@Override
public PresentValueSABRSensitivityDataBundle visitGenericAnnuity(
final Annuity<? extends Payment> annuity, final SABRSwaptionProviderInterface sabr) {
ArgumentChecker.notNull(annuity, "Annuity");
PresentValueSABRSensitivityDataBundle cs = visit(annuity.getNthPayment(0), sabr);
for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
cs = cs.plus(visit(annuity.getNthPayment(loopp), sabr));
}
return cs;
}
@Override
public double[] visitGenericAnnuity(
final Annuity<? extends Payment> annuity, final YieldCurveBundle curves) {
final int n = annuity.getNumberOfPayments();
final double[] fractions = new double[n];
for (int i = 0; i < n; i++) {
fractions[i] = annuity.getNthPayment(i).accept(COUPON_VISITOR, curves);
}
return fractions;
}
@Override
public MultipleCurrencyCurveSensitivityMarket visitGenericAnnuity(
final Annuity<? extends Payment> annuity, final IMarketBundle market) {
ArgumentChecker.notNull(annuity, "Annuity");
ArgumentChecker.notNull(market, "Market");
MultipleCurrencyCurveSensitivityMarket cs = visit(annuity.getNthPayment(0), market);
for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
cs = cs.plus(visit(annuity.getNthPayment(loopp), market));
}
return cs;
}
/**
* This gives you the bond coupon, for a given yield curve, that renders the bond par (present
* value of all cash flows equal to 1.0)
*
* @param bond the bond
* @param curves the input curves
* @return the par rate
*/
@Override
public Double visitBondFixedSecurity(
final BondFixedSecurity bond, final YieldCurveBundle curves) {
final Annuity<CouponFixed> coupons = bond.getCoupon();
final int n = coupons.getNumberOfPayments();
final CouponFixed[] unitCoupons = new CouponFixed[n];
for (int i = 0; i < n; i++) {
unitCoupons[i] = coupons.getNthPayment(i).withUnitCoupon();
}
final Annuity<CouponFixed> unitCouponAnnuity = new Annuity<>(unitCoupons);
final double pvann = unitCouponAnnuity.accept(PVC, curves);
final double matPV = bond.getNominal().accept(PVC, curves);
return (1 - matPV) / pvann;
}