/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.swap;
import com.opengamma.strata.basics.currency.Currency;
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.swap.ResolvedSwap;
import com.opengamma.strata.product.swap.ResolvedSwapTrade;
/**
* Pricer for for rate swap trades.
* <p>
* This function provides the ability to price a {@link ResolvedSwapTrade}.
* The product is priced by pricing the product.
*/
public class DiscountingSwapTradePricer {
/**
* Default implementation.
*/
public static final DiscountingSwapTradePricer DEFAULT = new DiscountingSwapTradePricer(
DiscountingSwapProductPricer.DEFAULT);
/**
* Pricer for {@link ResolvedSwap}.
*/
private final DiscountingSwapProductPricer productPricer;
/**
* Creates an instance.
*
* @param productPricer the pricer for {@link ResolvedSwap}
*/
public DiscountingSwapTradePricer(DiscountingSwapProductPricer productPricer) {
this.productPricer = ArgChecker.notNull(productPricer, "productPricer");
}
//-------------------------------------------------------------------------
/**
* Gets the underlying product pricer.
*
* @return the product pricer
*/
public DiscountingSwapProductPricer getProductPricer() {
return productPricer;
}
//-------------------------------------------------------------------------
/**
* Calculates the present value of the swap trade, converted to the specified currency.
* <p>
* The present value of the trade is the value on the valuation date.
* This is the discounted forecast value.
* The result is converted to the specified currency.
*
* @param trade the trade
* @param currency the currency to convert to
* @param provider the rates provider
* @return the present value of the swap trade in the specified currency
*/
public CurrencyAmount presentValue(ResolvedSwapTrade trade, Currency currency, RatesProvider provider) {
return productPricer.presentValue(trade.getProduct(), currency, provider);
}
/**
* Calculates the present value of the swap trade.
* <p>
* The present value of the trade is the value on the valuation date.
* This is the discounted forecast value.
* The result is expressed using the payment currency of each leg.
*
* @param trade the trade
* @param provider the rates provider
* @return the present value of the swap trade
*/
public MultiCurrencyAmount presentValue(ResolvedSwapTrade trade, RatesProvider provider) {
return productPricer.presentValue(trade.getProduct(), provider);
}
/**
* Explains the present value of the swap trade.
* <p>
* This returns explanatory information about the calculation.
*
* @param trade the trade
* @param provider the rates provider
* @return the explanatory information
*/
public ExplainMap explainPresentValue(ResolvedSwapTrade trade, RatesProvider provider) {
return productPricer.explainPresentValue(trade.getProduct(), provider);
}
/**
* Calculates the present value sensitivity of the swap 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 present value curve sensitivity of the swap trade
*/
public PointSensitivities presentValueSensitivity(ResolvedSwapTrade trade, RatesProvider provider) {
return productPricer.presentValueSensitivity(trade.getProduct(), provider).build();
}
//-------------------------------------------------------------------------
/**
* Calculates the forecast value of the swap trade.
* <p>
* The forecast value of the trade is the value on the valuation date without present value discounting.
* The result is expressed using the payment currency of each leg.
*
* @param trade the trade
* @param provider the rates provider
* @return the forecast value of the swap trade
*/
public MultiCurrencyAmount forecastValue(ResolvedSwapTrade trade, RatesProvider provider) {
return productPricer.forecastValue(trade.getProduct(), provider);
}
/**
* Calculates the forecast value sensitivity of the swap trade.
* <p>
* The forecast value sensitivity of the trade is the sensitivity of the forecast value to
* the underlying curves.
*
* @param trade the trade
* @param provider the rates provider
* @return the forecast value curve sensitivity of the swap trade
*/
public PointSensitivities forecastValueSensitivity(ResolvedSwapTrade trade, RatesProvider provider) {
return productPricer.forecastValueSensitivity(trade.getProduct(), provider).build();
}
//-------------------------------------------------------------------------
/**
* Calculates the par rate of the swap trade.
* <p>
* The par rate is the rate for which the swap present value is 0.
*
* @param trade the trade
* @param provider the rates provider
* @return the par rate
*/
public double parRate(ResolvedSwapTrade trade, RatesProvider provider) {
return productPricer.parRate(trade.getProduct(), provider);
}
/**
* Calculates the par rate curve sensitivity of the swap 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(ResolvedSwapTrade trade, RatesProvider provider) {
return productPricer.parRateSensitivity(trade.getProduct(), provider).build();
}
/**
* Calculates the par spread of the swap 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(ResolvedSwapTrade trade, RatesProvider provider) {
return productPricer.parSpread(trade.getProduct(), provider);
}
/**
* Calculates the par spread curve sensitivity of the swap 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(ResolvedSwapTrade trade, RatesProvider provider) {
return productPricer.parSpreadSensitivity(trade.getProduct(), provider).build();
}
//-------------------------------------------------------------------------
/**
* Calculates the future cash flows of the swap trade.
* <p>
* Each expected cash flow is added to the result.
* This is based on {@link #forecastValue(ResolvedSwapTrade, RatesProvider)}.
*
* @param trade the trade
* @param provider the rates provider
* @return the cash flows
*/
public CashFlows cashFlows(ResolvedSwapTrade trade, RatesProvider provider) {
return productPricer.cashFlows(trade.getProduct(), provider);
}
//-------------------------------------------------------------------------
/**
* Calculates the accrued interest since the last payment.
* <p>
* This determines the payment period applicable at the valuation date and calculates
* the accrued interest since the last payment.
*
* @param trade the trade
* @param provider the rates provider
* @return the accrued interest
*/
public MultiCurrencyAmount accruedInterest(ResolvedSwapTrade trade, RatesProvider provider) {
return productPricer.accruedInterest(trade.getProduct(), provider);
}
//-------------------------------------------------------------------------
/**
* Calculates the currency exposure of the swap trade.
*
* @param trade the trade
* @param provider the rates provider
* @return the currency exposure of the swap trade
*/
public MultiCurrencyAmount currencyExposure(ResolvedSwapTrade trade, RatesProvider provider) {
return productPricer.currencyExposure(trade.getProduct(), provider);
}
/**
* Calculates the current cash of the swap trade.
*
* @param trade the trade
* @param provider the rates provider
* @return the current cash of the swap trade
*/
public MultiCurrencyAmount currentCash(ResolvedSwapTrade trade, RatesProvider provider) {
return productPricer.currentCash(trade.getProduct(), provider);
}
}