com.opengamma.strata.measure.cms

Class CmsTradeCalculationFunction

java.lang.Object

com.opengamma.strata.measure.cms.CmsTradeCalculationFunction

All Implemented Interfaces:

CalculationFunction<CmsTrade>

public class CmsTradeCalculationFunction
extends Object
implements CalculationFunction<CmsTrade>

Perform calculations on a single CmsTrade for each of a set of scenarios.

This uses SABR swaption volatilities, which must be specified using SwaptionMarketDataLookup. An instance of RatesMarketDataLookup and CmsSabrExtrapolationParams must also be specified.

The supported built-in measures are:

• Present value
• PV01 calibrated sum on rate curves
• PV01 calibrated bucketed on rate curves
• PV01 market quote sum on rate curves
• PV01 market quote bucketed on rate curves
• Currency exposure
• Current cash
• Resolved trade

The "natural" currency is determined from the CMS leg.

Constructor Summary

Constructors

Constructor and Description
CmsTradeCalculationFunction() Creates an instance.

Method Summary

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

Methods inherited from class java.lang.Object

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

Constructor Detail

CmsTradeCalculationFunction

public CmsTradeCalculationFunction()

Creates an instance.

Method Detail

targetType

public Class<CmsTrade> targetType()

Specified by:

targetType in interface CalculationFunction<CmsTrade>

supportedMeasures

public Set<Measure> supportedMeasures()

Specified by:

supportedMeasures in interface CalculationFunction<CmsTrade>

identifier

public Optional<String> identifier(CmsTrade target)

Specified by:

identifier in interface CalculationFunction<CmsTrade>

naturalCurrency

public Currency naturalCurrency(CmsTrade trade,
                                ReferenceData refData)

Specified by:

naturalCurrency in interface CalculationFunction<CmsTrade>

requirements

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

Specified by:

requirements in interface CalculationFunction<CmsTrade>

calculate

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

Specified by:

calculate in interface CalculationFunction<CmsTrade>