public class ProratedLoanTradePricer extends Object
This provides the ability to price ProratedLoanTrade
.
Modifier and Type | Field and Description |
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static ProratedLoanTradePricer |
DEFAULT
Default implementation.
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Constructor and Description |
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ProratedLoanTradePricer()
Creates an instance.
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Modifier and Type | Method and Description |
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com.opengamma.strata.basics.currency.CurrencyAmount |
accruedInterest(ProratedLoanContract contract,
ProratedLoanTrade trade,
com.opengamma.strata.pricer.rate.RatesProvider provider)
Calculate accrued contract interest as of valuation date
|
com.opengamma.strata.basics.currency.CurrencyAmount |
accruedInterest(ProratedLoanTrade trade,
com.opengamma.strata.pricer.rate.RatesProvider provider)
Calculates the total accrued interest.
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com.opengamma.strata.basics.currency.CurrencyAmount |
benefitOfUnfunded(ProratedLoanTrade trade,
com.opengamma.strata.pricer.rate.RatesProvider provider,
java.time.LocalDate settle,
Optional<com.opengamma.strata.market.explain.ExplainMapBuilder> explains)
Calculate the benefit of non-par trade of unfunded amount.
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com.google.common.collect.ImmutableList<AnnotatedCashFlow> |
cashFlows(ProratedAccruingFee fee,
ProratedLoanTrade trade,
com.opengamma.strata.pricer.rate.RatesProvider provider,
boolean explain)
Calculates the past and future cash flows of an accruing fee.
|
AnnotatedCashFlows |
cashFlows(ProratedLoanTradeList trades,
com.opengamma.strata.pricer.rate.RatesProvider provider,
boolean explain)
Generate cash flows from a given collection of trades.
|
AnnotatedCashFlows |
cashFlows(ProratedLoanTrade trade,
com.opengamma.strata.pricer.rate.RatesProvider provider,
boolean explain)
Calculates the past and future cash flows of a loan.
|
com.opengamma.strata.basics.currency.CurrencyAmount |
costOfCarry(ProratedLoanTrade trade,
com.opengamma.strata.pricer.rate.RatesProvider provider,
Optional<com.opengamma.strata.market.explain.ExplainMapBuilder> explains)
Calculate cost of carry delayed closing fee
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com.opengamma.strata.basics.currency.CurrencyAmount |
costOfFunded(ProratedLoanTrade trade,
com.opengamma.strata.pricer.rate.RatesProvider provider,
java.time.LocalDate settle,
Optional<com.opengamma.strata.market.explain.ExplainMapBuilder> explains)
Calculate the cost of funded amount of a loan trade.
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com.opengamma.strata.basics.currency.CurrencyAmount |
delayedCompensation(ProratedAccrual accrual,
ProratedLoanContract contract,
ProratedLoanTrade trade,
com.opengamma.strata.pricer.rate.RatesProvider provider,
Optional<com.opengamma.strata.market.explain.ExplainMapBuilder> explainBuilder)
Calculate delayed compensation on a specific accrual.
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com.opengamma.strata.basics.currency.CurrencyAmount |
delayedCompensation(ProratedLoanTrade trade,
com.opengamma.strata.pricer.rate.RatesProvider provider)
Calculate delayed compensation of a loan trade.
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com.opengamma.strata.basics.currency.CurrencyAmount |
economicBenefit(ProratedLoanTrade trade,
com.opengamma.strata.pricer.rate.RatesProvider provider,
java.time.LocalDate settle,
Optional<com.opengamma.strata.market.explain.ExplainMapBuilder> explains)
Calculate economic benefit of commitment reductions during settlement period
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com.opengamma.strata.basics.currency.CurrencyAmount |
presentValueFromCleanPrice(ProratedLoanTradeList trades,
com.opengamma.strata.pricer.rate.RatesProvider provider,
double cleanPrice,
Optional<com.opengamma.strata.market.explain.ExplainMapBuilder> explainBuilder) |
com.opengamma.strata.basics.currency.CurrencyAmount |
presentValueFromCleanPrice(ProratedLoanTrade trade,
com.opengamma.strata.pricer.rate.RatesProvider provider,
double cleanPrice,
Optional<com.opengamma.strata.market.explain.ExplainMapBuilder> explainBuilder)
Return the present value given a clean price.
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AnnotatedCashFlows |
proceeds(ProratedLoanTrade trade,
com.opengamma.strata.pricer.rate.RatesProvider provider,
boolean explain)
Calculate the set of cash flows exchanged on settlement date.
