com.opengamma.strata.measure.bond

Class BondFutureTradeCalculations

java.lang.Object

com.opengamma.strata.measure.bond.BondFutureTradeCalculations

public class BondFutureTradeCalculations
extends Object

Calculates pricing and risk measures for trades in a futures contract based on a basket of bonds.

This provides a high-level entry point for future pricing and risk measures.

Each method takes a ResolvedBondFutureTrade, whereas application code will typically work with BondFutureTrade. Call BondFutureTrade::resolve(ReferenceData) to convert BondFutureTrade to ResolvedBondFutureTrade.

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 BondFutureTradeCalculations	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
BondFutureTradeCalculations(DiscountingBondFutureTradePricer tradePricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
MultiCurrencyScenarioArray	currencyExposure(ResolvedBondFutureTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData) Calculates currency exposure across one or more scenarios.
MultiCurrencyAmount	currencyExposure(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider) Calculates currency exposure for a single set of market data.
DoubleScenarioArray	parSpread(ResolvedBondFutureTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData) Calculates par spread across one or more scenarios.
double	parSpread(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider) Calculates par spread for a single set of market data.
CurrencyScenarioArray	presentValue(ResolvedBondFutureTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData) Calculates present value across one or more scenarios.
CurrencyAmount	presentValue(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider) Calculates present value for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01CalibratedBucketed(ResolvedBondFutureTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData) Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01CalibratedBucketed(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider) Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01CalibratedSum(ResolvedBondFutureTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData) Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01CalibratedSum(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider) Calculates present value sensitivity for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01MarketQuoteBucketed(ResolvedBondFutureTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData) Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01MarketQuoteBucketed(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider ratesProvider) Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01MarketQuoteSum(ResolvedBondFutureTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData) Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01MarketQuoteSum(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider ratesProvider) Calculates present value sensitivity for a single set of market data.
DoubleScenarioArray	unitPrice(ResolvedBondFutureTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData) Calculates unit price across one or more scenarios.
double	unitPrice(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider) Calculates unit price for a single set of market data.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final BondFutureTradeCalculations DEFAULT

Default implementation.

Constructor Detail

BondFutureTradeCalculations

public BondFutureTradeCalculations(DiscountingBondFutureTradePricer tradePricer)

Creates an instance.

In most cases, applications should use the DEFAULT instance.

Parameters:

tradePricer - the pricer for ResolvedBondFutureTrade

Method Detail

presentValue

public CurrencyScenarioArray presentValue(ResolvedBondFutureTrade trade,
                                          LegalEntityDiscountingMarketDataLookup lookup,
                                          ScenarioMarketData marketData)

Calculates present value across one or more scenarios.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value, one entry per scenario

presentValue

public CurrencyAmount presentValue(ResolvedBondFutureTrade trade,
                                   LegalEntityDiscountingProvider discountingProvider)

Calculates present value for a single set of market data.

Parameters:

trade - the trade

discountingProvider - the market data

Returns:

the present value

pv01CalibratedSum

public MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedBondFutureTrade trade,
                                                    LegalEntityDiscountingMarketDataLookup lookup,
                                                    ScenarioMarketData marketData)

Calculates present value sensitivity across one or more scenarios.

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.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01CalibratedSum

public MultiCurrencyAmount pv01CalibratedSum(ResolvedBondFutureTrade trade,
                                             LegalEntityDiscountingProvider discountingProvider)

Calculates present value sensitivity for a single set of market data.

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.

Parameters:

trade - the trade

discountingProvider - the market data

Returns:

the present value sensitivity

pv01CalibratedBucketed

public ScenarioArray<CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedBondFutureTrade trade,
                                                                            LegalEntityDiscountingMarketDataLookup lookup,
                                                                            ScenarioMarketData marketData)

Calculates present value sensitivity across one or more scenarios.

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.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01CalibratedBucketed

public CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedBondFutureTrade trade,
                                                             LegalEntityDiscountingProvider discountingProvider)

Calculates present value sensitivity for a single set of market data.

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.

Parameters:

trade - the trade

discountingProvider - the market data

Returns:

the present value sensitivity

pv01MarketQuoteSum

public MultiCurrencyScenarioArray pv01MarketQuoteSum(ResolvedBondFutureTrade trade,
                                                     LegalEntityDiscountingMarketDataLookup lookup,
                                                     ScenarioMarketData marketData)

Calculates present value sensitivity across one or more scenarios.

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.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01MarketQuoteSum

public MultiCurrencyAmount pv01MarketQuoteSum(ResolvedBondFutureTrade trade,
                                              LegalEntityDiscountingProvider ratesProvider)

Calculates present value sensitivity for a single set of market data.

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.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the present value sensitivity

pv01MarketQuoteBucketed

public ScenarioArray<CurrencyParameterSensitivities> pv01MarketQuoteBucketed(ResolvedBondFutureTrade trade,
                                                                             LegalEntityDiscountingMarketDataLookup lookup,
                                                                             ScenarioMarketData marketData)

Calculates present value sensitivity across one or more scenarios.

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.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01MarketQuoteBucketed

public CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedBondFutureTrade trade,
                                                              LegalEntityDiscountingProvider ratesProvider)

Calculates present value sensitivity for a single set of market data.

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.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the present value sensitivity

parSpread

public DoubleScenarioArray parSpread(ResolvedBondFutureTrade trade,
                                     LegalEntityDiscountingMarketDataLookup lookup,
                                     ScenarioMarketData marketData)

Calculates par spread across one or more scenarios.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the par spread, one entry per scenario

parSpread

public double parSpread(ResolvedBondFutureTrade trade,
                        LegalEntityDiscountingProvider discountingProvider)

Calculates par spread for a single set of market data.

Parameters:

trade - the trade

discountingProvider - the market data

Returns:

the par spread

unitPrice

public DoubleScenarioArray unitPrice(ResolvedBondFutureTrade trade,
                                     LegalEntityDiscountingMarketDataLookup lookup,
                                     ScenarioMarketData marketData)

Calculates unit price across one or more scenarios.

This is the price of a single unit of the security.

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.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value, one entry per scenario

unitPrice

public double unitPrice(ResolvedBondFutureTrade trade,
                        LegalEntityDiscountingProvider discountingProvider)

Calculates unit price for a single set of market data.

This is the price of a single unit of the security.

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.

Parameters:

trade - the trade

discountingProvider - the market data

Returns:

the present value

currencyExposure

public MultiCurrencyScenarioArray currencyExposure(ResolvedBondFutureTrade trade,
                                                   LegalEntityDiscountingMarketDataLookup lookup,
                                                   ScenarioMarketData marketData)

Calculates currency exposure across one or more scenarios.

The currency risk, expressed as the equivalent amount in each currency.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the currency exposure, one entry per scenario

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedBondFutureTrade trade,
                                            LegalEntityDiscountingProvider discountingProvider)

Calculates currency exposure for a single set of market data.

The currency risk, expressed as the equivalent amount in each currency.

Parameters:

trade - the trade

discountingProvider - the market data

Returns:

the currency exposure