Package com.opengamma.strata.pricer.index

Class HullWhiteIborFutureProductPricer

  • public class HullWhiteIborFutureProductPricer
extends Object
    Pricer for for Ibor future products.

    This function provides the ability to price a IborFuture based on Hull-White one-factor model with piecewise constant volatility.

    Reference: Henrard M., Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model. March 2005. Available at http://ssrn.com/abstract=682343

    Price

    The price of an Ibor future is based on the interest rate of the underlying index. It is defined as (100 - percentRate).

    Strata uses decimal prices for Ibor 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.

    • Constructor Detail

      • HullWhiteIborFutureProductPricer

        public HullWhiteIborFutureProductPricer()
        Creates an instance.

    • Method Detail

      • price

        public double price​(ResolvedIborFuture future,
                    RatesProvider ratesProvider,
                    HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
        Calculates the price of the Ibor future product.

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

        Parameters:
        future - the future
        ratesProvider - the rates provider
        hwProvider - the Hull-White model parameter provider
        Returns:
        the price of the product, in decimal form

      • convexityAdjustment

        public double convexityAdjustment​(ResolvedIborFuture future,
                                  RatesProvider ratesProvider,
                                  HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
        Calculates the convexity adjustment (to the price) of the Ibor future product.

        The convexity adjustment of the product is the value on the valuation date.

        Parameters:
        future - the future
        ratesProvider - the rates provider
        hwProvider - the Hull-White model parameter provider
        Returns:
        the convexity adjustment, in decimal form

      • parRate

        public double parRate​(ResolvedIborFuture future,
                      RatesProvider ratesProvider,
                      HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
        Calculates the par rate of the Ibor future product.

        The par rate is given by (1 - price). The par rate of the product is the value on the valuation date.

        Parameters:
        future - the future
        ratesProvider - the rates provider
        hwProvider - the Hull-White model parameter provider
        Returns:
        the par rate of the product, in decimal form

      • priceSensitivityRates

        public PointSensitivities priceSensitivityRates​(ResolvedIborFuture future,
                                                RatesProvider ratesProvider,
                                                HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
        Calculates the price sensitivity of the Ibor 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
        hwProvider - the Hull-White model parameter provider
        Returns:
        the price curve sensitivity of the product

      • priceSensitivityModelParamsHullWhite

        public DoubleArray priceSensitivityModelParamsHullWhite​(ResolvedIborFuture future,
                                                        RatesProvider ratesProvider,
                                                        HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
        Calculates the price sensitivity to piecewise constant volatility parameters of the Hull-White model.
        Parameters:
        future - the future
        ratesProvider - the rates provider
        hwProvider - the Hull-White model parameter provider
        Returns:
        the price parameter sensitivity of the product