Ass 2/3

1
Ass 2/3 One Solution
2
Instruments Portfolios
sax.DocumentHandler
FinancialEntityFactory FinancialEntity
make(String) register(FinancialEntity)

prototypes

Portfolio
3
Pricing Functions
prototypes

1
1
BondPricingFunction
EquityPricingFunction
FXFuturesPricingFunction
2
1..2
IRCurve
EquityIndex
FXRate
4
Pricing Function Code

• public class EquityPricingFunction extends
  PricingFunction
• public boolean canPrice(FinancialEntity fe)
• return fe instanceof Equity
• public double value(FinancialEntity fe,
  Scenario s)
• Equity e (Equity)fe
• public initialize(FinancialEntity fe)
• Equity e (Equity)fe
• equityIndex MarketData.getEquityIndex(fe
  .currency())
• private EquityIndex equityIndex

5
MarketData
MarketData name currency static
getEquityIndex(currency) activate(Scenario,
Shift) deactivate(Scenario)
returns
IRCurveShift
IRCurveSwitch

Shift
indexed by active scenario
6
Scenarios
ScenarioSet

1

MarketData activate(Scenario, Shift)
on
7
Object Diagram
ScenarioSet
IRCurveImpl
Potfolio
8
Scenario Activation

• Thread.run()
• int tid ThreadSet.getNextId()
• while(ScenarioSet.stillMore())
• Scenario s ScenarioSet.getNextScenarioToP
  rocess()
• s.activate(tid)
• s.saveResult(Portfolio.getRoot().value(s))
  
• s.deactivate()
• Scenario.activate(tid)
• for each Shift s
• shift.activate(this)
• Shift.activate(Scenario s)
• marketData.activate(s, this)

9
MarketData Pricing Code

• public class EquityIndexImpl extends EquityIndex
  
• public double get(Scenario s)
• return level
• double level
• public class EquityIndexShift extends EquityIndex
  
• public double get(Scenario s)
• return e.get(s) (1shift.getPercentage()
  )
• EquityIndex e
• Shift shift
• public class EquityIndexSwitch extends
  EquityIndex
• public double get(Scenario s)
• if(s null)
• return eq.get(s)