public class DiscountingBulletPaymentTradePricer extends Object
This provides the ability to price ResolvedBulletPaymentTrade
.
The trade is priced by discounting the underlying payment.
Modifier and Type | Field and Description |
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static DiscountingBulletPaymentTradePricer |
DEFAULT
Default implementation.
|
Constructor and Description |
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DiscountingBulletPaymentTradePricer(DiscountingPaymentPricer paymentPricer)
Creates an instance.
|
Modifier and Type | Method and Description |
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CashFlows |
cashFlows(ResolvedBulletPaymentTrade trade,
BaseProvider provider)
Calculates the future cash flow of the bullet payment trade.
|
CurrencyAmount |
currencyExposure(ResolvedBulletPaymentTrade trade,
BaseProvider provider)
Calculates the currency exposure of the bullet payment trade.
|
CurrencyAmount |
currentCash(ResolvedBulletPaymentTrade trade,
BaseProvider provider)
Calculates the current cash of the bullet payment trade.
|
ExplainMap |
explainPresentValue(ResolvedBulletPaymentTrade trade,
BaseProvider provider)
Explains the present value of the bullet payment product.
|
DiscountingPaymentPricer |
getPaymentPricer()
Gets the underlying payment pricer.
|
CurrencyAmount |
presentValue(ResolvedBulletPaymentTrade trade,
BaseProvider provider)
Calculates the present value of the bullet payment trade.
|
PointSensitivities |
presentValueSensitivity(ResolvedBulletPaymentTrade trade,
BaseProvider provider)
Calculates the present value sensitivity of the bullet payment trade.
|
public static final DiscountingBulletPaymentTradePricer DEFAULT
public DiscountingBulletPaymentTradePricer(DiscountingPaymentPricer paymentPricer)
paymentPricer
- the pricer for Payment
public DiscountingPaymentPricer getPaymentPricer()
public CurrencyAmount presentValue(ResolvedBulletPaymentTrade trade, BaseProvider provider)
The present value of the trade is the value on the valuation date. This is the discounted forecast value.
trade
- the tradeprovider
- the providerpublic ExplainMap explainPresentValue(ResolvedBulletPaymentTrade trade, BaseProvider provider)
This returns explanatory information about the calculation.
trade
- the tradeprovider
- the providerpublic PointSensitivities presentValueSensitivity(ResolvedBulletPaymentTrade trade, BaseProvider provider)
The present value sensitivity of the trade is the sensitivity of the present value to the underlying curves.
trade
- the tradeprovider
- the providerpublic CashFlows cashFlows(ResolvedBulletPaymentTrade trade, BaseProvider provider)
There is only one cash flow on the payment date for the bullet payment trade.
trade
- the tradeprovider
- the providerpublic CurrencyAmount currencyExposure(ResolvedBulletPaymentTrade trade, BaseProvider provider)
trade
- the tradeprovider
- the providerpublic CurrencyAmount currentCash(ResolvedBulletPaymentTrade trade, BaseProvider provider)
trade
- the tradeprovider
- the providerCopyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.