/**
* @param date The valuation date, not null
* @param indexFixingTS The index fixing time series, not null
* @param settlementDate The settlement date, not null
* @param yieldCurveNames The yield curve names, not null, must have at least two entries
* @return The security
* @deprecated Use the version that does not take curve names
*/
@Deprecated
public BondIborSecurity toDerivative(
final ZonedDateTime date,
final DoubleTimeSeries<ZonedDateTime> indexFixingTS,
final ZonedDateTime settlementDate,
final String... yieldCurveNames) {
// Implementation note: First yield curve used for coupon and notional (credit), the second for
// risk free settlement.
ArgumentChecker.notNull(date, "date");
ArgumentChecker.notNull(indexFixingTS, "fixing time series");
ArgumentChecker.notNull(settlementDate, "settlement date");
ArgumentChecker.notNull(yieldCurveNames, "yield curve names");
ArgumentChecker.isTrue(yieldCurveNames.length > 1, "at least two curves required");
final String creditCurveName = yieldCurveNames[0];
final String riskFreeCurveName = yieldCurveNames[1];
double settlementTime;
if (settlementDate.isBefore(date)) {
settlementTime = 0.0;
} else {
settlementTime = TimeCalculator.getTimeBetween(date, settlementDate);
}
final AnnuityPaymentFixed nominal =
(AnnuityPaymentFixed) getNominal().toDerivative(date, creditCurveName);
final Annuity<Coupon> coupon =
(Annuity<Coupon>) getCoupons().toDerivative(date, indexFixingTS, yieldCurveNames);
return new BondIborSecurity(
nominal.trimBefore(settlementTime),
coupon.trimBefore(settlementTime),
settlementTime,
riskFreeCurveName);
}
@Override
public PresentValueSABRSensitivityDataBundle visitGenericAnnuity(
final Annuity<? extends Payment> annuity, final SABRSwaptionProviderInterface sabr) {
ArgumentChecker.notNull(annuity, "Annuity");
PresentValueSABRSensitivityDataBundle cs = visit(annuity.getNthPayment(0), sabr);
for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
cs = cs.plus(visit(annuity.getNthPayment(loopp), sabr));
}
return cs;
}
@Override
public double[] visitGenericAnnuity(
final Annuity<? extends Payment> annuity, final YieldCurveBundle curves) {
final int n = annuity.getNumberOfPayments();
final double[] fractions = new double[n];
for (int i = 0; i < n; i++) {
fractions[i] = annuity.getNthPayment(i).accept(COUPON_VISITOR, curves);
}
return fractions;
}
@Override
public MultipleCurrencyCurveSensitivityMarket visitGenericAnnuity(
final Annuity<? extends Payment> annuity, final IMarketBundle market) {
ArgumentChecker.notNull(annuity, "Annuity");
ArgumentChecker.notNull(market, "Market");
MultipleCurrencyCurveSensitivityMarket cs = visit(annuity.getNthPayment(0), market);
for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
cs = cs.plus(visit(annuity.getNthPayment(loopp), market));
}
return cs;
}
/**
* This gives you the bond coupon, for a given yield curve, that renders the bond par (present
* value of all cash flows equal to 1.0)
*
* @param bond the bond
* @param curves the input curves
* @return the par rate
*/
@Override
public Double visitBondFixedSecurity(
final BondFixedSecurity bond, final YieldCurveBundle curves) {
final Annuity<CouponFixed> coupons = bond.getCoupon();
final int n = coupons.getNumberOfPayments();
final CouponFixed[] unitCoupons = new CouponFixed[n];
for (int i = 0; i < n; i++) {
unitCoupons[i] = coupons.getNthPayment(i).withUnitCoupon();
}
final Annuity<CouponFixed> unitCouponAnnuity = new Annuity<>(unitCoupons);
final double pvann = unitCouponAnnuity.accept(PVC, curves);
final double matPV = bond.getNominal().accept(PVC, curves);
return (1 - matPV) / pvann;
}
/**
* @param date The valuation date, not null
* @param indexFixingTS The index fixing time series, not null
* @param settlementDate The settlement date, not null
* @return The security
*/
public BondIborSecurity toDerivative(
final ZonedDateTime date,
final DoubleTimeSeries<ZonedDateTime> indexFixingTS,
final ZonedDateTime settlementDate) {
ArgumentChecker.notNull(date, "date");
ArgumentChecker.notNull(indexFixingTS, "fixing time series");
ArgumentChecker.notNull(settlementDate, "settlement date");
double settlementTime;
if (settlementDate.isBefore(date)) {
settlementTime = 0.0;
