Package com.opengamma.strata.pricer.dsf

Class DiscountingDsfTradePricer

java.lang.Object

com.opengamma.strata.pricer.dsf.DiscountingDsfTradePricer

public class DiscountingDsfTradePricer
extends Object

Pricer implementation for Deliverable Swap Futures (DSFs).

This function provides the ability to price a ResolvedDsfTrade.

Price

The price of a DSF is based on the present value (NPV) of the underlying swap on the delivery date. For example, a price of 100.182 represents a present value of $100,182.00, if the notional is $100,000. This price can also be viewed as a percentage present value - (100 + percentPv), or 0.182% in this example.

Strata uses decimal prices for DSFs in the trade model, pricers and market data. The decimal price is based on the decimal multiplier equivalent to the implied percentage. Thus the market price of 100.182 is represented in Strata by 1.00182.

Field Summary

Fields

Modifier and Type	Field	Description
static DiscountingDsfTradePricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
DiscountingDsfTradePricer(DiscountingDsfProductPricer productPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyAmount	currencyExposure(ResolvedDsfTrade trade, RatesProvider ratesProvider, double lastSettlementPrice)	Calculates the currency exposure of the deliverable swap futures trade.
CurrencyAmount	presentValue(ResolvedDsfTrade trade, RatesProvider ratesProvider, double lastSettlementPrice)	Calculates the present value of the deliverable swap futures trade.
PointSensitivities	presentValueSensitivity(ResolvedDsfTrade trade, RatesProvider ratesProvider)	Calculates the present value sensitivity of the deliverable swap futures trade.
double	price(ResolvedDsfTrade trade, RatesProvider ratesProvider)	Calculates the price of the underlying deliverable swap futures product.
PointSensitivities	priceSensitivity(ResolvedDsfTrade trade, RatesProvider ratesProvider)	Calculates the price sensitivity of the deliverable swap futures product.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final DiscountingDsfTradePricer DEFAULT

Default implementation.

Constructor Detail

DiscountingDsfTradePricer

public DiscountingDsfTradePricer(DiscountingDsfProductPricer productPricer)

Creates an instance.

Parameters:

productPricer - the pricer for Dsf

Method Detail

price

public double price(ResolvedDsfTrade trade,
                    RatesProvider ratesProvider)

Calculates the price of the underlying deliverable swap futures product.

The price of the trade is the price on the valuation date.

Parameters:

trade - the trade

ratesProvider - the rates provider

Returns:

the price of the trade, in decimal form

priceSensitivity

public PointSensitivities priceSensitivity(ResolvedDsfTrade trade,
                                           RatesProvider ratesProvider)

Calculates the price sensitivity of the deliverable swap futures product.

The price sensitivity of the product is the sensitivity of the price to the underlying curves.

Parameters:

trade - the trade

ratesProvider - the rates provider

Returns:

the price curve sensitivity of the trade

presentValue

public CurrencyAmount presentValue(ResolvedDsfTrade trade,
                                   RatesProvider ratesProvider,
                                   double lastSettlementPrice)

Calculates the present value of the deliverable swap futures trade.

The present value of the product is the value on the valuation date. The current price is calculated using the discounting model.

This method calculates based on the difference between the model price and the last settlement price, or the trade price if traded on the valuation date.

Parameters:

trade - the trade

ratesProvider - the rates provider

lastSettlementPrice - the last settlement price used for margining, in decimal form

Returns:

the present value

presentValueSensitivity

public PointSensitivities presentValueSensitivity(ResolvedDsfTrade trade,
                                                  RatesProvider ratesProvider)

Calculates the present value sensitivity of the deliverable swap futures trade.

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

Parameters:

trade - the trade

ratesProvider - the rates provider

Returns:

the present value curve sensitivity of the trade

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedDsfTrade trade,
                                            RatesProvider ratesProvider,
                                            double lastSettlementPrice)

Calculates the currency exposure of the deliverable swap futures trade.

Since the deliverable swap futures is based on a single currency, the trade is exposed to only this currency. The current price is calculated using the discounting model.

This method calculates based on the difference between the model price and the last settlement price, or the trade price if traded on the valuation date.

Parameters:

trade - the trade

ratesProvider - the rates provider

lastSettlementPrice - the last settlement price used for margining, in decimal form

Returns:

the currency exposure of the trade