// calculates present value for one scenario
internal CurrencyAmount presentValue(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)
{
return(tradePricer.presentValue(trade, ratesProvider, priceType, refData));
}
// internal price computation with specified coupon rate
internal virtual double price(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, double fractionalSpread, PriceType priceType, ReferenceData refData)
{
LocalDate settlementDate = calculateSettlementDate(trade, ratesProvider, refData);
return(productPricer.price(trade.Product, ratesProvider, fractionalSpread, settlementDate, priceType, refData));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price of the underlying product, which is the present value per unit notional.
/// <para>
/// This method can calculate the clean or dirty price, see <seealso cref="PriceType"/>.
/// If calculating the clean price, the accrued interest is calculated based on the step-in date.
/// </para>
/// <para>
/// This is coherent to <seealso cref="#presentValueOnSettle(ResolvedCdsTrade, CreditRatesProvider, PriceType, ReferenceData)"/>.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="priceType"> the price type </param>
/// <param name="refData"> the reference data </param>
/// <returns> the price </returns>
public virtual double price(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)
{
return(price(trade, ratesProvider, trade.Product.FixedRate, priceType, refData));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the risky PV01 of the underlying product.
/// <para>
/// RPV01 is defined as minus of the present value sensitivity to coupon rate.
/// </para>
/// <para>
/// This is computed based on the settlement date rather than the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="priceType"> the price type </param>
/// <param name="refData"> the reference date </param>
/// <returns> the RPV01 </returns>
public virtual CurrencyAmount rpv01OnSettle(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)
{
LocalDate settlementDate = calculateSettlementDate(trade, ratesProvider, refData);
return(productPricer.rpv01(trade.Product, ratesProvider, settlementDate, priceType, refData));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the trade.
/// <para>
/// The present value of the product is based on the valuation date.
/// </para>
/// <para>
/// This method can calculate the clean or dirty present value, see <seealso cref="PriceType"/>.
/// If calculating the clean value, the accrued interest is calculated based on the step-in date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="priceType"> the price type </param>
/// <param name="refData"> the reference data </param>
/// <returns> the price </returns>
public virtual CurrencyAmount presentValue(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)
{
CurrencyAmount pvProduct = productPricer.presentValue(trade.Product, ratesProvider, ratesProvider.ValuationDate, priceType, refData);
if (!trade.UpfrontFee.Present)
{
return(pvProduct);
}
Payment upfront = trade.UpfrontFee.get();
CurrencyAmount pvUpfront = upfrontPricer.presentValue(upfront, ratesProvider.discountFactors(upfront.Currency).toDiscountFactors());
return(pvProduct.plus(pvUpfront));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price of the underlying product, which is the present value per unit notional.
/// <para>
/// This method can calculate the clean or dirty price, see <seealso cref="PriceType"/>.
/// If calculating the clean price, the accrued interest is calculated based on the step-in date.
/// </para>
/// <para>
/// This is coherent to <seealso cref="#presentValueOnSettle(ResolvedCdsIndexTrade, CreditRatesProvider, PriceType, ReferenceData)"/>.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="priceType"> the price type </param>
/// <param name="refData"> the reference data </param>
/// <returns> the price </returns>
public virtual double price(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)
{
LocalDate settlementDate = calculateSettlementDate(trade, ratesProvider, refData);
return(productPricer.price(trade.Product, ratesProvider, settlementDate, priceType, refData));
}