//-------------------------------------------------------------------------
private CurrencyAmount presentValueSettlement(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider)
{
if (!trade.Settlement.Present)
{
// position has no settlement, thus it has no value
return(CurrencyAmount.zero(trade.Product.Currency));
}
BondPaymentPeriod settlePeriod = trade.Settlement.get().Payment;
ResolvedCapitalIndexedBond product = trade.Product;
CurrencyAmount netAmount = this.netAmount(trade, ratesProvider);
RepoCurveDiscountFactors repoDf = DiscountingCapitalIndexedBondProductPricer.repoCurveDf(product, discountingProvider);
return(netAmount.multipliedBy(repoDf.discountFactor(settlePeriod.PaymentDate)));
}
// 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");
}
/// <summary>
/// Calculates the current cash of the bond trade.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider, used to determine price index values </param>
/// <returns> the current cash </returns>
public virtual CurrencyAmount currentCash(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider)
{
LocalDate valuationDate = ratesProvider.ValuationDate;
LocalDate settlementDate = this.settlementDate(trade, valuationDate);
CurrencyAmount cashProduct = productPricer.currentCash(trade.Product, ratesProvider, settlementDate);
if (!trade.Settlement.Present)
{
return(cashProduct);
}
BondPaymentPeriod settlePeriod = trade.Settlement.get().Payment;
double cashSettle = settlePeriod.PaymentDate.isEqual(valuationDate) ? netAmount(trade, ratesProvider).Amount : 0d;
return(cashProduct.plus(cashSettle));
}
// 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));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the net amount of the settlement of the bond trade.
/// <para>
/// Since the sign of the settlement notional is opposite to that of the product, negative amount will be returned
/// for positive quantity of trade.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider, used to determine price index values </param>
/// <returns> the net amount </returns>
public virtual CurrencyAmount netAmount(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider)
{
if (!trade.Settlement.Present)
{
// position has no settlement, thus it has no value
return(CurrencyAmount.zero(trade.Product.Currency));
}
BondPaymentPeriod settlePeriod = trade.Settlement.get().Payment;
if (settlePeriod is KnownAmountBondPaymentPeriod)
{
Payment payment = ((KnownAmountBondPaymentPeriod)settlePeriod).Payment;
return(payment.Value);
}
else if (settlePeriod is CapitalIndexedBondPaymentPeriod)
{
CapitalIndexedBondPaymentPeriod casted = (CapitalIndexedBondPaymentPeriod)settlePeriod;
double netAmount = productPricer.PeriodPricer.forecastValue(casted, ratesProvider);
return(CurrencyAmount.of(casted.Currency, netAmount));
}
throw new System.NotSupportedException("unsupported settlement type");
}
