Package com.opengamma.strata.pricer.deposit

Class DiscountingIborFixingDepositTradePricer

java.lang.Object

com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositTradePricer

public class DiscountingIborFixingDepositTradePricer
extends Object

The methods associated to the pricing of Ibor fixing deposit trades by discounting.

This provides the ability to price ResolvedIborFixingDepositTrade. These trades are synthetic trades which are used for curve calibration purposes. They should not be used as actual trades.

Field Summary

Fields

Modifier and Type	Field	Description
static DiscountingIborFixingDepositTradePricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
DiscountingIborFixingDepositTradePricer(DiscountingIborFixingDepositProductPricer productPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
double	parRate(ResolvedIborFixingDepositTrade trade, RatesProvider provider)	Calculates the deposit fair rate given the start and end time and the accrual factor.
PointSensitivities	parRateSensitivity(ResolvedIborFixingDepositTrade trade, RatesProvider provider)	Calculates the deposit fair rate sensitivity to the curves.
double	parSpread(ResolvedIborFixingDepositTrade trade, RatesProvider provider)	Calculates the spread to be added to the deposit rate to have a zero present value.
PointSensitivities	parSpreadSensitivity(ResolvedIborFixingDepositTrade trade, RatesProvider provider)	Calculates the par spread curve sensitivity.
CurrencyAmount	presentValue(ResolvedIborFixingDepositTrade trade, RatesProvider provider)	Calculates the present value of the Ibor fixing deposit trade.
PointSensitivities	presentValueSensitivity(ResolvedIborFixingDepositTrade trade, RatesProvider provider)	Calculates the present value sensitivity of the Ibor fixing deposit trade.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final DiscountingIborFixingDepositTradePricer DEFAULT

Default implementation.

Constructor Detail

DiscountingIborFixingDepositTradePricer

public DiscountingIborFixingDepositTradePricer(DiscountingIborFixingDepositProductPricer productPricer)

Creates an instance.

Parameters:

productPricer - the pricer for ResolvedIborFixingDeposit

Method Detail

presentValue

public CurrencyAmount presentValue(ResolvedIborFixingDepositTrade trade,
                                   RatesProvider provider)

Calculates the present value of the Ibor fixing deposit trade.

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

Parameters:

trade - the trade

provider - the rates provider

Returns:

the present value of the product

presentValueSensitivity

public PointSensitivities presentValueSensitivity(ResolvedIborFixingDepositTrade trade,
                                                  RatesProvider provider)

Calculates the present value sensitivity of the Ibor fixing deposit trade.

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

Parameters:

trade - the trade

provider - the rates provider

Returns:

the point sensitivity of the present value

parRate

public double parRate(ResolvedIborFixingDepositTrade trade,
                      RatesProvider provider)

Calculates the deposit fair rate given the start and end time and the accrual factor.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the par rate

parRateSensitivity

public PointSensitivities parRateSensitivity(ResolvedIborFixingDepositTrade trade,
                                             RatesProvider provider)

Calculates the deposit fair rate sensitivity to the curves.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the par rate curve sensitivity

parSpread

public double parSpread(ResolvedIborFixingDepositTrade trade,
                        RatesProvider provider)

Calculates the spread to be added to the deposit rate to have a zero present value.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the par spread

parSpreadSensitivity

public PointSensitivities parSpreadSensitivity(ResolvedIborFixingDepositTrade trade,
                                               RatesProvider provider)

Calculates the par spread curve sensitivity.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the par spread curve sensitivity