public virtual void test_priceWithZSpread_continuous()
{
double computed = FUTURE_PRICER.priceWithZSpread(FUTURE_PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
double dirtyPrice = BOND_PRICER.dirtyPriceFromCurvesWithZSpread(BOND, PROVIDER, Z_SPREAD, CONTINUOUS, 0, FUTURE_PRODUCT.LastDeliveryDate);
double expected = BOND_PRICER.cleanPriceFromDirtyPrice(BOND, FUTURE_PRODUCT.LastDeliveryDate, dirtyPrice) / CONVERSION_FACTOR[0];
assertEquals(computed, expected, TOL);
}
public virtual void test_dirtyPriceFromCurvesWithZSpread_continuous()
{
double computed = PRICER.dirtyPriceFromCurvesWithZSpread(PRODUCT, PROVIDER, REF_DATA, Z_SPREAD, CONTINUOUS, 0);
CurrencyAmount pv = PRICER.presentValueWithZSpread(PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
LocalDate settlement = DATE_OFFSET.adjust(VAL_DATE, REF_DATA);
double df = DSC_FACTORS_REPO.discountFactor(settlement);
assertEquals(computed, pv.Amount / df / NOTIONAL);
}
/// <summary>
/// Calculates the price of the bond future product with z-spread.
/// <para>
/// The price of the product is the price on the valuation date.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates
/// of the issuer discounting curve.
/// </para>
/// <para>
/// Strata uses <i>decimal prices</i> for bond futures. This is coherent with the pricing of <seealso cref="FixedCouponBond"/>.
/// For example, a price of 99.32% is represented in Strata by 0.9932.
///
/// </para>
/// </summary>
/// <param name="future"> the future </param>
/// <param name="discountingProvider"> the discounting provider </param>
/// <param name="zSpread"> the z-spread </param>
/// <param name="compoundedRateType"> the compounded rate type </param>
/// <param name="periodPerYear"> the number of periods per year </param>
/// <returns> the price of the product, in decimal form </returns>
public double priceWithZSpread(ResolvedBondFuture future, LegalEntityDiscountingProvider discountingProvider, double zSpread, CompoundedRateType compoundedRateType, int periodPerYear)
{
ImmutableList <ResolvedFixedCouponBond> basket = future.DeliveryBasket;
int size = basket.size();
double[] priceBonds = new double[size];
for (int i = 0; i < size; ++i)
{
ResolvedFixedCouponBond bond = basket.get(i);
double dirtyPrice = bondPricer.dirtyPriceFromCurvesWithZSpread(bond, discountingProvider, zSpread, compoundedRateType, periodPerYear, future.LastDeliveryDate);
priceBonds[i] = bondPricer.cleanPriceFromDirtyPrice(bond, future.LastDeliveryDate, dirtyPrice) / future.ConversionFactors.get(i);
}
return(Doubles.min(priceBonds));
}