/** * Computes the gross basis of the bonds in the underlying basket from their clean prices. * * @param future The future security. * @param cleanPrices The clean prices (at standard bond market spot date) of the bond in the * basket. * @param futurePrice The future price. * @return The gross basis for each bond in the basket. */ public double[] grossBasisFromPrices( final BondFuture future, final double[] cleanPrices, final double futurePrice) { ArgumentChecker.notNull(future, "Future"); final int nbBasket = future.getDeliveryBasket().length; ArgumentChecker.isTrue(cleanPrices.length == nbBasket, "Number of clean prices"); final double[] grossBasis = new double[nbBasket]; for (int loopbasket = 0; loopbasket < future.getDeliveryBasket().length; loopbasket++) { grossBasis[loopbasket] = cleanPrices[loopbasket] - futurePrice * future.getConversionFactor()[loopbasket]; } return grossBasis; }
/** * Computes the net basis of associated to the cheapest to deliver bonds in the underlying basket * from the curves and the future price. * * @param future The future security. * @param issuerMulticurves The issuer and multi-curves provider. * @param futurePrice The future price. * @return The net basis. */ public double netBasisCheapest( final BondFuture future, final IssuerProviderInterface issuerMulticurves, final double futurePrice) { ArgumentChecker.notNull(future, "Future"); ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider"); final int nbBasket = future.getDeliveryBasket().length; final double[] netBasis = new double[nbBasket]; for (int loopbasket = 0; loopbasket < future.getDeliveryBasket().length; loopbasket++) { netBasis[loopbasket] = BOND_METHOD.cleanPriceFromCurves( future.getDeliveryBasket()[loopbasket], issuerMulticurves) - futurePrice * future.getConversionFactor()[loopbasket]; } return MIN_FUNCTION.evaluate(netBasis); }
/** * Computes the future price from the curves used to price the underlying bonds and the net basis. * * @param future The future security. * @param issuerMulticurves The issuer and multi-curves provider. * @param netBasis The net basis associated to the future. * @return The future price. */ public double priceFromNetBasis( final BondFuture future, final IssuerProviderInterface issuerMulticurves, final double netBasis) { ArgumentChecker.notNull(future, "Future"); ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider"); final double[] priceFromBond = new double[future.getDeliveryBasket().length]; for (int loopbasket = 0; loopbasket < future.getDeliveryBasket().length; loopbasket++) { priceFromBond[loopbasket] = (BOND_METHOD.cleanPriceFromCurves( future.getDeliveryBasket()[loopbasket], issuerMulticurves) - netBasis) / future.getConversionFactor()[loopbasket]; } final double priceFuture = MIN_FUNCTION.evaluate(priceFromBond); return priceFuture; }
/** * Computes the gross basis of the bonds in the underlying basket from the curves. * * @param future The future security. * @param issuerMulticurves The issuer and multi-curves provider. * @param futurePrice The future price. * @return The gross basis for each bond in the basket. */ public double[] grossBasisFromCurves( final BondFuture future, final IssuerProviderInterface issuerMulticurves, final double futurePrice) { ArgumentChecker.notNull(future, "Future"); ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider"); final int nbBasket = future.getDeliveryBasket().length; final double[] grossBasis = new double[nbBasket]; final double[] cleanPrices = new double[nbBasket]; for (int loopbasket = 0; loopbasket < future.getDeliveryBasket().length; loopbasket++) { cleanPrices[loopbasket] = BOND_METHOD.cleanPriceFromCurves( future.getDeliveryBasket()[loopbasket], issuerMulticurves); grossBasis[loopbasket] = cleanPrices[loopbasket] - futurePrice * future.getConversionFactor()[loopbasket]; } return grossBasis; }
/** * Computes the future price curve sensitivity. * * @param future The future security. * @param issuerMulticurves The issuer and multi-curves provider. * @return The curve sensitivity. */ public MulticurveSensitivity priceCurveSensitivity( final BondFuture future, final IssuerProviderInterface issuerMulticurves) { ArgumentChecker.notNull(future, "Future"); ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider"); final double[] priceFromBond = new double[future.getDeliveryBasket().length]; int indexCTD = 0; double priceMin = 2.0; for (int loopbasket = 0; loopbasket < future.getDeliveryBasket().length; loopbasket++) { priceFromBond[loopbasket] = (BOND_METHOD.cleanPriceFromCurves( future.getDeliveryBasket()[loopbasket], issuerMulticurves)) / future.getConversionFactor()[loopbasket]; if (priceFromBond[loopbasket] < priceMin) { priceMin = priceFromBond[loopbasket]; indexCTD = loopbasket; } } MulticurveSensitivity result = BOND_METHOD.dirtyPriceCurveSensitivity( future.getDeliveryBasket()[indexCTD], issuerMulticurves); return result.multipliedBy(1.0 / future.getConversionFactor()[indexCTD]); }