com.opengamma.strata.pricer

Class DiscountingPaymentPricer

java.lang.Object

com.opengamma.strata.pricer.DiscountingPaymentPricer

public class DiscountingPaymentPricer
extends Object

Pricer for simple payments.

This function provides the ability to price an Payment.

Field Summary

Fields

Modifier and Type	Field and Description
static DiscountingPaymentPricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
DiscountingPaymentPricer() Creates an instance.

Method Summary

Modifier and Type	Method and Description
CashFlows	cashFlows(Payment payment, BaseProvider provider) Calculates the future cash flow of the payment.
MultiCurrencyAmount	currencyExposure(Payment payment, BaseProvider provider) Calculates the currency exposure.
CurrencyAmount	currentCash(Payment payment, BaseProvider provider) Calculates the current cash.
ExplainMap	explainPresentValue(Payment payment, BaseProvider provider) Explains the present value of the payment.
CurrencyAmount	forecastValue(Payment payment, BaseProvider provider) Computes the forecast value of the payment.
double	forecastValueAmount(Payment payment, BaseProvider provider) Computes the forecast value of the payment.
CurrencyAmount	presentValue(Payment payment, BaseProvider provider) Computes the present value of the payment by discounting.
CurrencyAmount	presentValue(Payment payment, DiscountFactors discountFactors) Computes the present value of the payment by discounting.
double	presentValueAmount(Payment payment, BaseProvider provider) Computes the present value of the payment by discounting.
PointSensitivityBuilder	presentValueSensitivity(Payment payment, BaseProvider provider) Compute the present value curve sensitivity of the payment.
PointSensitivityBuilder	presentValueSensitivity(Payment payment, DiscountFactors discountFactors) Compute the present value curve sensitivity of the payment.
PointSensitivityBuilder	presentValueSensitivityWithSpread(Payment payment, DiscountFactors discountFactors, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Compute the present value curve sensitivity of the payment with z-spread.
CurrencyAmount	presentValueWithSpread(Payment payment, DiscountFactors discountFactors, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Computes the present value of the payment with z-spread by discounting.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final DiscountingPaymentPricer DEFAULT

Default implementation.

Constructor Detail

DiscountingPaymentPricer

public DiscountingPaymentPricer()

Creates an instance.

Method Detail

presentValue

public CurrencyAmount presentValue(Payment payment,
                                   BaseProvider provider)

Computes the present value of the payment by discounting.

The present value is zero if the payment date is before the valuation date.

Parameters:

payment - the payment

provider - the provider

Returns:

the present value

presentValue

public CurrencyAmount presentValue(Payment payment,
                                   DiscountFactors discountFactors)

Computes the present value of the payment by discounting.

The present value is zero if the payment date is before the valuation date.

The specified discount factors should be for the payment currency, however this is not validated.

Parameters:

payment - the payment

discountFactors - the discount factors to price against

Returns:

the present value

presentValueAmount

public double presentValueAmount(Payment payment,
                                 BaseProvider provider)

Computes the present value of the payment by discounting.

The present value is zero if the payment date is before the valuation date.

Parameters:

payment - the payment

provider - the provider

Returns:

the present value

presentValueWithSpread

public CurrencyAmount presentValueWithSpread(Payment payment,
                                             DiscountFactors discountFactors,
                                             double zSpread,
                                             CompoundedRateType compoundedRateType,
                                             int periodsPerYear)

Computes the present value of the payment with z-spread by discounting.

The present value is zero if the payment date is before the valuation date.

The specified discount factors should be for the payment currency, however this is not validated.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the discounting curve.

Parameters:

payment - the payment

discountFactors - the discount factors to price against

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the present value

explainPresentValue

public ExplainMap explainPresentValue(Payment payment,
                                      BaseProvider provider)

Explains the present value of the payment.

This returns explanatory information about the calculation.

Parameters:

payment - the payment

provider - the provider

Returns:

the explanatory information

presentValueSensitivity

public PointSensitivityBuilder presentValueSensitivity(Payment payment,
                                                       BaseProvider provider)

Compute the present value curve sensitivity of the payment.

The present value sensitivity of the payment is the sensitivity of the present value to the discount factor curve. There is no sensitivity if the payment date is before the valuation date.

Parameters:

payment - the payment

provider - the provider

Returns:

the point sensitivity of the present value

presentValueSensitivity

public PointSensitivityBuilder presentValueSensitivity(Payment payment,
                                                       DiscountFactors discountFactors)

Compute the present value curve sensitivity of the payment.

The present value sensitivity of the payment is the sensitivity of the present value to the discount factor curve. There is no sensitivity if the payment date is before the valuation date.

The specified discount factors should be for the payment currency, however this is not validated.

Parameters:

payment - the payment

discountFactors - the discount factors to price against

Returns:

the point sensitivity of the present value

presentValueSensitivityWithSpread

public PointSensitivityBuilder presentValueSensitivityWithSpread(Payment payment,
                                                                 DiscountFactors discountFactors,
                                                                 double zSpread,
                                                                 CompoundedRateType compoundedRateType,
                                                                 int periodsPerYear)

Compute the present value curve sensitivity of the payment with z-spread.

The present value sensitivity of the payment is the sensitivity of the present value to the discount factor curve. There is no sensitivity if the payment date is before the valuation date.

The specified discount factors should be for the payment currency, however this is not validated.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the discounting curve.

Parameters:

payment - the payment

discountFactors - the discount factors to price against

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the point sensitivity of the present value

forecastValue

public CurrencyAmount forecastValue(Payment payment,
                                    BaseProvider provider)

Computes the forecast value of the payment.

The present value is zero if the payment date is before the valuation date.

Parameters:

payment - the payment

provider - the provider

Returns:

the forecast value

forecastValueAmount

public double forecastValueAmount(Payment payment,
                                  BaseProvider provider)

Computes the forecast value of the payment.

The present value is zero if the payment date is before the valuation date.

Parameters:

payment - the payment

provider - the provider

Returns:

the forecast value

cashFlows

public CashFlows cashFlows(Payment payment,
                           BaseProvider provider)

Calculates the future cash flow of the payment.

The cash flow is returned, empty if the payment has already occurred.

Parameters:

payment - the payment

provider - the provider

Returns:

the cash flow, empty if the payment has occurred

currencyExposure

public MultiCurrencyAmount currencyExposure(Payment payment,
                                            BaseProvider provider)

Calculates the currency exposure.

Parameters:

payment - the payment

provider - the provider

Returns:

the currency exposure

currentCash

public CurrencyAmount currentCash(Payment payment,
                                  BaseProvider provider)

Calculates the current cash.

Parameters:

payment - the payment

provider - the provider

Returns:

the current cash