//-------------------------------------------------------------------------
public virtual void test_multipliedBy()
{
IssuerCurveZeroRateSensitivity @base = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE);
double rate = 2.4d;
IssuerCurveZeroRateSensitivity test = @base.multipliedBy(rate);
IssuerCurveZeroRateSensitivity expected = IssuerCurveZeroRateSensitivity.of(CURRENCY, YEARFRAC, GROUP, VALUE * rate);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of a single fixed coupon payment period.
/// <para>
/// The present value sensitivity of the period is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="period"> the period to price </param>
/// <param name="discountFactors"> the discount factor provider </param>
/// <returns> the present value curve sensitivity of the period </returns>
public virtual PointSensitivityBuilder presentValueSensitivity(FixedCouponBondPaymentPeriod period, IssuerCurveDiscountFactors discountFactors)
{
if (period.PaymentDate.isBefore(discountFactors.ValuationDate))
{
return(PointSensitivityBuilder.none());
}
IssuerCurveZeroRateSensitivity dscSensi = discountFactors.zeroRatePointSensitivity(period.PaymentDate);
return(dscSensi.multipliedBy(period.FixedRate * period.Notional * period.YearFraction));
}
/// <summary>
/// Calculates the present value sensitivity of a single fixed coupon payment period with z-spread.
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic
/// compounded rates of the discounting curve.
/// </para>
/// <para>
/// The present value sensitivity of the period is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="period"> the period to price </param>
/// <param name="discountFactors"> the discount factor 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 curve sensitivity of the period </returns>
public virtual PointSensitivityBuilder presentValueSensitivityWithSpread(FixedCouponBondPaymentPeriod period, IssuerCurveDiscountFactors discountFactors, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
if (period.PaymentDate.isBefore(discountFactors.ValuationDate))
{
return(PointSensitivityBuilder.none());
}
ZeroRateSensitivity zeroSensi = discountFactors.DiscountFactors.zeroRatePointSensitivityWithSpread(period.PaymentDate, zSpread, compoundedRateType, periodsPerYear);
IssuerCurveZeroRateSensitivity dscSensi = IssuerCurveZeroRateSensitivity.of(zeroSensi, discountFactors.LegalEntityGroup);
return(dscSensi.multipliedBy(period.FixedRate * period.Notional * period.YearFraction));
}
/// <summary>
/// Calculates the present value sensitivity of a single payment period with z-spread.
/// <para>
/// The present value sensitivity of the period is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="period"> the period to price </param>
/// <param name="ratesProvider"> the rates provider, used to determine price index values </param>
/// <param name="issuerDiscountFactors"> the discount factor 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 curve sensitivity of the period </returns>
public virtual PointSensitivityBuilder presentValueSensitivityWithZSpread(CapitalIndexedBondPaymentPeriod period, RatesProvider ratesProvider, IssuerCurveDiscountFactors issuerDiscountFactors, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
if (period.PaymentDate.isBefore(ratesProvider.ValuationDate))
{
return(PointSensitivityBuilder.none());
}
double rate = rateComputationFn.rate(period.RateComputation, period.StartDate, period.EndDate, ratesProvider);
PointSensitivityBuilder rateSensi = rateComputationFn.rateSensitivity(period.RateComputation, period.StartDate, period.EndDate, ratesProvider);
double df = issuerDiscountFactors.DiscountFactors.discountFactorWithSpread(period.PaymentDate, zSpread, compoundedRateType, periodsPerYear);
ZeroRateSensitivity zeroSensi = issuerDiscountFactors.DiscountFactors.zeroRatePointSensitivityWithSpread(period.PaymentDate, zSpread, compoundedRateType, periodsPerYear);
IssuerCurveZeroRateSensitivity dfSensi = IssuerCurveZeroRateSensitivity.of(zeroSensi, issuerDiscountFactors.LegalEntityGroup);
double factor = period.Notional * period.RealCoupon;
return(rateSensi.multipliedBy(df * factor).combinedWith(dfSensi.multipliedBy((rate + 1d) * factor)));
}
