/// <summary>
/// Calculates the present value of a bill trade with z-spread.
/// <para>
/// If the settlement details are provided, the present value is the sum of the underlying product's present value
/// multiplied by the quantity and the present value of the settlement payment if still due at the valuation date.
/// If not it is the underlying product's present value multiplied by the quantity.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of
/// the issuer discounting curve. The z-spread is applied only on the legal entity curve, not on the repo curve used
/// for the settlement amount.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the discounting provider </param>
/// <param name="zSpread"> the z-spread </param>
/// <param name="compoundedRateType"> the compounded rate type </param>
/// <param name="periodsPerYear"> the number of periods per year </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValueWithZSpread(ResolvedBillTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
if (provider.ValuationDate.isAfter(trade.Product.Notional.Date))
{
return(CurrencyAmount.of(trade.Product.Currency, 0.0d));
}
CurrencyAmount pvProduct = productPricer.presentValueWithZSpread(trade.Product, provider, zSpread, compoundedRateType, periodsPerYear).multipliedBy(trade.Quantity);
if (trade.Settlement.Present)
{
RepoCurveDiscountFactors repoDf = DiscountingBillProductPricer.repoCurveDf(trade.Product, provider);
CurrencyAmount pvSettle = paymentPricer.presentValue(trade.Settlement.get(), repoDf.DiscountFactors);
return(pvProduct.plus(pvSettle));
}
return(pvProduct);
}
/// <summary>
/// Calculates the present value sensitivity of a bill trade with z-spread.
/// <para>
/// If the settlement details are provided, the sensitivity is the sum of the underlying product's sensitivity
/// multiplied by the quantity and the sensitivity of the settlement payment if still due at the valuation date.
/// If not it is the underlying product's sensitivity multiplied by the quantity.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of
/// the issuer discounting curve. The z-spread is applied only on the legal entity curve, not on the repo curve used
/// for the settlement amount.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the discounting provider </param>
/// <param name="zSpread"> the z-spread </param>
/// <param name="compoundedRateType"> the compounded rate type </param>
/// <param name="periodsPerYear"> the number of periods per year </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivities presentValueSensitivityWithZSpread(ResolvedBillTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
if (provider.ValuationDate.isAfter(trade.Product.Notional.Date))
{
return(PointSensitivities.empty());
}
PointSensitivities sensiProduct = productPricer.presentValueSensitivityWithZSpread(trade.Product, provider, zSpread, compoundedRateType, periodsPerYear).multipliedBy(trade.Quantity);
if (!trade.Settlement.Present)
{
return(sensiProduct);
}
Payment settlement = trade.Settlement.get();
RepoCurveDiscountFactors repoDf = DiscountingBillProductPricer.repoCurveDf(trade.Product, provider);
PointSensitivities sensiSettle = presentValueSensitivitySettlement(settlement, repoDf);
return(sensiProduct.combinedWith(sensiSettle));
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="productPricer"> the pricer for <seealso cref="ResolvedBill"/> </param>
/// <param name="paymentPricer"> the pricer for <seealso cref="Payment"/> </param>
public DiscountingBillTradePricer(DiscountingBillProductPricer productPricer, DiscountingPaymentPricer paymentPricer)
{
this.productPricer = ArgChecker.notNull(productPricer, "productPricer");
this.paymentPricer = ArgChecker.notNull(paymentPricer, "paymentPricer");
}
