com.opengamma.strata.pricer.index

Class DiscountingOvernightFutureProductPricer

java.lang.Object

com.opengamma.strata.pricer.index.DiscountingOvernightFutureProductPricer

public class DiscountingOvernightFutureProductPricer
extends Object

Pricer for for Overnight rate future products.

This function provides the ability to price a ResolvedOvernightFuture.

Price

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

Strata uses decimal prices for Overnight rate 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 DiscountingOvernightFutureProductPricer	DEFAULT Default implementation.

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method and Description
double	forwardRate(ResolvedOvernightFuture future, RatesProvider ratesProvider) Returns the forward rate.
double	price(ResolvedOvernightFuture future, RatesProvider ratesProvider) Calculates the price of the Overnight rate future product.
PointSensitivities	priceSensitivity(ResolvedOvernightFuture future, RatesProvider ratesProvider) Calculates the price sensitivity of the Overnight rate 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 DiscountingOvernightFutureProductPricer DEFAULT

Default implementation.

Constructor Detail

DiscountingOvernightFutureProductPricer

public DiscountingOvernightFutureProductPricer(RateComputationFn<RateComputation> rateComputationFn)

Creates an instance.

Parameters:

rateComputationFn - the rate computation function

Method Detail

price

public double price(ResolvedOvernightFuture future,
                    RatesProvider ratesProvider)

Calculates the price of the Overnight rate future product.

The price of the product is the price on the valuation date.

Parameters:

future - the future

ratesProvider - the rates provider

Returns:

the price of the product, in decimal form

priceSensitivity

public PointSensitivities priceSensitivity(ResolvedOvernightFuture future,
                                           RatesProvider ratesProvider)

Calculates the price sensitivity of the Overnight rate future product.

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

Parameters:

future - the future

ratesProvider - the rates provider

Returns:

the price curve sensitivity of the product

forwardRate

public double forwardRate(ResolvedOvernightFuture future,
                          RatesProvider ratesProvider)

Returns the forward rate.

Parameters:

future - the overnight future

ratesProvider - the rates provider

Returns:

the forward rate