com.opengamma.strata.pricer.index

Class HullWhiteIborFutureTradePricer

java.lang.Object

com.opengamma.strata.pricer.index.HullWhiteIborFutureTradePricer

public class HullWhiteIborFutureTradePricer
extends Object

Pricer for for Ibor future trades.

This function provides the ability to price a IborFutureTrade 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 HullWhiteIborFutureTradePricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
HullWhiteIborFutureTradePricer(HullWhiteIborFutureProductPricer productPricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
MultiCurrencyAmount	currencyExposure(ResolvedIborFutureTrade trade, RatesProvider provider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider, double lastSettlementPrice) Calculates the currency exposure of the Ibor future trade.
double	parSpread(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider, double lastSettlementPrice) Calculates the par spread of the Ibor future trade.
PointSensitivities	parSpreadSensitivityRates(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider) Calculates the par spread sensitivity of the Ibor future trade.
CurrencyAmount	presentValue(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider, double lastSettlementPrice) Calculates the present value of the Ibor future trade.
DoubleArray	presentValueSensitivityModelParamsHullWhite(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider) Calculates the present value sensitivity to piecewise constant volatility parameters of the Hull-White model.
PointSensitivities	presentValueSensitivityRates(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider) Calculates the present value sensitivity of the Ibor future trade.
double	price(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider) Calculates the price of the Ibor future trade.
PointSensitivities	priceSensitivityRates(ResolvedIborFutureTrade trade, 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 HullWhiteIborFutureTradePricer DEFAULT

Default implementation.

Constructor Detail

HullWhiteIborFutureTradePricer

public HullWhiteIborFutureTradePricer(HullWhiteIborFutureProductPricer productPricer)

Creates an instance.

Parameters:

productPricer - the pricer for IborFuture

Method Detail

price

public double price(ResolvedIborFutureTrade trade,
                    RatesProvider ratesProvider,
                    HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)

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 Hull-White model.

Parameters:

trade - the trade

ratesProvider - the rates provider

hwProvider - the Hull-White model parameter provider

Returns:

the price of the trade, in decimal form

priceSensitivityRates

public PointSensitivities priceSensitivityRates(ResolvedIborFutureTrade trade,
                                                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:

trade - the trade

ratesProvider - the rates provider

hwProvider - the Hull-White model parameter provider

Returns:

the price curve sensitivity of the product

presentValue

public CurrencyAmount presentValue(ResolvedIborFutureTrade trade,
                                   RatesProvider ratesProvider,
                                   HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider,
                                   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 Hull-White 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

hwProvider - the Hull-White model parameter provider

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

Returns:

the present value

presentValueSensitivityRates

public PointSensitivities presentValueSensitivityRates(ResolvedIborFutureTrade trade,
                                                       RatesProvider ratesProvider,
                                                       HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)

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

hwProvider - the Hull-White model parameter provider

Returns:

the present value curve sensitivity of the trade

presentValueSensitivityModelParamsHullWhite

public DoubleArray presentValueSensitivityModelParamsHullWhite(ResolvedIborFutureTrade trade,
                                                               RatesProvider ratesProvider,
                                                               HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)

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

Parameters:

trade - the trade to price

ratesProvider - the rates provider

hwProvider - the Hull-White model parameter provider

Returns:

the present value parameter sensitivity of the trade

parSpread

public double parSpread(ResolvedIborFutureTrade trade,
                        RatesProvider ratesProvider,
                        HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider,
                        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 Hull-White 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

hwProvider - the Hull-White model parameter provider

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

Returns:

the par spread.

parSpreadSensitivityRates

public PointSensitivities parSpreadSensitivityRates(ResolvedIborFutureTrade trade,
                                                    RatesProvider ratesProvider,
                                                    HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)

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

hwProvider - the Hull-White model parameter provider

Returns:

the par spread curve sensitivity of the trade

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedIborFutureTrade trade,
                                            RatesProvider provider,
                                            HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider,
                                            double lastSettlementPrice)

Calculates the currency exposure of the Ibor future trade.

Since the Ibor future is based on a single currency, the trade is exposed to only this currency.

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

provider - the rates provider

hwProvider - the Hull-White model parameter provider

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

Returns:

the currency exposure of the trade