public void test_presentValueFromCleanPrice_early_exCoupon() { CurrencyAmount computed = PRICER.presentValueFromCleanPrice( TRADE_EX_COUPON_EARLY, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE); CurrencyAmount netAmount = PRICER.netAmount(TRADE_EX_COUPON_EARLY, RATES_PROVIDER); double df1 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_EARLY); double df2 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_STANDARD); double expected1 = netAmount.getAmount() * df1; double expected2 = QUANTITY * df2 * PRICER.forecastValueStandardFromCleanPrice( RPRODUCT_EX_COUPON, RATES_PROVIDER, SETTLEMENT_STANDARD, TRADE_PRICE).getAmount(); assertEquals(computed.getAmount(), expected1 + expected2, NOTIONAL * QUANTITY * TOL); }
public void test_presentValueFromCleanPriceWithZSpread_standard() { CurrencyAmount computed = PRICER.presentValueFromCleanPriceWithZSpread(TRADE_STANDARD, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR); CurrencyAmount netAmount = PRICER.netAmount(TRADE_STANDARD, RATES_PROVIDER); double df1 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_STANDARD); double df2 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_STANDARD); double expected1 = netAmount.getAmount() * df1; double expected2 = QUANTITY * df2 * PRICER.forecastValueStandardFromCleanPrice( RPRODUCT, RATES_PROVIDER, SETTLEMENT_STANDARD, TRADE_PRICE).getAmount(); assertEquals(computed.getAmount(), expected1 + expected2, NOTIONAL * QUANTITY * TOL); }
public void test_presentValueFromCleanPriceWithZSpread_early_exCoupon() { CurrencyAmount computed = PRICER.presentValueFromCleanPriceWithZSpread( TRADE_EX_COUPON_EARLY, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE, Z_SPREAD, CONTINUOUS, 0); CurrencyAmount netAmount = PRICER.netAmount(TRADE_EX_COUPON_EARLY, RATES_PROVIDER); double df1 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_EARLY); double df2 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_STANDARD); double expected1 = netAmount.getAmount() * df1; double expected2 = QUANTITY * df2 * PRICER.forecastValueStandardFromCleanPrice( RPRODUCT_EX_COUPON, RATES_PROVIDER, SETTLEMENT_STANDARD, TRADE_PRICE).getAmount(); assertEquals(computed.getAmount(), expected1 + expected2, NOTIONAL * QUANTITY * TOL); }
public void test_presentValueFromCleanPrice_early() { CurrencyAmount computed = PRICER.presentValueFromCleanPrice( TRADE_EARLY, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE); CurrencyAmount netAmount = PRICER.netAmount(TRADE_EARLY, RATES_PROVIDER); CapitalIndexedBondPaymentPeriod period = PRODUCT.resolve(REF_DATA).getPeriodicPayments().get(16); double pvDiff = PERIOD_PRICER.presentValue(period, RATES_PROVIDER, ISSUER_DISCOUNT_FACTORS) * QUANTITY; double df1 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_EARLY); double df2 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_STANDARD); double expected1 = netAmount.getAmount() * df1; double expected2 = -pvDiff + QUANTITY * df2 * PRICER.forecastValueStandardFromCleanPrice(RPRODUCT, RATES_PROVIDER, SETTLEMENT_STANDARD, TRADE_PRICE).getAmount(); assertEquals(computed.getAmount(), expected1 + expected2, NOTIONAL * QUANTITY * TOL); }
public void test_presentValueFromCleanPrice_late() { CurrencyAmount computed = PRICER.presentValueFromCleanPrice( TRADE_LATE, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE); CurrencyAmount netAmount = PRICER.netAmount(TRADE_LATE, RATES_PROVIDER); CapitalIndexedBondPaymentPeriod period = PRODUCT.resolve(REF_DATA).getPeriodicPayments().get(17); double pvDiff = PERIOD_PRICER.presentValue(period, RATES_PROVIDER, ISSUER_DISCOUNT_FACTORS) * QUANTITY; double df1 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_LATE); double df2 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_STANDARD); double expected1 = netAmount.getAmount() * df1; double expected2 = pvDiff + QUANTITY * df2 * PRICER.forecastValueStandardFromCleanPrice( RPRODUCT, RATES_PROVIDER, SETTLEMENT_STANDARD, TRADE_PRICE).getAmount(); assertEquals(computed.getAmount(), expected1 + expected2, NOTIONAL * QUANTITY * TOL); }
