com.opengamma.strata.pricer.swap

Interface SwapPaymentPeriodPricer<T extends SwapPaymentPeriod>

Type Parameters:

T - the type of period

All Known Implementing Classes:

DiscountingKnownAmountPaymentPeriodPricer, DiscountingRatePaymentPeriodPricer, DispatchingSwapPaymentPeriodPricer

public interface SwapPaymentPeriodPricer<T extends SwapPaymentPeriod>

Pricer for payment periods.

This function provides the ability to price a SwapPaymentPeriod.

Implementations must be immutable and thread-safe functions.

Method Summary

Modifier and Type	Method and Description
double	accruedInterest(T period, RatesProvider provider) Calculates the accrued interest since the last payment.
MultiCurrencyAmount	currencyExposure(T period, RatesProvider provider) Calculates the currency exposure of a single payment period.
double	currentCash(T period, RatesProvider provider) Calculates the current cash of a single payment period.
void	explainPresentValue(T period, RatesProvider provider, ExplainMapBuilder builder) Explains the present value of a single payment period.
double	forecastValue(T period, RatesProvider provider) Calculates the forecast value of a single payment period.
PointSensitivityBuilder	forecastValueSensitivity(T period, RatesProvider provider) Calculates the forecast value sensitivity of a single payment period.
double	presentValue(T period, RatesProvider provider) Calculates the present value of a single payment period.
PointSensitivityBuilder	presentValueSensitivity(T period, RatesProvider provider) Calculates the present value sensitivity of a single payment period.
double	pvbp(T period, RatesProvider provider) Calculates the present value of a basis point of a period.
PointSensitivityBuilder	pvbpSensitivity(T period, RatesProvider provider) Calculates the present value of a basis point sensitivity of a single payment period.
static SwapPaymentPeriodPricer<SwapPaymentPeriod>	standard() Returns the standard instance of the function.

Method Detail

standard

static SwapPaymentPeriodPricer<SwapPaymentPeriod> standard()

Returns the standard instance of the function.

Use this method to avoid a direct dependency on the implementation.

Returns:

the payment period pricer

presentValue

double presentValue(T period,
                    RatesProvider provider)

Calculates the present value of a single payment period.

The amount is expressed in the currency of the period. This returns the value of the period with discounting.

The payment date of the period should not be in the past. The result of this method for payment dates in the past is undefined.

Parameters:

period - the period

provider - the rates provider

Returns:

the present value of the period

presentValueSensitivity

PointSensitivityBuilder presentValueSensitivity(T period,
                                                RatesProvider provider)

Calculates the present value sensitivity of a single payment period.

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

Parameters:

period - the period

provider - the rates provider

Returns:

the present value curve sensitivity of the period

forecastValue

double forecastValue(T period,
                     RatesProvider provider)

Calculates the forecast value of a single payment period.

The amount is expressed in the currency of the period. This returns the value of the period without discounting.

The payment date of the period should not be in the past. The result of this method for payment dates in the past is undefined.

Parameters:

period - the period

provider - the rates provider

Returns:

the forecast value of the period

forecastValueSensitivity

PointSensitivityBuilder forecastValueSensitivity(T period,
                                                 RatesProvider provider)

Calculates the forecast value sensitivity of a single payment period.

The forecast value sensitivity of the period is the sensitivity of the forecast value to the underlying curves.

Parameters:

period - the period

provider - the rates provider

Returns:

the forecast value curve sensitivity of the period

pvbp

double pvbp(T period,
            RatesProvider provider)

Calculates the present value of a basis point of a period.

This calculate the amount by which, to the first order, the period present value changes for a change of the rate defining the payment period. For known amount payments for which there is rate, the value is 0. In absence of compounding on the period, this measure is equivalent to the traditional PVBP.

Parameters:

period - the period

provider - the rates provider

Returns:

the present value of a basis point

pvbpSensitivity

PointSensitivityBuilder pvbpSensitivity(T period,
                                        RatesProvider provider)

Calculates the present value of a basis point sensitivity of a single payment period.

This calculate the sensitivity of the present value of a basis point (pvbp) quantity to the underlying curves.

Parameters:

period - the period

provider - the rates provider

Returns:

the present value of a basis point sensitivity

accruedInterest

double accruedInterest(T period,
                       RatesProvider provider)

Calculates the accrued interest since the last payment.

This calculates the interest that has accrued between the start of the period and the valuation date. Discounting is not applied. The amount is expressed in the currency of the period. It is intended that this method is called only with the period where the valuation date is after the start date and before or equal to the end date.

Parameters:

period - the period

provider - the rates provider

Returns:

the accrued interest of the period

explainPresentValue

void explainPresentValue(T period,
                         RatesProvider provider,
                         ExplainMapBuilder builder)

Explains the present value of a single payment period.

This adds information to the ExplainMapBuilder to aid understanding of the calculation.

Parameters:

period - the period

provider - the rates provider

builder - the builder to populate

currencyExposure

MultiCurrencyAmount currencyExposure(T period,
                                     RatesProvider provider)

Calculates the currency exposure of a single payment period.

Parameters:

period - the period

provider - the rates provider

Returns:

the currency exposure

currentCash

double currentCash(T period,
                   RatesProvider provider)

Calculates the current cash of a single payment period.

Parameters:

period - the period

provider - the rates provider

Returns:

the current cash