//-------------------------------------------------------------------------
private CurrencyAmount presentValuePayment(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider)
{
RepoCurveDiscountFactors repoDf = DiscountingFixedCouponBondProductPricer.repoCurveDf(trade.Product, provider);
Payment upfrontPayment = this.upfrontPayment(trade);
return(paymentPricer.presentValue(upfrontPayment, repoDf.DiscountFactors));
}
/// <summary>
/// Calculates the present value of the settlement of the bond trade from the clean price with z-spread.
/// <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>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic
/// compounded rates of the discounting curve.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider, used to determine price index values </param>
/// <param name="discountingProvider"> the discount factors provider </param>
/// <param name="refData"> the reference data used to calculate the settlement date </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>
/// <param name="cleanRealPrice"> the clean real price </param>
/// <returns> the present value of the settlement </returns>
public virtual CurrencyAmount presentValueFromCleanPriceWithZSpread(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, ReferenceData refData, double cleanRealPrice, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
validate(ratesProvider, discountingProvider);
LocalDate valuationDate = ratesProvider.ValuationDate;
ResolvedCapitalIndexedBond bond = trade.Product;
LocalDate standardSettlementDate = bond.calculateSettlementDateFromValuation(valuationDate, refData);
LocalDate tradeSettlementDate = settlementDate(trade, valuationDate);
RepoCurveDiscountFactors repoDf = DiscountingCapitalIndexedBondProductPricer.repoCurveDf(bond, discountingProvider);
double df = repoDf.discountFactor(standardSettlementDate);
CurrencyAmount pvStandard = forecastValueStandardFromCleanPrice(bond, ratesProvider, standardSettlementDate, cleanRealPrice).multipliedBy(df);
if (standardSettlementDate.isEqual(tradeSettlementDate))
{
return(presentValueFromProductPresentValue(trade, ratesProvider, discountingProvider, pvStandard));
}
// check coupon payment between two settlement dates
IssuerCurveDiscountFactors issuerDf = DiscountingCapitalIndexedBondProductPricer.issuerCurveDf(bond, discountingProvider);
double pvDiff = 0d;
if (standardSettlementDate.isAfter(tradeSettlementDate))
{
pvDiff = -productPricer.presentValueCouponWithZSpread(bond, ratesProvider, issuerDf, tradeSettlementDate, standardSettlementDate, zSpread, compoundedRateType, periodsPerYear);
}
else
{
pvDiff = productPricer.presentValueCouponWithZSpread(bond, ratesProvider, issuerDf, standardSettlementDate, tradeSettlementDate, zSpread, compoundedRateType, periodsPerYear);
}
return(presentValueFromProductPresentValue(trade, ratesProvider, discountingProvider, pvStandard.plus(pvDiff)));
}
/// <summary>
/// Calculates the present value of the fixed coupon bond trade with z-spread from the
/// clean price of the underlying product.
/// <para>
/// The present value of the trade is the value on the valuation date.
/// The result is expressed using the payment currency of the bond.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic
/// compounded rates of the discounting curve.
/// </para>
/// <para>
/// Coupon payments of the underlying product are considered based on the settlement date of the trade.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the discounting provider </param>
/// <param name="refData"> the reference data used to calculate the settlement date </param>
/// <param name="cleanPrice"> the clean price </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 of the fixed coupon bond trade </returns>
public virtual CurrencyAmount presentValueFromCleanPriceWithZSpread(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider, ReferenceData refData, double cleanPrice, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
ResolvedFixedCouponBond product = trade.Product;
LocalDate standardSettlementDate = this.standardSettlementDate(product, provider, refData);
LocalDate tradeSettlementDate = settlementDate(trade, provider.ValuationDate);
Currency currency = product.Currency;
RepoCurveDiscountFactors repoDf = DiscountingFixedCouponBondProductPricer.repoCurveDf(product, provider);
double df = repoDf.discountFactor(standardSettlementDate);
double pvStandard = (cleanPrice * product.Notional + productPricer.accruedInterest(product, standardSettlementDate)) * df;
if (standardSettlementDate.isEqual(tradeSettlementDate))
{
return(presentValueFromProductPresentValue(trade, provider, CurrencyAmount.of(currency, pvStandard)));
}
// check coupon payment between two settlement dates
IssuerCurveDiscountFactors issuerDf = DiscountingFixedCouponBondProductPricer.issuerCurveDf(product, provider);
double pvDiff = 0d;
if (standardSettlementDate.isAfter(tradeSettlementDate))
{
pvDiff = productPricer.presentValueCouponWithZSpread(product, issuerDf, tradeSettlementDate, standardSettlementDate, zSpread, compoundedRateType, periodsPerYear);
}
else
{
pvDiff = -productPricer.presentValueCouponWithZSpread(product, issuerDf, standardSettlementDate, tradeSettlementDate, zSpread, compoundedRateType, periodsPerYear);
}
return(presentValueFromProductPresentValue(trade, provider, CurrencyAmount.of(currency, pvStandard + pvDiff)));
}
/// <summary>
/// Calculates the present value sensitivity of the settlement of the bond trade from the real clean price
/// with z-spread.
