DiscountingOvernightFutureProductPricer (OpenGamma Strata)

java.lang.Object
- com.opengamma.strata.pricer.index.DiscountingOvernightFutureProductPricer

```
public class DiscountingOvernightFutureProductPricer
extends Object
```
Pricer for for Overnight rate future products.
This function provides the ability to price a ResolvedOvernightFuture.
Price
The price of an Overnight rate future is based on the interest rate of the underlying index. It is defined as (100 - percentRate).
Strata uses decimal prices for Overnight rate futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.

Field Summary

Fields
Modifier and Type Field Description

static DiscountingOvernightFutureProductPricer DEFAULT
Default implementation.

Constructor Summary

Constructors
Constructor Description

DiscountingOvernightFutureProductPricer(RateComputationFn<RateComputation> rateComputationFn)
Creates an instance.

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method	Description
`double`	`price(ResolvedOvernightFuture future, RatesProvider ratesProvider)`	Calculates the price of the Overnight rate future product.
`PointSensitivities`	`priceSensitivity(ResolvedOvernightFuture future, RatesProvider ratesProvider)`	Calculates the price sensitivity of the Overnight rate future 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 DiscountingOvernightFutureProductPricer DEFAULT
```
    Default implementation.
- Constructor Detail
  - DiscountingOvernightFutureProductPricer
```
public DiscountingOvernightFutureProductPricer(RateComputationFn<RateComputation> rateComputationFn)
```
    Creates an instance.
    
    Parameters:
    
    rateComputationFn - the rate computation function
- Method Detail
  - price
```
public double price(ResolvedOvernightFuture future,
                    RatesProvider ratesProvider)
```
    Calculates the price of the Overnight rate future product.
    The price of the product is the price on the valuation date.
    
    Parameters:
    
    future - the future
    
    ratesProvider - the rates provider
    
    Returns:
    
    the price of the product, in decimal form
  - priceSensitivity
```
public PointSensitivities priceSensitivity(ResolvedOvernightFuture future,
                                           RatesProvider ratesProvider)
```
    Calculates the price sensitivity of the Overnight rate future product.
    The price sensitivity of the product is the sensitivity of the price to the underlying curves.
    
    Parameters:
    
    future - the future
    
    ratesProvider - the rates provider
    
    Returns:
    
    the price curve sensitivity of the product