/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.fra;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.currency.MultiCurrencyAmount;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.market.amount.CashFlows;
import com.opengamma.strata.market.explain.ExplainMap;
import com.opengamma.strata.market.sensitivity.PointSensitivities;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.fra.ResolvedFra;
import com.opengamma.strata.product.fra.ResolvedFraTrade;
/**
* Pricer for for forward rate agreement (FRA) trades.
* <p>
* This provides the ability to price {@link ResolvedFraTrade}.
* The trade is priced by pricing the underlying product using a forward curve for the index.
*/
public class DiscountingFraTradePricer {
/**
* Default implementation.
*/
public static final DiscountingFraTradePricer DEFAULT = new DiscountingFraTradePricer(
DiscountingFraProductPricer.DEFAULT);
/**
* Pricer for {@link ResolvedFra}.
*/
private final DiscountingFraProductPricer productPricer;
/**
* Creates an instance.
*
* @param productPricer the pricer for {@link ResolvedFra}
*/
public DiscountingFraTradePricer(
DiscountingFraProductPricer productPricer) {
this.productPricer = ArgChecker.notNull(productPricer, "productPricer");
}
//-------------------------------------------------------------------------
/**
* Gets the underlying product pricer.
*
* @return the product pricer
*/
public DiscountingFraProductPricer getProductPricer() {
return productPricer;
}
//-------------------------------------------------------------------------
/**
* Calculates the present value of the FRA trade.
* <p>
* The present value of the trade is the value on the valuation date.
* This is the discounted forecast value.
*
* @param trade the trade
* @param provider the rates provider
* @return the present value of the trade
*/
public CurrencyAmount presentValue(ResolvedFraTrade trade, RatesProvider provider) {
return productPricer.presentValue(trade.getProduct(), provider);
}
/**
* Explains the present value of the FRA product.
* <p>
* This returns explanatory information about the calculation.
*
* @param trade the trade
* @param provider the rates provider
* @return the explanatory information
*/
public ExplainMap explainPresentValue(ResolvedFraTrade trade, RatesProvider provider) {
return productPricer.explainPresentValue(trade.getProduct(), provider);
}
/**
* Calculates the present value sensitivity of the FRA trade.
* <p>
* The present value sensitivity of the trade is the sensitivity of the present value to
* the underlying curves.
*
* @param trade the trade
* @param provider the rates provider
* @return the point sensitivity of the present value
*/
public PointSensitivities presentValueSensitivity(ResolvedFraTrade trade, RatesProvider provider) {
return productPricer.presentValueSensitivity(trade.getProduct(), provider);
}
//-------------------------------------------------------------------------
/**
* Calculates the forecast value of the FRA trade.
* <p>
* The forecast value of the trade is the value on the valuation date without present value discounting.
*
* @param trade the trade
* @param provider the rates provider
* @return the forecast value of the trade
*/
public CurrencyAmount forecastValue(ResolvedFraTrade trade, RatesProvider provider) {
return productPricer.forecastValue(trade.getProduct(), provider);
}
/**
* Calculates the forecast value sensitivity of the FRA trade.
* <p>
* The forecast value sensitivity of the product is the sensitivity of the forecast value to
* the underlying curves.
*
* @param trade the trade
* @param provider the rates provider
* @return the point sensitivity of the forecast value
*/
public PointSensitivities forecastValueSensitivity(ResolvedFraTrade trade, RatesProvider provider) {
return productPricer.forecastValueSensitivity(trade.getProduct(), provider);
}
//-------------------------------------------------------------------------
/**
* Calculates the par rate of the FRA trade.
* <p>
* The par rate is the rate for which the FRA present value is 0.
*
* @param trade the trade
* @param provider the rates provider
* @return the par rate
*/
public double parRate(ResolvedFraTrade trade, RatesProvider provider) {
return productPricer.parRate(trade.getProduct(), provider);
}
/**
* Calculates the par rate curve sensitivity of the FRA trade.
* <p>
* The par rate curve sensitivity of the product is the sensitivity of the par rate to
* the underlying curves.
*
* @param trade the trade
* @param provider the rates provider
* @return the par rate sensitivity
*/
public PointSensitivities parRateSensitivity(ResolvedFraTrade trade, RatesProvider provider) {
return productPricer.parRateSensitivity(trade.getProduct(), provider);
}
/**
* Calculates the par spread of the FRA trade.
* <p>
* This is spread to be added to the fixed rate to have a present value of 0.
*
* @param trade the trade
* @param provider the rates provider
* @return the par spread
*/
public double parSpread(ResolvedFraTrade trade, RatesProvider provider) {
return productPricer.parSpread(trade.getProduct(), provider);
}
/**
* Calculates the par spread curve sensitivity of the FRA trade.
* <p>
* The par spread curve sensitivity of the product is the sensitivity of the par spread to
* the underlying curves.
*
* @param trade the trade
* @param provider the rates provider
* @return the par spread sensitivity
*/
public PointSensitivities parSpreadSensitivity(ResolvedFraTrade trade, RatesProvider provider) {
return productPricer.parSpreadSensitivity(trade.getProduct(), provider);
}
//-------------------------------------------------------------------------
/**
* Calculates the future cash flow of the FRA trade.
* <p>
* There is only one cash flow on the payment date for the FRA trade.
* The expected currency amount of the cash flow is the same as {@link #forecastValue(ResolvedFraTrade, RatesProvider)}.
*
* @param trade the trade
* @param provider the rates provider
* @return the cash flows
*/
public CashFlows cashFlows(ResolvedFraTrade trade, RatesProvider provider) {
return productPricer.cashFlows(trade.getProduct(), provider);
}
/**
* Calculates the currency exposure of the FRA trade.
*
* @param trade the trade
* @param provider the rates provider
* @return the currency exposure
*/
public MultiCurrencyAmount currencyExposure(ResolvedFraTrade trade, RatesProvider provider) {
return MultiCurrencyAmount.of(presentValue(trade, provider));
}
/**
* Calculates the current cash of the FRA trade.
*
* @param trade the trade
* @param provider the rates provider
* @return the current cash
*/
public CurrencyAmount currentCash(ResolvedFraTrade trade, RatesProvider provider) {
ResolvedFra fra = trade.getProduct();
if (fra.getPaymentDate().isEqual(provider.getValuationDate())) {
return productPricer.presentValue(fra, provider);
}
return CurrencyAmount.zero(fra.getCurrency());
}
}