/**
* 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 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 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);
}