/// <summary>
/// Computes the present value of the payment with z-spread by discounting.
/// <para>
/// The present value is zero if the payment date is before the valuation date.
/// </para>
/// <para>
/// The specified discount factors should be for the payment currency, however this is not validated.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic
/// compounded rates of the discounting curve.
///
/// </para>
/// </summary>
/// <param name="payment"> the payment </param>
/// <param name="discountFactors"> the discount factors to price against </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 </returns>
public virtual CurrencyAmount presentValueWithSpread(Payment payment, DiscountFactors discountFactors, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
if (discountFactors.ValuationDate.isAfter(payment.Date))
{
return(CurrencyAmount.zero(payment.Currency));
}
double df = discountFactors.discountFactorWithSpread(payment.Date, zSpread, compoundedRateType, periodsPerYear);
return(payment.Value.multipliedBy(df));
}
/// <summary>
/// Compute the present value curve sensitivity of the payment with z-spread.
/// <para>
/// The present value sensitivity of the payment is the sensitivity of the
/// present value to the discount factor curve.
/// There is no sensitivity if the payment date is before the valuation date.
/// </para>
/// <para>
/// The specified discount factors should be for the payment currency, however this is not validated.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic
/// compounded rates of the discounting curve.
///
/// </para>
/// </summary>
/// <param name="payment"> the payment </param>
/// <param name="discountFactors"> the discount factors to price against </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 point sensitivity of the present value </returns>
public virtual PointSensitivityBuilder presentValueSensitivityWithSpread(Payment payment, DiscountFactors discountFactors, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
if (discountFactors.ValuationDate.isAfter(payment.Date))
{
return(PointSensitivityBuilder.none());
}
ZeroRateSensitivity sensi = discountFactors.zeroRatePointSensitivityWithSpread(payment.Date, zSpread, compoundedRateType, periodsPerYear);
return(sensi.multipliedBy(payment.Amount));
}
public override ZeroRateSensitivity zeroRatePointSensitivityWithSpread(double yearFraction, Currency sensitivityCurrency, double zSpread, CompoundedRateType compoundedRateType, int periodPerYear)
{
if (Math.Abs(yearFraction) < EFFECTIVE_ZERO)
{
return(ZeroRateSensitivity.of(currency, yearFraction, sensitivityCurrency, 0));
}
if (compoundedRateType.Equals(CompoundedRateType.CONTINUOUS))
{
double discountFactor = discountFactorWithSpread(yearFraction, zSpread, compoundedRateType, periodPerYear);
return(ZeroRateSensitivity.of(currency, yearFraction, sensitivityCurrency, -discountFactor * yearFraction));
}
double df = discountFactor(yearFraction);
double df2 = Math.Pow(df, -1.0 / (yearFraction * periodPerYear));
double df3 = df2 + zSpread / periodPerYear;
double ddfSdz = -yearFraction *Math.Pow(df3, -yearFraction *periodPerYear - 1) * df2;
return(ZeroRateSensitivity.of(currency, yearFraction, sensitivityCurrency, ddfSdz));
}
public virtual void test_of_lookup_null()
{
assertThrows(() => CompoundedRateType.of(null), typeof(System.ArgumentException));
}
public virtual void test_of_lookup_notFound()
{
assertThrows(() => CompoundedRateType.of("Rubbish"), typeof(System.ArgumentException));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_of_lookup(CompoundedRateType convention, String name)
public virtual void test_of_lookup(CompoundedRateType convention, string name)
{
assertEquals(CompoundedRateType.of(name), convention);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "name") public void test_toString(CompoundedRateType convention, String name)
public virtual void test_toString(CompoundedRateType convention, string name)
{
assertEquals(convention.ToString(), name);
}