com.opengamma.strata.pricer.bond

Class DiscountingFixedCouponBondPaymentPeriodPricer

java.lang.Object

com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondPaymentPeriodPricer

public class DiscountingFixedCouponBondPaymentPeriodPricer
extends Object

Pricer implementation for bond payment periods based on a fixed coupon.

This pricer performs discounting of the fixed coupon payment.

Field Summary

Fields

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

Constructor Summary

Constructors

Constructor and Description
DiscountingFixedCouponBondPaymentPeriodPricer() Creates an instance.

Method Summary

Modifier and Type	Method and Description
void	explainPresentValue(FixedCouponBondPaymentPeriod period, IssuerCurveDiscountFactors discountFactors, ExplainMapBuilder builder) Explains the present value of a single fixed coupon payment period.
void	explainPresentValueWithSpread(FixedCouponBondPaymentPeriod period, IssuerCurveDiscountFactors discountFactors, ExplainMapBuilder builder, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Explains the present value of a single fixed coupon payment period with z-spread.
double	forecastValue(FixedCouponBondPaymentPeriod period, IssuerCurveDiscountFactors discountFactors) Calculates the forecast value of a single fixed coupon payment period.
PointSensitivityBuilder	forecastValueSensitivity(FixedCouponBondPaymentPeriod period, IssuerCurveDiscountFactors discountFactors) Calculates the forecast value sensitivity of a single fixed coupon payment period.
double	presentValue(FixedCouponBondPaymentPeriod period, IssuerCurveDiscountFactors discountFactors) Calculates the present value of a single fixed coupon payment period.
PointSensitivityBuilder	presentValueSensitivity(FixedCouponBondPaymentPeriod period, IssuerCurveDiscountFactors discountFactors) Calculates the present value sensitivity of a single fixed coupon payment period.
PointSensitivityBuilder	presentValueSensitivityWithSpread(FixedCouponBondPaymentPeriod period, IssuerCurveDiscountFactors discountFactors, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the present value sensitivity of a single fixed coupon payment period with z-spread.
double	presentValueWithSpread(FixedCouponBondPaymentPeriod period, IssuerCurveDiscountFactors discountFactors, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the present value of a single fixed coupon 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 DiscountingFixedCouponBondPaymentPeriodPricer DEFAULT

Default implementation.

Constructor Detail

DiscountingFixedCouponBondPaymentPeriodPricer

public DiscountingFixedCouponBondPaymentPeriodPricer()

Creates an instance.

Method Detail

presentValue

public double presentValue(FixedCouponBondPaymentPeriod period,
                           IssuerCurveDiscountFactors discountFactors)

Calculates the present value of a single fixed coupon payment period.

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

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

Parameters:

period - the period to price

discountFactors - the discount factor provider

Returns:

the present value of the period

presentValueWithSpread

public double presentValueWithSpread(FixedCouponBondPaymentPeriod period,
                                     IssuerCurveDiscountFactors discountFactors,
                                     double zSpread,
                                     CompoundedRateType compoundedRateType,
                                     int periodsPerYear)

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

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

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

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

Parameters:

period - the period to price

discountFactors - 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(FixedCouponBondPaymentPeriod period,
                            IssuerCurveDiscountFactors discountFactors)

Calculates the forecast value of a single fixed coupon payment period.

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

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

The forecast value is z-spread independent.

Parameters:

period - the period to price

discountFactors - the discount factor provider

Returns:

the present value of the period

presentValueSensitivity

public PointSensitivityBuilder presentValueSensitivity(FixedCouponBondPaymentPeriod period,
                                                       IssuerCurveDiscountFactors discountFactors)

Calculates the present value sensitivity of a single fixed coupon 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

discountFactors - the discount factor provider

Returns:

the present value curve sensitivity of the period

presentValueSensitivityWithSpread

public PointSensitivityBuilder presentValueSensitivityWithSpread(FixedCouponBondPaymentPeriod period,
                                                                 IssuerCurveDiscountFactors discountFactors,
                                                                 double zSpread,
                                                                 CompoundedRateType compoundedRateType,
                                                                 int periodsPerYear)

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

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

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

Parameters:

period - the period to price

discountFactors - 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(FixedCouponBondPaymentPeriod period,
                                                        IssuerCurveDiscountFactors discountFactors)

Calculates the forecast value sensitivity of a single fixed coupon payment period.

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

The forecast value sensitivity is zero and z-spread independent for the fixed payment.

Parameters:

period - the period to price

discountFactors - the discount factor provider

Returns:

the forecast value curve sensitivity of the period

explainPresentValue

public void explainPresentValue(FixedCouponBondPaymentPeriod period,
                                IssuerCurveDiscountFactors discountFactors,
                                ExplainMapBuilder builder)

Explains the present value of a single fixed coupon payment period.

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

Parameters:

period - the period to price

discountFactors - the discount factor provider

builder - the builder to populate

explainPresentValueWithSpread

public void explainPresentValueWithSpread(FixedCouponBondPaymentPeriod period,
                                          IssuerCurveDiscountFactors discountFactors,
                                          ExplainMapBuilder builder,
                                          double zSpread,
                                          CompoundedRateType compoundedRateType,
                                          int periodsPerYear)

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

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

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

Parameters:

period - the period to price

discountFactors - 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