com.opengamma.strata.pricer.index

Class DiscountingOvernightFutureTradePricer

java.lang.Object

com.opengamma.strata.pricer.index.DiscountingOvernightFutureTradePricer

public class DiscountingOvernightFutureTradePricer
extends Object

Pricer implementation for Overnight rate future trades.

This function provides the ability to price a ResolvedOvernightFutureTrade.

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 DiscountingOvernightFutureTradePricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
DiscountingOvernightFutureTradePricer(DiscountingOvernightFutureProductPricer productPricer) Creates an instance.

Method Summary

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

Default implementation.

Constructor Detail

DiscountingOvernightFutureTradePricer

public DiscountingOvernightFutureTradePricer(DiscountingOvernightFutureProductPricer productPricer)

Creates an instance.

Parameters:

productPricer - the pricer for ResolvedOvernightFuture

Method Detail

price

public double price(ResolvedOvernightFutureTrade trade,
                    RatesProvider ratesProvider)

Calculates the price of the Overnight rate 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(ResolvedOvernightFutureTrade trade,
                                           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:

trade - the trade

ratesProvider - the rates provider

Returns:

the price curve sensitivity of the product

presentValue

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

Calculates the present value of the Overnight rate 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(ResolvedOvernightFutureTrade trade,
                                                  RatesProvider ratesProvider)

Calculates the present value sensitivity of the Overnight rate 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(ResolvedOvernightFutureTrade trade,
                        RatesProvider ratesProvider,
                        double lastSettlementPrice)

Calculates the par spread of the Overnight rate 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(ResolvedOvernightFutureTrade trade,
                                               RatesProvider ratesProvider)

Calculates the par spread sensitivity of the Overnight rate 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(ResolvedOvernightFutureTrade trade,
                          RatesProvider ratesProvider)

Returns the forward rate.

Parameters:

trade - the overnight future trade

ratesProvider - the rates provider

Returns:

the forward rate