com.opengamma.strata.measure.swap

Class SwapTradeCalculationFunction

java.lang.Object

com.opengamma.strata.measure.swap.SwapTradeCalculationFunction

All Implemented Interfaces:

CalculationFunction<SwapTrade>

public class SwapTradeCalculationFunction
extends Object
implements CalculationFunction<SwapTrade>

Perform calculations on a single SwapTrade 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
• Explain present value
• PV01 calibrated sum
• PV01 calibrated bucketed
• PV01 market quote sum
• PV01 market quote bucketed
• Par rate
• Par spread
• Cash flows
• Accrued interest
• Leg initial notional
• Leg present value
• Currency exposure
• Current cash
• Resolved trade
• PV01 semi-parallel gamma bucketed
• PV01 single node gamma bucketed

The "natural" currency is the currency of the swaption, which is limited to be single-currency.

Constructor Summary

Constructors

Constructor and Description
SwapTradeCalculationFunction() Creates an instance.

Method Summary

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

Methods inherited from class java.lang.Object

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

Constructor Detail

SwapTradeCalculationFunction

public SwapTradeCalculationFunction()

Creates an instance.

Method Detail

targetType

public Class<SwapTrade> targetType()

Specified by:

targetType in interface CalculationFunction<SwapTrade>

supportedMeasures

public Set<Measure> supportedMeasures()

Specified by:

supportedMeasures in interface CalculationFunction<SwapTrade>

identifier

public Optional<String> identifier(SwapTrade target)

Specified by:

identifier in interface CalculationFunction<SwapTrade>

naturalCurrency

public Currency naturalCurrency(SwapTrade trade,
                                ReferenceData refData)

Specified by:

naturalCurrency in interface CalculationFunction<SwapTrade>

requirements

public FunctionRequirements requirements(SwapTrade trade,
                                         Set<Measure> measures,
                                         CalculationParameters parameters,
                                         ReferenceData refData)

Specified by:

requirements in interface CalculationFunction<SwapTrade>

calculate

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

Specified by:

calculate in interface CalculationFunction<SwapTrade>