private CurrencyAmount presentValueSettlement( ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider) { if (!trade.getSettlement().isPresent()) { // position has no settlement, thus it has no value return CurrencyAmount.zero(trade.getProduct().getCurrency()); } BondPaymentPeriod settlePeriod = trade.getSettlement().get().getPayment(); ResolvedCapitalIndexedBond product = trade.getProduct(); CurrencyAmount netAmount = netAmount(trade, ratesProvider); RepoCurveDiscountFactors repoDf = DiscountingCapitalIndexedBondProductPricer.repoCurveDf(product, discountingProvider); return netAmount.multipliedBy(repoDf.discountFactor(settlePeriod.getPaymentDate())); }
/** * Restricted copy constructor. * @param beanToCopy the bean to copy from, not null */ private Builder(ResolvedCapitalIndexedBondTrade beanToCopy) { this.info = beanToCopy.getInfo(); this.product = beanToCopy.getProduct(); this.quantity = beanToCopy.getQuantity(); this.settlement = beanToCopy.settlement; }
@Override public ResolvedCapitalIndexedBondTrade build() { return new ResolvedCapitalIndexedBondTrade( info, product, quantity, settlement); }
/** * Calculates the present value of the bond trade. * <p> * The present value of the trade is the value on the valuation date. * The result is expressed using the payment currency of the bond. * <p> * Coupon payments of the underlying product are considered based on the settlement date of the trade. * * @param trade the trade * @param ratesProvider the rates provider, used to determine price index values * @param discountingProvider the discount factors provider * @return the present value of the bond trade */ public CurrencyAmount presentValue( ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider) { validate(ratesProvider, discountingProvider); LocalDate settlementDate = settlementDate(trade, ratesProvider.getValuationDate()); CurrencyAmount pvProduct = productPricer.presentValue(trade.getProduct(), ratesProvider, discountingProvider, settlementDate); return presentValueFromProductPresentValue(trade, ratesProvider, discountingProvider, pvProduct); }
public void test_resolve() { ResolvedCapitalIndexedBondTrade expected = ResolvedCapitalIndexedBondTrade.builder() .info(POSITION_INFO) .product(PRODUCT.resolve(REF_DATA)) .quantity(QUANTITY) .build(); assertEquals(sut().resolve(REF_DATA), expected); }
private PointSensitivityBuilder presentValueSensitivityFromProductPresentValueSensitivity( ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, PointSensitivityBuilder productPresnetValueSensitivity) { PointSensitivityBuilder sensiProduct = productPresnetValueSensitivity.multipliedBy(trade.getQuantity()); PointSensitivityBuilder sensiPayment = presentValueSensitivitySettlement(trade, ratesProvider, discountingProvider); return sensiProduct.combinedWith(sensiPayment); }
private LocalDate settlementDate(ResolvedCapitalIndexedBondTrade trade, LocalDate valuationDate) { return trade.getSettlement() .map(settle -> settle.getSettlementDate()) .orElse(valuationDate); }
/** * Calculates the present value sensitivity of the bond trade. * <p> * The present value sensitivity of the trade is the sensitivity of the present value to * the underlying curves. * <p> * Coupon payments of the underlying product are considered based on the settlement date of the trade. * * @param trade the trade * @param ratesProvider the rates provider, used to determine price index values * @param discountingProvider the discount factors provider * @return the present value sensitivity of the bond trade */ public PointSensitivities presentValueSensitivity( ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider) { validate(ratesProvider, discountingProvider); LocalDate settlementDate = settlementDate(trade, ratesProvider.getValuationDate()); PointSensitivityBuilder productSensi = productPricer.presentValueSensitivity(trade.getProduct(), ratesProvider, discountingProvider, settlementDate); return presentValueSensitivityFromProductPresentValueSensitivity( trade, ratesProvider, discountingProvider, productSensi).build(); }
public void test_resolve1() { ResolvedCapitalIndexedBondTrade test = sut1().resolve(REF_DATA); ResolvedCapitalIndexedBondTrade expected = ResolvedCapitalIndexedBondTrade.builder() .info(TRADE_INFO) .product(PRODUCT1.resolve(REF_DATA)) .quantity(QUANTITY) .settlement(ResolvedCapitalIndexedBondSettlement.of(SETTLEMENT_DATE, PRICE, SETTLEMENT1)) .build(); assertEquals(test, expected); }
private CurrencyAmount presentValueFromProductPresentValue( ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, CurrencyAmount productPresentValue) { CurrencyAmount pvProduct = productPresentValue.multipliedBy(trade.getQuantity()); CurrencyAmount pvPayment = presentValueSettlement(trade, ratesProvider, discountingProvider); return pvProduct.plus(pvPayment); }
public void test_builder() { ResolvedCapitalIndexedBondTrade test = sut(); assertEquals(test.getSettlement().isPresent(), true); }
/** * Calculates the current cash of the bond trade. * * @param trade the trade * @param ratesProvider the rates provider, used to determine price index values * @return the current cash */ public CurrencyAmount currentCash( ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider) { LocalDate valuationDate = ratesProvider.getValuationDate(); LocalDate settlementDate = settlementDate(trade, valuationDate); CurrencyAmount cashProduct = productPricer.currentCash(trade.getProduct(), ratesProvider, settlementDate); if (!trade.getSettlement().isPresent()) { return cashProduct; } BondPaymentPeriod settlePeriod = trade.getSettlement().get().getPayment(); double cashSettle = settlePeriod.getPaymentDate().isEqual(valuationDate) ? netAmount(trade, ratesProvider).getAmount() : 0d; return cashProduct.plus(cashSettle); }
