com.opengamma.strata.pricer.swap

Class DiscountingSwapLegPricer

java.lang.Object

com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer

public class DiscountingSwapLegPricer
extends Object

Pricer for for rate swap legs.

This function provides the ability to price a ResolvedSwapLeg. The product is priced by pricing each period and event.

Field Summary

Fields

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

Constructor Summary

Constructors

Constructor and Description
DiscountingSwapLegPricer(SwapPaymentPeriodPricer<SwapPaymentPeriod> paymentPeriodPricer, SwapPaymentEventPricer<SwapPaymentEvent> paymentEventPricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
CurrencyAmount	accruedInterest(ResolvedSwapLeg leg, RatesProvider provider) Calculates the accrued interest since the last payment.
double	annuityCash(int nbPaymentsPerYear, int nbPeriods, double yield) Computes the conventional cash annuity for a given yield.
double	annuityCash(ResolvedSwapLeg fixedLeg, double yield) Computes the conventional cash annuity from a swap leg.
ValueDerivatives	annuityCash1(int nbPaymentsPerYear, int nbPeriods, double yield) Computes the conventional cash annuity for a given yield and its first derivative with respect to the yield.
ValueDerivatives	annuityCash2(int nbPaymentsPerYear, int nbPeriods, double yield) Computes the conventional cash annuity for a given yield and its first two derivatives with respect to the yield.
ValueDerivatives	annuityCash3(int nbPaymentsPerYear, int nbPeriods, double yield) Computes the conventional cash annuity for a given yield and its first three derivatives with respect to the yield.
ValueDerivatives	annuityCashDerivative(ResolvedSwapLeg fixedLeg, double yield) Computes the derivative of the conventional cash annuity with respect to the yield from a swap leg.
CashFlows	cashFlows(ResolvedSwapLeg leg, RatesProvider provider) Calculates the future cash flows of the swap leg.
double	couponEquivalent(ResolvedSwapLeg leg, RatesProvider provider, double pvbp) Calculates the coupon equivalent of a swap leg.
MultiCurrencyAmount	currencyExposure(ResolvedSwapLeg leg, RatesProvider provider) Calculates the currency exposure of the swap leg.
CurrencyAmount	currentCash(ResolvedSwapLeg leg, RatesProvider provider) Calculates the current cash of the swap leg.
ExplainMap	explainPresentValue(ResolvedSwapLeg leg, RatesProvider provider) Explain present value for a swap leg.
CurrencyAmount	forecastValue(ResolvedSwapLeg leg, RatesProvider provider) Calculates the forecast value of the swap leg.
PointSensitivityBuilder	forecastValueSensitivity(ResolvedSwapLeg leg, RatesProvider provider) Calculates the forecast value sensitivity of the swap leg.
SwapPaymentEventPricer<SwapPaymentEvent>	getEventPricer() Gets the underlying leg pricer.
SwapPaymentPeriodPricer<SwapPaymentPeriod>	getPeriodPricer() Gets the underlying leg pricer.
CurrencyAmount	presentValue(ResolvedSwapLeg leg, Currency currency, RatesProvider provider) Calculates the present value of the swap leg, converted to the specified currency.
CurrencyAmount	presentValue(ResolvedSwapLeg leg, RatesProvider provider) Calculates the present value of the swap leg.
PointSensitivityBuilder	presentValueSensitivity(ResolvedSwapLeg leg, RatesProvider provider) Calculates the present value sensitivity of the swap leg.
double	pvbp(ResolvedSwapLeg leg, RatesProvider provider) Computes the Present Value of a Basis Point for a swap leg.
PointSensitivityBuilder	pvbpSensitivity(ResolvedSwapLeg fixedLeg, RatesProvider provider) Calculates the Present Value of a Basis Point curve sensitivity for a fixed swap leg.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final DiscountingSwapLegPricer DEFAULT

Default implementation.

