/// <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_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);
}
// 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));
}