@Override protected Object propertyGet(Bean bean, String propertyName, boolean quiet) { switch (propertyName.hashCode()) { case 3237038: // info return ((ResolvedCapitalIndexedBondTrade) bean).getInfo(); case -309474065: // product return ((ResolvedCapitalIndexedBondTrade) bean).getProduct(); case -1285004149: // quantity return ((ResolvedCapitalIndexedBondTrade) bean).getQuantity(); case 73828649: // settlement return ((ResolvedCapitalIndexedBondTrade) bean).settlement; } return super.propertyGet(bean, propertyName, quiet); }
LocalDate settlementDate = settlementDate(trade, ratesProvider.getValuationDate()); CurrencyAmount pvProduct = productPricer.presentValueWithZSpread( trade.getProduct(), ratesProvider, discountingProvider, settlementDate,
public void test_resolve() { ResolvedCapitalIndexedBondTrade test = sut().resolve(REF_DATA); ResolvedCapitalIndexedBondTrade expected = ResolvedCapitalIndexedBondTrade.builder() .info(TRADE_INFO) .product(PRODUCT.resolve(REF_DATA)) .quantity(QUANTITY) .settlement(ResolvedCapitalIndexedBondSettlement.of(SETTLEMENT_DATE, PRICE, SETTLEMENT)) .build(); assertEquals(test, expected); }
@Override public ResolvedCapitalIndexedBondTrade resolve(ReferenceData refData) { ResolvedCapitalIndexedBond resolved = product.resolve(refData); return new ResolvedCapitalIndexedBondTrade(info, resolved, getQuantity(), null); }
/** * Calculates the net amount of the settlement of the bond trade. * <p> * Since the sign of the settlement notional is opposite to that of the product, negative amount will be returned * for positive quantity of trade. * * @param trade the trade * @param ratesProvider the rates provider, used to determine price index values * @return the net amount */ public CurrencyAmount netAmount( ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider) { if (!trade.getSettlement().isPresent()) { // position has no settlement, thus it has no value return CurrencyAmount.zero(trade.getProduct().getCurrency()); } BondPaymentPeriod settlePeriod = trade.getSettlement().get().getPayment(); if (settlePeriod instanceof KnownAmountBondPaymentPeriod) { Payment payment = ((KnownAmountBondPaymentPeriod) settlePeriod).getPayment(); return payment.getValue(); } else if (settlePeriod instanceof CapitalIndexedBondPaymentPeriod) { CapitalIndexedBondPaymentPeriod casted = (CapitalIndexedBondPaymentPeriod) settlePeriod; double netAmount = productPricer.getPeriodPricer().forecastValue(casted, ratesProvider); return CurrencyAmount.of(casted.getCurrency(), netAmount); } throw new UnsupportedOperationException("unsupported settlement type"); }
/** * Calculates the present value sensitivity of the bond trade with z-spread. * <p> * The present value sensitivity of the trade is the sensitivity of the present value to * the underlying curves. * <p> * Coupon payments of the underlying product are considered based on the settlement date of the trade. * * @param trade the trade * @param ratesProvider the rates provider, used to determine price index values * @param discountingProvider the discount factors provider * @param zSpread the z-spread * @param compoundedRateType the compounded rate type * @param periodsPerYear the number of periods per year * @return the present value sensitivity of the bond trade */ public PointSensitivities presentValueSensitivityWithZSpread( ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) { validate(ratesProvider, discountingProvider); LocalDate settlementDate = settlementDate(trade, ratesProvider.getValuationDate()); PointSensitivityBuilder productSensi = productPricer.presentValueSensitivityWithZSpread(trade.getProduct(), ratesProvider, discountingProvider, settlementDate, zSpread, compoundedRateType, periodsPerYear); return presentValueSensitivityFromProductPresentValueSensitivity( trade, ratesProvider, discountingProvider, productSensi).build(); }
return ResolvedCapitalIndexedBondTrade.builder() .info(info) .product(resolvedProduct)
private PointSensitivityBuilder presentValueSensitivitySettlement( ResolvedCapitalIndexedBondTrade trade, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider) { if (!trade.getSettlement().isPresent()) { // position has no settlement, thus it has no sensitivity return PointSensitivityBuilder.none(); } ResolvedCapitalIndexedBondSettlement settlement = trade.getSettlement().get(); BondPaymentPeriod settlePeriod = settlement.getPayment(); ResolvedCapitalIndexedBond product = trade.getProduct(); RepoCurveDiscountFactors repoDf = DiscountingCapitalIndexedBondProductPricer.repoCurveDf(product, discountingProvider); double df = repoDf.discountFactor(settlePeriod.getPaymentDate()); double netAmount = netAmount(trade, ratesProvider).getAmount(); PointSensitivityBuilder dfSensi = repoDf.zeroRatePointSensitivity(settlePeriod.getPaymentDate()).multipliedBy(netAmount); PointSensitivityBuilder naSensi = netAmountSensitivity(settlement, ratesProvider).multipliedBy(df); return dfSensi.combinedWith(naSensi); }