com.opengamma.strata.pricer.impl.rate.swap

Class CashFlowEquivalentCalculator

java.lang.Object

com.opengamma.strata.pricer.impl.rate.swap.CashFlowEquivalentCalculator

public final class CashFlowEquivalentCalculator
extends Object

Computes cash flow equivalent of products.

Reference: Henrard, M. The Irony in the derivatives discounting Part II: the crisis. Wilmott Journal, 2010, 2, 301-316.

Method Summary

Modifier and Type	Method and Description
static ImmutableMap<Payment,PointSensitivityBuilder>	cashFlowEquivalentAndSensitivityFixedLeg(ResolvedSwapLeg fixedLeg, RatesProvider ratesProvider) Computes cash flow equivalent and sensitivity of fixed leg.
static ImmutableMap<Payment,PointSensitivityBuilder>	cashFlowEquivalentAndSensitivityIborLeg(ResolvedSwapLeg iborLeg, RatesProvider ratesProvider) Computes cash flow equivalent and sensitivity of Ibor leg.
static ImmutableMap<Payment,PointSensitivityBuilder>	cashFlowEquivalentAndSensitivityOnLeg(ResolvedSwapLeg onLeg, RatesProvider multicurve) Computes cash flow equivalent of and sensitivity overnight leg.
static ImmutableMap<Payment,PointSensitivityBuilder>	cashFlowEquivalentAndSensitivitySwap(ResolvedSwap swap, RatesProvider ratesProvider) Computes cash flow equivalent and sensitivity of swap.
static ResolvedSwapLeg	cashFlowEquivalentFixedLeg(ResolvedSwapLeg fixedLeg, RatesProvider ratesProvider) Computes cash flow equivalent of fixed leg.
static ResolvedSwapLeg	cashFlowEquivalentIborLeg(ResolvedSwapLeg iborLeg, RatesProvider ratesProvider) Computes cash flow equivalent of Ibor leg.
static ResolvedSwapLeg	cashFlowEquivalentOnLeg(ResolvedSwapLeg onLeg, RatesProvider multicurve) Computes cash flow equivalent of overnight leg.
static ResolvedSwapLeg	cashFlowEquivalentSwap(ResolvedSwap swap, RatesProvider ratesProvider) Computes cash flow equivalent of swap.
static List<Payment>	normalize(List<Payment> input) Generate a new payment list with the dates sorted and the amounts of elements with same payment date compressed.
static Map<Payment,PointSensitivityBuilder>	normalize(Map<Payment,PointSensitivityBuilder> input) Generate a new map with each payment date unique and the amounts and sensitivities of elements with same payment date compressed.
static List<Payment>	normalize(ResolvedSwapLeg input) Extract the payments from the NotionalExchange in the SwapLeg.

Methods inherited from class java.lang.Object

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

Method Detail

cashFlowEquivalentSwap

public static ResolvedSwapLeg cashFlowEquivalentSwap(ResolvedSwap swap,
                                                     RatesProvider ratesProvider)

Computes cash flow equivalent of swap.

The swap should be a fix-for-Ibor swap without compounding, and its swap legs should not involve PaymentEvent.

The return type is ResolvedSwapLeg in which individual payments are represented in terms of NotionalExchange.

Parameters:

swap - the swap product

ratesProvider - the rates provider

Returns:

the cash flow equivalent

cashFlowEquivalentIborLeg

public static ResolvedSwapLeg cashFlowEquivalentIborLeg(ResolvedSwapLeg iborLeg,
                                                        RatesProvider ratesProvider)

Computes cash flow equivalent of Ibor leg.

The return type is ResolvedSwapLeg in which individual payments are represented in terms of NotionalExchange.

Parameters:

iborLeg - the Ibor leg

ratesProvider - the rates provider

Returns:

the cash flow equivalent

cashFlowEquivalentFixedLeg

public static ResolvedSwapLeg cashFlowEquivalentFixedLeg(ResolvedSwapLeg fixedLeg,
                                                         RatesProvider ratesProvider)

Computes cash flow equivalent of fixed leg.

The return type is ResolvedSwapLeg in which individual payments are represented in terms of NotionalExchange.

