Package com.opengamma.strata.pricer.swap

Class DiscountingSwapProductPricer

java.lang.Object

com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer

public class DiscountingSwapProductPricer
extends Object

Pricer for for rate swap products.

This function provides the ability to price a ResolvedSwap. The product is priced by pricing each leg.

Field Summary

Fields

Modifier and Type	Field	Description
static DiscountingSwapProductPricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
DiscountingSwapProductPricer(DiscountingSwapLegPricer legPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyAmount	accruedInterest(ResolvedSwap swap, RatesProvider provider)	Calculates the accrued interest since the last payment.
CashFlows	cashFlows(ResolvedSwap swap, RatesProvider provider)	Calculates the future cash flows of the swap product.
MultiCurrencyAmount	currencyExposure(ResolvedSwap swap, RatesProvider provider)	Calculates the currency exposure of the swap product.
MultiCurrencyAmount	currentCash(ResolvedSwap swap, RatesProvider provider)	Calculates the current cash of the swap product.
ExplainMap	explainPresentValue(ResolvedSwap swap, RatesProvider provider)	Explains the present value of the swap product.
MultiCurrencyAmount	forecastValue(ResolvedSwap swap, RatesProvider provider)	Calculates the forecast value of the swap product.
PointSensitivityBuilder	forecastValueSensitivity(ResolvedSwap swap, RatesProvider provider)	Calculates the forecast value sensitivity of the swap product.
DiscountingSwapLegPricer	getLegPricer()	Gets the underlying leg pricer.
double	marketQuote(ResolvedSwap swap, RatesProvider provider)	Computes the market quote of swaps.
PointSensitivityBuilder	marketQuoteSensitivity(ResolvedSwap swap, RatesProvider provider)	Computes the market quote curve sensitivity for swaps.
double	parRate(ResolvedSwap swap, RatesProvider provider)	Computes the par rate for swaps with a fixed leg.
PointSensitivityBuilder	parRateSensitivity(ResolvedSwap swap, RatesProvider provider)	Calculates the par rate curve sensitivity for a swap with a fixed leg.
double	parSpread(ResolvedSwap swap, RatesProvider provider)	Computes the par spread for swaps.
PointSensitivityBuilder	parSpreadSensitivity(ResolvedSwap swap, RatesProvider provider)	Calculates the par spread curve sensitivity for a swap.
CurrencyAmount	presentValue(ResolvedSwap swap, Currency currency, RatesProvider provider)	Calculates the present value of the swap product, converted to the specified currency.
MultiCurrencyAmount	presentValue(ResolvedSwap swap, RatesProvider provider)	Calculates the present value of the swap product.
PointSensitivityBuilder	presentValueSensitivity(ResolvedSwap swap, Currency currency, RatesProvider provider)	Calculates the present value sensitivity of the swap product converted in a given currency.
PointSensitivityBuilder	presentValueSensitivity(ResolvedSwap swap, RatesProvider provider)	Calculates the present value sensitivity of the swap 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 DiscountingSwapProductPricer DEFAULT

Default implementation.

Constructor Detail

DiscountingSwapProductPricer

public DiscountingSwapProductPricer(DiscountingSwapLegPricer legPricer)

Creates an instance.

Parameters:

legPricer - the pricer for ResolvedSwapLeg

Method Detail

getLegPricer

public DiscountingSwapLegPricer getLegPricer()

Gets the underlying leg pricer.

Returns:

the leg pricer

presentValue

public CurrencyAmount presentValue(ResolvedSwap swap,
                                   Currency currency,
                                   RatesProvider provider)

Calculates the present value of the swap product, converted to the specified currency.

The present value of the product is the value on the valuation date. This is the discounted forecast value. The result is converted to the specified currency.

Parameters:

swap - the product

currency - the currency to convert to

provider - the rates provider

Returns:

the present value of the swap product in the specified currency

presentValue

public MultiCurrencyAmount presentValue(ResolvedSwap swap,
                                        RatesProvider provider)

Calculates the present value of the swap product.

The present value of the product is the value on the valuation date. This is the discounted forecast value. The result is expressed using the payment currency of each leg.

Parameters:

swap - the product

provider - the rates provider

Returns:

the present value of the swap product

forecastValue

public MultiCurrencyAmount forecastValue(ResolvedSwap swap,
                                         RatesProvider provider)

Calculates the forecast value of the swap product.

The forecast value of the product is the value on the valuation date without present value discounting. The result is expressed using the payment currency of each leg.

Parameters:

swap - the product

provider - the rates provider

Returns:

the forecast value of the swap product

accruedInterest

public MultiCurrencyAmount accruedInterest(ResolvedSwap swap,
                                           RatesProvider provider)

Calculates the accrued interest since the last payment.

This determines the payment period applicable at the valuation date and calculates the accrued interest since the last payment.

Parameters:

swap - the product

provider - the rates provider

Returns:

the accrued interest of the swap product

parRate

public double parRate(ResolvedSwap swap,
                      RatesProvider provider)

Computes the par rate for swaps with a fixed leg.

The par rate is the common rate on all payments of the fixed leg for which the total swap present value is 0.

