/** * 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(); }
/** * 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(); }
.getAmount())); if (standardSettlementDate.isEqual(tradeSettlementDate)) { return presentValueSensitivityFromProductPresentValueSensitivity( trade, ratesProvider, discountingProvider, pvSensiStandard).build(); issuerDf, standardSettlementDate, tradeSettlementDate)); return presentValueSensitivityFromProductPresentValueSensitivity( trade, ratesProvider, discountingProvider, pvSensiStandard.combinedWith(pvSensiDiff)).build();
.getAmount())); if (standardSettlementDate.isEqual(tradeSettlementDate)) { return presentValueSensitivityFromProductPresentValueSensitivity( trade, ratesProvider, discountingProvider, pvSensiStandard).build(); periodsPerYear)); return presentValueSensitivityFromProductPresentValueSensitivity( trade, ratesProvider, discountingProvider, pvSensiStandard.combinedWith(pvSensiDiff)).build();