public class FixedCouponBondTradeCalculations extends Object
This provides a high-level entry point for fixed coupon bond pricing and risk measures.
Each method takes a ResolvedFixedCouponBondTrade, whereas application code will
typically work with FixedCouponBondTrade. Call
FixedCouponBondTrade::resolve(ReferenceData)
to convert FixedCouponBondTrade to ResolvedFixedCouponBondTrade.
| Modifier and Type | Field and Description |
|---|---|
static FixedCouponBondTradeCalculations |
DEFAULT
Default implementation.
|
| Constructor and Description |
|---|
FixedCouponBondTradeCalculations(DiscountingFixedCouponBondTradePricer tradePricer)
Creates an instance.
|
public static final FixedCouponBondTradeCalculations DEFAULT
public FixedCouponBondTradeCalculations(DiscountingFixedCouponBondTradePricer tradePricer)
In most cases, applications should use the DEFAULT instance.
tradePricer - the pricer for ResolvedFixedCouponBondTradepublic CurrencyScenarioArray presentValue(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
trade - the tradelookup - the lookup used to query the market datamarketData - the market datapublic CurrencyAmount presentValue(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider ratesProvider)
trade - the traderatesProvider - the market datapublic MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is the sum of the sensitivities of all affected curves.
trade - the tradelookup - the lookup used to query the market datamarketData - the market datapublic MultiCurrencyAmount pv01CalibratedSum(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider ratesProvider)
This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is the sum of the sensitivities of all affected curves.
trade - the traderatesProvider - the market datapublic ScenarioArray<CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is provided for each affected curve and currency, bucketed by curve node.
trade - the tradelookup - the lookup used to query the market datamarketData - the market datapublic CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider ratesProvider)
This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is provided for each affected curve and currency, bucketed by curve node.
trade - the traderatesProvider - the market datapublic MultiCurrencyScenarioArray pv01MarketQuoteSum(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is the sum of the sensitivities of all affected curves.
trade - the tradelookup - the lookup used to query the market datamarketData - the market datapublic MultiCurrencyAmount pv01MarketQuoteSum(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider ratesProvider)
This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is the sum of the sensitivities of all affected curves.
trade - the traderatesProvider - the market datapublic ScenarioArray<CurrencyParameterSensitivities> pv01MarketQuoteBucketed(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is provided for each affected curve and currency, bucketed by curve node.
trade - the tradelookup - the lookup used to query the market datamarketData - the market datapublic CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider ratesProvider)
This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is provided for each affected curve and currency, bucketed by curve node.
trade - the traderatesProvider - the market datapublic MultiCurrencyScenarioArray currencyExposure(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
The currency risk, expressed as the equivalent amount in each currency.
trade - the tradelookup - the lookup used to query the market datamarketData - the market datapublic MultiCurrencyAmount currencyExposure(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider ratesProvider)
The currency risk, expressed as the equivalent amount in each currency.
trade - the traderatesProvider - the market datapublic CurrencyScenarioArray currentCash(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
The sum of all cash flows paid on the valuation date.
trade - the tradelookup - the lookup used to query the market datamarketData - the market datapublic CurrencyAmount currentCash(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider ratesProvider)
The sum of all cash flows paid on the valuation date.
trade - the traderatesProvider - the market dataCopyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.