At least one leg must be a fixed leg. The par rate will be computed with respect to the first fixed leg in which all the payments are fixed payments with a unique accrual period (no compounding) and no FX reset. If the fixed leg is compounding, the par rate is computed only when the number of fixed coupon payments is 1 and accrual factor of each sub-period is 1

Parameters:

swap - the product

provider - the rates provider

Returns:

the par rate

Throws:

IllegalArgumentException - if there is no fixed leg

marketQuote

public double marketQuote(ResolvedSwap swap,
                          RatesProvider provider)

Computes the market quote of swaps.

For swaps with a fixed leg, this is equal to the par rate. For swaps without a fixed leg, this is the constant spread on the first leg required to have a PV of 0.

All the payment periods of the first leg must be of the type RatePaymentPeriod.

Parameters:

swap - the product

provider - the rates provider

Returns:

the market quote

Throws:

IllegalArgumentException - if there is no fixed leg and not all the payment periods of the first leg are of the type RatePaymentPeriod

parSpread

public double parSpread(ResolvedSwap swap,
                        RatesProvider provider)

Computes the par spread for swaps.

The par spread is the common spread on all payments of the first leg for which the total swap present value is 0.

The par spread will be computed with respect to the first leg. For that leg, all the payments have a unique accrual period or multiple accrual periods with Flat compounding and no FX reset.

Parameters:

swap - the product

provider - the rates provider

Returns:

the par rate

presentValueSensitivity

public PointSensitivityBuilder presentValueSensitivity(ResolvedSwap swap,
                                                       RatesProvider provider)

Calculates the present value sensitivity of the swap product.

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

Parameters:

swap - the product

provider - the rates provider

Returns:

the present value curve sensitivity of the swap product

presentValueSensitivity

public PointSensitivityBuilder presentValueSensitivity(ResolvedSwap swap,
                                                       Currency currency,
                                                       RatesProvider provider)

Calculates the present value sensitivity of the swap product converted in a given currency.

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

Parameters:

swap - the product

currency - the currency to convert to

provider - the rates provider

Returns:

the present value curve sensitivity of the swap product converted in the given currency

forecastValueSensitivity

public PointSensitivityBuilder forecastValueSensitivity(ResolvedSwap swap,
                                                        RatesProvider provider)

Calculates the forecast value sensitivity of the swap product.

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

Parameters:

swap - the product

provider - the rates provider

Returns:

the forecast value curve sensitivity of the swap product

parRateSensitivity

public PointSensitivityBuilder parRateSensitivity(ResolvedSwap swap,
                                                  RatesProvider provider)

Calculates the par rate curve sensitivity for a swap with a fixed leg.

The par rate is the common rate on all payments of the fixed leg for which the total swap present value is 0.

At least one leg must be a fixed leg. The par rate will be computed with respect to the first fixed leg. All the payments in that leg should be fixed payments with a unique accrual period (no compounding) and no FX reset.

Parameters:

swap - the product

provider - the rates provider

Returns:

the par rate curve sensitivity of the swap product

Throws:

IllegalArgumentException - if there is no fixed leg

marketQuoteSensitivity

public PointSensitivityBuilder marketQuoteSensitivity(ResolvedSwap swap,
                                                      RatesProvider provider)

Computes the market quote curve sensitivity for swaps.

For swaps with a fixed leg, this is equal to the par rate. For swaps without a fixed leg, this is the constant spread on the first leg required to have a PV of 0.

All the payment periods of the first leg must be of the type RatePaymentPeriod.

The figures are reported in the currency of the first leg, even if in theory they should be dimensionless.

Parameters:

swap - the product

provider - the rates provider

Returns:

the par rate curve sensitivity of the swap product

Throws:

IllegalArgumentException - if there is no fixed leg and not all the payment periods of the first leg are of the type RatePaymentPeriod

parSpreadSensitivity

public PointSensitivityBuilder parSpreadSensitivity(ResolvedSwap swap,
                                                    RatesProvider provider)

Calculates the par spread curve sensitivity for a swap.

The par spread is the common spread on all payments of the first leg for which the total swap present value is 0.

The par spread is computed with respect to the first leg. For that leg, all the payments have a unique accrual period (no compounding) and no FX reset.

Parameters:

swap - the product

provider - the rates provider

Returns:

the par spread curve sensitivity of the swap product

cashFlows

public CashFlows cashFlows(ResolvedSwap swap,
                           RatesProvider provider)

Calculates the future cash flows of the swap product.

Each expected cash flow is added to the result. This is based on forecastValue(ResolvedSwap, RatesProvider).

Parameters:

swap - the product

provider - the rates provider

Returns:

the cash flow

explainPresentValue

public ExplainMap explainPresentValue(ResolvedSwap swap,
                                      RatesProvider provider)

Explains the present value of the swap product.

This returns explanatory information about the calculation.

Parameters:

swap - the product

provider - the rates provider

Returns:

the explanatory information

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedSwap swap,
                                            RatesProvider provider)

Calculates the currency exposure of the swap product.

Parameters:

swap - the product

provider - the rates provider

Returns:

the currency exposure of the swap product

currentCash

public MultiCurrencyAmount currentCash(ResolvedSwap swap,
                                       RatesProvider provider)

Calculates the current cash of the swap product.

Parameters:

swap - the product

provider - the rates provider

Returns:

the current cash of the swap product