com.opengamma.strata.measure.dsf

Class DsfTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<Dsf> & Resolvable<ResolvedDsfTrade>>

java.lang.Object

com.opengamma.strata.measure.dsf.DsfTradeCalculationFunction<T>

Type Parameters:

T - the trade or position type

All Implemented Interfaces:

CalculationFunction<T>

public class DsfTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<Dsf> & Resolvable<ResolvedDsfTrade>>
extends Object
implements CalculationFunction<T>

Perform calculations on a single DsfTrade or DsfPosition 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
• Currency exposure
• Resolved trade

The "natural" currency is the currency of the swap leg that is received.

Price

The price of a DSF is based on the present value (NPV) of the underlying swap on the delivery date. For example, a price of 100.182 represents a present value of $100,182.00, if the notional is $100,000. This price can also be viewed as a percentage present value - (100 + percentPv), or 0.182% in this example.

Strata uses decimal prices for DSFs in the trade model, pricers and market data. The decimal price is based on the decimal multiplier equivalent to the implied percentage. Thus the market price of 100.182 is represented in Strata by 1.00182.

Field Summary

Fields

Modifier and Type	Field and Description
static DsfTradeCalculationFunction<DsfPosition>	POSITION The position instance
static DsfTradeCalculationFunction<DsfTrade>	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 DsfTradeCalculationFunction<DsfTrade> TRADE

The trade instance

POSITION

public static final DsfTradeCalculationFunction<DsfPosition> POSITION

The position instance

Method Detail

targetType

public Class<T> targetType()

Specified by:

targetType in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<Dsf> & Resolvable<ResolvedDsfTrade>>

supportedMeasures

public Set<Measure> supportedMeasures()

Specified by:

supportedMeasures in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<Dsf> & Resolvable<ResolvedDsfTrade>>

identifier

public Optional<String> identifier(T target)

Specified by:

identifier in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<Dsf> & Resolvable<ResolvedDsfTrade>>

naturalCurrency

public Currency naturalCurrency(T target,
                                ReferenceData refData)

Specified by:

naturalCurrency in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<Dsf> & Resolvable<ResolvedDsfTrade>>

requirements

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

Specified by:

requirements in interface CalculationFunction<T extends SecuritizedProductPortfolioItem<Dsf> & Resolvable<ResolvedDsfTrade>>

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<Dsf> & Resolvable<ResolvedDsfTrade>>