com.opengamma.strata.measure.index

Class IborFutureTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<IborFuture> & Resolvable<ResolvedIborFutureTrade>>

java.lang.Object

com.opengamma.strata.measure.index.IborFutureTradeCalculationFunction<T>

Type Parameters:

T - the trade or position type

All Implemented Interfaces:

CalculationFunction<T>

public class IborFutureTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<IborFuture> & Resolvable<ResolvedIborFutureTrade>>
extends Object
implements CalculationFunction<T>

Perform calculations on a single IborFutureTrade or IborFuturePosition 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
• Resolved trade

Price

The price of an Ibor future is based on the interest rate of the underlying index. It is defined as (100 - percentRate).

Strata uses decimal prices for Ibor futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.

Field Summary

Fields

Modifier and Type	Field and Description
static IborFutureTradeCalculationFunction<IborFuturePosition>	POSITION The position instance
static IborFutureTradeCalculationFunction<IborFutureTrade>	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 IborFutureTradeCalculationFunction<IborFutureTrade> TRADE

The trade instance

POSITION

public static final IborFutureTradeCalculationFunction<IborFuturePosition> POSITION

The position instance

Method Detail

targetType

public Class<T> targetType()

Specified by:

targetType in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<IborFuture> & Resolvable<ResolvedIborFutureTrade>>

supportedMeasures

public Set<Measure> supportedMeasures()

Specified by:

supportedMeasures in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<IborFuture> & Resolvable<ResolvedIborFutureTrade>>

identifier

public Optional<String> identifier(T target)

Specified by:

identifier in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<IborFuture> & Resolvable<ResolvedIborFutureTrade>>

naturalCurrency

public Currency naturalCurrency(T target,
                                ReferenceData refData)

Specified by:

naturalCurrency in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<IborFuture> & Resolvable<ResolvedIborFutureTrade>>

requirements

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

Specified by:

requirements in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<IborFuture> & Resolvable<ResolvedIborFutureTrade>>

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<IborFuture> & Resolvable<ResolvedIborFutureTrade>>