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Bill product and trade pricers. #1754

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merged 4 commits into from Jul 3, 2018

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@jodastephen jodastephen

@yukiiwashita yukiiwashita

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  v2.0
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@marc-henrard @jodastephen @yukiiwashita
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marc-henrard commented Jun 28, 2018

Pricers for Bill products and trades

  • present value
  • present value sensitivity
  • yield and price
  • currency exposure and current cash
@marc-henrard
Bill product and trade pricers.
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@marc-henrard marc-henrard added the Type:Coverage label Jun 28, 2018

@marc-henrard marc-henrard assigned yukiiwashita Jun 28, 2018

@marc-henrard marc-henrard requested review from yukiiwashita and jodastephen Jun 28, 2018

@marc-henrard marc-henrard unassigned yukiiwashita Jun 28, 2018

Show outdated Hide outdated .../java/com/opengamma/strata/pricer/bond/DiscountingBillProductPricer.java
Show outdated Hide outdated .../java/com/opengamma/strata/pricer/bond/DiscountingBillProductPricer.java
Show outdated Hide outdated .../java/com/opengamma/strata/pricer/bond/DiscountingBillProductPricer.java
Show outdated Hide outdated .../java/com/opengamma/strata/pricer/bond/DiscountingBillProductPricer.java
Show outdated Hide outdated .../java/com/opengamma/strata/pricer/bond/DiscountingBillProductPricer.java
Show outdated Hide outdated ...in/java/com/opengamma/strata/pricer/bond/DiscountingBillTradePricer.java
Show outdated Hide outdated ...in/java/com/opengamma/strata/pricer/bond/DiscountingBillTradePricer.java
Show outdated Hide outdated ...in/java/com/opengamma/strata/pricer/bond/DiscountingBillTradePricer.java
Show outdated Hide outdated ...a/com/opengamma/strata/pricer/bond/DiscountingBillProductPricerTest.java
...es/pricer/src/test/java/com/opengamma/strata/pricer/bond/DiscountingBillTradePricerTest.java
private static final StandardId SECURITY_ID = StandardId.of("OG-Ticker", "GOVT1-BOND1");
private static final StandardId ISSUER_ID = StandardId.of("OG-Ticker", "GOVT1");
private static final BillYieldConvention YIELD_CONVENTION = BillYieldConvention.INTEREST_AT_MATURITY;

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yukiiwashita added some commits Jul 2, 2018

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wrap zero rate sensitivities
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addressed review comments
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@yukiiwashita yukiiwashita merged commit 6e856ea into master Jul 3, 2018
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security/snyk - modules/basics/pom.xml (OpenGamma) No new issues
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security/snyk - modules/calc/pom.xml (OpenGamma) No new issues
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security/snyk - modules/collect/pom.xml (OpenGamma) No new issues
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security/snyk - modules/data/pom.xml (OpenGamma) No new issues
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security/snyk - modules/loader/pom.xml (OpenGamma) No new issues
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security/snyk - modules/market/pom.xml (OpenGamma) No new issues
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security/snyk - modules/math/pom.xml (OpenGamma) No new issues
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security/snyk - modules/measure/pom.xml (OpenGamma) No new issues
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security/snyk - modules/pom.xml (OpenGamma) No new issues
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security/snyk - modules/pricer/pom.xml (OpenGamma) No new issues
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security/snyk - modules/product/pom.xml (OpenGamma) No new issues
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security/snyk - modules/report/pom.xml (OpenGamma) No new issues
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security/snyk - pom.xml (OpenGamma) No new issues
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@jodastephen jodastephen deleted the topic/bill-pricer-2 branch Jul 4, 2018

@jodastephen jodastephen added this to the v2.0 milestone Jul 5, 2018

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