rates provider

Returns:

the present value

presentValueSensitivity

public PointSensitivityBuilder presentValueSensitivity(ResolvedCms cms,
                                                       RatesProvider ratesProvider)

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

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

Parameters:

cms - the CMS product

ratesProvider - the rates provider

Returns:

the present value sensitivity

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedCms cms,
                                            RatesProvider ratesProvider)

Calculates the currency exposure of the product.

Parameters:

cms - the CMS product

ratesProvider - the rates provider

Returns:

the currency exposure

currentCash

public MultiCurrencyAmount currentCash(ResolvedCms cms,
                                       RatesProvider ratesProvider)

Calculates the current cash of the product.

Parameters:

cms - the CMS product

ratesProvider - the rates provider

Returns:

the current cash