How to use

DiscountingIborFixingDepositProductPricer

in

com.opengamma.strata.pricer.deposit

/**
 * Calculates the deposit fair rate given the start and end time and the accrual factor.
 * 
 * @param trade  the trade
 * @param provider  the rates provider
 * @return the par rate
 */
public double parRate(ResolvedIborFixingDepositTrade trade, RatesProvider provider) {
 return productPricer.parRate(trade.getProduct(), provider);
}

public void test_parSpreadSensitivity_fixing() {
 PointSensitivities computedNoFix = PRICER.parSpreadSensitivity(RDEPOSIT, IMM_PROV_NOFIX);
 PointSensitivities computedFix = PRICER.parSpreadSensitivity(RDEPOSIT, IMM_PROV_FIX);
 assertTrue(computedNoFix.equalWithTolerance(computedFix, TOLERANCE_PV_DELTA));
 PointSensitivities computedParRateFix = PRICER.parRateSensitivity(RDEPOSIT, IMM_PROV_FIX);
 assertTrue(computedParRateFix.equalWithTolerance(computedFix, TOLERANCE_PV_DELTA));
}

/**
 * Calculates the spread to be added to the deposit rate to have a zero present value.
 * 
 * @param trade  the trade
 * @param provider  the rates provider
 * @return the par spread
 */
public double parSpread(ResolvedIborFixingDepositTrade trade, RatesProvider provider) {
 return productPricer.parSpread(trade.getProduct(), provider);
}

public void test_parSpreadSensitivity_noFixing() {
 PointSensitivities computedNoFix = PRICER.parSpreadSensitivity(RDEPOSIT, IMM_PROV_NOFIX);
 CurrencyParameterSensitivities sensiComputedNoFix = IMM_PROV_NOFIX.parameterSensitivity(computedNoFix);
 CurrencyParameterSensitivities sensiExpected =
   CAL_FD.sensitivity(IMM_PROV_NOFIX, (p) -> CurrencyAmount.of(EUR, PRICER.parSpread(RDEPOSIT, (p))));
 assertTrue(sensiComputedNoFix.equalWithTolerance(sensiExpected, TOLERANCE_RATE_DELTA));
 // Par rate and par spread sensitivities are equal
 PointSensitivities computedParRateNoFix = PRICER.parRateSensitivity(RDEPOSIT, IMM_PROV_NOFIX);
 CurrencyParameterSensitivities sensiComputedParRateNoFix = IMM_PROV_NOFIX.parameterSensitivity(computedParRateNoFix);
 assertTrue(sensiComputedNoFix.equalWithTolerance(sensiComputedParRateNoFix, TOLERANCE_RATE_DELTA));
 PointSensitivities computedFix = PRICER.parSpreadSensitivity(RDEPOSIT, IMM_PROV_FIX);
 CurrencyParameterSensitivities sensiComputedFix = IMM_PROV_NOFIX.parameterSensitivity(computedFix);
 assertTrue(sensiComputedFix.equalWithTolerance(sensiExpected, TOLERANCE_RATE_DELTA));
}

/**
 * Calculates the present value of the Ibor fixing deposit trade.
 * <p>
 * The present value of the trade is the value on the valuation date.
 * 
 * @param trade  the trade
 * @param provider  the rates provider
 * @return the present value of the product
 */
public CurrencyAmount presentValue(ResolvedIborFixingDepositTrade trade, RatesProvider provider) {
 return productPricer.presentValue(trade.getProduct(), provider);
}

public void test_presentValueSensitivity_noFixing() {
 PointSensitivities computed = PRICER.presentValueSensitivity(RDEPOSIT, IMM_PROV_NOFIX);
 CurrencyParameterSensitivities sensiComputed = IMM_PROV_NOFIX.parameterSensitivity(computed);
 CurrencyParameterSensitivities sensiExpected =
   CAL_FD.sensitivity(IMM_PROV_NOFIX, (p) -> PRICER.presentValue(RDEPOSIT, (p)));
 assertTrue(sensiComputed.equalWithTolerance(sensiExpected, NOTIONAL * EPS_FD));
}

public void test_parRate() {
 double parRate = PRICER.parRate(RDEPOSIT, IMM_PROV_NOFIX);
 IborFixingDeposit deposit0 = DEPOSIT.toBuilder().fixedRate(parRate).build();
 CurrencyAmount pv0 = PRICER.presentValue(deposit0.resolve(REF_DATA), IMM_PROV_NOFIX);
 assertEquals(pv0.getAmount(), 0, TOLERANCE_RATE);
 double parRate2 = PRICER.parRate(RDEPOSIT, IMM_PROV_NOFIX);
 assertEquals(parRate, parRate2, TOLERANCE_RATE);
}

public void test_parSpread_noFixing() {
 double parSpread = PRICER.parSpread(RDEPOSIT, IMM_PROV_NOFIX);
 IborFixingDeposit deposit0 = DEPOSIT.toBuilder().fixedRate(RATE + parSpread).build();
 CurrencyAmount pv0 = PRICER.presentValue(deposit0.resolve(REF_DATA), IMM_PROV_NOFIX);
 assertEquals(pv0.getAmount(), 0, TOLERANCE_RATE);
 double parSpread2 = PRICER.parSpread(RDEPOSIT, IMM_PROV_NOFIX);
 assertEquals(parSpread, parSpread2, TOLERANCE_RATE);
}

