//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the fixed coupon bond trade.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to
/// the underlying curves.
/// </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>
/// <returns> the present value curve sensitivity of the trade </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider)
{
LocalDate settlementDate = this.settlementDate(trade, provider.ValuationDate);
PointSensitivityBuilder sensiProduct = productPricer.presentValueSensitivity(trade.Product, provider, settlementDate);
return(presentValueSensitivityFromProductPresentValueSensitivity(trade, provider, sensiProduct).build());
}
/// <summary>
/// Calculates the present value sensitivity of the fixed coupon bond trade with z-spread.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of the present value to
/// the underlying curves.
/// </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="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 trade </returns>
public virtual PointSensitivities presentValueSensitivityWithZSpread(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
LocalDate settlementDate = this.settlementDate(trade, provider.ValuationDate);
PointSensitivityBuilder sensiProduct = productPricer.presentValueSensitivityWithZSpread(trade.Product, provider, zSpread, compoundedRateType, periodsPerYear, settlementDate);
return(presentValueSensitivityFromProductPresentValueSensitivity(trade, provider, sensiProduct).build());
}
/// <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)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the fixed coupon bond trade.
/// <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>
/// <returns> the present value of the fixed coupon bond trade </returns>
public virtual CurrencyAmount presentValue(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider)
{
LocalDate settlementDate = this.settlementDate(trade, provider.ValuationDate);
CurrencyAmount pvProduct = productPricer.presentValue(trade.Product, provider, settlementDate);
return(presentValueFromProductPresentValue(trade, provider, pvProduct));
}
/// <summary>
/// Calculates the present value of the fixed coupon bond trade with z-spread.
/// <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="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 presentValueWithZSpread(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
LocalDate settlementDate = this.settlementDate(trade, provider.ValuationDate);
CurrencyAmount pvProduct = productPricer.presentValueWithZSpread(trade.Product, provider, zSpread, compoundedRateType, periodsPerYear, settlementDate);
return(presentValueFromProductPresentValue(trade, provider, pvProduct));
}
//-------------------------------------------------------------------------
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));
}
// market quote bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider ratesProvider)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
return(MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider).multipliedBy(ONE_BASIS_POINT));
}
private CurrencyAmount presentValueFromProductPresentValue(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, CurrencyAmount productPresentValue)
{
CurrencyAmount pvProduct = productPresentValue.multipliedBy(trade.Quantity);
CurrencyAmount pvPayment = presentValuePayment(trade, provider);
return(pvProduct.plus(pvPayment));
}
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>
/// 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));
}
/// <summary>
/// Calculates the current cash of the fixed coupon bond trade.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="valuationDate"> the valuation date </param>
/// <returns> the current cash amount </returns>
public virtual CurrencyAmount currentCash(ResolvedFixedCouponBondTrade trade, LocalDate valuationDate)
{
Payment upfrontPayment = this.upfrontPayment(trade);
Currency currency = upfrontPayment.Currency; // assumes single currency is involved in trade
CurrencyAmount currentCash = CurrencyAmount.zero(currency);
if (upfrontPayment.Date.Equals(valuationDate))
{
currentCash = currentCash.plus(upfrontPayment.Value);
}
if (trade.Settlement.Present)
{
LocalDate settlementDate = trade.Settlement.get().SettlementDate;
ResolvedFixedCouponBond product = trade.Product;
if (!settlementDate.isAfter(valuationDate))
{
double cashCoupon = product.hasExCouponPeriod() ? 0d : currentCashCouponPayment(product, valuationDate);
Payment payment = product.NominalPayment;
double cashNominal = payment.Date.isEqual(valuationDate) ? payment.Amount : 0d;
currentCash = currentCash.plus(CurrencyAmount.of(currency, (cashCoupon + cashNominal) * trade.Quantity));
}
}
return(currentCash);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value across one or more scenarios.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="lookup"> the lookup used to query the market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value, one entry per scenario </returns>
public virtual CurrencyScenarioArray presentValue(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.presentValue(trade, lookup.marketDataView(marketData)));
}
/// <summary>
/// Calculates current cash for a single set of market data.
/// <para>
/// The sum of all cash flows paid on the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <returns> the current cash </returns>
public virtual CurrencyAmount currentCash(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider ratesProvider)
{
return(calc.currentCash(trade, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates currency exposure across one or more scenarios.
