com.opengamma.strata.measure.swaption

Class SwaptionTradeCalculationFunction

java.lang.Object

com.opengamma.strata.measure.swaption.SwaptionTradeCalculationFunction

All Implemented Interfaces:

CalculationFunction<SwaptionTrade>

public class SwaptionTradeCalculationFunction
extends Object
implements CalculationFunction<SwaptionTrade>

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

This uses Black, Normal or SABR swaption volatilities, which must be specified using SwaptionMarketDataLookup. An instance of RatesMarketDataLookup 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
• normal vega market quote bucketed on vol curves/surfaces
• Currency exposure
• Current cash
• Resolved trade

The "natural" currency is determined from the first swap leg.

Constructor Summary

Constructors

Constructor and Description
SwaptionTradeCalculationFunction() Creates an instance.

Method Summary

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

Methods inherited from class java.lang.Object

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

Constructor Detail

SwaptionTradeCalculationFunction

public SwaptionTradeCalculationFunction()

Creates an instance.

Method Detail

targetType

public Class<SwaptionTrade> targetType()

Specified by:

targetType in interface CalculationFunction<SwaptionTrade>

supportedMeasures

public Set<Measure> supportedMeasures()

Specified by:

supportedMeasures in interface CalculationFunction<SwaptionTrade>

identifier

public Optional<String> identifier(SwaptionTrade target)

Specified by:

identifier in interface CalculationFunction<SwaptionTrade>

naturalCurrency

public Currency naturalCurrency(SwaptionTrade trade,
                                ReferenceData refData)

Specified by:

naturalCurrency in interface CalculationFunction<SwaptionTrade>

requirements

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

Specified by:

requirements in interface CalculationFunction<SwaptionTrade>

calculate

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

Specified by:

calculate in interface CalculationFunction<SwaptionTrade>