public void test_presentValueFromCleanPriceWithZSpread_early() { CurrencyAmount computed = PRICER.presentValueFromCleanPriceWithZSpread( TRADE_EARLY, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE, Z_SPREAD, CONTINUOUS, 0); CurrencyAmount netAmount = PRICER.netAmount(TRADE_EARLY, RATES_PROVIDER); CapitalIndexedBondPaymentPeriod period = PRODUCT.resolve(REF_DATA).getPeriodicPayments().get(16); double pvDiff = PERIOD_PRICER.presentValueWithZSpread( period, RATES_PROVIDER, ISSUER_DISCOUNT_FACTORS, Z_SPREAD, CONTINUOUS, 0) * QUANTITY; double df1 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_EARLY); double df2 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_STANDARD); double expected1 = netAmount.getAmount() * df1; double expected2 = -pvDiff + QUANTITY * df2 * PRICER.forecastValueStandardFromCleanPrice( RPRODUCT, RATES_PROVIDER, SETTLEMENT_STANDARD, TRADE_PRICE).getAmount(); assertEquals(computed.getAmount(), expected1 + expected2, NOTIONAL * QUANTITY * TOL); }
public void test_presentValueFromCleanPriceWithZSpread_late() { CurrencyAmount computed = PRICER.presentValueFromCleanPriceWithZSpread( TRADE_LATE, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE, Z_SPREAD, CONTINUOUS, 0); CurrencyAmount netAmount = PRICER.netAmount(TRADE_LATE, RATES_PROVIDER); CapitalIndexedBondPaymentPeriod period = PRODUCT.resolve(REF_DATA).getPeriodicPayments().get(17); double pvDiff = PERIOD_PRICER.presentValueWithZSpread( period, RATES_PROVIDER, ISSUER_DISCOUNT_FACTORS, Z_SPREAD, CONTINUOUS, 0) * QUANTITY; double df1 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_LATE); double df2 = ISSUER_RATES_PROVIDER.repoCurveDiscountFactors(SECURITY_ID, LEGAL_ENTITY, USD) .discountFactor(SETTLEMENT_STANDARD); double expected1 = netAmount.getAmount() * df1; double expected2 = pvDiff + QUANTITY * df2 * PRICER.forecastValueStandardFromCleanPrice( RPRODUCT, RATES_PROVIDER, SETTLEMENT_STANDARD, TRADE_PRICE).getAmount(); assertEquals(computed.getAmount(), expected1 + expected2, NOTIONAL * QUANTITY * TOL); }
RepoCurveDiscountFactors repoDf = DiscountingCapitalIndexedBondProductPricer.repoCurveDf(bond, discountingProvider); double df = repoDf.discountFactor(standardSettlementDate); CurrencyAmount pvStandard = forecastValueStandardFromCleanPrice( bond, ratesProvider, standardSettlementDate, cleanRealPrice).multipliedBy(df); if (standardSettlementDate.isEqual(tradeSettlementDate)) {
RepoCurveDiscountFactors repoDf = DiscountingCapitalIndexedBondProductPricer.repoCurveDf(bond, discountingProvider); double df = repoDf.discountFactor(standardSettlementDate); CurrencyAmount pvStandard = forecastValueStandardFromCleanPrice( bond, ratesProvider, standardSettlementDate, cleanRealPrice).multipliedBy(df); if (standardSettlementDate.isEqual(tradeSettlementDate)) {
PointSensitivityBuilder pvSensiStandard = forecastValueSensitivityStandardFromCleanPrice(bond, ratesProvider, standardSettlementDate, cleanRealPrice).multipliedBy(df).combinedWith(dfSensi.multipliedBy( forecastValueStandardFromCleanPrice(bond, ratesProvider, standardSettlementDate, cleanRealPrice) .getAmount())); if (standardSettlementDate.isEqual(tradeSettlementDate)) {
PointSensitivityBuilder pvSensiStandard = forecastValueSensitivityStandardFromCleanPrice(bond, ratesProvider, standardSettlementDate, cleanRealPrice).multipliedBy(df).combinedWith(dfSensi.multipliedBy( forecastValueStandardFromCleanPrice(bond, ratesProvider, standardSettlementDate, cleanRealPrice) .getAmount())); if (standardSettlementDate.isEqual(tradeSettlementDate)) {