/// <para>
/// The present value sensitivity of the settlement is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider, used to determine price index values </param>
/// <param name="refData"> the reference data used to calculate the settlement date </param>
/// <param name="discountingProvider"> the discount factors 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>
/// <param name="cleanRealPrice"> the clean real price </param>
/// <returns> the present value sensitivity of the settlement </returns>
public virtual PointSensitivities presentValueSensitivityFromCleanPriceWithZSpread(ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, ReferenceData refData, double cleanRealPrice, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
validate(ratesProvider, discountingProvider);
LocalDate valuationDate = ratesProvider.ValuationDate;
ResolvedCapitalIndexedBond bond = trade.Product;
LocalDate standardSettlementDate = bond.calculateSettlementDateFromValuation(valuationDate, refData);
LocalDate tradeSettlementDate = settlementDate(trade, valuationDate);
RepoCurveDiscountFactors repoDf = DiscountingCapitalIndexedBondProductPricer.repoCurveDf(bond, discountingProvider);
double df = repoDf.discountFactor(standardSettlementDate);
PointSensitivityBuilder dfSensi = repoDf.zeroRatePointSensitivity(standardSettlementDate);
PointSensitivityBuilder pvSensiStandard = forecastValueSensitivityStandardFromCleanPrice(bond, ratesProvider, standardSettlementDate, cleanRealPrice).multipliedBy(df).combinedWith(dfSensi.multipliedBy(forecastValueStandardFromCleanPrice(bond, ratesProvider, standardSettlementDate, cleanRealPrice).Amount));
if (standardSettlementDate.isEqual(tradeSettlementDate))
{
return(presentValueSensitivityFromProductPresentValueSensitivity(trade, ratesProvider, discountingProvider, pvSensiStandard).build());
}
// check coupon payment between two settlement dates
IssuerCurveDiscountFactors issuerDf = DiscountingCapitalIndexedBondProductPricer.issuerCurveDf(bond, discountingProvider);
PointSensitivityBuilder pvSensiDiff = PointSensitivityBuilder.none();
if (standardSettlementDate.isAfter(tradeSettlementDate))
{
pvSensiDiff = pvSensiDiff.combinedWith(productPricer.presentValueSensitivityCouponWithZSpread(bond, ratesProvider, issuerDf, tradeSettlementDate, standardSettlementDate, zSpread, compoundedRateType, periodsPerYear).multipliedBy(-1d));
}
else
{
pvSensiDiff = pvSensiDiff.combinedWith(productPricer.presentValueSensitivityCouponWithZSpread(bond, ratesProvider, issuerDf, standardSettlementDate, tradeSettlementDate, zSpread, compoundedRateType, periodsPerYear));
}
return(presentValueSensitivityFromProductPresentValueSensitivity(trade, ratesProvider, discountingProvider, pvSensiStandard.combinedWith(pvSensiDiff)).build());
}
public virtual void test_zeroRatePointSensitivity_USD()
{
RepoCurveDiscountFactors @base = RepoCurveDiscountFactors.of(DSC_FACTORS, GROUP);
RepoCurveZeroRateSensitivity expected = RepoCurveZeroRateSensitivity.of(DSC_FACTORS.zeroRatePointSensitivity(DATE_AFTER, USD), GROUP);
RepoCurveZeroRateSensitivity computed = @base.zeroRatePointSensitivity(DATE_AFTER, USD);
assertEquals(computed, expected);
}
public virtual void test_of()
{
RepoCurveDiscountFactors test = RepoCurveDiscountFactors.of(DSC_FACTORS, GROUP);
assertEquals(test.RepoGroup, GROUP);
assertEquals(test.Currency, GBP);
assertEquals(test.ValuationDate, DATE);
