//-------------------------------------------------------------------------
// query the forward rate
private double forwardRate(ResolvedIborFixingDeposit product, RatesProvider provider)
{
IborIndexRates rates = provider.iborIndexRates(product.FloatingRate.Index);
// The IborFixingDeposit are fictitious instruments to anchor the beginning of the IborIndex forward curve.
// By using the 'rateIgnoringTimeSeries' method (instead of 'rate') we ensure that only the forward curve is involved.
return(rates.rateIgnoringFixings(product.FloatingRate.Observation));
}
/// <summary>
/// Calculates the present value sensitivity of the Ibor fixing product.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="deposit"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the point sensitivity of the present value </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedIborFixingDeposit deposit, RatesProvider provider)
{
double forwardRate = this.forwardRate(deposit, provider);
DiscountFactors discountFactors = provider.discountFactors(deposit.Currency);
double discountFactor = discountFactors.discountFactor(deposit.EndDate);
// sensitivity
PointSensitivityBuilder sensiFwd = forwardRateSensitivity(deposit, provider).multipliedBy(-discountFactor * deposit.Notional * deposit.YearFraction);
PointSensitivityBuilder sensiDsc = discountFactors.zeroRatePointSensitivity(deposit.EndDate).multipliedBy(deposit.Notional * deposit.YearFraction * (deposit.FixedRate - forwardRate));
return(sensiFwd.combinedWith(sensiDsc).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the Ibor fixing deposit product.
/// <para>
/// The present value of the product is the value on the valuation date.
///
/// </para>
/// </summary>
/// <param name="deposit"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the present value of the product </returns>
public virtual CurrencyAmount presentValue(ResolvedIborFixingDeposit deposit, RatesProvider provider)
{
Currency currency = deposit.Currency;
if (provider.ValuationDate.isAfter(deposit.EndDate))
{
return(CurrencyAmount.of(currency, 0.0d));
}
double forwardRate = this.forwardRate(deposit, provider);
double discountFactor = provider.discountFactor(currency, deposit.EndDate);
double fv = deposit.Notional * deposit.YearFraction * (deposit.FixedRate - forwardRate);
double pv = discountFactor * fv;
return(CurrencyAmount.of(currency, pv));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the deposit fair rate given the start and end time and the accrual factor.
/// </summary>
/// <param name="deposit"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par rate </returns>
public virtual double parRate(ResolvedIborFixingDeposit deposit, RatesProvider provider)
{
return(forwardRate(deposit, provider));
}
// query the forward rate sensitivity
private PointSensitivityBuilder forwardRateSensitivity(ResolvedIborFixingDeposit product, RatesProvider provider)
{
IborIndexRates rates = provider.iborIndexRates(product.FloatingRate.Index);
return(rates.rateIgnoringFixingsPointSensitivity(product.FloatingRate.Observation));
}
/// <summary>
/// Calculates the par spread curve sensitivity.
/// </summary>
/// <param name="deposit"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par spread curve sensitivity </returns>
public virtual PointSensitivities parSpreadSensitivity(ResolvedIborFixingDeposit deposit, RatesProvider provider)
{
return(forwardRateSensitivity(deposit, provider).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the spread to be added to the deposit rate to have a zero present value.
/// </summary>
/// <param name="deposit"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par spread </returns>
public virtual double parSpread(ResolvedIborFixingDeposit deposit, RatesProvider provider)
{
return(forwardRate(deposit, provider) - deposit.FixedRate);
}