com.opengamma.strata.pricer.bond

Class DiscountingCapitalIndexedBondTradePricer

java.lang.Object

com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondTradePricer

public class DiscountingCapitalIndexedBondTradePricer
extends Object

Pricer for for capital index bond trades.

This function provides the ability to price a ResolvedCapitalIndexedBondTrade.

Price

Strata uses decimal prices for bonds in the trade model, pricers and market data. For example, a price of 99.32% is represented in Strata by 0.9932.

Field Summary

Fields

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

Constructor Summary

Constructors

Constructor and Description
DiscountingCapitalIndexedBondTradePricer(DiscountingCapitalIndexedBondProductPricer productPricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
MultiCurrencyAmount	currencyExposure(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider) Calculates the currency exposure of the bond trade.
MultiCurrencyAmount	currencyExposureFromCleanPrice(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, ReferenceData refData, double cleanRealPrice) Calculates the currency exposure of the bond trade.
MultiCurrencyAmount	currencyExposureFromCleanPriceWithZSpread(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, ReferenceData refData, double cleanRealPrice, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the currency exposure of the bond trade with z-spread.
MultiCurrencyAmount	currencyExposureWithZSpread(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the currency exposure of the bond trade with z-spread.
CurrencyAmount	currentCash(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider) Calculates the current cash of the bond trade.
DiscountingCapitalIndexedBondProductPricer	getProductPricer() Gets the capital indexed bond product pricer.
CurrencyAmount	netAmount(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider) Calculates the net amount of the settlement of the bond trade.
CurrencyAmount	presentValue(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider) Calculates the present value of the bond trade.
CurrencyAmount	presentValueFromCleanPrice(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, ReferenceData refData, double cleanRealPrice) Calculates the present value of the bond trade from the clean price.
CurrencyAmount	presentValueFromCleanPriceWithZSpread(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, ReferenceData refData, double cleanRealPrice, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the present value of the settlement of the bond trade from the clean price with z-spread.
PointSensitivities	presentValueSensitivity(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider) Calculates the present value sensitivity of the bond trade.
PointSensitivities	presentValueSensitivityFromCleanPrice(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, ReferenceData refData, double cleanRealPrice) Calculates the present value sensitivity of the settlement of the bond trade from the real clean price.
PointSensitivities	presentValueSensitivityFromCleanPriceWithZSpread(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, ReferenceData refData, double cleanRealPrice, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the present value sensitivity of the settlement of the bond trade from the real clean price with z-spread.
PointSensitivities	presentValueSensitivityWithZSpread(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the present value sensitivity of the bond trade with z-spread.
CurrencyAmount	presentValueWithZSpread(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the present value of the bond trade with z-spread.
LocalDate	settlementDate(ResolvedCapitalIndexedBondTrade trade, LocalDate valuationDate) Calculates the settlement date.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final DiscountingCapitalIndexedBondTradePricer DEFAULT

Default implementation.

Constructor Detail

DiscountingCapitalIndexedBondTradePricer

public DiscountingCapitalIndexedBondTradePricer(DiscountingCapitalIndexedBondProductPricer productPricer)

Creates an instance.

Parameters:

productPricer - pricer for ResolvedCapitalIndexedBond

Method Detail

getProductPricer

public DiscountingCapitalIndexedBondProductPricer getProductPricer()

Gets the capital indexed bond product pricer.

Returns:

the product pricer

presentValue

public CurrencyAmount presentValue(ResolvedCapitalIndexedBondTrade trade,
                                   RatesProvider ratesProvider,
                                   LegalEntityDiscountingProvider discountingProvider)

Calculates the present value of the bond trade.

The present value of the trade is the value on the valuation date. The result is expressed using the payment currency of the bond.

Coupon payments of the underlying product are considered based on the settlement date of the trade.

