public InterestRateCurveSensitivity presentValueSensitivity(
final BondIborTransaction bond, final YieldCurveBundle curves) {
final InterestRateCurveSensitivity pvsNominal =
new InterestRateCurveSensitivity(
bond.getBondTransaction().getNominal().accept(PVSC, curves));
final InterestRateCurveSensitivity pvsCoupon =
new InterestRateCurveSensitivity(
bond.getBondTransaction().getCoupon().accept(PVSC, curves));
final double settlementAmount =
bond.getTransactionPrice()
* bond.getBondTransaction()
.getCoupon()
.getNthPayment(0)
.getNotional(); // FIXME: add accrued.
LOGGER.error("The FRN settlement amount does not include the accrued interests.");
final PaymentFixed settlement =
new PaymentFixed(
bond.getBondTransaction().getCurrency(),
bond.getBondTransaction().getSettlementTime(),
settlementAmount,
bond.getBondTransaction().getRepoCurveName());
final InterestRateCurveSensitivity pvsSettlement =
new InterestRateCurveSensitivity(settlement.accept(PVSC, curves));
return pvsNominal.plus(pvsCoupon).multipliedBy(bond.getQuantity()).plus(pvsSettlement);
}
/**
* Compute the the present value curve sensitivity of a fixed payment by discounting to a parallel
* curve movement.
*
* @param payment The payment.
* @param multicurves The multi-curves provider.
* @return The sensitivity. TODO: Should this be multiple-currency?
*/
public StringAmount presentValueParallelCurveSensitivity(
final PaymentFixed payment, final MulticurveProviderInterface multicurves) {
final double time = payment.getPaymentTime();
final double sensitivity =
-time * payment.getAmount() * multicurves.getDiscountFactor(payment.getCurrency(), time);
return StringAmount.from(multicurves.getName(payment.getCurrency()), sensitivity);
}
/**
* Compute the the present value of a fixed payment by discounting to a parallel curve movement.
*
* @param payment The payment.
* @param multicurves The multi-curve provider.
* @return The present value.
*/
public MultipleCurrencyAmount presentValue(
final PaymentFixed payment, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(payment, "Payment");
ArgumentChecker.notNull(multicurves, "Multi-curves");
final double pv =
payment.getAmount()
* multicurves.getDiscountFactor(payment.getCurrency(), payment.getPaymentTime());
return MultipleCurrencyAmount.of(payment.getCurrency(), pv);
}
@Override
public Map<String, List<DoublesPair>> visitFixedPayment(
final PaymentFixed payment, final YieldCurveBundle data) {
final String curveName = payment.getFundingCurveName();
final YieldAndDiscountCurve curve = data.getCurve(curveName);
final double t = payment.getPaymentTime();
final DoublesPair s = new DoublesPair(t, -t * payment.getAmount() * curve.getDiscountFactor(t));
final List<DoublesPair> list = new ArrayList<DoublesPair>();
list.add(s);
final Map<String, List<DoublesPair>> result = new HashMap<String, List<DoublesPair>>();
result.put(curveName, list);
return result;
}
/**
* Computes the present value curve sensitivity of a fixed payment by discounting.
*
* @param payment The fixed payment.
* @param multicurves The multi-curve provider.
* @return The sensitivity.
*/
public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(
final PaymentFixed payment, final MulticurveProviderInterface multicurves) {
final double time = payment.getPaymentTime();
final DoublesPair s =
DoublesPair.of(
time,
-time
* payment.getAmount()
* multicurves.getDiscountFactor(payment.getCurrency(), time));
final List<DoublesPair> list = new ArrayList<>();
list.add(s);
final Map<String, List<DoublesPair>> result = new HashMap<>();
result.put(multicurves.getName(payment.getCurrency()), list);
return MultipleCurrencyMulticurveSensitivity.of(
payment.getCurrency(), MulticurveSensitivity.ofYieldDiscounting(result));
}
/**
* Compute the present value of a fixed coupon bond transaction.
*
* @param bond The bond transaction.
* @param curves The curve bundle.
* @return The present value.
*/
public double presentValue(final BondFixedTransaction bond, final YieldCurveBundle curves) {
final double pvNominal = bond.getBondTransaction().getNominal().accept(PVC, curves);
final double pvCoupon = bond.getBondTransaction().getCoupon().accept(PVC, curves);
final double settlementAmount =
-(bond.getTransactionPrice()
* bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional()
+ bond.getBondTransaction().getAccruedInterest())
* bond.getQuantity();
final PaymentFixed settlement =
new PaymentFixed(
bond.getBondTransaction().getCurrency(),
bond.getBondTransaction().getSettlementTime(),
settlementAmount,
bond.getBondTransaction().getRepoCurveName());
final double pvSettlement = settlement.accept(PVC, curves);
return (pvNominal + pvCoupon) * bond.getQuantity() + pvSettlement;
}
/**
* Compute the present value of a Ibor coupon bond (FRN) transaction.
*
* @param bond The bond transaction.
* @param curves The curve bundle.
* @return The present value.
*/
public double presentValue(final BondIborTransaction bond, final YieldCurveBundle curves) {
final double pvNominal = bond.getBondTransaction().getNominal().accept(PVC, curves);
final double pvCoupon = bond.getBondTransaction().getCoupon().accept(PVC, curves);
final double settlementAmount =
bond.getTransactionPrice()
* bond.getBondTransaction()
.getCoupon()
.getNthPayment(0)
.getNotional(); // FIXME: add accrued.
LOGGER.error("The FRN settlement amount does not include the accrued interests.");
final PaymentFixed settlement =
new PaymentFixed(
bond.getBondTransaction().getCurrency(),
bond.getBondTransaction().getSettlementTime(),
settlementAmount,
bond.getBondTransaction().getRepoCurveName());
final double pvSettlement = settlement.accept(PVC, curves);
return (pvNominal + pvCoupon) * bond.getQuantity() + pvSettlement;
}
/**
* Compute the present value sensitivity of a bond transaction.
*
* @param bond The bond transaction.
* @param curves The curve bundle.
* @return The present value sensitivity.
*/
public InterestRateCurveSensitivity presentValueSensitivity(
final BondFixedTransaction bond, final YieldCurveBundle curves) {
final InterestRateCurveSensitivity pvsNominal =
new InterestRateCurveSensitivity(
bond.getBondTransaction().getNominal().accept(PVSC, curves));
final InterestRateCurveSensitivity pvsCoupon =
new InterestRateCurveSensitivity(
bond.getBondTransaction().getCoupon().accept(PVSC, curves));
final double settlementAmount =
-(bond.getTransactionPrice()
* bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional()
+ bond.getBondTransaction().getAccruedInterest())
* bond.getQuantity();
final PaymentFixed settlement =
new PaymentFixed(
bond.getBondTransaction().getCurrency(),
bond.getBondTransaction().getSettlementTime(),
settlementAmount,
bond.getBondTransaction().getRepoCurveName());
final InterestRateCurveSensitivity pvsSettlement =
new InterestRateCurveSensitivity(settlement.accept(PVSC, curves));
return pvsNominal.plus(pvsCoupon).multipliedBy(bond.getQuantity()).plus(pvsSettlement);
}
