// the sensitivity of the net amount of the settlement
private PointSensitivityBuilder netAmountSensitivity(ResolvedCapitalIndexedBondSettlement settlement, RatesProvider ratesProvider)
{
BondPaymentPeriod settlePeriod = settlement.Payment;
if (settlePeriod is KnownAmountBondPaymentPeriod)
{
return(PointSensitivityBuilder.none());
}
else if (settlePeriod is CapitalIndexedBondPaymentPeriod)
{
CapitalIndexedBondPaymentPeriod casted = (CapitalIndexedBondPaymentPeriod)settlePeriod;
return(productPricer.PeriodPricer.forecastValueSensitivity(casted, ratesProvider));
}
throw new System.NotSupportedException("unsupported settlement type");
}
// the sensitivity of the present value of the settlement
private PointSensitivityBuilder presentValueSensitivitySettlement(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider)
{
if (!trade.Settlement.Present)
{
// position has no settlement, thus it has no sensitivity
return(PointSensitivityBuilder.none());
}
ResolvedCapitalIndexedBondSettlement settlement = trade.Settlement.get();
BondPaymentPeriod settlePeriod = settlement.Payment;
ResolvedCapitalIndexedBond product = trade.Product;
RepoCurveDiscountFactors repoDf = DiscountingCapitalIndexedBondProductPricer.repoCurveDf(product, discountingProvider);
double df = repoDf.discountFactor(settlePeriod.PaymentDate);
double netAmount = this.netAmount(trade, ratesProvider).Amount;
PointSensitivityBuilder dfSensi = repoDf.zeroRatePointSensitivity(settlePeriod.PaymentDate).multipliedBy(netAmount);
PointSensitivityBuilder naSensi = netAmountSensitivity(settlement, ratesProvider).multipliedBy(df);
return(dfSensi.combinedWith(naSensi));
}
