/**
* Computes the present value of a fixed coupon by discounting.
*
* @param cpn The coupon.
* @param curves The curve bundle.
* @return The present value.
*/
public CurrencyAmount presentValue(CouponFixed cpn, YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(cpn);
final YieldAndDiscountCurve fundingCurve = curves.getCurve(cpn.getFundingCurveName());
double pv = cpn.getAmount() * fundingCurve.getDiscountFactor(cpn.getPaymentTime());
return CurrencyAmount.of(cpn.getCurrency(), pv);
}
/**
* Compute the the present value curve sensitivity of a fixed coupon by discounting to a parallel
* curve movement.
*
* @param cpn The coupon.
* @param curves The curve bundle.
* @return The sensitivity.
*/
public StringValue presentValueParallelCurveSensitivity(
CouponFixed cpn, YieldCurveBundle curves) {
final String curveName = cpn.getFundingCurveName();
final YieldAndDiscountCurve discountingCurve = curves.getCurve(curveName);
final double time = cpn.getPaymentTime();
double sensitivity = -time * cpn.getAmount() * discountingCurve.getDiscountFactor(time);
return StringValue.from(curveName, sensitivity);
}
/**
* Computes the present value curve sensitivity of a fixed coupon by discounting.
*
* @param cpn The coupon.
* @param curves The curve bundle.
* @return The sensitivity.
*/
public InterestRateCurveSensitivity presentValueCurveSensitivity(
CouponFixed cpn, YieldCurveBundle curves) {
final String curveName = cpn.getFundingCurveName();
final YieldAndDiscountCurve discountingCurve = curves.getCurve(curveName);
final double time = cpn.getPaymentTime();
final DoublesPair s =
new DoublesPair(time, -time * cpn.getAmount() * discountingCurve.getDiscountFactor(time));
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 new InterestRateCurveSensitivity(result);
}
@Test
/** Test the cap/floor/forward parity above the cut-off strike. */
public void presentValueCapFloorParityAboveCutOff() {
final CurrencyAmount priceCap = METHOD.presentValue(CAP_HIGH_LONG, SABR_BUNDLE);
final CurrencyAmount priceFloor = METHOD.presentValue(FLOOR_HIGH_SHORT, SABR_BUNDLE);
final double priceCouponStrike = COUPON_STRIKE_HIGH.accept(PVC, CURVES);
final double priceCouponIbor = COUPON_IBOR.accept(PVC, CURVES);
assertEquals(
"Cap/floor: SABR with extrapolation pricing: cap/floor parity",
priceCouponIbor - priceCouponStrike,
priceCap.getAmount() + priceFloor.getAmount(),
1E-2);
}
/**
* Computes the present value of the fixed coupon with positive notional (abs(notional) is used)
* by discounting.
*
* @param cpn The coupon.
* @param curves The curve bundle.
* @return The present value.
*/
public CurrencyAmount presentValuePositiveNotional(CouponFixed cpn, YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(cpn);
final YieldAndDiscountCurve fundingCurve = curves.getCurve(cpn.getFundingCurveName());
double pv =
cpn.getPaymentYearFraction()
* Math.abs(cpn.getNotional())
* cpn.getFixedRate()
* fundingCurve.getDiscountFactor(cpn.getPaymentTime());
return CurrencyAmount.of(cpn.getCurrency(), pv);
}
@Override
public Map<String, List<DoublesPair>> visitCouponFixed(
final CouponFixed payment, final YieldCurveBundle data) {
return visitFixedPayment(payment.toPaymentFixed(), data);
}