com.opengamma.strata.pricer.bond

Class DiscountingCapitalIndexedBondPaymentPeriodPricer

java.lang.Object

com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondPaymentPeriodPricer

public class DiscountingCapitalIndexedBondPaymentPeriodPricer
extends Object

Pricer implementation for bond payment periods based on a capital indexed coupon.

This pricer performs discounting of CapitalIndexedBondPaymentPeriod.

Field Summary

Fields

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

Constructor Summary

Constructors

Constructor and Description
DiscountingCapitalIndexedBondPaymentPeriodPricer(RateComputationFn<RateComputation> rateComputationFn) Creates an instance.

Method Summary

Modifier and Type	Method and Description
void	explainPresentValue(CapitalIndexedBondPaymentPeriod period, RatesProvider ratesProvider, IssuerCurveDiscountFactors issuerDiscountFactors, ExplainMapBuilder builder) Explains the present value of a single payment period.
void	explainPresentValueWithZSpread(CapitalIndexedBondPaymentPeriod period, RatesProvider ratesProvider, IssuerCurveDiscountFactors issuerDiscountFactors, ExplainMapBuilder builder, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Explains the present value of a single payment period with z-spread.
double	forecastValue(CapitalIndexedBondPaymentPeriod period, RatesProvider ratesProvider) Calculates the forecast value of a single payment period.
PointSensitivityBuilder	forecastValueSensitivity(CapitalIndexedBondPaymentPeriod period, RatesProvider ratesProvider) Calculates the forecast value sensitivity of a single payment period.
RateComputationFn<RateComputation>	getRateComputationFn() Obtains the rate computation function.
double	presentValue(CapitalIndexedBondPaymentPeriod period, RatesProvider ratesProvider, IssuerCurveDiscountFactors issuerDiscountFactors) Calculates the present value of a single payment period.
PointSensitivityBuilder	presentValueSensitivity(CapitalIndexedBondPaymentPeriod period, RatesProvider ratesProvider, IssuerCurveDiscountFactors issuerDiscountFactors) Calculates the present value sensitivity of a single payment period.
PointSensitivityBuilder	presentValueSensitivityWithZSpread(CapitalIndexedBondPaymentPeriod period, RatesProvider ratesProvider, IssuerCurveDiscountFactors issuerDiscountFactors, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the present value sensitivity of a single payment period with z-spread.
double	presentValueWithZSpread(CapitalIndexedBondPaymentPeriod period, RatesProvider ratesProvider, IssuerCurveDiscountFactors issuerDiscountFactors, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the present value of a single payment period 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 DiscountingCapitalIndexedBondPaymentPeriodPricer DEFAULT

Default implementation.

Constructor Detail

DiscountingCapitalIndexedBondPaymentPeriodPricer

public DiscountingCapitalIndexedBondPaymentPeriodPricer(RateComputationFn<RateComputation> rateComputationFn)

Creates an instance.

Parameters:

rateComputationFn - the rate computation function

Method Detail

getRateComputationFn

public RateComputationFn<RateComputation> getRateComputationFn()

Obtains the rate computation function.

Returns:

the rate computation function

presentValue

public double presentValue(CapitalIndexedBondPaymentPeriod period,
                           RatesProvider ratesProvider,
                           IssuerCurveDiscountFactors issuerDiscountFactors)

Calculates the present value of a single payment period.

This returns the value of the period with discounting. If the payment date of the period is in the past, zero is returned.

Parameters:

period - the period to price

ratesProvider - the rates provider, used to determine price index values

issuerDiscountFactors - the discount factor provider

Returns:

the present value of the period

presentValueWithZSpread

public double presentValueWithZSpread(CapitalIndexedBondPaymentPeriod period,
                                      RatesProvider ratesProvider,
                                      IssuerCurveDiscountFactors issuerDiscountFactors,
                                      double zSpread,
                                      CompoundedRateType compoundedRateType,
                                      int periodsPerYear)

Calculates the present value of a single payment period with z-spread.

This returns the value of the period with discounting. If the payment date of the period is in the past, zero is returned.

Parameters:

period - the period to price

ratesProvider - the rates provider, used to determine price index values

issuerDiscountFactors - the discount factor provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the present value of the period

forecastValue

public double forecastValue(CapitalIndexedBondPaymentPeriod period,
                            RatesProvider ratesProvider)

Calculates the forecast value of a single payment period.

Parameters:

period - the period to price

ratesProvider - the rates provider, used to determine price index values

Returns:

the forecast value of the period

presentValueSensitivity

public PointSensitivityBuilder presentValueSensitivity(CapitalIndexedBondPaymentPeriod period,
                                                       RatesProvider ratesProvider,
                                                       IssuerCurveDiscountFactors issuerDiscountFactors)

Calculates the present value sensitivity of a single payment period.

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

Parameters:

period - the period to price

ratesProvider - the rates provider, used to determine price index values

issuerDiscountFactors - the discount factor provider

Returns:

the present value curve sensitivity of the period

presentValueSensitivityWithZSpread

public PointSensitivityBuilder presentValueSensitivityWithZSpread(CapitalIndexedBondPaymentPeriod period,
                                                                  RatesProvider ratesProvider,
                                                                  IssuerCurveDiscountFactors issuerDiscountFactors,
                                                                  double zSpread,
                                                                  CompoundedRateType compoundedRateType,
                                                                  int periodsPerYear)

Calculates the present value sensitivity of a single payment period with z-spread.

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

Parameters:

period - the period to price

ratesProvider - the rates provider, used to determine price index values

issuerDiscountFactors - the discount factor 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 period

forecastValueSensitivity

public PointSensitivityBuilder forecastValueSensitivity(CapitalIndexedBondPaymentPeriod period,
                                                        RatesProvider ratesProvider)

Calculates the forecast value sensitivity of a single payment period.

The forecast value sensitivity of the period is the sensitivity of the present value to the underlying curves.

Parameters:

period - the period to price

ratesProvider - the rates provider, used to determine price index values

Returns:

the forecast value sensitivity of the period

explainPresentValue

public void explainPresentValue(CapitalIndexedBondPaymentPeriod period,
                                RatesProvider ratesProvider,
                                IssuerCurveDiscountFactors issuerDiscountFactors,
                                ExplainMapBuilder builder)

Explains the present value of a single payment period.

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

Parameters:

period - the period to price

ratesProvider - the rates provider, used to determine price index values

issuerDiscountFactors - the discount factor provider

builder - the builder to populate

explainPresentValueWithZSpread

public void explainPresentValueWithZSpread(CapitalIndexedBondPaymentPeriod period,
                                           RatesProvider ratesProvider,
                                           IssuerCurveDiscountFactors issuerDiscountFactors,
                                           ExplainMapBuilder builder,
                                           double zSpread,
                                           CompoundedRateType compoundedRateType,
                                           int periodsPerYear)

Explains the present value of a single payment period with z-spread.

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

Parameters:

period - the period to price

ratesProvider - the rates provider, used to determine price index values

issuerDiscountFactors - the discount factor provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

builder - the builder to populate