com.opengamma.strata.pricer.bond

Class RepoCurveDiscountFactors

java.lang.Object

com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors

All Implemented Interfaces:

Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class RepoCurveDiscountFactors
extends Object
implements org.joda.beans.ImmutableBean, Serializable

Provides access to discount factors for a repo curve.

The discount factor represents the time value of money for the specified security, issuer and currency when comparing the valuation date to the specified date.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	RepoCurveDiscountFactors.Meta The meta-bean for RepoCurveDiscountFactors.

Method Summary

Modifier and Type	Method and Description
double	discountFactor(LocalDate date) Gets the discount factor.
boolean	equals(Object obj)
Currency	getCurrency() Gets the currency.
DiscountFactors	getDiscountFactors() Gets the underlying discount factors for a single currency.
RepoGroup	getRepoGroup() Gets the repo group.
LocalDate	getValuationDate() Gets the valuation date.
int	hashCode()
static RepoCurveDiscountFactors.Meta	meta() The meta-bean for RepoCurveDiscountFactors.
RepoCurveDiscountFactors.Meta	metaBean()
static RepoCurveDiscountFactors	of(DiscountFactors discountFactors, RepoGroup group) Obtains an instance based on discount factors and group.
CurrencyParameterSensitivities	parameterSensitivity(RepoCurveZeroRateSensitivity pointSensitivity) Calculates the curve parameter sensitivity from the point sensitivity.
String	toString()
RepoCurveZeroRateSensitivity	zeroRatePointSensitivity(LocalDate date) Calculates the zero rate point sensitivity at the specified date.
RepoCurveZeroRateSensitivity	zeroRatePointSensitivity(LocalDate date, Currency sensitivityCurrency) Calculates the zero rate point sensitivity at the specified date specifying the currency of the sensitivity.

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static RepoCurveDiscountFactors of(DiscountFactors discountFactors,
                                          RepoGroup group)

Obtains an instance based on discount factors and group.

Parameters:

discountFactors - the discount factors

group - the group

Returns:

the repo curve discount factors

getCurrency

public Currency getCurrency()

Gets the currency.

The currency that discount factors are provided for.

Returns:

the currency

getValuationDate

public LocalDate getValuationDate()

Gets the valuation date.

The raw data in this provider is calibrated for this date.

Returns:

the valuation date

discountFactor

public double discountFactor(LocalDate date)

Gets the discount factor.

The discount factor represents the time value of money for the specified currency and bond when comparing the valuation date to the specified date.

If the valuation date is on or after the specified date, the discount factor is 1.

Parameters:

date - the date to discount to

Returns:

the discount factor

zeroRatePointSensitivity

public RepoCurveZeroRateSensitivity zeroRatePointSensitivity(LocalDate date)

Calculates the zero rate point sensitivity at the specified date.

This returns a sensitivity instance referring to the zero rate sensitivity of the curve used to determine the discount factor. The sensitivity typically has the value (-discountFactor * relativeYearFraction). The sensitivity refers to the result of discountFactor(LocalDate).

Parameters:

date - the date to discount to

Returns:

the point sensitivity of the zero rate

Throws:

RuntimeException - if the result cannot be calculated

zeroRatePointSensitivity

public RepoCurveZeroRateSensitivity zeroRatePointSensitivity(LocalDate date,
                                                             Currency sensitivityCurrency)

Calculates the zero rate point sensitivity at the specified date specifying the currency of the sensitivity.

This returns a sensitivity instance referring to the zero rate sensitivity of the curve used to determine the discount factor. The sensitivity typically has the value (-discountFactor * relativeYearFraction). The sensitivity refers to the result of discountFactor(LocalDate).

This method allows the currency of the sensitivity to differ from the currency of the curve.

Parameters:

date - the date to discount to

sensitivityCurrency - the currency of the sensitivity

Returns:

the point sensitivity of the zero rate

Throws:

RuntimeException - if the result cannot be calculated

parameterSensitivity

public CurrencyParameterSensitivities parameterSensitivity(RepoCurveZeroRateSensitivity pointSensitivity)

Calculates the curve parameter sensitivity from the point sensitivity.

This is used to convert a single point sensitivity to curve parameter sensitivity. The calculation typically involves multiplying the point and unit sensitivities.

Parameters:

pointSensitivity - the point sensitivity to convert

Returns:

the parameter sensitivity

Throws:

RuntimeException - if the result cannot be calculated

meta

public static RepoCurveDiscountFactors.Meta meta()

The meta-bean for RepoCurveDiscountFactors.

Returns:

the meta-bean, not null

metaBean

public RepoCurveDiscountFactors.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getDiscountFactors

public DiscountFactors getDiscountFactors()

Gets the underlying discount factors for a single currency.

This contains curve, curve currency, valuation date and day count convention. The discount factor, its point sensitivity and curve sensitivity are computed by this DiscountFactors.

Returns:

the value of the property, not null

getRepoGroup

public RepoGroup getRepoGroup()

Gets the repo group.

This defines the group that the discount factors are for.

Returns:

the value of the property, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object