Constructor Detail

DiscountingSwapLegPricer

public DiscountingSwapLegPricer(SwapPaymentPeriodPricer<SwapPaymentPeriod> paymentPeriodPricer,
                                SwapPaymentEventPricer<SwapPaymentEvent> paymentEventPricer)

Creates an instance.

Parameters:

paymentPeriodPricer - the pricer for SwapPaymentPeriod

paymentEventPricer - the pricer for SwapPaymentEvent

Method Detail

getPeriodPricer

public SwapPaymentPeriodPricer<SwapPaymentPeriod> getPeriodPricer()

Gets the underlying leg pricer.

Returns:

the leg pricer

getEventPricer

public SwapPaymentEventPricer<SwapPaymentEvent> getEventPricer()

Gets the underlying leg pricer.

Returns:

the leg pricer

presentValue

public CurrencyAmount presentValue(ResolvedSwapLeg leg,
                                   Currency currency,
                                   RatesProvider provider)

Calculates the present value of the swap leg, converted to the specified currency.

The present value of the leg is the value on the valuation date. This is the discounted forecast value. The result is converted to the specified currency.

Parameters:

leg - the leg

currency - the currency to convert to

provider - the rates provider

Returns:

the present value of the swap leg in the specified currency

presentValue

public CurrencyAmount presentValue(ResolvedSwapLeg leg,
                                   RatesProvider provider)

Calculates the present value of the swap leg.

The present value of the leg is the value on the valuation date. This is the discounted forecast value. The result is returned using the payment currency of the leg.

Parameters:

leg - the leg

provider - the rates provider

Returns:

the present value of the swap leg

forecastValue

public CurrencyAmount forecastValue(ResolvedSwapLeg leg,
                                    RatesProvider provider)

Calculates the forecast value of the swap leg.

The forecast value of the leg is the value on the valuation date without present value discounting. The result is returned using the payment currency of the leg.

Parameters:

leg - the leg

provider - the rates provider

Returns:

the forecast value of the swap leg

accruedInterest

public CurrencyAmount accruedInterest(ResolvedSwapLeg leg,
                                      RatesProvider provider)

Calculates the accrued interest since the last payment.

This determines the payment period applicable at the valuation date and calculates the accrued interest since the last payment. The result is returned using the payment currency of the leg.

Parameters:

leg - the leg

provider - the rates provider

Returns:

the accrued interest of the swap leg

pvbp

public double pvbp(ResolvedSwapLeg leg,
                   RatesProvider provider)

Computes the Present Value of a Basis Point for a swap leg.

The Present Value of a Basis Point is the value of the leg when the rate is equal to 1. A better name would be "Present Value of 1". The quantity is also known as "physical annuity" or "level".

Each period must not have FX reset or compounding. They must not be of type KnownAmountSwapPaymentPeriod.

Parameters:

leg - the swap leg

provider - the rates provider

Returns:

the Present Value of a Basis Point

couponEquivalent

public double couponEquivalent(ResolvedSwapLeg leg,
                               RatesProvider provider,
                               double pvbp)

Calculates the coupon equivalent of a swap leg.

The coupon equivalent is the common fixed coupon for all the periods which would result in the same present value of the leg.

This is used in particular for swaption pricing with a model on the swap rate.

Parameters:

leg - the swap leg

provider - the rates provider

pvbp - the present value of a basis point

Returns:

the fixed coupon equivalent

presentValueSensitivity

public PointSensitivityBuilder presentValueSensitivity(ResolvedSwapLeg leg,
                                                       RatesProvider provider)

Calculates the present value sensitivity of the swap leg.

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

Parameters:

leg - the leg

provider - the rates provider

Returns:

the present value curve sensitivity of the swap leg

forecastValueSensitivity

public PointSensitivityBuilder forecastValueSensitivity(ResolvedSwapLeg leg,
                                                        RatesProvider provider)

Calculates the forecast value sensitivity of the swap leg.

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

Parameters:

leg - the leg

provider - the rates provider

Returns:

the forecast value curve sensitivity of the swap leg

pvbpSensitivity

public PointSensitivityBuilder pvbpSensitivity(ResolvedSwapLeg fixedLeg,
                                               RatesProvider provider)

Calculates the Present Value of a Basis Point curve sensitivity for a fixed swap leg.

