//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the bill product.
/// <para>
/// The present value of the product is the value on the valuation date.
/// The result is expressed using the payment currency of the bill.
/// </para>
/// <para>
/// Coupon payments of the product are considered based on the valuation date.
///
/// </para>
/// </summary>
/// <param name="bill"> the product </param>
/// <param name="provider"> the discounting provider </param>
/// <returns> the present value of the bill product </returns>
public virtual CurrencyAmount presentValue(ResolvedBill bill, LegalEntityDiscountingProvider provider)
{
if (provider.ValuationDate.isAfter(bill.Notional.Date))
{
return(CurrencyAmount.of(bill.Currency, 0.0d));
}
IssuerCurveDiscountFactors issuerDf = issuerCurveDf(bill, provider);
double dfMaturity = issuerDf.discountFactor(bill.Notional.Date);
return(bill.Notional.Value.multipliedBy(dfMaturity));
}
/// <summary>
/// Calculates the present value of a bill product 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>
/// </summary>
/// <param name="bill"> the product </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 of the bill product </returns>
public virtual CurrencyAmount presentValueWithZSpread(ResolvedBill bill, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
if (provider.ValuationDate.isAfter(bill.Notional.Date))
{
return(CurrencyAmount.of(bill.Currency, 0.0d));
}
IssuerCurveDiscountFactors issuerDf = issuerCurveDf(bill, provider);
double dfMaturity = issuerDf.DiscountFactors.discountFactorWithSpread(bill.Notional.Date, zSpread, compoundedRateType, periodsPerYear);
return(bill.Notional.Value.multipliedBy(dfMaturity));
}
/// <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);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the bill product.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="bill"> the product </param>
/// <param name="provider"> the discounting provider </param>
/// <returns> the present value curve sensitivity of the product </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedBill bill, LegalEntityDiscountingProvider provider)
{
if (provider.ValuationDate.isAfter(bill.Notional.Date))
{
return(PointSensitivities.empty());
}
IssuerCurveDiscountFactors issuerDf = issuerCurveDf(bill, provider);
double dfEndBar = bill.Notional.Amount;
PointSensitivityBuilder sensMaturity = issuerDf.zeroRatePointSensitivity(bill.Notional.Date).multipliedBy(dfEndBar);
return(sensMaturity.build());
}
/// <summary>
/// Calculates the present value sensitivity of the bill product with z-spread.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value to
/// the underlying curves.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or
/// periodic compounded rates of the issuer discounting curve.
///
/// </para>
/// </summary>
/// <param name="bill"> the product </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 curve sensitivity of the product </returns>
public virtual PointSensitivities presentValueSensitivityWithZSpread(ResolvedBill bill, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
if (provider.ValuationDate.isAfter(bill.Notional.Date))
{
return(PointSensitivities.empty());
}
IssuerCurveDiscountFactors issuerDf = issuerCurveDf(bill, provider);
double dfEndBar = bill.Notional.Amount;
ZeroRateSensitivity zeroSensMaturity = issuerDf.DiscountFactors.zeroRatePointSensitivityWithSpread(bill.Notional.Date, zSpread, compoundedRateType, periodsPerYear);
IssuerCurveZeroRateSensitivity dscSensMaturity = IssuerCurveZeroRateSensitivity.of(zeroSensMaturity, issuerDf.LegalEntityGroup).multipliedBy(dfEndBar);
return(dscSensMaturity.build());
}
// extracts the issuer curve discount factors for the bond
internal static IssuerCurveDiscountFactors issuerCurveDf(ResolvedBill bill, LegalEntityDiscountingProvider provider)
{
return(provider.issuerCurveDiscountFactors(bill.LegalEntityId, bill.Currency));
}
//-------------------------------------------------------------------------
// extracts the repo curve discount factors for the bond
internal static RepoCurveDiscountFactors repoCurveDf(ResolvedBill bill, LegalEntityDiscountingProvider provider)
{
return(provider.repoCurveDiscountFactors(bill.SecurityId, bill.LegalEntityId, bill.Currency));
}
/// <summary>
/// Calculates the yield 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 yield </returns>
public virtual double yieldFromCurvesWithZSpread(ResolvedBill bill, LegalEntityDiscountingProvider provider, LocalDate settlementDate, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)
{
double price = priceFromCurvesWithZSpread(bill, provider, settlementDate, zSpread, compoundedRateType, periodsPerYear);
return(bill.yieldFromPrice(price, settlementDate));
}
/// <summary>
/// Calculates the yield 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 yield </returns>
public virtual double yieldFromCurves(ResolvedBill bill, LegalEntityDiscountingProvider provider, LocalDate settlementDate)
{
double price = priceFromCurves(bill, provider, settlementDate);
return(bill.yieldFromPrice(price, settlementDate));
}
