/** Calculates the present value of a bond from the clean price and a curve bundle. */ public class InflationBondPresentValueFromCleanPriceFunction extends InflationBondFromCleanPriceAndCurvesFunction { /** The present value calculator */ private static final BondCapitalIndexedSecurityDiscountingMethod CALCULATOR = BondCapitalIndexedSecurityDiscountingMethod.getInstance(); private static final PresentValueDiscountingInflationCalculator PVIC = PresentValueDiscountingInflationCalculator.getInstance(); /** Sets the value requirement name to {@link ValueRequirementNames#PRESENT_VALUE}. */ public InflationBondPresentValueFromCleanPriceFunction() { super(PRESENT_VALUE); } @Override protected Set<ComputedValue> getResult( final FunctionInputs inputs, final BondCapitalIndexedTransaction<?> bond, final InflationIssuerProviderInterface provider, final double cleanPrice, final ValueSpecification spec) { final String expectedCurrency = spec.getProperty(CURRENCY); final MultipleCurrencyAmount pvBond = CALCULATOR.presentValueFromCleanRealPrice(bond.getBondTransaction(), provider, cleanPrice); final MultipleCurrencyAmount pvSettlement = bond.getBondTransaction() .getSettlement() .accept(PVIC, provider.getInflationProvider()) .multipliedBy( bond.getQuantity() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional()); final MultipleCurrencyAmount pv = pvBond.plus(pvSettlement); if (pv.size() != 1 || !(expectedCurrency.equals(pv.getCurrencyAmounts()[0].getCurrency().getCode()))) { throw new OpenGammaRuntimeException("Expecting a single result in " + expectedCurrency); } return Collections.singleton(new ComputedValue(spec, pv.getCurrencyAmounts()[0].getAmount())); } @Override protected ValueProperties.Builder getResultProperties(final ComputationTarget target) { final String currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity()).getCode(); return super.getResultProperties(target).with(CURRENCY, currency); } }
@Override protected Set<ComputedValue> getResult( final FunctionInputs inputs, final BondCapitalIndexedTransaction<?> bond, final InflationIssuerProviderInterface provider, final double cleanPrice, final ValueSpecification spec) { final String expectedCurrency = spec.getProperty(CURRENCY); final MultipleCurrencyAmount pvBond = CALCULATOR.presentValueFromCleanRealPrice(bond.getBondTransaction(), provider, cleanPrice); final MultipleCurrencyAmount pvSettlement = bond.getBondTransaction() .getSettlement() .accept(PVIC, provider.getInflationProvider()) .multipliedBy( bond.getQuantity() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional()); final MultipleCurrencyAmount pv = pvBond.plus(pvSettlement); if (pv.size() != 1 || !(expectedCurrency.equals(pv.getCurrencyAmounts()[0].getCurrency().getCode()))) { throw new OpenGammaRuntimeException("Expecting a single result in " + expectedCurrency); } return Collections.singleton(new ComputedValue(spec, pv.getCurrencyAmounts()[0].getAmount())); }