com.opengamma.strata.pricer.bond

Class DiscountingBillProductPricer

java.lang.Object

com.opengamma.strata.pricer.bond.DiscountingBillProductPricer

public class DiscountingBillProductPricer
extends Object

Pricer for bill products.

This function provides the ability to price a ResolvedBill.

Field Summary

Fields

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

Constructor Summary

Constructors

Constructor and Description
DiscountingBillProductPricer()

Method Summary

Modifier and Type	Method and Description
CurrencyAmount	presentValue(ResolvedBill bill, LegalEntityDiscountingProvider provider) Calculates the present value of the bill product.
PointSensitivities	presentValueSensitivity(ResolvedBill bill, LegalEntityDiscountingProvider provider) Calculates the present value sensitivity of the bill product.
PointSensitivities	presentValueSensitivityWithZSpread(ResolvedBill bill, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the present value sensitivity of the bill product with z-spread.
CurrencyAmount	presentValueWithZSpread(ResolvedBill bill, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the present value of a bill product with z-spread.
double	priceFromCurves(ResolvedBill bill, LegalEntityDiscountingProvider provider, LocalDate settlementDate) Calculates the price for settlement at a given settlement date using curves.
double	priceFromCurvesWithZSpread(ResolvedBill bill, LegalEntityDiscountingProvider provider, LocalDate settlementDate, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the price for settlement at a given settlement date using curves with z-spread.
PointSensitivityBuilder	priceSensitivity(ResolvedBill bill, LegalEntityDiscountingProvider provider, LocalDate settlementDate) Calculates the price sensitivity for settlement at a given settlement date using curves.
double	yieldFromCurves(ResolvedBill bill, LegalEntityDiscountingProvider provider, LocalDate settlementDate) Calculates the yield for settlement at a given settlement date using curves.
double	yieldFromCurvesWithZSpread(ResolvedBill bill, LegalEntityDiscountingProvider provider, LocalDate settlementDate, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the yield for settlement at a given settlement date using curves with z-spread.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final DiscountingBillProductPricer DEFAULT

Default implementation.

Constructor Detail

DiscountingBillProductPricer

public DiscountingBillProductPricer()

Method Detail

presentValue

public CurrencyAmount presentValue(ResolvedBill bill,
                                   LegalEntityDiscountingProvider provider)

Calculates the present value of the bill product.

The present value of the product is the value on the valuation date. The result is expressed using the payment currency of the bill.

Coupon payments of the product are considered based on the valuation date.

Parameters:

bill - the product

provider - the discounting provider

Returns:

the present value of the bill product

presentValueWithZSpread

public CurrencyAmount presentValueWithZSpread(ResolvedBill bill,
                                              LegalEntityDiscountingProvider provider,
                                              double zSpread,
                                              CompoundedRateType compoundedRateType,
                                              int periodsPerYear)

Calculates the present value of a bill product with z-spread.

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

Parameters:

bill - the product

provider - the discounting provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the present value of the bill product

presentValueSensitivity

public PointSensitivities presentValueSensitivity(ResolvedBill bill,
                                                  LegalEntityDiscountingProvider provider)

Calculates the present value sensitivity of the bill product.

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

Parameters:

bill - the product

provider - the discounting provider

Returns:

the present value curve sensitivity of the product

presentValueSensitivityWithZSpread

public PointSensitivities presentValueSensitivityWithZSpread(ResolvedBill bill,
                                                             LegalEntityDiscountingProvider provider,
                                                             double zSpread,
                                                             CompoundedRateType compoundedRateType,
                                                             int periodsPerYear)

Calculates the present value sensitivity of the bill product with z-spread.

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

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

Parameters:

bill - the product

provider - the discounting provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the present value curve sensitivity of the product

priceFromCurves

public double priceFromCurves(ResolvedBill bill,
                              LegalEntityDiscountingProvider provider,
                              LocalDate settlementDate)

Calculates the price for settlement at a given settlement date using curves.

Parameters:

bill - the bill

provider - the discounting provider

settlementDate - the settlement date

Returns:

the price

priceFromCurvesWithZSpread

public double priceFromCurvesWithZSpread(ResolvedBill bill,
                                         LegalEntityDiscountingProvider provider,
                                         LocalDate settlementDate,
                                         double zSpread,
                                         CompoundedRateType compoundedRateType,
                                         int periodsPerYear)

Calculates the price for settlement at a given settlement date using curves with z-spread.

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

The z-spread is applied only on the legal entity curve, not on the repo curve.

Parameters:

bill - the bill

provider - the discounting provider

settlementDate - the settlement date

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the price

yieldFromCurves

public double yieldFromCurves(ResolvedBill bill,
                              LegalEntityDiscountingProvider provider,
                              LocalDate settlementDate)

Calculates the yield for settlement at a given settlement date using curves.

Parameters:

bill - the bill

provider - the discounting provider

settlementDate - the settlement date

Returns:

the yield

yieldFromCurvesWithZSpread

public double yieldFromCurvesWithZSpread(ResolvedBill bill,
                                         LegalEntityDiscountingProvider provider,
                                         LocalDate settlementDate,
                                         double zSpread,
                                         CompoundedRateType compoundedRateType,
                                         int periodsPerYear)

Calculates the yield for settlement at a given settlement date using curves with z-spread.

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

The z-spread is applied only on the legal entity curve, not on the repo curve.

Parameters:

bill - the bill

provider - the discounting provider

settlementDate - the settlement date

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the yield

priceSensitivity

public PointSensitivityBuilder priceSensitivity(ResolvedBill bill,
                                                LegalEntityDiscountingProvider provider,
                                                LocalDate settlementDate)

Calculates the price sensitivity for settlement at a given settlement date using curves.

The price sensitivity of the security is the sensitivity of the price to the underlying curves.

Parameters:

bill - the bill

provider - the discounting provider

settlementDate - the settlement date

Returns:

the price curve sensitivity