com.opengamma.strata.pricer.impl.cms

Class DiscountingCmsPeriodPricer

java.lang.Object

com.opengamma.strata.pricer.impl.cms.DiscountingCmsPeriodPricer

public class DiscountingCmsPeriodPricer
extends Object

Computes the price of a CMS coupon by simple forward estimation.

This is an overly simplistic approach to CMS coupon pricer. It is provided only for testing and comparison purposes. It is not recommended to use this for valuation or risk management purposes.

Field Summary

Fields

Modifier and Type	Field and Description
static DiscountingCmsPeriodPricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
DiscountingCmsPeriodPricer(DiscountingSwapProductPricer swapPricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
double	forwardRate(CmsPeriod cmsPeriod, RatesProvider provider) Computes the forward rate associated to the swap underlying the CMS period.
CurrencyAmount	presentValue(CmsPeriod cmsPeriod, RatesProvider provider) Computes the present value of CMS coupon by simple forward rate estimation.
PointSensitivityBuilder	presentValueSensitivity(CmsPeriod cmsPeriod, RatesProvider provider) Computes the present value curve sensitivity by simple forward rate estimation.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final DiscountingCmsPeriodPricer DEFAULT

Default implementation.

Constructor Detail

DiscountingCmsPeriodPricer

public DiscountingCmsPeriodPricer(DiscountingSwapProductPricer swapPricer)

Creates an instance.

Parameters:

swapPricer - the pricer for ResolvedSwap

Method Detail

presentValue

public CurrencyAmount presentValue(CmsPeriod cmsPeriod,
                                   RatesProvider provider)

Computes the present value of CMS coupon by simple forward rate estimation.

Parameters:

cmsPeriod - the CMS

provider - the rates provider

Returns:

the present value

forwardRate

public double forwardRate(CmsPeriod cmsPeriod,
                          RatesProvider provider)

Computes the forward rate associated to the swap underlying the CMS period.

Returns a value only if the period has not fixed yet. If the fixing date is on or before the valuation date, an IllegalArgumentException is thrown.

Parameters:

cmsPeriod - the CMS

provider - the rates provider

Returns:

the forward rate

presentValueSensitivity

public PointSensitivityBuilder presentValueSensitivity(CmsPeriod cmsPeriod,
                                                       RatesProvider provider)

Computes the present value curve sensitivity by simple forward rate estimation.

Parameters:

cmsPeriod - the CMS

provider - the rates provider

Returns:

the present value sensitivity