com.opengamma.strata.pricer.fra

Class DiscountingFraProductPricer

java.lang.Object

com.opengamma.strata.pricer.fra.DiscountingFraProductPricer

public class DiscountingFraProductPricer
extends Object

Pricer for for forward rate agreement (FRA) products.

This provides the ability to price ResolvedFra. The product is priced using a forward curve for the index.

Field Summary

Fields

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

Constructor Summary

Constructors

Constructor and Description
DiscountingFraProductPricer(RateComputationFn<RateComputation> rateComputationFn) Creates an instance.

Method Summary

Modifier and Type	Method and Description
CashFlows	cashFlows(ResolvedFra fra, RatesProvider provider) Calculates the future cash flow of the FRA product.
ExplainMap	explainPresentValue(ResolvedFra fra, RatesProvider provider) Explains the present value of the FRA product.
CurrencyAmount	forecastValue(ResolvedFra fra, RatesProvider provider) Calculates the forecast value of the FRA product.
PointSensitivities	forecastValueSensitivity(ResolvedFra fra, RatesProvider provider) Calculates the forecast value sensitivity of the FRA product.
double	parRate(ResolvedFra fra, RatesProvider provider) Calculates the par rate of the FRA product.
PointSensitivities	parRateSensitivity(ResolvedFra fra, RatesProvider provider) Calculates the par rate curve sensitivity of the FRA product.
double	parSpread(ResolvedFra fra, RatesProvider provider) Calculates the par spread of the FRA product.
PointSensitivities	parSpreadSensitivity(ResolvedFra fra, RatesProvider provider) Calculates the par spread curve sensitivity of the FRA product.
CurrencyAmount	presentValue(ResolvedFra fra, RatesProvider provider) Calculates the present value of the FRA product.
PointSensitivities	presentValueSensitivity(ResolvedFra fra, RatesProvider provider) Calculates the present value sensitivity of the FRA 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 DiscountingFraProductPricer DEFAULT

Default implementation.

Constructor Detail

DiscountingFraProductPricer

public DiscountingFraProductPricer(RateComputationFn<RateComputation> rateComputationFn)

Creates an instance.

Parameters:

rateComputationFn - the rate computation function

Method Detail

presentValue

public CurrencyAmount presentValue(ResolvedFra fra,
                                   RatesProvider provider)

Calculates the present value of the FRA product.

The present value of the product is the value on the valuation date. This is the discounted forecast value.

Parameters:

fra - the product

provider - the rates provider

Returns:

the present value of the product

presentValueSensitivity

public PointSensitivities presentValueSensitivity(ResolvedFra fra,
                                                  RatesProvider provider)

Calculates the present value sensitivity of the FRA product.

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

Parameters:

fra - the product

provider - the rates provider

Returns:

the point sensitivity of the present value

forecastValue

public CurrencyAmount forecastValue(ResolvedFra fra,
                                    RatesProvider provider)

Calculates the forecast value of the FRA product.

The forecast value of the product is the value on the valuation date without present value discounting.

Parameters:

fra - the product

provider - the rates provider

Returns:

the forecast value of the product

forecastValueSensitivity

public PointSensitivities forecastValueSensitivity(ResolvedFra fra,
                                                   RatesProvider provider)

Calculates the forecast value sensitivity of the FRA product.

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

Parameters:

fra - the product

provider - the rates provider

Returns:

the point sensitivity of the forecast value

parRate

public double parRate(ResolvedFra fra,
                      RatesProvider provider)

Calculates the par rate of the FRA product.

The par rate is the rate for which the FRA present value is 0.

Parameters:

fra - the product

provider - the rates provider

Returns:

the par rate

parRateSensitivity

public PointSensitivities parRateSensitivity(ResolvedFra fra,
                                             RatesProvider provider)

Calculates the par rate curve sensitivity of the FRA product.

The par rate curve sensitivity of the product is the sensitivity of the par rate to the underlying curves.

Parameters:

fra - the product

provider - the rates provider

Returns:

the par rate sensitivity

parSpread

public double parSpread(ResolvedFra fra,
                        RatesProvider provider)

Calculates the par spread of the FRA product.

This is spread to be added to the fixed rate to have a present value of 0.

Parameters:

fra - the product

provider - the rates provider

Returns:

the par spread

parSpreadSensitivity

public PointSensitivities parSpreadSensitivity(ResolvedFra fra,
                                               RatesProvider provider)

Calculates the par spread curve sensitivity of the FRA product.

The par spread curve sensitivity of the product is the sensitivity of the par spread to the underlying curves.

Parameters:

fra - the product

provider - the rates provider

Returns:

the par spread sensitivity

cashFlows

public CashFlows cashFlows(ResolvedFra fra,
                           RatesProvider provider)

Calculates the future cash flow of the FRA product.

There is only one cash flow on the payment date for the FRA product. The expected currency amount of the cash flow is the same as forecastValue(ResolvedFra, RatesProvider).

Parameters:

fra - the product

provider - the rates provider

Returns:

the cash flows

explainPresentValue

public ExplainMap explainPresentValue(ResolvedFra fra,
                                      RatesProvider provider)

Explains the present value of the FRA product.

This returns explanatory information about the calculation.

Parameters:

fra - the FRA product for which present value should be computed

provider - the rates provider

Returns:

the explanatory information