com.opengamma.strata.measure.bond

Class BondFutureTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<BondFuture> & Resolvable<ResolvedBondFutureTrade>>

java.lang.Object

com.opengamma.strata.measure.bond.BondFutureTradeCalculationFunction<T>

Type Parameters:

T - the trade or position type

All Implemented Interfaces:

CalculationFunction<T>

public class BondFutureTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<BondFuture> & Resolvable<ResolvedBondFutureTrade>>
extends Object
implements CalculationFunction<T>

Perform calculations on a single BondFutureTrade or BondFuturePosition for each of a set of scenarios.

This uses the standard discounting calculation method. An instance of RatesMarketDataLookup must be specified. The supported built-in measures are:

• Present value
• PV01 calibrated sum
• PV01 calibrated bucketed
• PV01 market quote sum
• PV01 market quote bucketed
• Unit price
• Par spread
• Currency exposure
• Resolved trade

Price

Strata uses decimal prices for bond futures in the trade model, pricers and market data. This is coherent with the pricing of FixedCouponBond. The bond futures delivery is a bond for an amount computed from the bond future price, a conversion factor and the accrued interest.

Field Summary

Fields

Modifier and Type	Field and Description
static BondFutureTradeCalculationFunction<BondFuturePosition>	POSITION The position instance
static BondFutureTradeCalculationFunction<BondFutureTrade>	TRADE The trade instance

Method Summary

Modifier and Type	Method and Description
Map<Measure,Result<?>>	calculate(T target, Set<Measure> measures, CalculationParameters parameters, ScenarioMarketData scenarioMarketData, ReferenceData refData)
Optional<String>	identifier(T target)
Currency	naturalCurrency(T target, ReferenceData refData)
FunctionRequirements	requirements(T target, Set<Measure> measures, CalculationParameters parameters, ReferenceData refData)
Set<Measure>	supportedMeasures()
Class<T>	targetType()

Methods inherited from class java.lang.Object

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

Field Detail

TRADE

public static final BondFutureTradeCalculationFunction<BondFutureTrade> TRADE

The trade instance

POSITION

public static final BondFutureTradeCalculationFunction<BondFuturePosition> POSITION

The position instance

Method Detail

targetType

public Class<T> targetType()

Specified by:

targetType in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<BondFuture> & Resolvable<ResolvedBondFutureTrade>>

supportedMeasures

public Set<Measure> supportedMeasures()

Specified by:

supportedMeasures in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<BondFuture> & Resolvable<ResolvedBondFutureTrade>>

identifier

public Optional<String> identifier(T target)

Specified by:

identifier in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<BondFuture> & Resolvable<ResolvedBondFutureTrade>>

naturalCurrency

public Currency naturalCurrency(T target,
                                ReferenceData refData)

Specified by:

naturalCurrency in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<BondFuture> & Resolvable<ResolvedBondFutureTrade>>

requirements

public FunctionRequirements requirements(T target,
                                         Set<Measure> measures,
                                         CalculationParameters parameters,
                                         ReferenceData refData)

Specified by:

requirements in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<BondFuture> & Resolvable<ResolvedBondFutureTrade>>

calculate

public Map<Measure,Result<?>> calculate(T target,
                                        Set<Measure> measures,
                                        CalculationParameters parameters,
                                        ScenarioMarketData scenarioMarketData,
                                        ReferenceData refData)

Specified by:

calculate in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<BondFuture> & Resolvable<ResolvedBondFutureTrade>>