double dirtyNominalPriceFromCurves( ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, LocalDate settlementDate) { CurrencyAmount pv = presentValue(bond, ratesProvider, discountingProvider, settlementDate); RepoCurveDiscountFactors repoDf = repoCurveDf(bond, discountingProvider); double df = repoDf.discountFactor(settlementDate); double notional = bond.getNotional(); return pv.getAmount() / (df * notional); }
double dirtyNominalPriceFromCurvesWithZSpread( ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, LocalDate settlementDate, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) { CurrencyAmount pv = presentValueWithZSpread( bond, ratesProvider, discountingProvider, settlementDate, zSpread, compoundedRateType, periodsPerYear); RepoCurveDiscountFactors repoDf = repoCurveDf(bond, discountingProvider); double df = repoDf.discountFactor(settlementDate); double notional = bond.getNotional(); return pv.getAmount() / (df * notional); }
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())); }
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); }
PointSensitivityBuilder dirtyNominalPriceSensitivity( ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, LocalDate settlementDate) { double notional = bond.getNotional(); CurrencyAmount pv = presentValue(bond, ratesProvider, discountingProvider, settlementDate); RepoCurveDiscountFactors repoDf = repoCurveDf(bond, discountingProvider); double df = repoDf.discountFactor(settlementDate); PointSensitivityBuilder pvSensi = presentValueSensitivity( bond, ratesProvider, discountingProvider, settlementDate).multipliedBy(1d / (df * notional)); RepoCurveZeroRateSensitivity dfSensi = repoDf.zeroRatePointSensitivity(settlementDate).multipliedBy(-pv.getAmount() / (df * df * notional)); return pvSensi.combinedWith(dfSensi); }
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(
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(
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);
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);
bond, ratesProvider, discountingProvider, settlementDate, zSpread, compoundedRateType, periodsPerYear); RepoCurveDiscountFactors repoDf = repoCurveDf(bond, discountingProvider); double df = repoDf.discountFactor(settlementDate); PointSensitivityBuilder pvSensi = presentValueSensitivityWithZSpread(bond, ratesProvider, discountingProvider,