/**
* 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);
}
private void extremaOp(TiffMeta surface, GridCoverage2D gridCoverage2D) {
double min = Double.MAX_VALUE;
double max = Double.MIN_VALUE;
RenderedImage img = gridCoverage2D.getRenderedImage();
RenderedOp extremaOp = ExtremaDescriptor.create(img, null, 10, 10, false, 1, null);
double[] allMins = (double[]) extremaOp.getProperty("minimum");
min = Doubles.min(allMins);
double[] allMaxs = (double[]) extremaOp.getProperty("maximum");
max = Doubles.max(allMaxs);
surface.setMaxVal(max);
surface.setMinVal(min);
}
