com.opengamma.strata.pricer.deposit

Class DiscountingIborFixingDepositProductPricer

java.lang.Object

com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositProductPricer

public class DiscountingIborFixingDepositProductPricer
extends Object

The methods associated to the pricing of Ibor fixing deposit by discounting.

This provides the ability to price ResolvedIborFixingDeposit. Those products are synthetic deposits which are used for curve calibration purposes; they should not be used as actual trades.

Field Summary

Fields

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

Constructor Summary

Constructors

Constructor and Description
DiscountingIborFixingDepositProductPricer() Creates an instance.

Method Summary

Modifier and Type	Method and Description
double	parRate(ResolvedIborFixingDeposit deposit, RatesProvider provider) Calculates the deposit fair rate given the start and end time and the accrual factor.
PointSensitivities	parRateSensitivity(ResolvedIborFixingDeposit deposit, RatesProvider provider) Calculates the deposit fair rate sensitivity to the curves.
double	parSpread(ResolvedIborFixingDeposit deposit, RatesProvider provider) Calculates the spread to be added to the deposit rate to have a zero present value.
PointSensitivities	parSpreadSensitivity(ResolvedIborFixingDeposit deposit, RatesProvider provider) Calculates the par spread curve sensitivity.
CurrencyAmount	presentValue(ResolvedIborFixingDeposit deposit, RatesProvider provider) Calculates the present value of the Ibor fixing deposit product.
PointSensitivities	presentValueSensitivity(ResolvedIborFixingDeposit deposit, RatesProvider provider) Calculates the present value sensitivity of the Ibor fixing product.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final DiscountingIborFixingDepositProductPricer DEFAULT

Default implementation.

Constructor Detail

DiscountingIborFixingDepositProductPricer

public DiscountingIborFixingDepositProductPricer()

Creates an instance.

Method Detail

presentValue

public CurrencyAmount presentValue(ResolvedIborFixingDeposit deposit,
                                   RatesProvider provider)

Calculates the present value of the Ibor fixing deposit product.

The present value of the product is the value on the valuation date.

Parameters:

deposit - the product

provider - the rates provider

Returns:

the present value of the product

presentValueSensitivity

public PointSensitivities presentValueSensitivity(ResolvedIborFixingDeposit deposit,
                                                  RatesProvider provider)

Calculates the present value sensitivity of the Ibor fixing product.

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

Parameters:

deposit - the product

provider - the rates provider

Returns:

the point sensitivity of the present value

parRate

public double parRate(ResolvedIborFixingDeposit deposit,
                      RatesProvider provider)

Calculates the deposit fair rate given the start and end time and the accrual factor.

Parameters:

deposit - the product

provider - the rates provider

Returns:

the par rate

parRateSensitivity

public PointSensitivities parRateSensitivity(ResolvedIborFixingDeposit deposit,
                                             RatesProvider provider)

Calculates the deposit fair rate sensitivity to the curves.

Parameters:

deposit - the product

provider - the rates provider

Returns:

the par rate curve sensitivity

parSpread

public double parSpread(ResolvedIborFixingDeposit deposit,
                        RatesProvider provider)

Calculates the spread to be added to the deposit rate to have a zero present value.

Parameters:

deposit - the product

provider - the rates provider

Returns:

the par spread

parSpreadSensitivity

public PointSensitivities parSpreadSensitivity(ResolvedIborFixingDeposit deposit,
                                               RatesProvider provider)

Calculates the par spread curve sensitivity.

Parameters:

deposit - the product

provider - the rates provider

Returns:

the par spread curve sensitivity