/** Tests related to the discounting method for bond security. */
public class BondSecurityFRDiscountingMethodTest {
// Calculators
private static final PresentValueCalculator PVC = PresentValueCalculator.getInstance();
private static final BondSecurityDiscountingMethod METHOD =
BondSecurityDiscountingMethod.getInstance();
private static final double TOLERANCE_PRICE = 1.0E-8;
private static final String REPO_TYPE = "General collateral";
private static final Currency EUR = Currency.EUR;
private static final Calendar TARGET = new MondayToFridayCalendar("TARGET");
private static final DayCount DAY_COUNT_ACTACTICMA =
DayCountFactory.INSTANCE.getDayCount("Actual/Actual ICMA");
private static final BusinessDayConvention BUSINESS_DAY_FOL =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
private static final boolean IS_EOM_FIXED = false;
// To derivatives
private static final DayCount ACT_ACT =
DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
private static final String CREDIT_CURVE_NAME = "Credit";
private static final String REPO_CURVE_NAME = "Repo";
private static final String FORWARD_CURVE_NAME = "Forward";
private static final String[] CURVES_NAME = {
CREDIT_CURVE_NAME, REPO_CURVE_NAME, FORWARD_CURVE_NAME
};
private static final YieldCurveBundle CURVES = TestsDataSetsSABR.createCurvesBond1();
// FRTR 4 1/2 04/25/41 - ISIN: FR0010773192
private static final String ISSUER_FR = "FRANCE (GOVT OF)";
private static final YieldConvention YIELD_CONVENTION_FRANCE =
SimpleYieldConvention.FRANCE_COMPOUND_METHOD;
private static final int SETTLEMENT_DAYS_FR = 3;
private static final Period PAYMENT_TENOR_FR = Period.ofMonths(12);
// private static final int COUPON_PER_YEAR_FR = 1;
private static final ZonedDateTime BOND_START_FR = DateUtils.getUTCDate(2009, 4, 25);
private static final ZonedDateTime BOND_MATURITY_FR = DateUtils.getUTCDate(2041, 4, 25);
private static final ZonedDateTime BOND_FIRSTCPN_FR = DateUtils.getUTCDate(2010, 4, 25);
private static final double RATE_FR = 0.0450;
private static final BondFixedSecurityDefinition BOND_FR_SECURITY_DEFINITION =
BondFixedSecurityDefinition.from(
EUR,
BOND_START_FR,
BOND_FIRSTCPN_FR,
BOND_MATURITY_FR,
PAYMENT_TENOR_FR,
RATE_FR,
SETTLEMENT_DAYS_FR,
TARGET,
DAY_COUNT_ACTACTICMA,
BUSINESS_DAY_FOL,
YIELD_CONVENTION_FRANCE,
IS_EOM_FIXED,
ISSUER_FR);
}
/**
* Compute the present value of a bond transaction from its yield-to-maturity.
*
* @param bond The bond transaction.
* @param curves The curve bundle.
* @param yield The bond yield.
* @return The present value.
*/
public double presentValueFromYield(
final BondTransaction<? extends BondSecurity<? extends Payment, ? extends Coupon>> bond,
final YieldCurveBundle curves,
final double yield) {
ArgumentChecker.notNull(bond, "Bond");
ArgumentChecker.isTrue(
bond instanceof BondFixedTransaction,
"Present value from clean price only for fixed coupon bond");
final BondFixedTransaction bondFixed = (BondFixedTransaction) bond;
double cleanPrice = METHOD_SECURITY.cleanPriceFromYield(bondFixed.getBondStandard(), yield);
return presentValueFromCleanPrice(bond, curves, cleanPrice);
}
/** Class with methods related to bond transaction valued by discounting. */
public final class BondTransactionDiscountingMethod {
private static final Logger LOGGER =
LoggerFactory.getLogger(BondTransactionDiscountingMethod.class);
/** The unique instance of the class. */
private static final BondTransactionDiscountingMethod INSTANCE =
new BondTransactionDiscountingMethod();
/**
* Return the class instance.
*
* @return The instance.
*/
public static BondTransactionDiscountingMethod getInstance() {
return INSTANCE;
}
/** Constructor */
private BondTransactionDiscountingMethod() {}
/** The present value calculator (for the different parts of the bond transaction). */
private static final PresentValueCalculator PVC = PresentValueCalculator.getInstance();
/** The present value calculator (for the different parts of the bond transaction). */
private static final PresentValueCurveSensitivityCalculator PVSC =
PresentValueCurveSensitivityCalculator.getInstance();
private static final BondSecurityDiscountingMethod METHOD_SECURITY =
BondSecurityDiscountingMethod.getInstance();
/**
* 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 of a bond transaction from its clean price.
*
* @param bond The bond transaction.
* @param curves The curve bundle.
* @param cleanPrice The bond clean price.
* @return The present value.
*/
public double presentValueFromCleanPrice(
final BondTransaction<? extends BondSecurity<? extends Payment, ? extends Coupon>> bond,
final YieldCurveBundle curves,
final double cleanPrice) {
ArgumentChecker.isTrue(
bond instanceof BondFixedTransaction,
"Present value from clean price only for fixed coupon bond");
final BondFixedTransaction bondFixed = (BondFixedTransaction) bond;
final double dfSettle =
curves
.getCurve(bondFixed.getBondStandard().getRepoCurveName())
.getDiscountFactor(bondFixed.getBondTransaction().getSettlementTime());
final double pvPriceStandard =
(cleanPrice * bondFixed.getNotionalStandard()
+ bondFixed.getBondStandard().getAccruedInterest())
* dfSettle;
final double pvNominalStandard = bond.getBondStandard().getNominal().accept(PVC, curves);
final double pvCouponStandard = bond.getBondStandard().getCoupon().accept(PVC, curves);
final double pvDiscountingStandard = (pvNominalStandard + pvCouponStandard);
final double pvNominalTransaction = bond.getBondTransaction().getNominal().accept(PVC, curves);
final double pvCouponTransaction = bond.getBondTransaction().getCoupon().accept(PVC, curves);
final double pvDiscountingTransaction = (pvNominalTransaction + pvCouponTransaction);
return (pvDiscountingTransaction - pvDiscountingStandard + pvPriceStandard)
* bond.getQuantity();
}
/**
* Compute the present value of a bond transaction from its yield-to-maturity.
*
* @param bond The bond transaction.
* @param curves The curve bundle.
* @param yield The bond yield.
* @return The present value.
*/
public double presentValueFromYield(
final BondTransaction<? extends BondSecurity<? extends Payment, ? extends Coupon>> bond,
final YieldCurveBundle curves,
final double yield) {
ArgumentChecker.notNull(bond, "Bond");
ArgumentChecker.isTrue(
bond instanceof BondFixedTransaction,
"Present value from clean price only for fixed coupon bond");
final BondFixedTransaction bondFixed = (BondFixedTransaction) bond;
double cleanPrice = METHOD_SECURITY.cleanPriceFromYield(bondFixed.getBondStandard(), yield);
return presentValueFromCleanPrice(bond, curves, cleanPrice);
}
/**
* 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);
}
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);
}
}
