com.opengamma.strata.pricer.bond

Class DiscountingFixedCouponBondTradePricer

java.lang.Object

com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondTradePricer

public class DiscountingFixedCouponBondTradePricer
extends Object

Pricer for fixed coupon bond trades.

This function provides the ability to price a ResolvedFixedCouponBondTrade.

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 DiscountingFixedCouponBondTradePricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
DiscountingFixedCouponBondTradePricer(DiscountingFixedCouponBondProductPricer productPricer, DiscountingPaymentPricer paymentPricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
MultiCurrencyAmount	currencyExposure(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider) Calculates the currency exposure of the fixed coupon bond trade.
MultiCurrencyAmount	currencyExposureWithZSpread(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the currency exposure of the fixed coupon bond trade with z-spread.
CurrencyAmount	currentCash(ResolvedFixedCouponBondTrade trade, LocalDate valuationDate) Calculates the current cash of the fixed coupon bond trade.
DiscountingFixedCouponBondProductPricer	getProductPricer() Gets the fixed coupon bond product pricer.
CurrencyAmount	presentValue(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider) Calculates the present value of the fixed coupon bond trade.
CurrencyAmount	presentValueFromCleanPrice(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, ReferenceData refData, double cleanPrice) Calculates the present value of the fixed coupon bond trade from the clean price of the underlying product.
CurrencyAmount	presentValueFromCleanPriceWithZSpread(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, ReferenceData refData, double cleanPrice, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the present value of the fixed coupon bond trade with z-spread from the clean price of the underlying product.
PointSensitivities	presentValueSensitivity(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider) Calculates the present value sensitivity of the fixed coupon bond trade.
PointSensitivities	presentValueSensitivityWithZSpread(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the present value sensitivity of the fixed coupon bond trade with z-spread.
CurrencyAmount	presentValueWithZSpread(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the present value of the fixed coupon bond trade with z-spread.
LocalDate	settlementDate(ResolvedFixedCouponBondTrade trade, LocalDate valuationDate) Calculates the settlement date.
Payment	upfrontPayment(ResolvedFixedCouponBondTrade trade) Calculates the payment that was made for the trade.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final DiscountingFixedCouponBondTradePricer DEFAULT

Default implementation.

Constructor Detail

DiscountingFixedCouponBondTradePricer

public DiscountingFixedCouponBondTradePricer(DiscountingFixedCouponBondProductPricer productPricer,
                                             DiscountingPaymentPricer paymentPricer)

Creates an instance.

Parameters:

productPricer - the pricer for ResolvedFixedCouponBond

paymentPricer - the pricer for Payment

Method Detail

getProductPricer

public DiscountingFixedCouponBondProductPricer getProductPricer()

Gets the fixed coupon bond product pricer.

Returns:

the product pricer

presentValue

public CurrencyAmount presentValue(ResolvedFixedCouponBondTrade trade,
                                   LegalEntityDiscountingProvider provider)

Calculates the present value of the fixed coupon 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

provider - the discounting provider

Returns:

the present value of the fixed coupon bond trade

presentValueWithZSpread

public CurrencyAmount presentValueWithZSpread(ResolvedFixedCouponBondTrade trade,
                                              LegalEntityDiscountingProvider provider,
                                              double zSpread,
                                              CompoundedRateType compoundedRateType,
                                              int periodsPerYear)

Calculates the present value of the fixed coupon 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

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 fixed coupon bond trade

presentValueFromCleanPrice

public CurrencyAmount presentValueFromCleanPrice(ResolvedFixedCouponBondTrade trade,
                                                 LegalEntityDiscountingProvider provider,
                                                 ReferenceData refData,
                                                 double cleanPrice)

Calculates the present value of the fixed coupon bond trade from the clean price of the underlying product.

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

provider - the discounting provider

refData - the reference data used to calculate the settlement date

cleanPrice - the clean price

Returns:

the present value of the fixed coupon bond trade

presentValueFromCleanPriceWithZSpread

public CurrencyAmount presentValueFromCleanPriceWithZSpread(ResolvedFixedCouponBondTrade trade,
                                                            LegalEntityDiscountingProvider provider,
                                                            ReferenceData refData,
                                                            double cleanPrice,
                                                            double zSpread,
                                                            CompoundedRateType compoundedRateType,
                                                            int periodsPerYear)

Calculates the present value of the fixed coupon bond trade with z-spread from the clean price of the underlying product.

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

provider - the discounting provider

refData - the reference data used to calculate the settlement date

cleanPrice - the clean price

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the present value of the fixed coupon bond trade

presentValueSensitivity

public PointSensitivities presentValueSensitivity(ResolvedFixedCouponBondTrade trade,
                                                  LegalEntityDiscountingProvider provider)

Calculates the present value sensitivity of the fixed coupon 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

provider - the discounting provider

Returns:

the present value curve sensitivity of the trade

presentValueSensitivityWithZSpread

public PointSensitivities presentValueSensitivityWithZSpread(ResolvedFixedCouponBondTrade trade,
                                                             LegalEntityDiscountingProvider provider,
                                                             double zSpread,
                                                             CompoundedRateType compoundedRateType,
                                                             int periodsPerYear)

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

The present value sensitivity of the trade 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 discounting curve.

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

Parameters:

trade - the trade

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 trade

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedFixedCouponBondTrade trade,
                                            LegalEntityDiscountingProvider provider)

Calculates the currency exposure of the fixed coupon bond trade.

Parameters:

trade - the trade

provider - the discounting provider

Returns:

the currency exposure of the fixed coupon bond trade

currencyExposureWithZSpread

public MultiCurrencyAmount currencyExposureWithZSpread(ResolvedFixedCouponBondTrade trade,
                                                       LegalEntityDiscountingProvider provider,
                                                       double zSpread,
                                                       CompoundedRateType compoundedRateType,
                                                       int periodsPerYear)

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

Parameters:

trade - the trade

provider - the discounting provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the currency exposure of the fixed coupon bond trade

currentCash

public CurrencyAmount currentCash(ResolvedFixedCouponBondTrade trade,
                                  LocalDate valuationDate)

Calculates the current cash of the fixed coupon bond trade.

Parameters:

trade - the trade

valuationDate - the valuation date

Returns:

the current cash amount

upfrontPayment

public Payment upfrontPayment(ResolvedFixedCouponBondTrade trade)

Calculates the payment that was made for the trade.

This is the payment that was made on the settlement date, based on the quantity and clean price.

Parameters:

trade - the trade

Returns:

the payment that was made

settlementDate

public LocalDate settlementDate(ResolvedFixedCouponBondTrade 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