assertEquals(test.discountFactor(DATE_AFTER), DSC_FACTORS.discountFactor(DATE_AFTER));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
RepoCurveDiscountFactors test1 = RepoCurveDiscountFactors.of(DSC_FACTORS, GROUP);
coverImmutableBean(test1);
RepoCurveDiscountFactors test2 = RepoCurveDiscountFactors.of(ZeroRateDiscountFactors.of(USD, DATE, CURVE), RepoGroup.of("ISSUER2"));
coverBeanEquals(test1, test2);
}
public virtual void test_builder_noValuationDate()
{
ImmutableLegalEntityDiscountingProvider test = ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_ISSUER, GBP), DSC_FACTORS_REPO)).repoCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_REPO_ISSUER)).build();
assertEquals(test.issuerCurveDiscountFactors(ID_ISSUER, GBP), IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER));
assertEquals(test.repoCurveDiscountFactors(ID_SECURITY, ID_ISSUER, GBP), RepoCurveDiscountFactors.of(DSC_FACTORS_REPO, GROUP_REPO_ISSUER));
assertEquals(test.repoCurveDiscountFactors(ID_ISSUER, GBP), RepoCurveDiscountFactors.of(DSC_FACTORS_REPO, GROUP_REPO_ISSUER));
assertEquals(test.ValuationDate, DATE);
}
public virtual void test_parameterSensitivity()
{
RepoCurveDiscountFactors @base = RepoCurveDiscountFactors.of(DSC_FACTORS, GROUP);
RepoCurveZeroRateSensitivity sensi = @base.zeroRatePointSensitivity(DATE_AFTER, USD);
CurrencyParameterSensitivities computed = @base.parameterSensitivity(sensi);
CurrencyParameterSensitivities expected = DSC_FACTORS.parameterSensitivity(DSC_FACTORS.zeroRatePointSensitivity(DATE_AFTER, USD));
assertEquals(computed, expected);
}
// lookup the discount factors for the repo group
private RepoCurveDiscountFactors repoCurveDiscountFactors(RepoGroup repoGroup, Currency currency)
{
DiscountFactors discountFactors = repoCurves.get(Pair.of(repoGroup, currency));
if (discountFactors == null)
{
throw new System.ArgumentException("Unable to find repo curve: " + repoGroup + ", " + currency);
}
return(RepoCurveDiscountFactors.of(discountFactors, repoGroup));
}
/// <summary>
/// Calculates the price for settlement at a given settlement date using curves with z-spread.
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or
/// periodic compounded rates of the issuer discounting curve.
/// </para>
/// <para>
/// The z-spread is applied only on the legal entity curve, not on the repo curve.
///
/// </para>
/// </summary>
/// <param name="bill"> the bill </param>
/// <param name="provider"> the discounting provider </param>
/// <param name="settlementDate"> the settlement date </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 price </returns>
public virtual double priceFromCurvesWithZSpread(ResolvedBill bill, LegalEntityDiscountingProvider provider, LocalDate settlementDate, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
ArgChecker.inOrderNotEqual(settlementDate, bill.Notional.Date, "settlementDate", "endDate");
ArgChecker.inOrderOrEqual(provider.ValuationDate, settlementDate, "valuationDate", "settlementDate");
IssuerCurveDiscountFactors issuerDf = issuerCurveDf(bill, provider);
double dfMaturity = issuerDf.DiscountFactors.discountFactorWithSpread(bill.Notional.Date, zSpread, compoundedRateType, periodsPerYear);
RepoCurveDiscountFactors repoDf = repoCurveDf(bill, provider);
double dfRepoSettle = repoDf.discountFactor(settlementDate);
return(dfMaturity / dfRepoSettle);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price for settlement at a given settlement date using curves.
