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);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the payment that was made for the trade.
/// <para>
/// This is the payment that was made on the settlement date, based on the quantity and clean price.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <returns> the payment that was made </returns>
public virtual Payment upfrontPayment(ResolvedFixedCouponBondTrade trade)
{
ResolvedFixedCouponBond product = trade.Product;
Currency currency = product.Currency;
if (!trade.Settlement.Present)
{
return(Payment.of(CurrencyAmount.zero(currency), product.StartDate)); // date doesn't matter as it is zero
}
// payment is based on the dirty price
ResolvedFixedCouponBondSettlement settlement = trade.Settlement.get();
LocalDate settlementDate = settlement.SettlementDate;
double cleanPrice = settlement.Price;
double dirtyPrice = productPricer.dirtyPriceFromCleanPrice(product, settlementDate, cleanPrice);
// calculate payment
double quantity = trade.Quantity;
double notional = product.Notional;
return(Payment.of(CurrencyAmount.of(currency, -quantity * notional * dirtyPrice), settlementDate));
}