//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the fixed coupon bond trade 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>
/// 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>
/// <returns> the present value of the fixed coupon bond trade </returns>
public virtual CurrencyAmount presentValueFromCleanPrice(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, ReferenceData refData, double cleanPrice)
{
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.presentValueCoupon(product, issuerDf, tradeSettlementDate, standardSettlementDate);
}
else
{
pvDiff = -productPricer.presentValueCoupon(product, issuerDf, standardSettlementDate, tradeSettlementDate);
}
return(presentValueFromProductPresentValue(trade, provider, CurrencyAmount.of(currency, pvStandard + pvDiff)));
}
public virtual void test_dirtyPriceFromCleanPrice_cleanPriceFromDirtyPrice()
{
double dirtyPrice = PRICER.dirtyPriceFromCurves(PRODUCT, PROVIDER, REF_DATA);
LocalDate settlement = DATE_OFFSET.adjust(VAL_DATE, REF_DATA);
double cleanPrice = PRICER.cleanPriceFromDirtyPrice(PRODUCT, settlement, dirtyPrice);
double accruedInterest = PRICER.accruedInterest(PRODUCT, settlement);
assertEquals(cleanPrice, dirtyPrice - accruedInterest / NOTIONAL, NOTIONAL * TOL);
double dirtyPriceRe = PRICER.dirtyPriceFromCleanPrice(PRODUCT, settlement, cleanPrice);
assertEquals(dirtyPriceRe, dirtyPrice, TOL);
}