/** 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()));
}