Package com.opengamma.strata.pricer.swap

Interface SwapPaymentEventPricer<T extends SwapPaymentEvent>

Type Parameters:

T - the type of event

All Known Implementing Classes:

DiscountingFxResetNotionalExchangePricer, DiscountingNotionalExchangePricer, DispatchingSwapPaymentEventPricer

public interface SwapPaymentEventPricer<T extends SwapPaymentEvent>

Pricer for payment events.

This function provides the ability to price a SwapPaymentEvent.

Implementations must be immutable and thread-safe functions.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyAmount	currencyExposure(T event, RatesProvider provider)	Calculates the currency exposure of a single payment event.
double	currentCash(T event, RatesProvider provider)	Calculates the current cash of a single payment event.
void	explainPresentValue(T event, RatesProvider provider, ExplainMapBuilder builder)	Explains the present value of a single payment event.
double	forecastValue(T event, RatesProvider provider)	Calculates the forecast value of a single payment event.
PointSensitivityBuilder	forecastValueSensitivity(T event, RatesProvider provider)	Calculates the forecast value sensitivity of a single payment event.
double	presentValue(T event, RatesProvider provider)	Calculates the present value of a single payment event.
PointSensitivityBuilder	presentValueSensitivity(T event, RatesProvider provider)	Calculates the present value sensitivity of a single payment event.
static SwapPaymentEventPricer<SwapPaymentEvent>	standard()	Returns the standard instance of the function.

Method Detail

standard

static SwapPaymentEventPricer<SwapPaymentEvent> standard()

Returns the standard instance of the function.

Use this method to avoid a direct dependency on the implementation.

Returns:

the payment event pricer

presentValue

double presentValue(T event,
                    RatesProvider provider)

Calculates the present value of a single payment event.

The amount is expressed in the currency of the event. This returns the value of the event with discounting.

The payment date of the event should not be in the past. The result of this method for payment dates in the past is undefined.

Parameters:

event - the event

provider - the rates provider

Returns:

the present value of the event

presentValueSensitivity

PointSensitivityBuilder presentValueSensitivity(T event,
                                                RatesProvider provider)

Calculates the present value sensitivity of a single payment event.

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

Parameters:

event - the event

provider - the rates provider

Returns:

the present value curve sensitivity of the event

forecastValue

double forecastValue(T event,
                     RatesProvider provider)

Calculates the forecast value of a single payment event.

The amount is expressed in the currency of the event. This returns the value of the event without discounting.

The payment date of the event should not be in the past. The result of this method for payment dates in the past is undefined.

Parameters:

event - the event

provider - the rates provider

Returns:

the forecast value of the event

forecastValueSensitivity

PointSensitivityBuilder forecastValueSensitivity(T event,
                                                 RatesProvider provider)

Calculates the forecast value sensitivity of a single payment event.

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

Parameters:

event - the event

provider - the rates provider

Returns:

the forecast value curve sensitivity of the event

explainPresentValue

void explainPresentValue(T event,
                         RatesProvider provider,
                         ExplainMapBuilder builder)

Explains the present value of a single payment event.

This adds information to the ExplainMapBuilder to aid understanding of the calculation.

Parameters:

event - the event

provider - the rates provider

builder - the builder to populate

currencyExposure

MultiCurrencyAmount currencyExposure(T event,
                                     RatesProvider provider)

Calculates the currency exposure of a single payment event.

Parameters:

event - the event

provider - the rates provider

Returns:

the currency exposure

currentCash

double currentCash(T event,
                   RatesProvider provider)

Calculates the current cash of a single payment event.

Parameters:

event - the event

provider - the rates provider

Returns:

the current cash