/** * Calculates the dirty price of the fixed coupon bond. * <p> * The fixed coupon bond is represented as {@link Security} where standard ID of the bond is stored. * <p> * Strata uses <i>decimal prices</i> for bonds. For example, a price of 99.32% is represented in Strata by 0.9932. * * @param bond the product * @param provider the discounting provider * @param refData the reference data used to calculate the settlement date * @return the dirty price of the fixed coupon bond security */ public double dirtyPriceFromCurves( ResolvedFixedCouponBond bond, LegalEntityDiscountingProvider provider, ReferenceData refData) { LocalDate settlementDate = bond.getSettlementDateOffset().adjust(provider.getValuationDate(), refData); return dirtyPriceFromCurves(bond, provider, settlementDate); }
/** * Calculates the price of the bond future product. * <p> * The price of the product is the price on the valuation date. * <p> * Strata uses <i>decimal prices</i> for bond futures. This is coherent with the pricing of {@link FixedCouponBond}. * For example, a price of 99.32% is represented in Strata by 0.9932. * * @param future the future * @param discountingProvider the discounting provider * @return the price of the product, in decimal form */ public double price(ResolvedBondFuture future, LegalEntityDiscountingProvider discountingProvider) { ImmutableList<ResolvedFixedCouponBond> basket = future.getDeliveryBasket(); int size = basket.size(); double[] priceBonds = new double[size]; for (int i = 0; i < size; ++i) { ResolvedFixedCouponBond bond = basket.get(i); double dirtyPrice = bondPricer.dirtyPriceFromCurves(bond, discountingProvider, future.getLastDeliveryDate()); priceBonds[i] = bondPricer.cleanPriceFromDirtyPrice( bond, future.getLastDeliveryDate(), dirtyPrice) / future.getConversionFactors().get(i); } return Doubles.min(priceBonds); }
for (int i = 0; i < size; i++) { ResolvedFixedCouponBond bond = basket.get(i); double dirtyPrice = bondPricer.dirtyPriceFromCurves(bond, discountingProvider, future.getLastDeliveryDate()); priceBonds[i] = bondPricer.cleanPriceFromDirtyPrice( bond, future.getLastDeliveryDate(), dirtyPrice) / future.getConversionFactors().get(i);
public void test_dirtyPriceFromCleanPrice_cleanPriceFromDirtyPrice() { double dirtyPrice = PRICER.dirtyPriceFromCurves(PRODUCT, PROVIDER, REF_DATA); LocalDate settlement = DATE_OFFSET.adjust(VAL_DATE, REF_DATA); double cleanPrice = PRICER.cleanPriceFromDirtyPrice(PRODUCT, settlement, dirtyPrice); double accruedInterest = PRICER.accruedInterest(PRODUCT, settlement); assertEquals(cleanPrice, dirtyPrice - accruedInterest / NOTIONAL, NOTIONAL * TOL); double dirtyPriceRe = PRICER.dirtyPriceFromCleanPrice(PRODUCT, settlement, cleanPrice); assertEquals(dirtyPriceRe, dirtyPrice, TOL); }
public void test_dirtyPriceFromCurves() { double computed = PRICER.dirtyPriceFromCurves(PRODUCT, PROVIDER, REF_DATA); CurrencyAmount pv = PRICER.presentValue(PRODUCT, PROVIDER); LocalDate settlement = DATE_OFFSET.adjust(VAL_DATE, REF_DATA); double df = DSC_FACTORS_REPO.discountFactor(settlement); assertEquals(computed, pv.getAmount() / df / NOTIONAL); }
public void test_price() { double computed = FUTURE_PRICER.price(FUTURE_PRODUCT, PROVIDER); double dirtyPrice = BOND_PRICER.dirtyPriceFromCurves( BOND, PROVIDER, FUTURE_PRODUCT.getLastDeliveryDate()); double expected = BOND_PRICER.cleanPriceFromDirtyPrice( BOND, FUTURE_PRODUCT.getLastDeliveryDate(), dirtyPrice) / CONVERSION_FACTOR[0]; assertEquals(computed, expected, TOL); }
public void test_dirtyPriceSensitivity() { PointSensitivityBuilder point = PRICER.dirtyPriceSensitivity(PRODUCT, PROVIDER, REF_DATA); CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point.build()); CurrencyParameterSensitivities expected = FD_CAL.sensitivity( PROVIDER, p -> CurrencyAmount.of(EUR, PRICER.dirtyPriceFromCurves(PRODUCT, p, REF_DATA))); assertTrue(computed.equalWithTolerance(expected, NOTIONAL * EPS)); }
public void test_presentValueFromCleanPrice_coherency() { double priceDirty = PRODUCT_PRICER.dirtyPriceFromCurves(PRODUCT, PROVIDER, REF_DATA); LocalDate standardSettlementDate = PRODUCT.getSettlementDateOffset().adjust(PROVIDER.getValuationDate(), REF_DATA); double priceCleanComputed = PRODUCT_PRICER.cleanPriceFromDirtyPrice(PRODUCT, standardSettlementDate, priceDirty); CurrencyAmount pvCleanPrice = TRADE_PRICER.presentValueFromCleanPrice(TRADE, PROVIDER, REF_DATA, priceCleanComputed); CurrencyAmount pvCurves = TRADE_PRICER.presentValue(TRADE, PROVIDER); assertEquals(pvCleanPrice.getAmount(), pvCurves.getAmount(), NOTIONAL * TOL); }
public void test_presentValueFromCleanPrice_noExcoupon_coherency() { double priceDirty = PRODUCT_PRICER.dirtyPriceFromCurves(PRODUCT_NO_EXCOUPON, PROVIDER, REF_DATA); LocalDate standardSettlementDate = PRODUCT.getSettlementDateOffset().adjust(PROVIDER.getValuationDate(), REF_DATA); double priceCleanComputed = PRODUCT_PRICER.cleanPriceFromDirtyPrice(PRODUCT, standardSettlementDate, priceDirty); CurrencyAmount pvCleanPrice = TRADE_PRICER.presentValueFromCleanPrice( TRADE_NO_EXCOUPON, PROVIDER, REF_DATA, priceCleanComputed); CurrencyAmount pvCurves = TRADE_PRICER.presentValue(TRADE_NO_EXCOUPON, PROVIDER); assertEquals(pvCleanPrice.getAmount(), pvCurves.getAmount(), NOTIONAL * TOL); }