/**
* Return the relative (not multiplied by the notional) accrued interest rate at a given date.
*
* @param date The date.
* @return The accrued interest.
*/
public double accruedInterest(final ZonedDateTime date) {
double result = 0;
final int nbCoupon = getCoupons().getNumberOfPayments();
int couponIndex = 0;
for (int loopcpn = 0; loopcpn < nbCoupon; loopcpn++) {
if (getCoupons().getNthPayment(loopcpn).getAccrualEndDate().isAfter(date)) {
couponIndex = loopcpn;
break;
}
}
final ZonedDateTime previousAccrualDate =
getCoupons().getNthPayment(couponIndex).getAccrualStartDate();
final ZonedDateTime nextAccrualDate =
getCoupons().getNthPayment(couponIndex).getAccrualEndDate();
final CouponInflationWithMargin currentCoupon =
((CouponInflationWithMargin) getCoupons().getNthPayment(couponIndex));
final double accruedInterest =
AccruedInterestCalculator.getAccruedInterest(
getDayCount(),
couponIndex,
nbCoupon,
previousAccrualDate,
date,
nextAccrualDate,
currentCoupon.getFactor(),
getCouponPerYear(),
isEOM())
* getCoupons().getNthPayment(couponIndex).getNotional();
if (getExCouponDays() != 0 && nextAccrualDate.minusDays(getExCouponDays()).isBefore(date)) {
result = accruedInterest - currentCoupon.getFactor() / _couponPerYear;
} else {
result = accruedInterest;
}
return result;
}
/**
* Constructor of a fixed coupon bond transaction from all the transaction details.
*
* @param underlyingBond The fixed coupon bond underlying the transaction.
* @param quantity The number of bonds purchased (can be negative or positive).
* @param settlementDate Transaction settlement date.
* @param dirtyPrice The (dirty) price of the transaction in relative term (i.e. 0.90 if the dirty
* price is 90% of nominal).
*/
public BondFixedTransactionDefinition(
final BondFixedSecurityDefinition underlyingBond,
final double quantity,
final ZonedDateTime settlementDate,
final double dirtyPrice) {
super(underlyingBond, quantity, settlementDate, dirtyPrice);
_accruedInterestAtSettlement = 0;
final int nbCoupon = underlyingBond.getCoupons().getNumberOfPayments();
final double accruedInterest =
AccruedInterestCalculator.getAccruedInterest(
getUnderlyingBond().getDayCount(),
getCouponIndex(),
nbCoupon,
getPreviousAccrualDate(),
settlementDate,
getNextAccrualDate(),
underlyingBond.getCoupons().getNthPayment(getCouponIndex()).getRate(),
underlyingBond.getCouponPerYear(),
underlyingBond.isEOM());
if (underlyingBond.getExCouponDays() != 0
&& getNextAccrualDate()
.minusDays(underlyingBond.getExCouponDays())
.isBefore(settlementDate)) {
_accruedInterestAtSettlement =
accruedInterest - underlyingBond.getCoupons().getNthPayment(getCouponIndex()).getRate();
} else {
_accruedInterestAtSettlement = accruedInterest;
}
}
