/// <summary>
/// Calculates the present value of the fixed coupon bond trade with z-spread from the
/// clean price of the underlying product.
/// <para>
/// The present value of the trade is the value on the valuation date.
/// The result is expressed using the payment currency of the bond.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic
/// compounded rates of the discounting curve.
/// </para>
/// <para>
/// Coupon payments of the underlying product are considered based on the settlement date of the trade.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the discounting provider </param>
/// <param name="refData"> the reference data used to calculate the settlement date </param>
/// <param name="cleanPrice"> the clean price </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 of the fixed coupon bond trade </returns>
public virtual CurrencyAmount presentValueFromCleanPriceWithZSpread(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, ReferenceData refData, double cleanPrice, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
ResolvedFixedCouponBond product = trade.Product;
LocalDate standardSettlementDate = this.standardSettlementDate(product, provider, refData);
LocalDate tradeSettlementDate = settlementDate(trade, provider.ValuationDate);
Currency currency = product.Currency;
RepoCurveDiscountFactors repoDf = DiscountingFixedCouponBondProductPricer.repoCurveDf(product, provider);
double df = repoDf.discountFactor(standardSettlementDate);
double pvStandard = (cleanPrice * product.Notional + productPricer.accruedInterest(product, standardSettlementDate)) * df;
if (standardSettlementDate.isEqual(tradeSettlementDate))
{
return(presentValueFromProductPresentValue(trade, provider, CurrencyAmount.of(currency, pvStandard)));
}
// check coupon payment between two settlement dates
IssuerCurveDiscountFactors issuerDf = DiscountingFixedCouponBondProductPricer.issuerCurveDf(product, provider);
double pvDiff = 0d;
if (standardSettlementDate.isAfter(tradeSettlementDate))
{
pvDiff = productPricer.presentValueCouponWithZSpread(product, issuerDf, tradeSettlementDate, standardSettlementDate, zSpread, compoundedRateType, periodsPerYear);
}
else
{
pvDiff = -productPricer.presentValueCouponWithZSpread(product, issuerDf, standardSettlementDate, tradeSettlementDate, zSpread, compoundedRateType, periodsPerYear);
}
return(presentValueFromProductPresentValue(trade, provider, CurrencyAmount.of(currency, pvStandard + pvDiff)));
}
//-------------------------------------------------------------------------
private CurrencyAmount presentValuePayment(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider)
{
RepoCurveDiscountFactors repoDf = DiscountingFixedCouponBondProductPricer.repoCurveDf(trade.Product, provider);
Payment upfrontPayment = this.upfrontPayment(trade);
return(paymentPricer.presentValue(upfrontPayment, repoDf.DiscountFactors));
}
private PointSensitivityBuilder presentValueSensitivityPayment(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider)
{
RepoCurveDiscountFactors repoDf = DiscountingFixedCouponBondProductPricer.repoCurveDf(trade.Product, provider);
Payment upfrontPayment = this.upfrontPayment(trade);
PointSensitivityBuilder pt = paymentPricer.presentValueSensitivity(upfrontPayment, repoDf.DiscountFactors);
if (pt is ZeroRateSensitivity)
{
return(RepoCurveZeroRateSensitivity.of((ZeroRateSensitivity)pt, repoDf.RepoGroup));
}
return(pt); // NoPointSensitivity
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="productPricer"> the pricer for <seealso cref="ResolvedFixedCouponBond"/> </param>
/// <param name="paymentPricer"> the pricer for <seealso cref="Payment"/> </param>
public DiscountingFixedCouponBondTradePricer(DiscountingFixedCouponBondProductPricer productPricer, DiscountingPaymentPricer paymentPricer)
{
this.productPricer = ArgChecker.notNull(productPricer, "productPricer");
this.paymentPricer = ArgChecker.notNull(paymentPricer, "paymentPricer");
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="bondPricer"> the pricer for <seealso cref="ResolvedFixedCouponBond"/>. </param>
public DiscountingBondFutureProductPricer(DiscountingFixedCouponBondProductPricer bondPricer)
{
this.bondPricer = ArgChecker.notNull(bondPricer, "bondPricer");
}
