/**
* 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);
}