/// <para>
/// The currency risk, expressed as the equivalent amount in each currency.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="lookup"> the lookup used to query the market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the currency exposure, one entry per scenario </returns>
public virtual MultiCurrencyScenarioArray currencyExposure(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.currencyExposure(trade, lookup.marketDataView(marketData)));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedFixedCouponBondTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) present value"/>
/// to a one basis point shift in the market quotes used to calibrate the curves.
/// The result is provided for each affected curve and currency, bucketed by curve node.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <returns> the present value sensitivity </returns>
public virtual CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider ratesProvider)
{
return(calc.pv01MarketQuoteBucketed(trade, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure of the fixed coupon bond trade.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the discounting provider </param>
/// <returns> the currency exposure of the fixed coupon bond trade </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider)
{
return(MultiCurrencyAmount.of(presentValue(trade, provider)));
}
// current cash for one scenario
internal CurrencyAmount currentCash(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
return(tradePricer.currentCash(trade, discountingProvider.ValuationDate));
}
//-------------------------------------------------------------------------
// calculate the settlement date
private LocalDate settlementDate(ResolvedFixedCouponBondTrade trade, LocalDate valuationDate)
{
return(trade.Settlement.map(settle => settle.SettlementDate).orElse(valuationDate));
}
/// <summary>
/// Calculates the currency exposure of the fixed coupon bond trade with z-spread.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the discounting 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 currency exposure of the fixed coupon bond trade </returns>
public virtual MultiCurrencyAmount currencyExposureWithZSpread(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
return(MultiCurrencyAmount.of(presentValueWithZSpread(trade, provider, zSpread, compoundedRateType, periodsPerYear)));
}
/// <summary>
/// Calculates present value for a single set of market data.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider ratesProvider)
{
return(calc.presentValue(trade, ratesProvider));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedFixedCouponBondTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) present value"/>
/// to a one basis point shift in the calibrated curves.
/// The result is the sum of the sensitivities of all affected curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="lookup"> the lookup used to query the market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value sensitivity, one entry per scenario </returns>
public virtual MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.pv01CalibratedSum(trade, lookup.marketDataView(marketData)));
}
// present value for one scenario
internal CurrencyAmount presentValue(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
return(tradePricer.presentValue(trade, discountingProvider));
}
// currency exposure for one scenario
internal MultiCurrencyAmount currencyExposure(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
return(tradePricer.currencyExposure(trade, discountingProvider));
}
//-------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedBucketed(trade, marketData.scenario(i).discountingProvider())));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal CurrencyScenarioArray presentValue(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => presentValue(trade, marketData.scenario(i).discountingProvider())));
}
private PointSensitivityBuilder presentValueSensitivityFromProductPresentValueSensitivity(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, PointSensitivityBuilder productPresnetValueSensitivity)
{
PointSensitivityBuilder sensiProduct = productPresnetValueSensitivity.multipliedBy(trade.Quantity);
PointSensitivityBuilder sensiPayment = presentValueSensitivityPayment(trade, provider);
return(sensiProduct.combinedWith(sensiPayment));
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
internal MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedSum(trade, marketData.scenario(i).discountingProvider())));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedFixedCouponBondTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) present value"/>
/// to a one basis point shift in the market quotes used to calibrate the curves.
/// The result is the sum of the sensitivities of all affected curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <returns> the present value sensitivity </returns>
public virtual MultiCurrencyAmount pv01MarketQuoteSum(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider ratesProvider)
{
return(calc.pv01MarketQuoteSum(trade, ratesProvider));
}
// calibrated bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider discountingProvider)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, discountingProvider);
return(discountingProvider.parameterSensitivity(pointSensitivity).multipliedBy(ONE_BASIS_POINT));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates present value sensitivity across one or more scenarios.
/// <para>
/// This is the sensitivity of
/// <seealso cref="#presentValue(ResolvedFixedCouponBondTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) present value"/>
/// to a one basis point shift in the market quotes used to calibrate the curves.
/// The result is provided for each affected curve and currency, bucketed by curve node.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="lookup"> the lookup used to query the market data </param>
/// <param name="marketData"> the market data </param>
/// <returns> the present value sensitivity, one entry per scenario </returns>
public virtual ScenarioArray <CurrencyParameterSensitivities> pv01MarketQuoteBucketed(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingMarketDataLookup lookup, ScenarioMarketData marketData)
{
return(calc.pv01MarketQuoteBucketed(trade, lookup.marketDataView(marketData)));
}
