com.opengamma.strata.pricer.curve

Class PresentValueCalibrationMeasure<T extends ResolvedTrade>

java.lang.Object

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

Type Parameters:

T - the trade type

All Implemented Interfaces:

CalibrationMeasure<T>

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

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

This set of measures return the present value of the product. For multi-currency instruments, the present value is converted into the currency of the first leg. The sensitivities are with respect to the market quote sensitivities and are also converted in the currency of the first leg when necessary.

Field Summary

Fields

Modifier and Type	Field and Description
static PresentValueCalibrationMeasure<ResolvedFraTrade>	FRA_PV The measure for FraTrade using present value discounting.
static PresentValueCalibrationMeasure<ResolvedIborFixingDepositTrade>	IBOR_FIXING_DEPOSIT_PV The calibrator for IborFixingDepositTrade using present value discounting.
static PresentValueCalibrationMeasure<ResolvedIborFutureTrade>	IBOR_FUTURE_PV The calibrator for IborFutureTrade using present value discounting.
static PresentValueCalibrationMeasure<ResolvedOvernightFutureTrade>	OVERNIGHT_FUTURE_PV The calibrator for OvernightFutureTrade using present value discounting.
static PresentValueCalibrationMeasure<ResolvedSwapTrade>	SWAP_PV The calibrator for SwapTrade using present value discounting.
static PresentValueCalibrationMeasure<ResolvedTermDepositTrade>	TERM_DEPOSIT_PV The calibrator for TermDepositTrade using present value discounting.

Method Summary

Modifier and Type	Method and Description
Class<T>	getTradeType() Gets the trade type of the calibrator.
static <R extends ResolvedTrade> PresentValueCalibrationMeasure<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_PV

public static final PresentValueCalibrationMeasure<ResolvedFraTrade> FRA_PV

The measure for FraTrade using present value discounting.

IBOR_FUTURE_PV

public static final PresentValueCalibrationMeasure<ResolvedIborFutureTrade> IBOR_FUTURE_PV

The calibrator for IborFutureTrade using present value discounting.

OVERNIGHT_FUTURE_PV

public static final PresentValueCalibrationMeasure<ResolvedOvernightFutureTrade> OVERNIGHT_FUTURE_PV

The calibrator for OvernightFutureTrade using present value discounting.

SWAP_PV

public static final PresentValueCalibrationMeasure<ResolvedSwapTrade> SWAP_PV

The calibrator for SwapTrade using present value discounting.

IBOR_FIXING_DEPOSIT_PV

public static final PresentValueCalibrationMeasure<ResolvedIborFixingDepositTrade> IBOR_FIXING_DEPOSIT_PV

The calibrator for IborFixingDepositTrade using present value discounting.

TERM_DEPOSIT_PV

public static final PresentValueCalibrationMeasure<ResolvedTermDepositTrade> TERM_DEPOSIT_PV

The calibrator for TermDepositTrade using present value discounting.

Method Detail

of

public static <R extends ResolvedTrade> PresentValueCalibrationMeasure<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