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com.opengamma.strata.basics.currency.CurrencyAmount |
purchasePrice(ProratedLoanTrade trade,
com.opengamma.strata.pricer.rate.RatesProvider provider,
java.time.LocalDate settle)
Calculate the core purchase price of a trade.
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public static final ProratedLoanTradePricer DEFAULT
public com.opengamma.strata.basics.currency.CurrencyAmount presentValueFromCleanPrice(ProratedLoanTradeList trades, com.opengamma.strata.pricer.rate.RatesProvider provider, double cleanPrice, Optional<com.opengamma.strata.market.explain.ExplainMapBuilder> explainBuilder)
public com.opengamma.strata.basics.currency.CurrencyAmount presentValueFromCleanPrice(ProratedLoanTrade trade, com.opengamma.strata.pricer.rate.RatesProvider provider, double cleanPrice, Optional<com.opengamma.strata.market.explain.ExplainMapBuilder> explainBuilder)
trade
- provider
- cleanPrice
- explainBuilder
- public com.opengamma.strata.basics.currency.CurrencyAmount accruedInterest(ProratedLoanTrade trade, com.opengamma.strata.pricer.rate.RatesProvider provider)
The total accrued interest as of valuation date.
trade
- the tradeprovider
- the rates providerpublic com.opengamma.strata.basics.currency.CurrencyAmount costOfFunded(ProratedLoanTrade trade, com.opengamma.strata.pricer.rate.RatesProvider provider, java.time.LocalDate settle, Optional<com.opengamma.strata.market.explain.ExplainMapBuilder> explains)
trade
- provider
- public com.opengamma.strata.basics.currency.CurrencyAmount benefitOfUnfunded(ProratedLoanTrade trade, com.opengamma.strata.pricer.rate.RatesProvider provider, java.time.LocalDate settle, Optional<com.opengamma.strata.market.explain.ExplainMapBuilder> explains)
trade
- provider
- public com.opengamma.strata.basics.currency.CurrencyAmount costOfCarry(ProratedLoanTrade trade, com.opengamma.strata.pricer.rate.RatesProvider provider, Optional<com.opengamma.strata.market.explain.ExplainMapBuilder> explains)
trade
- provider
- public com.opengamma.strata.basics.currency.CurrencyAmount economicBenefit(ProratedLoanTrade trade, com.opengamma.strata.pricer.rate.RatesProvider provider, java.time.LocalDate settle, Optional<com.opengamma.strata.market.explain.ExplainMapBuilder> explains)
trade
- provider
- public com.opengamma.strata.basics.currency.CurrencyAmount accruedInterest(ProratedLoanContract contract, ProratedLoanTrade trade, com.opengamma.strata.pricer.rate.RatesProvider provider)
contract
- trade
- provider
- public com.opengamma.strata.basics.currency.CurrencyAmount delayedCompensation(ProratedLoanTrade trade, com.opengamma.strata.pricer.rate.RatesProvider provider)
trade
- provider
- public com.opengamma.strata.basics.currency.CurrencyAmount delayedCompensation(ProratedAccrual accrual, ProratedLoanContract contract, ProratedLoanTrade trade, com.opengamma.strata.pricer.rate.RatesProvider provider, Optional<com.opengamma.strata.market.explain.ExplainMapBuilder> explainBuilder)
accrual
- contract
- trade
- provider
- explainBuilder
- public com.opengamma.strata.basics.currency.CurrencyAmount purchasePrice(ProratedLoanTrade trade, com.opengamma.strata.pricer.rate.RatesProvider provider, java.time.LocalDate settle)
trade
- provider
- settle
- public AnnotatedCashFlows cashFlows(ProratedLoanTradeList trades, com.opengamma.strata.pricer.rate.RatesProvider provider, boolean explain)
trades
- provider
- explain
- public AnnotatedCashFlows proceeds(ProratedLoanTrade trade, com.opengamma.strata.pricer.rate.RatesProvider provider, boolean explain)
trade
- provider
- explain
- public AnnotatedCashFlows cashFlows(ProratedLoanTrade trade, com.opengamma.strata.pricer.rate.RatesProvider provider, boolean explain)
Each realized or expected cash flow is added to the result.
trade
- the tradeprovider
- the rates providerexplain
- optional explains builderpublic com.google.common.collect.ImmutableList<AnnotatedCashFlow> cashFlows(ProratedAccruingFee fee, ProratedLoanTrade trade, com.opengamma.strata.pricer.rate.RatesProvider provider, boolean explain)
Each realized or expected fee cash flow is added to the result.
fee
- trade
- provider
- explain
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