//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price of the bond future product.
/// <para>
/// The price of the product is the price on the valuation date.
/// </para>
/// <para>
/// Strata uses <i>decimal prices</i> for bond futures. This is coherent with the pricing of <seealso cref="FixedCouponBond"/>.
/// For example, a price of 99.32% is represented in Strata by 0.9932.
///
/// </para>
/// </summary>
/// <param name="future"> the future </param>
/// <param name="discountingProvider"> the discounting provider </param>
/// <returns> the price of the product, in decimal form </returns>
public double price(ResolvedBondFuture future, LegalEntityDiscountingProvider discountingProvider)
{
ImmutableList <ResolvedFixedCouponBond> basket = future.DeliveryBasket;
int size = basket.size();
double[] priceBonds = new double[size];
for (int i = 0; i < size; ++i)
{
ResolvedFixedCouponBond bond = basket.get(i);
double dirtyPrice = bondPricer.dirtyPriceFromCurves(bond, discountingProvider, future.LastDeliveryDate);
priceBonds[i] = bondPricer.cleanPriceFromDirtyPrice(bond, future.LastDeliveryDate, dirtyPrice) / future.ConversionFactors.get(i);
}
return(Doubles.min(priceBonds));
}
/// <param name="function"> The function, not null </param>
/// <param name="x0"> The starting point, not null </param>
protected internal virtual void checkInputs(System.Func <DoubleArray, DoubleArray> function, DoubleArray x0)
{
ArgChecker.notNull(function, "function");
ArgChecker.notNull(x0, "x0");
int n = x0.size();
for (int i = 0; i < n; i++)
{
if (!Doubles.isFinite(x0.get(i)))
{
throw new System.ArgumentException("Invalid start position x0 = " + x0.ToString());
}
}
DoubleArray y = function(x0);
int m = y.size();
for (int i = 0; i < m; i++)
{
if (!Doubles.isFinite(y.get(i)))
{
throw new System.ArgumentException("Invalid start position f(x0) = " + y.ToString());
}
}
}
