com.opengamma.strata.pricer.index

Class DiscountingIborFutureTradePricer

java.lang.Object

com.opengamma.strata.pricer.index.DiscountingIborFutureTradePricer

public class DiscountingIborFutureTradePricer
extends Object

Pricer implementation for Ibor future trades.

This function provides the ability to price a ResolvedIborFutureTrade.

Price

The price of an Ibor future is based on the interest rate of the underlying index. It is defined as (100 - percentRate).

Strata uses decimal prices for Ibor futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.

Field Summary

Fields

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

Constructor Summary

Constructors

Constructor and Description
DiscountingIborFutureTradePricer(DiscountingIborFutureProductPricer productPricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
double	forwardRate(ResolvedIborFutureTrade trade, RatesProvider ratesProvider) Returns the forward rate.
double	parSpread(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, double lastSettlementPrice) Calculates the par spread of the Ibor future trade.
PointSensitivities	parSpreadSensitivity(ResolvedIborFutureTrade trade, RatesProvider ratesProvider) Calculates the par spread sensitivity of the Ibor future trade.
CurrencyAmount	presentValue(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, double lastSettlementPrice) Calculates the present value of the Ibor future trade.
PointSensitivities	presentValueSensitivity(ResolvedIborFutureTrade trade, RatesProvider ratesProvider) Calculates the present value sensitivity of the Ibor future trade.
double	price(ResolvedIborFutureTrade trade, RatesProvider ratesProvider) Calculates the price of the Ibor future trade.
PointSensitivities	priceSensitivity(ResolvedIborFutureTrade trade, RatesProvider ratesProvider) Calculates the price sensitivity of the Ibor future 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 DiscountingIborFutureTradePricer DEFAULT

Default implementation.

Constructor Detail

DiscountingIborFutureTradePricer

public DiscountingIborFutureTradePricer(DiscountingIborFutureProductPricer productPricer)

Creates an instance.

Parameters:

productPricer - the pricer for ResolvedIborFuture

Method Detail

price

public double price(ResolvedIborFutureTrade trade,
                    RatesProvider ratesProvider)

Calculates the price of the Ibor future trade.

The price of the trade is the price on the valuation date. The price is calculated using the discounting model.

Parameters:

trade - the trade

ratesProvider - the rates provider

Returns:

the price of the trade, in decimal form

priceSensitivity

public PointSensitivities priceSensitivity(ResolvedIborFutureTrade trade,
                                           RatesProvider ratesProvider)

Calculates the price sensitivity of the Ibor future product.

The price sensitivity of the product is the sensitivity of the price to the underlying curves.

Parameters:

trade - the trade

ratesProvider - the rates provider

Returns:

the price curve sensitivity of the product

presentValue

public CurrencyAmount presentValue(ResolvedIborFutureTrade trade,
                                   RatesProvider ratesProvider,
                                   double lastSettlementPrice)

Calculates the present value of the Ibor future trade.

The present value of the product is the value on the valuation date. The current price is calculated using the discounting model.

This method calculates based on the difference between the model price and the last settlement price, or the trade price if traded on the valuation date.

Parameters:

trade - the trade

ratesProvider - the rates provider

lastSettlementPrice - the last settlement price used for margining, in decimal form

Returns:

the present value

presentValueSensitivity

public PointSensitivities presentValueSensitivity(ResolvedIborFutureTrade trade,
                                                  RatesProvider ratesProvider)

Calculates the present value sensitivity of the Ibor future trade.

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

Parameters:

trade - the trade

ratesProvider - the rates provider

Returns:

the present value curve sensitivity of the trade

parSpread

public double parSpread(ResolvedIborFutureTrade trade,
                        RatesProvider ratesProvider,
                        double lastSettlementPrice)

Calculates the par spread of the Ibor future trade.

The par spread is defined in the following way. When the reference price (or market quote) is increased by the par spread, the present value of the trade is zero. The current price is calculated using the discounting model.

This method calculates based on the difference between the model price and the last settlement price, or the trade price if traded on the valuation date.

Parameters:

trade - the trade

ratesProvider - the rates provider

lastSettlementPrice - the last settlement price used for margining, in decimal form

Returns:

the par spread.

parSpreadSensitivity

public PointSensitivities parSpreadSensitivity(ResolvedIborFutureTrade trade,
                                               RatesProvider ratesProvider)

Calculates the par spread sensitivity of the Ibor future trade.

The par spread sensitivity of the trade is the sensitivity of the par spread to the underlying curves.

Parameters:

trade - the trade

ratesProvider - the rates provider

Returns:

the par spread curve sensitivity of the trade

forwardRate

public double forwardRate(ResolvedIborFutureTrade trade,
                          RatesProvider ratesProvider)

Returns the forward rate.

Parameters:

trade - the ibor future trade

ratesProvider - the rates provider

Returns:

the forward rate