com.opengamma.strata.pricer.deposit

Class DiscountingTermDepositTradePricer

java.lang.Object

com.opengamma.strata.pricer.deposit.DiscountingTermDepositTradePricer

public class DiscountingTermDepositTradePricer
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 DiscountingTermDepositTradePricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
DiscountingTermDepositTradePricer(DiscountingTermDepositProductPricer productPricer) Creates an instance.

Method Summary

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

Default implementation.

Constructor Detail

DiscountingTermDepositTradePricer

public DiscountingTermDepositTradePricer(DiscountingTermDepositProductPricer productPricer)

Creates an instance.

Parameters:

productPricer - the pricer for ResolvedTermDeposit

Method Detail

presentValue

public CurrencyAmount presentValue(ResolvedTermDepositTrade trade,
                                   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 trade is the value on the valuation date.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the present value of the product

presentValueSensitivity

public PointSensitivities presentValueSensitivity(ResolvedTermDepositTrade trade,
                                                  RatesProvider provider)

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

Parameters:

trade - the trade

provider - the rates provider

Returns:

the point sensitivity of the present value

parRate

public double parRate(ResolvedTermDepositTrade trade,
                      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:

trade - the trade

provider - the rates provider

Returns:

the par rate

parRateSensitivity

public PointSensitivities parRateSensitivity(ResolvedTermDepositTrade trade,
                                             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:

trade - the trade

provider - the rates provider

Returns:

the par rate curve sensitivity

parSpread

public double parSpread(ResolvedTermDepositTrade trade,
                        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:

trade - the trade

provider - the rates provider

Returns:

the par spread

parSpreadSensitivity

public PointSensitivities parSpreadSensitivity(ResolvedTermDepositTrade trade,
                                               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:

trade - the trade

provider - the rates provider

Returns:

the par spread curve sensitivity

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedTermDepositTrade trade,
                                            RatesProvider provider)

Calculates the currency exposure.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the currency exposure

currentCash

public CurrencyAmount currentCash(ResolvedTermDepositTrade trade,
                                  RatesProvider provider)

Calculates the current cash.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the current cash