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 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;
}