Parameters:

fixedLeg - the fixed leg

ratesProvider - the rates provider

Returns:

the cash flow equivalent

cashFlowEquivalentOnLeg

public static ResolvedSwapLeg cashFlowEquivalentOnLeg(ResolvedSwapLeg onLeg,
                                                      RatesProvider multicurve)

Computes cash flow equivalent of overnight leg.

Each payment period should contain one accrual period of type OvernightCompoundedRateComputation. When the payment date is not equal to the end composition date, the start and end cashflow equivalent are adjusted by the ratio of discount factors between the payment date and the end date.

The return type is ResolvedSwapLeg in which individual payments are represented in terms of NotionalExchange.

Parameters:

onLeg - the overnight leg

multicurve - the multi-curve rates provider

Returns:

the cash flow equivalent

cashFlowEquivalentAndSensitivitySwap

public static ImmutableMap<Payment,PointSensitivityBuilder> cashFlowEquivalentAndSensitivitySwap(ResolvedSwap swap,
                                                                                                 RatesProvider ratesProvider)

Computes cash flow equivalent and sensitivity of swap.

The swap should be a fix-for-Ibor swap without compounding, and its swap legs should not involve PaymentEvent.

The return type is a map of NotionalExchange and PointSensitivityBuilder.

Parameters:

swap - the swap product

ratesProvider - the rates provider

Returns:

the cash flow equivalent and sensitivity

cashFlowEquivalentAndSensitivityIborLeg

public static ImmutableMap<Payment,PointSensitivityBuilder> cashFlowEquivalentAndSensitivityIborLeg(ResolvedSwapLeg iborLeg,
                                                                                                    RatesProvider ratesProvider)

Computes cash flow equivalent and sensitivity of Ibor leg.

The return type is a map of NotionalExchange and PointSensitivityBuilder.

Parameters:

iborLeg - the Ibor leg

ratesProvider - the rates provider

Returns:

the cash flow equivalent and sensitivity

cashFlowEquivalentAndSensitivityFixedLeg

public static ImmutableMap<Payment,PointSensitivityBuilder> cashFlowEquivalentAndSensitivityFixedLeg(ResolvedSwapLeg fixedLeg,
                                                                                                     RatesProvider ratesProvider)

Computes cash flow equivalent and sensitivity of fixed leg.

The return type is a map of NotionalExchange and PointSensitivityBuilder.

Parameters:

fixedLeg - the fixed leg

ratesProvider - the rates provider

Returns:

the cash flow equivalent and sensitivity

cashFlowEquivalentAndSensitivityOnLeg

public static ImmutableMap<Payment,PointSensitivityBuilder> cashFlowEquivalentAndSensitivityOnLeg(ResolvedSwapLeg onLeg,
                                                                                                  RatesProvider multicurve)

Computes cash flow equivalent of and sensitivity overnight leg.

Each payment period should contain one accrual period of type OvernightCompoundedRateComputation. When the payment date is not equal to the end composition date, the start and end cashflow equivalent are adjusted by the ratio of discount factors between the payment date and the end date.

The return type is a map of NotionalExchange and PointSensitivityBuilder.

Parameters:

onLeg - the overnight leg

multicurve - the multi-curve rates provider

Returns:

the cash flow equivalent

normalize

public static List<Payment> normalize(ResolvedSwapLeg input)

Extract the payments from the NotionalExchange in the SwapLeg. Generate a list with the dates sorted and the amounts of elements with same payment date compressed.

The original SwapLeg is unchanged.

Parameters:

input - the starting swap leg

Returns:

the normalized list

normalize

public static List<Payment> normalize(List<Payment> input)

Generate a new payment list with the dates sorted and the amounts of elements with same payment date compressed.

The original list is unchanged.

Parameters:

input - the starting list

Returns:

the normalized list

normalize

public static Map<Payment,PointSensitivityBuilder> normalize(Map<Payment,PointSensitivityBuilder> input)

Generate a new map with each payment date unique and the amounts and sensitivities of elements with same payment date compressed.

The original map is unchanged.

Parameters:

input - the starting map

Returns:

the normalized map