Parameters:

trade - the trade

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

discountingProvider - the discount factors provider

Returns:

the present value of the bond trade

presentValueWithZSpread

public CurrencyAmount presentValueWithZSpread(ResolvedCapitalIndexedBondTrade trade,
                                              RatesProvider ratesProvider,
                                              LegalEntityDiscountingProvider discountingProvider,
                                              double zSpread,
                                              CompoundedRateType compoundedRateType,
                                              int periodsPerYear)

Calculates the present value of the bond trade with z-spread.

The present value of the trade is the value on the valuation date. The result is expressed using the payment currency of the bond.

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

Coupon payments of the underlying product are considered based on the settlement date of the trade.

Parameters:

trade - the trade

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

discountingProvider - the discount factors provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the present value of the bond trade

presentValueSensitivity

public PointSensitivities presentValueSensitivity(ResolvedCapitalIndexedBondTrade trade,
                                                  RatesProvider ratesProvider,
                                                  LegalEntityDiscountingProvider discountingProvider)

Calculates the present value sensitivity of the bond trade.

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

Coupon payments of the underlying product are considered based on the settlement date of the trade.

Parameters:

trade - the trade

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

discountingProvider - the discount factors provider

Returns:

the present value sensitivity of the bond trade

presentValueSensitivityWithZSpread

public PointSensitivities presentValueSensitivityWithZSpread(ResolvedCapitalIndexedBondTrade trade,
                                                             RatesProvider ratesProvider,
                                                             LegalEntityDiscountingProvider discountingProvider,
                                                             double zSpread,
                                                             CompoundedRateType compoundedRateType,
                                                             int periodsPerYear)

Calculates the present value sensitivity of the bond trade with z-spread.

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

Coupon payments of the underlying product are considered based on the settlement date of the trade.

Parameters:

trade - the trade

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

discountingProvider - the discount factors provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the present value sensitivity of the bond trade

presentValueFromCleanPrice

public CurrencyAmount presentValueFromCleanPrice(ResolvedCapitalIndexedBondTrade trade,
                                                 RatesProvider ratesProvider,
                                                 LegalEntityDiscountingProvider discountingProvider,
                                                 ReferenceData refData,
                                                 double cleanRealPrice)

Calculates the present value of the bond trade from the clean price.

Since the sign of the settlement notional is opposite to that of the product, negative amount will be returned for positive quantity of trade.

Parameters:

trade - the trade

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

refData - the reference data used to calculate the settlement date

discountingProvider - the discount factors provider

cleanRealPrice - the clean real price

Returns:

the present value of the settlement

presentValueFromCleanPriceWithZSpread

public CurrencyAmount presentValueFromCleanPriceWithZSpread(ResolvedCapitalIndexedBondTrade trade,
                                                            RatesProvider ratesProvider,
                                                            LegalEntityDiscountingProvider discountingProvider,
                                                            ReferenceData refData,
                                                            double cleanRealPrice,
                                                            double zSpread,
                                                            CompoundedRateType compoundedRateType,
                                                            int periodsPerYear)

Calculates the present value of the settlement of the bond trade from the clean price with z-spread.

Since the sign of the settlement notional is opposite to that of the product, negative amount will be returned for positive quantity of trade.

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

Parameters:

trade - the trade

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

discountingProvider - the discount factors provider

refData - the reference data used to calculate the settlement date

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

cleanRealPrice - the clean real price

Returns:

the present value of the settlement

presentValueSensitivityFromCleanPrice

public PointSensitivities presentValueSensitivityFromCleanPrice(ResolvedCapitalIndexedBondTrade trade,
                                                                RatesProvider ratesProvider,
                                                                LegalEntityDiscountingProvider discountingProvider,
                                                                ReferenceData refData,
                                                                double cleanRealPrice)

Calculates the present value sensitivity of the settlement of the bond trade from the real clean price.

