Package com.opengamma.strata.pricer.cms

Class DiscountingCmsTradePricer

java.lang.Object

com.opengamma.strata.pricer.cms.DiscountingCmsTradePricer

public class DiscountingCmsTradePricer
extends Object

Pricer for CMS trade 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 DiscountingCmsTradePricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
DiscountingCmsTradePricer(DiscountingSwapProductPricer swapPricer, DiscountingPaymentPricer paymentPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyAmount	currencyExposure(ResolvedCmsTrade trade, RatesProvider ratesProvider)	Calculates the currency exposure of the trade.
MultiCurrencyAmount	currentCash(ResolvedCmsTrade trade, RatesProvider ratesProvider)	Calculates the current cash of the trade.
MultiCurrencyAmount	presentValue(ResolvedCmsTrade trade, RatesProvider ratesProvider)	Calculates the present value of the CMS trade by simple forward estimation.
PointSensitivities	presentValueSensitivity(ResolvedCmsTrade trade, RatesProvider ratesProvider)	Calculates the present value curve sensitivity of the CMS trade 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 DiscountingCmsTradePricer DEFAULT

Default implementation.

Constructor Detail

DiscountingCmsTradePricer

public DiscountingCmsTradePricer(DiscountingSwapProductPricer swapPricer,
                                 DiscountingPaymentPricer paymentPricer)

Creates an instance.

Parameters:

swapPricer - the pricer for Swap

paymentPricer - the pricer for Payment

Method Detail

presentValue

public MultiCurrencyAmount presentValue(ResolvedCmsTrade trade,
                                        RatesProvider ratesProvider)

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

Parameters:

trade - the CMS trade

ratesProvider - the rates provider

Returns:

the present value

presentValueSensitivity

public PointSensitivities presentValueSensitivity(ResolvedCmsTrade trade,
                                                  RatesProvider ratesProvider)

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

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

Parameters:

trade - the CMS trade

ratesProvider - the rates provider

Returns:

the present value sensitivity

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedCmsTrade trade,
                                            RatesProvider ratesProvider)

Calculates the currency exposure of the trade.

Parameters:

trade - the CMS trade

ratesProvider - the rates provider

Returns:

the currency exposure

currentCash

public MultiCurrencyAmount currentCash(ResolvedCmsTrade trade,
                                       RatesProvider ratesProvider)

Calculates the current cash of the trade.

Parameters:

trade - the CMS trade

ratesProvider - the rates provider

Returns:

the current cash