private CurrencyAmount presentValueFromProductPresentValue(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, CurrencyAmount productPresentValue)
{
CurrencyAmount pvProduct = productPresentValue.multipliedBy(trade.Quantity);
CurrencyAmount pvPayment = presentValueSettlement(trade, ratesProvider, discountingProvider);
return(pvProduct.plus(pvPayment));
}
private CurrencyAmount presentValueFromProductPresentValue(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, CurrencyAmount productPresentValue)
{
CurrencyAmount pvProduct = productPresentValue.multipliedBy(trade.Quantity);
CurrencyAmount pvPayment = presentValuePayment(trade, provider);
return(pvProduct.plus(pvPayment));
}
//-------------------------------------------------------------------------
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)));
}
/// <summary>
/// Calculates the current cash of the NDF product.
/// </summary>
/// <param name="ndf"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the current cash of the product in the settlement currency </returns>
public virtual CurrencyAmount currentCash(ResolvedFxNdf ndf, RatesProvider provider)
{
Currency ccySettle = ndf.SettlementCurrency;
if (provider.ValuationDate.isEqual(ndf.PaymentDate))
{
Currency ccyOther = ndf.NonDeliverableCurrency;
CurrencyAmount notionalSettle = ndf.SettlementCurrencyNotional;
double agreedRate = ndf.AgreedFxRate.fxRate(ccySettle, ccyOther);
double rate = provider.fxIndexRates(ndf.Index).rate(ndf.Observation, ccySettle);
return(notionalSettle.multipliedBy(1d - agreedRate / rate));
}
return(CurrencyAmount.zero(ccySettle));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the currency exposure by discounting each payment in its own currency.
/// </summary>
/// <param name="ndf"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedFxNdf ndf, RatesProvider provider)
{
if (provider.ValuationDate.isAfter(ndf.PaymentDate))
{
return(MultiCurrencyAmount.empty());
}
Currency ccySettle = ndf.SettlementCurrency;
CurrencyAmount notionalSettle = ndf.SettlementCurrencyNotional;
double dfSettle = provider.discountFactor(ccySettle, ndf.PaymentDate);
Currency ccyOther = ndf.NonDeliverableCurrency;
double agreedRate = ndf.AgreedFxRate.fxRate(ccySettle, ccyOther);
double dfOther = provider.discountFactor(ccyOther, ndf.PaymentDate);
return(MultiCurrencyAmount.of(notionalSettle.multipliedBy(dfSettle)).plus(CurrencyAmount.of(ccyOther, -notionalSettle.Amount * agreedRate * dfOther)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the NDF product.
/// <para>
/// The present value of the product is the value on the valuation date.
/// The present value is returned in the settlement currency.
///
/// </para>
/// </summary>
/// <param name="ndf"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the present value of the product in the settlement currency </returns>
public virtual CurrencyAmount presentValue(ResolvedFxNdf ndf, RatesProvider provider)
{
Currency ccySettle = ndf.SettlementCurrency;
if (provider.ValuationDate.isAfter(ndf.PaymentDate))
{
return(CurrencyAmount.zero(ccySettle));
}
Currency ccyOther = ndf.NonDeliverableCurrency;
CurrencyAmount notionalSettle = ndf.SettlementCurrencyNotional;
double agreedRate = ndf.AgreedFxRate.fxRate(ccySettle, ccyOther);
double forwardRate = provider.fxIndexRates(ndf.Index).rate(ndf.Observation, ccySettle);
double dfSettle = provider.discountFactor(ccySettle, ndf.PaymentDate);
return(notionalSettle.multipliedBy(dfSettle * (1d - agreedRate / forwardRate)));
}