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

Parameters:

trade - the trade

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

refData - the reference data used to calculate the settlement date

discountingProvider - the discount factors provider

cleanRealPrice - the clean real price

Returns:

the present value sensitivity of the settlement

presentValueSensitivityFromCleanPriceWithZSpread

public PointSensitivities presentValueSensitivityFromCleanPriceWithZSpread(ResolvedCapitalIndexedBondTrade trade,
                                                                           RatesProvider ratesProvider,
                                                                           LegalEntityDiscountingProvider discountingProvider,
                                                                           ReferenceData refData,
                                                                           double cleanRealPrice,
                                                                           double zSpread,
                                                                           CompoundedRateType compoundedRateType,
                                                                           int periodsPerYear)

Calculates the present value sensitivity of the settlement of the bond trade from the real clean price with z-spread.

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

Parameters:

trade - the trade

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

refData - the reference data used to calculate the settlement date

discountingProvider - the discount factors provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

cleanRealPrice - the clean real price

Returns:

the present value sensitivity of the settlement

currencyExposureFromCleanPrice

public MultiCurrencyAmount currencyExposureFromCleanPrice(ResolvedCapitalIndexedBondTrade trade,
                                                          RatesProvider ratesProvider,
                                                          LegalEntityDiscountingProvider discountingProvider,
                                                          ReferenceData refData,
                                                          double cleanRealPrice)

Calculates the currency exposure of the bond trade.

Parameters:

trade - the trade

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

discountingProvider - the discount factors provider

refData - the reference data used to calculate the settlement date

cleanRealPrice - the clean real price

Returns:

the currency exposure of the trade

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedCapitalIndexedBondTrade trade,
                                            RatesProvider ratesProvider,
                                            LegalEntityDiscountingProvider discountingProvider)

Calculates the currency exposure of the bond trade.

Parameters:

trade - the trade

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

discountingProvider - the discount factors provider

Returns:

the currency exposure of the trade

currencyExposureFromCleanPriceWithZSpread

public MultiCurrencyAmount currencyExposureFromCleanPriceWithZSpread(ResolvedCapitalIndexedBondTrade trade,
                                                                     RatesProvider ratesProvider,
                                                                     LegalEntityDiscountingProvider discountingProvider,
                                                                     ReferenceData refData,
                                                                     double cleanRealPrice,
                                                                     double zSpread,
                                                                     CompoundedRateType compoundedRateType,
                                                                     int periodsPerYear)

Calculates the currency exposure of the bond trade with z-spread.

Parameters:

trade - the trade

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

discountingProvider - the discount factors provider

refData - the reference data used to calculate the settlement date

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

cleanRealPrice - the clean real price

Returns:

the currency exposure of the trade

currencyExposureWithZSpread

public MultiCurrencyAmount currencyExposureWithZSpread(ResolvedCapitalIndexedBondTrade trade,
                                                       RatesProvider ratesProvider,
                                                       LegalEntityDiscountingProvider discountingProvider,
                                                       double zSpread,
                                                       CompoundedRateType compoundedRateType,
                                                       int periodsPerYear)

Calculates the currency exposure of the bond trade with z-spread.

Parameters:

trade - the trade

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

discountingProvider - the discount factors provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the currency exposure of the trade

currentCash

public CurrencyAmount currentCash(ResolvedCapitalIndexedBondTrade trade,
                                  RatesProvider ratesProvider)

Calculates the current cash of the bond trade.

Parameters:

trade - the trade

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

Returns:

the current cash

netAmount

public CurrencyAmount netAmount(ResolvedCapitalIndexedBondTrade trade,
                                RatesProvider ratesProvider)

Calculates the net amount of the settlement of the bond trade.

Since the sign of the settlement notional is opposite to that of the product, negative amount will be returned for positive quantity of trade.

Parameters:

trade - the trade

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

Returns:

the net amount

settlementDate

public LocalDate settlementDate(ResolvedCapitalIndexedBondTrade trade,
                                LocalDate valuationDate)

Calculates the settlement date.

The valuation date is returned if the settlement details are not stored.

Parameters:

trade - the trade

valuationDate - the valuation date

Returns:

the settlement date