com.opengamma.strata.pricer.index

Class HullWhiteIborFutureProductPricer

java.lang.Object

com.opengamma.strata.pricer.index.HullWhiteIborFutureProductPricer

public class HullWhiteIborFutureProductPricer
extends Object

Pricer for for Ibor future products.

This function provides the ability to price a IborFuture based on Hull-White one-factor model with piecewise constant volatility.

Reference: Henrard M., Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model. March 2005. Available at http://ssrn.com/abstract=682343

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 HullWhiteIborFutureProductPricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
HullWhiteIborFutureProductPricer() Creates an instance.

Method Summary

Modifier and Type	Method and Description
double	convexityAdjustment(ResolvedIborFuture future, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider) Calculates the convexity adjustment (to the price) of the Ibor future product.
double	parRate(ResolvedIborFuture future, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider) Calculates the par rate of the Ibor future product.
double	price(ResolvedIborFuture future, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider) Calculates the price of the Ibor future product.
DoubleArray	priceSensitivityModelParamsHullWhite(ResolvedIborFuture future, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider) Calculates the price sensitivity to piecewise constant volatility parameters of the Hull-White model.
PointSensitivities	priceSensitivityRates(ResolvedIborFuture future, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider) 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 HullWhiteIborFutureProductPricer DEFAULT

Default implementation.

Constructor Detail

HullWhiteIborFutureProductPricer

public HullWhiteIborFutureProductPricer()

Creates an instance.

Method Detail

price

public double price(ResolvedIborFuture future,
                    RatesProvider ratesProvider,
                    HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)

Calculates the price of the Ibor future product.

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

Parameters:

future - the future

ratesProvider - the rates provider

hwProvider - the Hull-White model parameter provider

Returns:

the price of the product, in decimal form

convexityAdjustment

public double convexityAdjustment(ResolvedIborFuture future,
                                  RatesProvider ratesProvider,
                                  HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)

Calculates the convexity adjustment (to the price) of the Ibor future product.

The convexity adjustment of the product is the value on the valuation date.

Parameters:

future - the future

ratesProvider - the rates provider

hwProvider - the Hull-White model parameter provider

Returns:

the convexity adjustment, in decimal form

parRate

public double parRate(ResolvedIborFuture future,
                      RatesProvider ratesProvider,
                      HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)

Calculates the par rate of the Ibor future product.

The par rate is given by (1 - price). The par rate of the product is the value on the valuation date.

Parameters:

future - the future

ratesProvider - the rates provider

hwProvider - the Hull-White model parameter provider

Returns:

the par rate of the product, in decimal form

priceSensitivityRates

public PointSensitivities priceSensitivityRates(ResolvedIborFuture future,
                                                RatesProvider ratesProvider,
                                                HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)

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:

future - the future

ratesProvider - the rates provider

hwProvider - the Hull-White model parameter provider

Returns:

the price curve sensitivity of the product

priceSensitivityModelParamsHullWhite

public DoubleArray priceSensitivityModelParamsHullWhite(ResolvedIborFuture future,
                                                        RatesProvider ratesProvider,
                                                        HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)

Calculates the price sensitivity to piecewise constant volatility parameters of the Hull-White model.

Parameters:

future - the future

ratesProvider - the rates provider

hwProvider - the Hull-White model parameter provider

Returns:

the price parameter sensitivity of the product