/**
 * Calculates the deposit fair rate sensitivity to the curves.
 * 
 * @param trade  the trade
 * @param provider  the rates provider
 * @return the par rate curve sensitivity
 */
public PointSensitivities parRateSensitivity(ResolvedIborFixingDepositTrade trade, RatesProvider provider) {
 return productPricer.parRateSensitivity(trade.getProduct(), provider);
}

/**
 * Calculates the par spread curve sensitivity.
 * 
 * @param trade  the trade
 * @param provider  the rates provider
 * @return the par spread curve sensitivity
 */
public PointSensitivities parSpreadSensitivity(ResolvedIborFixingDepositTrade trade, RatesProvider provider) {
 return productPricer.parSpreadSensitivity(trade.getProduct(), provider);
}

/**
 * Calculates the present value sensitivity of the Ibor fixing deposit 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(ResolvedIborFixingDepositTrade trade, RatesProvider provider) {
 return productPricer.presentValueSensitivity(trade.getProduct(), provider);
}

/**
 * Calculates the present value sensitivity of the Ibor fixing product.
 * <p>
 * The present value sensitivity of the product is the sensitivity of the present value to
 * the underlying curves.
 * 
 * @param deposit  the product
 * @param provider  the rates provider
 * @return the point sensitivity of the present value
 */
public PointSensitivities presentValueSensitivity(ResolvedIborFixingDeposit deposit, RatesProvider provider) {
 double forwardRate = forwardRate(deposit, provider);
 DiscountFactors discountFactors = provider.discountFactors(deposit.getCurrency());
 double discountFactor = discountFactors.discountFactor(deposit.getEndDate());
 // sensitivity
 PointSensitivityBuilder sensiFwd = forwardRateSensitivity(deposit, provider)
   .multipliedBy(-discountFactor * deposit.getNotional() * deposit.getYearFraction());
 PointSensitivityBuilder sensiDsc = discountFactors.zeroRatePointSensitivity(deposit.getEndDate())
   .multipliedBy(deposit.getNotional() * deposit.getYearFraction() * (deposit.getFixedRate() - forwardRate));
 return sensiFwd.combinedWith(sensiDsc).build();
}

/**
 * Calculates the deposit fair rate given the start and end time and the accrual factor.
 * 
 * @param deposit  the product
 * @param provider  the rates provider
 * @return the par rate
 */
public double parRate(ResolvedIborFixingDeposit deposit, RatesProvider provider) {
 return forwardRate(deposit, provider);
}

/**
 * Calculates the par spread curve sensitivity.
 * 
 * @param deposit  the product
 * @param provider  the rates provider
 * @return the par spread curve sensitivity
 */
public PointSensitivities parSpreadSensitivity(ResolvedIborFixingDeposit deposit, RatesProvider provider) {
 return forwardRateSensitivity(deposit, provider).build();
}

public void test_presentValue_fixing() {
 CurrencyAmount computedNoFix = PRICER.presentValue(RDEPOSIT, IMM_PROV_NOFIX);
 CurrencyAmount computedFix = PRICER.presentValue(RDEPOSIT, IMM_PROV_FIX); // Fixing should not be taken into account
 assertEquals(computedFix.getCurrency(), EUR);
 assertEquals(computedFix.getAmount(), computedNoFix.getAmount(), TOLERANCE_PV);
}

public void test_parRateSensitivity() {
 PointSensitivities ptsTrade = PRICER_TRADE.parRateSensitivity(RDEPOSIT_TRADE, IMM_PROV);
 PointSensitivities ptsProduct = PRICER_PRODUCT.parRateSensitivity(RDEPOSIT_PRODUCT, IMM_PROV);
 assertTrue(ptsTrade.equalWithTolerance(ptsProduct, TOLERANCE_PV_DELTA));
}

public void test_parSpreadSensitivity() {
 PointSensitivities ptsTrade = PRICER_TRADE.parSpreadSensitivity(RDEPOSIT_TRADE, IMM_PROV);
 PointSensitivities ptsProduct = PRICER_PRODUCT.parSpreadSensitivity(RDEPOSIT_PRODUCT, IMM_PROV);
 assertTrue(ptsTrade.equalWithTolerance(ptsProduct, TOLERANCE_PV_DELTA));    
}

public void test_presentValueSensitivity_fixing() {
 PointSensitivities computedNoFix = PRICER.presentValueSensitivity(RDEPOSIT, IMM_PROV_NOFIX);
 CurrencyParameterSensitivities sensiComputedNoFix = IMM_PROV_NOFIX.parameterSensitivity(computedNoFix);
 PointSensitivities computedFix = PRICER.presentValueSensitivity(RDEPOSIT, IMM_PROV_FIX);
 CurrencyParameterSensitivities sensiComputedFix = IMM_PROV_NOFIX.parameterSensitivity(computedFix);
 assertTrue(sensiComputedNoFix.equalWithTolerance(sensiComputedFix, TOLERANCE_PV_DELTA));
}

/**
 * Calculates the spread to be added to the deposit rate to have a zero present value.
 * 
 * @param deposit  the product
 * @param provider  the rates provider
 * @return the par spread
 */
public double parSpread(ResolvedIborFixingDeposit deposit, RatesProvider provider) {
 return forwardRate(deposit, provider) - deposit.getFixedRate();
}

/**
 * Calculates the deposit fair rate sensitivity to the curves.
 * 
 * @param deposit  the product
 * @param provider  the rates provider
 * @return the par rate curve sensitivity
 */
public PointSensitivities parRateSensitivity(ResolvedIborFixingDeposit deposit, RatesProvider provider) {
 return forwardRateSensitivity(deposit, provider).build();
}