} else {
settlementTime = TimeCalculator.getTimeBetween(date, settlementDate);
}
final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) getNominal().toDerivative(date);
final Annuity<Coupon> coupon = (Annuity<Coupon>) getCoupons().toDerivative(date, indexFixingTS);
return new BondIborSecurity(
nominal.trimBefore(settlementTime), coupon.trimBefore(settlementTime), settlementTime);
}
@Override
public Map<String, List<DoublesPair>> visitGenericAnnuity(
final Annuity<? extends Payment> annuity, final YieldCurveBundle data) {
final Map<String, List<DoublesPair>> map = new HashMap<String, List<DoublesPair>>();
for (final Payment p : annuity.getPayments()) {
final Map<String, List<DoublesPair>> tempMap = visit(p, data);
for (final String name : tempMap.keySet()) {
if (!map.containsKey(name)) {
map.put(name, tempMap.get(name));
} else {
final List<DoublesPair> tempList = map.get(name);
tempList.addAll(tempMap.get(name));
map.put(name, tempList);
}
}
}
return map;
}
/**
* @param date The date to use when converting to the derivative form, not null
* @param settlementDate The settlement date, not null
* @param data The index time series
* @return The derivative form
*/
public BondInterestIndexedSecurity<PaymentFixed, Coupon> toDerivative(
final ZonedDateTime date,
final ZonedDateTime settlementDate,
final DoubleTimeSeries<ZonedDateTime> data) {
ArgumentChecker.notNull(date, "date");
ArgumentChecker.notNull(settlementDate, "settlement date");
double settlementTime;
if (settlementDate.isBefore(date)) {
settlementTime = 0.0;
} else {
settlementTime = TimeCalculator.getTimeBetween(date, settlementDate);
}
final Annuity<PaymentFixed> nominal =
(Annuity<PaymentFixed>) getNominal().toDerivative(date, data);
final AnnuityDefinition<CouponDefinition> couponDefinition =
(AnnuityDefinition<CouponDefinition>) getCoupons().trimBefore(settlementDate);
final CouponDefinition[] couponExPeriodArray =
new CouponDefinition[couponDefinition.getNumberOfPayments()];
System.arraycopy(
couponDefinition.getPayments(),
0,
couponExPeriodArray,
0,
couponDefinition.getNumberOfPayments());
if (getExCouponDays() != 0) {
final ZonedDateTime exDividendDate =
ScheduleCalculator.getAdjustedDate(
couponDefinition.getNthPayment(0).getPaymentDate(),
-getExCouponDays(),
getCalendar());
if (settlementDate.isAfter(exDividendDate)) {
// Implementation note: Ex-dividend period: the next coupon is not received but its date is
// required for yield calculation
couponExPeriodArray[0] = new CouponFixedDefinition(couponDefinition.getNthPayment(0), 0.0);
}
}
final AnnuityDefinition<PaymentDefinition> couponDefinitionExPeriod =
new AnnuityDefinition<PaymentDefinition>(couponExPeriodArray, getCalendar());
final Annuity<Coupon> couponStandard =
(Annuity<Coupon>) couponDefinitionExPeriod.toDerivative(date, data);
final Annuity<PaymentFixed> nominalStandard = nominal.trimBefore(settlementTime);
final double accruedInterest = accruedInterest(settlementDate);
final double factorSpot =
getDayCount()
.getAccruedInterest(
couponDefinition.getNthPayment(0).getAccrualStartDate(),
settlementDate,
couponDefinition.getNthPayment(0).getAccrualEndDate(),
1.0,
_couponPerYear);
final double factorPeriod =
getDayCount()
.getAccruedInterest(
couponDefinition.getNthPayment(0).getAccrualStartDate(),
couponDefinition.getNthPayment(0).getAccrualEndDate(),
couponDefinition.getNthPayment(0).getAccrualEndDate(),
1.0,
_couponPerYear);
final double factorToNextCoupon = (factorPeriod - factorSpot) / factorPeriod;
final PaymentFixedDefinition nominalLast =
getNominal().getNthPayment(getNominal().getNumberOfPayments() - 1);
final ZonedDateTime settlementDate2 = settlementDate.isBefore(date) ? date : settlementDate;
final double notional = settlementDate.isBefore(date) ? 0.0 : 1.0;
final PaymentFixedDefinition settlementDefinition =
new PaymentFixedDefinition(nominalLast.getCurrency(), settlementDate2, notional);
final PaymentFixed settlement = settlementDefinition.toDerivative(date);
return new BondInterestIndexedSecurity<>(
nominalStandard,
couponStandard,
settlementTime,
accruedInterest,
factorToNextCoupon,
_yieldConvention,
_couponPerYear,
settlement,
getIssuerEntity(),
_priceIndex);
}