The Present Value of a Basis Point is the value of the leg when the rate is equal to 1. A better name would be "Present Value of 1". The quantity is also known as "physical annuity" or "level".

Each period must not have FX reset or compounding. They must not be of type KnownAmountSwapPaymentPeriod.

Parameters:

fixedLeg - the swap fixed leg

provider - the rates provider

Returns:

the Present Value of a Basis Point sensitivity to the curves

annuityCash

public double annuityCash(ResolvedSwapLeg fixedLeg,
                          double yield)

Computes the conventional cash annuity from a swap leg.

The computation is relevant only for standard swaps with constant notional and regular payments. The swap leg must be a fixed leg. However, this is not checked internally.

Parameters:

fixedLeg - the fixed leg of the swap

yield - the yield

Returns:

the cash annuity

annuityCash

public double annuityCash(int nbPaymentsPerYear,
                          int nbPeriods,
                          double yield)

Computes the conventional cash annuity for a given yield.

Parameters:

nbPaymentsPerYear - the number of payment per year

nbPeriods - the total number of periods

yield - the yield

Returns:

the cash annuity

annuityCash1

public ValueDerivatives annuityCash1(int nbPaymentsPerYear,
                                     int nbPeriods,
                                     double yield)

Computes the conventional cash annuity for a given yield and its first derivative with respect to the yield.

Parameters:

nbPaymentsPerYear - the number of payment per year

nbPeriods - the total number of periods

yield - the yield

Returns:

the cash annuity and its first derivative

annuityCash2

public ValueDerivatives annuityCash2(int nbPaymentsPerYear,
                                     int nbPeriods,
                                     double yield)

Computes the conventional cash annuity for a given yield and its first two derivatives with respect to the yield.

Parameters:

nbPaymentsPerYear - the number of payment per year

nbPeriods - the total number of periods

yield - the yield

Returns:

the cash annuity and its first two derivatives

annuityCash3

public ValueDerivatives annuityCash3(int nbPaymentsPerYear,
                                     int nbPeriods,
                                     double yield)

Computes the conventional cash annuity for a given yield and its first three derivatives with respect to the yield.

Parameters:

nbPaymentsPerYear - the number of payment per year

nbPeriods - the total number of periods

yield - the yield

Returns:

the cash annuity and its first three derivatives

annuityCashDerivative

public ValueDerivatives annuityCashDerivative(ResolvedSwapLeg fixedLeg,
                                              double yield)

Computes the derivative of the conventional cash annuity with respect to the yield from a swap leg.

The computation is relevant only for standard swaps with constant notional and regular payments. The swap leg must be a fixed leg. However, this is not checked internally.

Parameters:

fixedLeg - the fixed leg of the swap

yield - the yield

Returns:

the cash annuity

cashFlows

public CashFlows cashFlows(ResolvedSwapLeg leg,
                           RatesProvider provider)

Calculates the future cash flows of the swap leg.

Each expected cash flow is added to the result. This is based on forecastValue(ResolvedSwapLeg, RatesProvider).

Parameters:

leg - the swap leg for which the cash flows should be computed

provider - the rates provider

Returns:

the cash flows

explainPresentValue

public ExplainMap explainPresentValue(ResolvedSwapLeg leg,
                                      RatesProvider provider)

Explain present value for a swap leg.

Parameters:

leg - the swap log

provider - the rates provider

Returns:

the explain PV map

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedSwapLeg leg,
                                            RatesProvider provider)

Calculates the currency exposure of the swap leg.

Parameters:

leg - the leg

provider - the rates provider

Returns:

the currency exposure of the swap leg

currentCash

public CurrencyAmount currentCash(ResolvedSwapLeg leg,
                                  RatesProvider provider)

Calculates the current cash of the swap leg.

Parameters:

leg - the leg

provider - the rates provider

Returns:

the current cash of the swap leg