public final class DiscountingDsfProductPricer extends Object
This function provides the ability to price a ResolvedDsf
.
(100 + percentPv)
, or 0.182% in this example.
Strata uses decimal prices for DSFs in the trade model, pricers and market data. The decimal price is based on the decimal multiplier equivalent to the implied percentage. Thus the market price of 100.182 is represented in Strata by 1.00182.
Modifier and Type | Field and Description |
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static DiscountingDsfProductPricer |
DEFAULT
Default implementation.
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Constructor and Description |
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DiscountingDsfProductPricer(DiscountingSwapProductPricer swapPricer)
Creates an instance.
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Modifier and Type | Method and Description |
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double |
price(ResolvedDsf future,
RatesProvider ratesProvider)
Calculates the price of the deliverable swap futures product.
|
PointSensitivities |
priceSensitivity(ResolvedDsf future,
RatesProvider ratesProvider)
Calculates the price sensitivity of the deliverable swap futures product.
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public static final DiscountingDsfProductPricer DEFAULT
public DiscountingDsfProductPricer(DiscountingSwapProductPricer swapPricer)
swapPricer
- the pricer for ResolvedSwap
.public double price(ResolvedDsf future, RatesProvider ratesProvider)
The price of the product is the price on the valuation date.
future
- the futureratesProvider
- the rates providerpublic PointSensitivities priceSensitivity(ResolvedDsf future, RatesProvider ratesProvider)
The price sensitivity of the product is the sensitivity of the price to the underlying curves.
future
- the futureratesProvider
- the rates providerCopyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.