com.opengamma.strata.pricer.fra

Class DiscountingFraTradePricer

java.lang.Object

com.opengamma.strata.pricer.fra.DiscountingFraTradePricer

public class DiscountingFraTradePricer
extends Object

Pricer for for forward rate agreement (FRA) trades.

This provides the ability to price ResolvedFraTrade. The trade is priced by pricing the underlying product using a forward curve for the index.

Field Summary

Fields

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

Constructor Summary

Constructors

Constructor and Description
DiscountingFraTradePricer(DiscountingFraProductPricer productPricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
CashFlows	cashFlows(ResolvedFraTrade trade, RatesProvider provider) Calculates the future cash flow of the FRA trade.
MultiCurrencyAmount	currencyExposure(ResolvedFraTrade trade, RatesProvider provider) Calculates the currency exposure of the FRA trade.
CurrencyAmount	currentCash(ResolvedFraTrade trade, RatesProvider provider) Calculates the current cash of the FRA trade.
ExplainMap	explainPresentValue(ResolvedFraTrade trade, RatesProvider provider) Explains the present value of the FRA product.
CurrencyAmount	forecastValue(ResolvedFraTrade trade, RatesProvider provider) Calculates the forecast value of the FRA trade.
PointSensitivities	forecastValueSensitivity(ResolvedFraTrade trade, RatesProvider provider) Calculates the forecast value sensitivity of the FRA trade.
DiscountingFraProductPricer	getProductPricer() Gets the underlying product pricer.
double	parRate(ResolvedFraTrade trade, RatesProvider provider) Calculates the par rate of the FRA trade.
PointSensitivities	parRateSensitivity(ResolvedFraTrade trade, RatesProvider provider) Calculates the par rate curve sensitivity of the FRA trade.
double	parSpread(ResolvedFraTrade trade, RatesProvider provider) Calculates the par spread of the FRA trade.
PointSensitivities	parSpreadSensitivity(ResolvedFraTrade trade, RatesProvider provider) Calculates the par spread curve sensitivity of the FRA trade.
CurrencyAmount	presentValue(ResolvedFraTrade trade, RatesProvider provider) Calculates the present value of the FRA trade.
PointSensitivities	presentValueSensitivity(ResolvedFraTrade trade, RatesProvider provider) Calculates the present value sensitivity of the FRA trade.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final DiscountingFraTradePricer DEFAULT

Default implementation.

Constructor Detail

DiscountingFraTradePricer

public DiscountingFraTradePricer(DiscountingFraProductPricer productPricer)

Creates an instance.

Parameters:

productPricer - the pricer for ResolvedFra

Method Detail

getProductPricer

public DiscountingFraProductPricer getProductPricer()

Gets the underlying product pricer.

Returns:

the product pricer

presentValue

public CurrencyAmount presentValue(ResolvedFraTrade trade,
                                   RatesProvider provider)

Calculates the present value of the FRA trade.

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

Parameters:

trade - the trade

provider - the rates provider

Returns:

the present value of the trade

explainPresentValue

public ExplainMap explainPresentValue(ResolvedFraTrade trade,
                                      RatesProvider provider)

Explains the present value of the FRA product.

This returns explanatory information about the calculation.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the explanatory information

presentValueSensitivity

public PointSensitivities presentValueSensitivity(ResolvedFraTrade trade,
                                                  RatesProvider provider)

Calculates the present value sensitivity of the FRA trade.

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

Parameters:

trade - the trade

provider - the rates provider

Returns:

the point sensitivity of the present value

forecastValue

public CurrencyAmount forecastValue(ResolvedFraTrade trade,
                                    RatesProvider provider)

Calculates the forecast value of the FRA trade.

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

Parameters:

trade - the trade

provider - the rates provider

Returns:

the forecast value of the trade

forecastValueSensitivity

public PointSensitivities forecastValueSensitivity(ResolvedFraTrade trade,
                                                   RatesProvider provider)

Calculates the forecast value sensitivity of the FRA trade.

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

Parameters:

trade - the trade

provider - the rates provider

Returns:

the point sensitivity of the forecast value

parRate

public double parRate(ResolvedFraTrade trade,
                      RatesProvider provider)

Calculates the par rate of the FRA trade.

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

Parameters:

trade - the trade

provider - the rates provider

Returns:

the par rate

parRateSensitivity

public PointSensitivities parRateSensitivity(ResolvedFraTrade trade,
                                             RatesProvider provider)

Calculates the par rate curve sensitivity of the FRA trade.

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

Parameters:

trade - the trade

provider - the rates provider

Returns:

the par rate sensitivity

parSpread

public double parSpread(ResolvedFraTrade trade,
                        RatesProvider provider)

Calculates the par spread of the FRA trade.

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

Parameters:

trade - the trade

provider - the rates provider

Returns:

the par spread

parSpreadSensitivity

public PointSensitivities parSpreadSensitivity(ResolvedFraTrade trade,
                                               RatesProvider provider)

Calculates the par spread curve sensitivity of the FRA trade.

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

Parameters:

trade - the trade

provider - the rates provider

Returns:

the par spread sensitivity

cashFlows

public CashFlows cashFlows(ResolvedFraTrade trade,
                           RatesProvider provider)

Calculates the future cash flow of the FRA trade.

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

Parameters:

trade - the trade

provider - the rates provider

Returns:

the cash flows

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedFraTrade trade,
                                            RatesProvider provider)

Calculates the currency exposure of the FRA trade.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the currency exposure

currentCash

public CurrencyAmount currentCash(ResolvedFraTrade trade,
                                  RatesProvider provider)

Calculates the current cash of the FRA trade.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the current cash