com.opengamma.strata.measure.index

Class OvernightFutureTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<OvernightFuture> & Resolvable<ResolvedOvernightFutureTrade>>

java.lang.Object

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

Type Parameters:

T - the trade or position type

All Implemented Interfaces:

CalculationFunction<T>

public class OvernightFutureTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<OvernightFuture> & Resolvable<ResolvedOvernightFutureTrade>>
extends Object
implements CalculationFunction<T>

Perform calculations on a single OvernightFutureTrade 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 Overnight rate future is based on the interest rate of the underlying index. It is defined as (100 - percentRate).

Strata uses decimal prices for Overnight rate 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 OvernightFutureTradeCalculationFunction<OvernightFuturePosition>	POSITION The position instance
static OvernightFutureTradeCalculationFunction<OvernightFutureTrade>	TRADE The trade instance

Constructor Summary

Constructors

Constructor and Description
OvernightFutureTradeCalculationFunction(Class<T> targetType) Creates an 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 OvernightFutureTradeCalculationFunction<OvernightFutureTrade> TRADE

The trade instance

POSITION

public static final OvernightFutureTradeCalculationFunction<OvernightFuturePosition> POSITION

The position instance

Constructor Detail

OvernightFutureTradeCalculationFunction

public OvernightFutureTradeCalculationFunction(Class<T> targetType)

Creates an instance.

Parameters:

targetType - the trade or position type

Method Detail

targetType

public Class<T> targetType()

Specified by:

targetType in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<OvernightFuture> & Resolvable<ResolvedOvernightFutureTrade>>

supportedMeasures

public Set<Measure> supportedMeasures()

Specified by:

supportedMeasures in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<OvernightFuture> & Resolvable<ResolvedOvernightFutureTrade>>

identifier

public Optional<String> identifier(T target)

Specified by:

identifier in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<OvernightFuture> & Resolvable<ResolvedOvernightFutureTrade>>

naturalCurrency

public Currency naturalCurrency(T target,
                                ReferenceData refData)

Specified by:

naturalCurrency in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<OvernightFuture> & Resolvable<ResolvedOvernightFutureTrade>>

requirements

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

Specified by:

requirements in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<OvernightFuture> & Resolvable<ResolvedOvernightFutureTrade>>

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<OvernightFuture> & Resolvable<ResolvedOvernightFutureTrade>>