/**
* Copyright (C) 2014 - 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.MultiCurrencyAmount;
import com.opengamma.strata.market.explain.ExplainMapBuilder;
import com.opengamma.strata.market.sensitivity.PointSensitivityBuilder;
import com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentPeriodPricer;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.swap.SwapPaymentPeriod;
/**
* Pricer for payment periods.
* <p>
* This function provides the ability to price a {@link SwapPaymentPeriod}.
* <p>
* Implementations must be immutable and thread-safe functions.
*
* @param <T> the type of period
*/
public interface SwapPaymentPeriodPricer<T extends SwapPaymentPeriod> {
/**
* Returns the standard instance of the function.
* <p>
* Use this method to avoid a direct dependency on the implementation.
*
* @return the payment period pricer
*/
public static SwapPaymentPeriodPricer<SwapPaymentPeriod> standard() {
return DispatchingSwapPaymentPeriodPricer.DEFAULT;
}
//-------------------------------------------------------------------------
/**
* Calculates the present value of a single payment period.
* <p>
* The amount is expressed in the currency of the period.
* This returns the value of the period with discounting.
* <p>
* The payment date of the period should not be in the past.
* The result of this method for payment dates in the past is undefined.
*
* @param period the period
* @param provider the rates provider
* @return the present value of the period
*/
public abstract double presentValue(T period, RatesProvider provider);
/**
* Calculates the present value sensitivity of a single payment period.
* <p>
* The present value sensitivity of the period is the sensitivity of the present value to
* the underlying curves.
*
* @param period the period
* @param provider the rates provider
* @return the present value curve sensitivity of the period
*/
public abstract PointSensitivityBuilder presentValueSensitivity(T period, RatesProvider provider);
//-------------------------------------------------------------------------
/**
* Calculates the forecast value of a single payment period.
* <p>
* The amount is expressed in the currency of the period.
* This returns the value of the period without discounting.
* <p>
* The payment date of the period should not be in the past.
* The result of this method for payment dates in the past is undefined.
*
* @param period the period
* @param provider the rates provider
* @return the forecast value of the period
*/
public abstract double forecastValue(T period, RatesProvider provider);
/**
* Calculates the forecast value sensitivity of a single payment period.
* <p>
* The forecast value sensitivity of the period is the sensitivity of the forecast value to
* the underlying curves.
*
* @param period the period
* @param provider the rates provider
* @return the forecast value curve sensitivity of the period
*/
public abstract PointSensitivityBuilder forecastValueSensitivity(T period, RatesProvider provider);
//-------------------------------------------------------------------------
/**
* Calculates the present value of a basis point of a period.
* <p>
* This calculate the amount by which, to the first order, the period present value
* changes for a change of the rate defining the payment period. For known amount
* payments for which there is rate, the value is 0. In absence of compounding on
* the period, this measure is equivalent to the traditional PVBP.
*
* @param period the period
* @param provider the rates provider
* @return the present value of a basis point
*/
public abstract double pvbp(T period, RatesProvider provider);
/**
* Calculates the present value of a basis point sensitivity of a single payment period.
* <p>
* This calculate the sensitivity of the present value of a basis point (pvbp) quantity
* to the underlying curves.
*
* @param period the period
* @param provider the rates provider
* @return the present value of a basis point sensitivity
*/
public abstract PointSensitivityBuilder pvbpSensitivity(T period, RatesProvider provider);
//-------------------------------------------------------------------------
/**
* Calculates the accrued interest since the last payment.
* <p>
* This calculates the interest that has accrued between the start of the period
* and the valuation date. Discounting is not applied.
* The amount is expressed in the currency of the period.
* It is intended that this method is called only with the period where the
* valuation date is after the start date and before or equal to the end date.
*
* @param period the period
* @param provider the rates provider
* @return the accrued interest of the period
*/
public abstract double accruedInterest(T period, RatesProvider provider);
//-------------------------------------------------------------------------
/**
* Explains the present value of a single payment period.
* <p>
* This adds information to the {@link ExplainMapBuilder} to aid understanding of the calculation.
*
* @param period the period
* @param provider the rates provider
* @param builder the builder to populate
*/
public abstract void explainPresentValue(
T period,
RatesProvider provider,
ExplainMapBuilder builder);
//-------------------------------------------------------------------------
/**
* Calculates the currency exposure of a single payment period.
*
* @param period the period
* @param provider the rates provider
* @return the currency exposure
*/
public abstract MultiCurrencyAmount currencyExposure(T period, RatesProvider provider);
/**
* Calculates the current cash of a single payment period.
*
* @param period the period
* @param provider the rates provider
* @return the current cash
*/
public abstract double currentCash(T period, RatesProvider provider);
}