public virtual void test_presentValue_zspread()
{
CurrencyAmount pvComputed = PRICER.presentValueWithZSpread(BILL, PROVIDER, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0);
double pvExpected = DSC_FACTORS_ISSUER.discountFactor(MATURITY_DATE) * NOTIONAL.Amount * Math.Exp(-Z_SPREAD * DSC_FACTORS_ISSUER.relativeYearFraction(MATURITY_DATE));
assertEquals(pvComputed.Currency, EUR);
assertEquals(pvComputed.Amount, pvExpected, TOLERANCE_PV);
}
//-------------------------------------------------------------------------
public virtual void test_presentValueZSpread_settle_before_val()
{
CurrencyAmount pvComputed = PRICER_TRADE.presentValueWithZSpread(BILL_TRADE_SETTLE_BEFORE_VAL, PROVIDER, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0);
CurrencyAmount pvExpected = PRICER_PRODUCT.presentValueWithZSpread(BILL_PRODUCT.resolve(REF_DATA), PROVIDER, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0).multipliedBy(QUANTITY);
assertEquals(pvComputed.Currency, EUR);
assertEquals(pvComputed.Amount, pvExpected.Amount, TOLERANCE_PV);
MultiCurrencyAmount ceComputed = PRICER_TRADE.currencyExposureWithZSpread(BILL_TRADE_SETTLE_BEFORE_VAL, PROVIDER, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0);
assertEquals(ceComputed.Currencies.size(), 1);
assertTrue(ceComputed.contains(EUR));
assertEquals(ceComputed.getAmount(EUR).Amount, pvExpected.Amount, TOLERANCE_PV);
}
/// <summary>
/// Calculates the present value of a bill trade with z-spread.
/// <para>
/// If the settlement details are provided, the present value is the sum of the underlying product's present value
/// multiplied by the quantity and the present value of the settlement payment if still due at the valuation date.
/// If not it is the underlying product's present value multiplied by the quantity.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of
/// the issuer discounting curve. The z-spread is applied only on the legal entity curve, not on the repo curve used
/// for the settlement amount.
///
/// </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 </returns>
public virtual CurrencyAmount presentValueWithZSpread(ResolvedBillTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
if (provider.ValuationDate.isAfter(trade.Product.Notional.Date))
{
return(CurrencyAmount.of(trade.Product.Currency, 0.0d));
}
CurrencyAmount pvProduct = productPricer.presentValueWithZSpread(trade.Product, provider, zSpread, compoundedRateType, periodsPerYear).multipliedBy(trade.Quantity);
if (trade.Settlement.Present)
{
RepoCurveDiscountFactors repoDf = DiscountingBillProductPricer.repoCurveDf(trade.Product, provider);
CurrencyAmount pvSettle = paymentPricer.presentValue(trade.Settlement.get(), repoDf.DiscountFactors);
return(pvProduct.plus(pvSettle));
}
return(pvProduct);
}