/// </summary>
/// <param name="bill"> the bill </param>
/// <param name="provider"> the discounting provider </param>
/// <param name="settlementDate"> the settlement date </param>
/// <returns> the price </returns>
public virtual double priceFromCurves(ResolvedBill bill, LegalEntityDiscountingProvider provider, LocalDate settlementDate)
{
ArgChecker.inOrderNotEqual(settlementDate, bill.Notional.Date, "settlementDate", "endDate");
ArgChecker.inOrderOrEqual(provider.ValuationDate, settlementDate, "valuationDate", "settlementDate");
IssuerCurveDiscountFactors issuerDf = issuerCurveDf(bill, provider);
double dfMaturity = issuerDf.discountFactor(bill.Notional.Date);
RepoCurveDiscountFactors repoDf = repoCurveDf(bill, provider);
double dfRepoSettle = repoDf.discountFactor(settlementDate);
return(dfMaturity / dfRepoSettle);
}
private PointSensitivityBuilder presentValueSensitivityPayment(ResolvedFixedCouponBondTrade trade, LegalEntityDiscountingProvider provider)
{
RepoCurveDiscountFactors repoDf = DiscountingFixedCouponBondProductPricer.repoCurveDf(trade.Product, provider);
Payment upfrontPayment = this.upfrontPayment(trade);
PointSensitivityBuilder pt = paymentPricer.presentValueSensitivity(upfrontPayment, repoDf.DiscountFactors);
if (pt is ZeroRateSensitivity)
{
return(RepoCurveZeroRateSensitivity.of((ZeroRateSensitivity)pt, repoDf.RepoGroup));
}
return(pt); // NoPointSensitivity
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
RepoCurveDiscountFactors other = (RepoCurveDiscountFactors)obj;
return(JodaBeanUtils.equal(discountFactors, other.discountFactors) && JodaBeanUtils.equal(repoGroup, other.repoGroup));
}
return(false);
}
//-------------------------------------------------------------------------
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 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);
}
// 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 present value sensitivity of a bill trade with z-spread.
/// <para>
/// If the settlement details are provided, the sensitivity is the sum of the underlying product's sensitivity
/// multiplied by the quantity and the sensitivity of the settlement payment if still due at the valuation date.
/// If not it is the underlying product's sensitivity 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 sensitivity </returns>
public virtual PointSensitivities presentValueSensitivityWithZSpread(ResolvedBillTrade trade, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
if (provider.ValuationDate.isAfter(trade.Product.Notional.Date))
{
return(PointSensitivities.empty());
}
PointSensitivities sensiProduct = productPricer.presentValueSensitivityWithZSpread(trade.Product, provider, zSpread, compoundedRateType, periodsPerYear).multipliedBy(trade.Quantity);
if (!trade.Settlement.Present)
{
return(sensiProduct);
}
Payment settlement = trade.Settlement.get();
RepoCurveDiscountFactors repoDf = DiscountingBillProductPricer.repoCurveDf(trade.Product, provider);
PointSensitivities sensiSettle = presentValueSensitivitySettlement(settlement, repoDf);
return(sensiProduct.combinedWith(sensiSettle));
}
//-------------------------------------------------------------------------
public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities)
{
CurrencyParameterSensitivities sens = CurrencyParameterSensitivities.empty();
foreach (PointSensitivity point in pointSensitivities.Sensitivities)
{
if (point is RepoCurveZeroRateSensitivity)
{
RepoCurveZeroRateSensitivity pt = (RepoCurveZeroRateSensitivity)point;
RepoCurveDiscountFactors factors = repoCurveDiscountFactors(pt.RepoGroup, pt.CurveCurrency);
sens = sens.combinedWith(factors.parameterSensitivity(pt));
}
else if (point is IssuerCurveZeroRateSensitivity)
{
IssuerCurveZeroRateSensitivity pt = (IssuerCurveZeroRateSensitivity)point;
IssuerCurveDiscountFactors factors = issuerCurveDiscountFactors(pt.LegalEntityGroup, pt.CurveCurrency);
sens = sens.combinedWith(factors.parameterSensitivity(pt));
}
}
return(sens);
}
//-------------------------------------------------------------------------
private PointSensitivities presentValueSensitivitySettlement(Payment settlement, RepoCurveDiscountFactors repoDf)
{
PointSensitivityBuilder pointSettle = paymentPricer.presentValueSensitivity(settlement, repoDf.DiscountFactors);
if (pointSettle is ZeroRateSensitivity)
{
return(RepoCurveZeroRateSensitivity.of((ZeroRateSensitivity)pointSettle, repoDf.RepoGroup).build());
}
return(pointSettle.build()); // NoPointSensitivity
}
