com.opengamma.strata.pricer.deposit

Class DiscountingTermDepositProductPricer

java.lang.Object

com.opengamma.strata.pricer.deposit.DiscountingTermDepositProductPricer

public class DiscountingTermDepositProductPricer
extends Object

The methods associated to the pricing of term deposit by discounting.

This provides the ability to price ResolvedTermDeposit.

Field Summary

Fields

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

Constructor Summary

Constructors

Constructor and Description
DiscountingTermDepositProductPricer() Creates an instance.

Method Summary

Modifier and Type	Method and Description
double	parRate(ResolvedTermDeposit deposit, RatesProvider provider) Calculates the deposit fair rate given the start and end time and the accrual factor.
PointSensitivities	parRateSensitivity(ResolvedTermDeposit deposit, RatesProvider provider) Calculates the par rate curve sensitivity.
double	parSpread(ResolvedTermDeposit deposit, RatesProvider provider) Calculates the spread to be added to the deposit rate to have a zero present value.
PointSensitivities	parSpreadSensitivity(ResolvedTermDeposit deposit, RatesProvider provider) Calculates the par spread curve sensitivity.
CurrencyAmount	presentValue(ResolvedTermDeposit deposit, RatesProvider provider) Calculates the present value by discounting the final cash flow (nominal + interest) and the initial payment (initial amount).
PointSensitivities	presentValueSensitivity(ResolvedTermDeposit deposit, RatesProvider provider) Calculates the present value sensitivity by discounting the final cash flow (nominal + interest) and the initial payment (initial amount).

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final DiscountingTermDepositProductPricer DEFAULT

Default implementation.

Constructor Detail

DiscountingTermDepositProductPricer

public DiscountingTermDepositProductPricer()

Creates an instance.

Method Detail

presentValue

public CurrencyAmount presentValue(ResolvedTermDeposit deposit,
                                   RatesProvider provider)

Calculates the present value by discounting the final cash flow (nominal + interest) and the initial payment (initial amount).

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(ResolvedTermDeposit deposit,
                                                  RatesProvider provider)

Calculates the present value sensitivity by discounting the final cash flow (nominal + interest) and the initial payment (initial amount).

Parameters:

deposit - the product

provider - the rates provider

Returns:

the point sensitivity of the present value

parRate

public double parRate(ResolvedTermDeposit deposit,
                      RatesProvider provider)

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

When the deposit has already started the number may not be meaningful as the remaining period is not in line with the accrual factor.

Parameters:

deposit - the product

provider - the rates provider

Returns:

the par rate

parRateSensitivity

public PointSensitivities parRateSensitivity(ResolvedTermDeposit deposit,
                                             RatesProvider provider)

Calculates the par rate curve sensitivity.

The calculation is based on both of initial and final payments. Thus the number resulting may not be meaningful when deposit has already started and only the final payment remains (no initial payment).

Parameters:

deposit - the product

provider - the rates provider

Returns:

the par rate curve sensitivity

parSpread

public double parSpread(ResolvedTermDeposit deposit,
                        RatesProvider provider)

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

The calculation is based on both the initial and final payments. Thus the resulting number may not be meaningful when deposit has already started and only the final payment remains (no initial payment).

Parameters:

deposit - the product

provider - the rates provider

Returns:

the par spread

parSpreadSensitivity

public PointSensitivities parSpreadSensitivity(ResolvedTermDeposit deposit,
                                               RatesProvider provider)

Calculates the par spread curve sensitivity.

The calculation is based on both of initial and final payments. Thus the number resulting may not be meaningful when deposit has already started and only the final payment remains (no initial payment).

Parameters:

deposit - the product

provider - the rates provider

Returns:

the par spread curve sensitivity