/**
* Calculates the price sensitivity of the bond future product.
*
* <p>The price sensitivity of the product is the sensitivity of the price to the underlying
* curves.
*
* <p>Note that the price sensitivity should be no currency.
*
* @param future the future to price
* @param provider the rates provider
* @return the price curve sensitivity of the product
*/
public PointSensitivities priceSensitivity(
BondFuture future, LegalEntityDiscountingProvider provider) {
ImmutableList<Security<FixedCouponBond>> bondSecurity = future.getBondSecurityBasket();
int size = bondSecurity.size();
double[] priceBonds = new double[size];
int indexCTD = 0;
double priceMin = 2d;
for (int i = 0; i < size; i++) {
Security<FixedCouponBond> bond = bondSecurity.get(i);
double dirtyPrice =
bondPricer.dirtyPriceFromCurves(bond, provider, future.getLastDeliveryDate());
priceBonds[i] =
bondPricer.cleanPriceFromDirtyPrice(
bond.getProduct(), future.getLastDeliveryDate(), dirtyPrice)
/ future.getConversionFactor().get(i);
if (priceBonds[i] < priceMin) {
priceMin = priceBonds[i];
indexCTD = i;
}
}
PointSensitivityBuilder pointSensi =
bondPricer.dirtyPriceSensitivity(
bondSecurity.get(indexCTD), provider, future.getLastDeliveryDate());
return pointSensi.multipliedBy(1d / future.getConversionFactor().get(indexCTD)).build();
}
/**
* Calculates the price of the bond future product with z-spread.
*
* <p>The price of the product is the price on the valuation date.
*
* <p>The z-spread is a parallel shift applied to continuously compounded rates or periodic
* compounded rates of the issuer discounting curve.
*
* @param future the future to price
* @param provider the rates provider
* @param zSpread the z-spread
* @param compoundedRateType the compounded rate type
* @param periodPerYear the number of periods per year
* @return the price of the product, in decimal form
*/
public double priceWithZSpread(
BondFuture future,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodPerYear) {
ImmutableList<Security<FixedCouponBond>> bondSecurity = future.getBondSecurityBasket();
int size = bondSecurity.size();
double[] priceBonds = new double[size];
for (int i = 0; i < size; ++i) {
Security<FixedCouponBond> bond = bondSecurity.get(i);
double dirtyPrice =
bondPricer.dirtyPriceFromCurvesWithZSpread(
bond,
provider,
zSpread,
compoundedRateType,
periodPerYear,
future.getLastDeliveryDate());
priceBonds[i] =
bondPricer.cleanPriceFromDirtyPrice(
bond.getProduct(), future.getLastDeliveryDate(), dirtyPrice)
/ future.getConversionFactor().get(i);
}
return Doubles.min(priceBonds);
}