//-------------------------------------------------------------------------
/// <summary>
/// Calculates the deposit fair rate given the start and end time and the accrual factor.
/// <para>
/// When the deposit has already started the number may not be meaningful as the remaining period
/// is not in line with the accrual factor.
///
/// </para>
/// </summary>
/// <param name="deposit"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par rate </returns>
public virtual double parRate(ResolvedTermDeposit deposit, RatesProvider provider)
{
Currency currency = deposit.Currency;
DiscountFactors discountFactors = provider.discountFactors(currency);
double dfStart = discountFactors.discountFactor(deposit.StartDate);
double dfEnd = discountFactors.discountFactor(deposit.EndDate);
double accrualFactor = deposit.YearFraction;
return((dfStart / dfEnd - 1d) / accrualFactor);
}
/// <summary>
/// Calculates the par spread curve sensitivity.
/// <para>
/// The calculation is based on both of initial and final payments.
/// Thus the number resulting may not be meaningful when deposit has already started and only the final
/// payment remains (no initial payment).
///
/// </para>
/// </summary>
/// <param name="deposit"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par spread curve sensitivity </returns>
public virtual PointSensitivities parSpreadSensitivity(ResolvedTermDeposit deposit, RatesProvider provider)
{
Currency currency = deposit.Currency;
double accrualFactorInv = 1d / deposit.YearFraction;
double dfStart = provider.discountFactor(currency, deposit.StartDate);
double dfEndInv = 1d / provider.discountFactor(currency, deposit.EndDate);
DiscountFactors discountFactors = provider.discountFactors(currency);
PointSensitivityBuilder sensStart = discountFactors.zeroRatePointSensitivity(deposit.StartDate).multipliedBy(dfEndInv * accrualFactorInv);
PointSensitivityBuilder sensEnd = discountFactors.zeroRatePointSensitivity(deposit.EndDate).multipliedBy(-dfStart * dfEndInv * dfEndInv * accrualFactorInv);
return(sensStart.combinedWith(sensEnd).build());
}
/// <summary>
/// Calculates the present value sensitivity by discounting the final cash flow (nominal + interest)
/// and the initial payment (initial amount).
/// </summary>
/// <param name="deposit"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the point sensitivity of the present value </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedTermDeposit deposit, RatesProvider provider)
{
Currency currency = deposit.Currency;
// backward sweep
double dfEndBar = deposit.Notional + deposit.Interest;
double dfStartBar = -initialAmount(deposit, provider);
// sensitivity
DiscountFactors discountFactors = provider.discountFactors(currency);
PointSensitivityBuilder sensStart = discountFactors.zeroRatePointSensitivity(deposit.StartDate).multipliedBy(dfStartBar);
PointSensitivityBuilder sensEnd = discountFactors.zeroRatePointSensitivity(deposit.EndDate).multipliedBy(dfEndBar);
return(sensStart.combinedWith(sensEnd).build());
}
/// <summary>
/// Calculates the current cash.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the current cash </returns>
public virtual CurrencyAmount currentCash(ResolvedTermDepositTrade trade, RatesProvider provider)
{
ResolvedTermDeposit product = trade.Product;
if (product.StartDate.isEqual(provider.ValuationDate))
{
return(CurrencyAmount.of(product.Currency, -product.Notional));
}
if (product.EndDate.isEqual(provider.ValuationDate))
{
return(CurrencyAmount.of(product.Currency, product.Notional + product.Interest));
}
return(CurrencyAmount.zero(product.Currency));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value by discounting the final cash flow (nominal + interest)
/// and the initial payment (initial amount).
/// <para>
/// The present value of the product is the value on the valuation date.
///
/// </para>
/// </summary>
/// <param name="deposit"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the present value of the product </returns>
public virtual CurrencyAmount presentValue(ResolvedTermDeposit deposit, RatesProvider provider)
{
Currency currency = deposit.Currency;
if (provider.ValuationDate.isAfter(deposit.EndDate))
{
return(CurrencyAmount.of(currency, 0.0d));
}
DiscountFactors discountFactors = provider.discountFactors(currency);
double dfStart = discountFactors.discountFactor(deposit.StartDate);
double dfEnd = discountFactors.discountFactor(deposit.EndDate);
double pvStart = initialAmount(deposit, provider) * dfStart;
double pvEnd = (deposit.Notional + deposit.Interest) * dfEnd;
double pv = pvEnd - pvStart;
return(CurrencyAmount.of(currency, pv));
}
// the initial amount is the same as the principal, but zero if the start date has passed
// the caller must negate the result of this method if required
private double initialAmount(ResolvedTermDeposit deposit, RatesProvider provider)
{
return(provider.ValuationDate.isAfter(deposit.StartDate) ? 0d : deposit.Notional);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the spread to be added to the deposit rate to have a zero present value.
/// <para>
/// The calculation is based on both the initial and final payments.
/// Thus the resulting number may not be meaningful when deposit has already started and only the final
/// payment remains (no initial payment).
///
/// </para>
/// </summary>
/// <param name="deposit"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par spread </returns>
public virtual double parSpread(ResolvedTermDeposit deposit, RatesProvider provider)
{
double parRate = this.parRate(deposit, provider);
return(parRate - deposit.Rate);
}
/// <summary>
/// Calculates the par rate curve sensitivity.
/// <para>
/// The calculation is based on both of initial and final payments.
/// Thus the number resulting may not be meaningful when deposit has already started and only the final
/// payment remains (no initial payment).
///
/// </para>
/// </summary>
/// <param name="deposit"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par rate curve sensitivity </returns>
public virtual PointSensitivities parRateSensitivity(ResolvedTermDeposit deposit, RatesProvider provider)
{
return(parSpreadSensitivity(deposit, provider));
}