com.opengamma.strata.pricer.curve

Class MarketQuoteMeasure<T extends ResolvedTrade>

java.lang.Object

com.opengamma.strata.pricer.curve.MarketQuoteMeasure<T>

Type Parameters:

T - the trade type

All Implemented Interfaces:

CalibrationMeasure<T>

public final class MarketQuoteMeasure<T extends ResolvedTrade>
extends Object
implements CalibrationMeasure<T>

Provides market quote measures for a single type of trade based on functions.

This is initialized using functions that typically refer to pricers.

Field Summary

Fields

Modifier and Type	Field and Description
static MarketQuoteMeasure<ResolvedFraTrade>	FRA_MQ The measure for ResolvedFraTrade using par rate discounting.
static MarketQuoteMeasure<ResolvedIborFixingDepositTrade>	IBOR_FIXING_DEPOSIT_MQ The measure for ResolvedIborFixingDepositTrade using par rate discounting.
static MarketQuoteMeasure<ResolvedIborFutureTrade>	IBOR_FUTURE_MQ The measure for ResolvedIborFutureTrade using price discounting.
static MarketQuoteMeasure<ResolvedOvernightFutureTrade>	OVERNIGHT_FUTURE_MQ The measure for ResolvedOvernightFutureTrade using price discounting.
static MarketQuoteMeasure<ResolvedSwapTrade>	SWAP_MQ The measure for ResolvedSwapTrade using par rate discounting.
static MarketQuoteMeasure<ResolvedTermDepositTrade>	TERM_DEPOSIT_MQ The measure for ResolvedTermDepositTrade using par rate discounting.

Method Summary

Modifier and Type	Method and Description
Class<T>	getTradeType() Gets the trade type of the calibrator.
static <R extends ResolvedTrade> MarketQuoteMeasure<R>	of(String name, Class<R> tradeType, ToDoubleBiFunction<R,RatesProvider> valueFn, BiFunction<R,RatesProvider,PointSensitivities> sensitivityFn) Obtains a calibrator for a specific type of trade.
CurrencyParameterSensitivities	sensitivities(T trade, RatesProvider provider) Calculates the parameter sensitivities that relate to the value.
String	toString()
double	value(T trade, RatesProvider provider) Calculates the value, such as par spread.

Methods inherited from class java.lang.Object

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

Field Detail

FRA_MQ

public static final MarketQuoteMeasure<ResolvedFraTrade> FRA_MQ

The measure for ResolvedFraTrade using par rate discounting.

IBOR_FUTURE_MQ

public static final MarketQuoteMeasure<ResolvedIborFutureTrade> IBOR_FUTURE_MQ

The measure for ResolvedIborFutureTrade using price discounting.

OVERNIGHT_FUTURE_MQ

public static final MarketQuoteMeasure<ResolvedOvernightFutureTrade> OVERNIGHT_FUTURE_MQ

The measure for ResolvedOvernightFutureTrade using price discounting.

SWAP_MQ

public static final MarketQuoteMeasure<ResolvedSwapTrade> SWAP_MQ

The measure for ResolvedSwapTrade using par rate discounting. Apply only to swap with a fixed leg.

IBOR_FIXING_DEPOSIT_MQ

public static final MarketQuoteMeasure<ResolvedIborFixingDepositTrade> IBOR_FIXING_DEPOSIT_MQ

The measure for ResolvedIborFixingDepositTrade using par rate discounting.

TERM_DEPOSIT_MQ

public static final MarketQuoteMeasure<ResolvedTermDepositTrade> TERM_DEPOSIT_MQ

The measure for ResolvedTermDepositTrade using par rate discounting.

Method Detail

of

public static <R extends ResolvedTrade> MarketQuoteMeasure<R> of(String name,
                                                                 Class<R> tradeType,
                                                                 ToDoubleBiFunction<R,RatesProvider> valueFn,
                                                                 BiFunction<R,RatesProvider,PointSensitivities> sensitivityFn)

Obtains a calibrator for a specific type of trade.

The functions typically refer to pricers.

Type Parameters:

R - the trade type

Parameters:

name - the name

tradeType - the trade type

valueFn - the function for calculating the value

sensitivityFn - the function for calculating the sensitivity

Returns:

the calibrator

getTradeType

public Class<T> getTradeType()

Description copied from interface: CalibrationMeasure

Gets the trade type of the calibrator.

Specified by:

getTradeType in interface CalibrationMeasure<T extends ResolvedTrade>

Returns:

the trade type

value

public double value(T trade,
                    RatesProvider provider)

Description copied from interface: CalibrationMeasure

Calculates the value, such as par spread.

The value must be calculated using the specified rates provider.

Specified by:

value in interface CalibrationMeasure<T extends ResolvedTrade>

Parameters:

trade - the trade

provider - the rates provider

Returns:

the sensitivity

sensitivities

public CurrencyParameterSensitivities sensitivities(T trade,
                                                    RatesProvider provider)

Description copied from interface: CalibrationMeasure

Calculates the parameter sensitivities that relate to the value.

The sensitivities must be calculated using the specified rates provider.

Specified by:

sensitivities in interface CalibrationMeasure<T extends ResolvedTrade>

Parameters:

trade - the trade

provider - the rates provider

Returns:

the sensitivity

toString

public String toString()

Overrides:

toString in class Object