Package com.opengamma.strata.pricer.deposit

Class DiscountingIborFixingDepositProductPricer

  • public class DiscountingIborFixingDepositProductPricer
extends Object
    The methods associated to the pricing of Ibor fixing deposit by discounting.

    This provides the ability to price ResolvedIborFixingDeposit. Those products are synthetic deposits which are used for curve calibration purposes; they should not be used as actual trades.

    • Constructor Detail

      • DiscountingIborFixingDepositProductPricer

        public DiscountingIborFixingDepositProductPricer()
        Creates an instance.

    • Method Detail

      • presentValue

        public CurrencyAmount presentValue​(ResolvedIborFixingDeposit deposit,
                                   RatesProvider provider)
        Calculates the present value of the Ibor fixing deposit product.

        The present value of the product is the value on the valuation date.

        Parameters:
        deposit - the product
        provider - the rates provider
        Returns:
        the present value of the product

      • presentValueSensitivity

        public PointSensitivities presentValueSensitivity​(ResolvedIborFixingDeposit deposit,
                                                  RatesProvider provider)
        Calculates the present value sensitivity of the Ibor fixing product.

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

        Parameters:
        deposit - the product
        provider - the rates provider
        Returns:
        the point sensitivity of the present value

      • parRate

        public double parRate​(ResolvedIborFixingDeposit deposit,
                      RatesProvider provider)
        Calculates the deposit fair rate given the start and end time and the accrual factor.
        Parameters:
        deposit - the product
        provider - the rates provider
        Returns:
        the par rate

      • parRateSensitivity

        public PointSensitivities parRateSensitivity​(ResolvedIborFixingDeposit deposit,
                                             RatesProvider provider)
        Calculates the deposit fair rate sensitivity to the curves.
        Parameters:
        deposit - the product
        provider - the rates provider
        Returns:
        the par rate curve sensitivity

      • parSpread

        public double parSpread​(ResolvedIborFixingDeposit deposit,
                        RatesProvider provider)
        Calculates the spread to be added to the deposit rate to have a zero present value.
        Parameters:
        deposit - the product
        provider - the rates provider
        Returns:
        the par spread

      • parSpreadSensitivity

        public PointSensitivities parSpreadSensitivity​(ResolvedIborFixingDeposit deposit,
                                               RatesProvider provider)
        Calculates the par spread curve sensitivity.
        Parameters:
        deposit - the product
        provider - the rates provider
        Returns:
        the par spread curve sensitivity