Package com.opengamma.analytics.financial.interestrate.bond.definition

Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedTransaction

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   * @param cleanPrice The bond clean price.
   * @return The present value.
   */
  public double presentValueFromCleanPrice(final BondTransaction<? extends BondSecurity<? extends Payment, ? extends Coupon>> bond, final YieldCurveBundle curves, final double cleanPrice) {
    ArgumentChecker.isTrue(bond instanceof BondFixedTransaction, "Present value from clean price only for fixed coupon bond");
    final BondFixedTransaction bondFixed = (BondFixedTransaction) bond;
    final double dfSettle = curves.getCurve(bondFixed.getBondStandard().getRepoCurveName()).getDiscountFactor(bondFixed.getBondTransaction().getSettlementTime());
    final double pvPriceStandard = (cleanPrice * bondFixed.getNotionalStandard() + bondFixed.getBondStandard().getAccruedInterest()) * dfSettle;
    final double pvNominalStandard = bond.getBondStandard().getNominal().accept(PVC, curves);
    final double pvCouponStandard = bond.getBondStandard().getCoupon().accept(PVC, curves);
    final double pvDiscountingStandard = (pvNominalStandard + pvCouponStandard);
    final double pvNominalTransaction = bond.getBondTransaction().getNominal().accept(PVC, curves);
    final double pvCouponTransaction = bond.getBondTransaction().getCoupon().accept(PVC, curves);
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   * @return The present value.
   */
  public double presentValueFromYield(final BondTransaction<? extends BondSecurity<? extends Payment, ? extends Coupon>> bond, final YieldCurveBundle curves, final double yield) {
    ArgumentChecker.notNull(bond, "Bond");
    ArgumentChecker.isTrue(bond instanceof BondFixedTransaction, "Present value from clean price only for fixed coupon bond");
    final BondFixedTransaction bondFixed = (BondFixedTransaction) bond;
    final double cleanPrice = METHOD_SECURITY.cleanPriceFromYield(bondFixed.getBondStandard(), yield);
    return presentValueFromCleanPrice(bond, curves, cleanPrice);
  }
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    if (getSettlementDate().isBefore(date)) { // If settlement already took place, the price is set to 0.
      price = 0.0;
    } else {
      price = getPrice();
    }
    final BondFixedTransaction result = new BondFixedTransaction(bondPurchase, getQuantity(), price, bondStandard, notionalStandard);
    return result;
  }
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    if (getSettlementDate().isBefore(date)) { // If settlement already took place, the price is set to 0.
      price = 0.0;
    } else {
      price = getPrice();
    }
    final BondFixedTransaction result = new BondFixedTransaction(bondPurchase, getQuantity(), price, bondStandard, notionalStandard);
    return result;
  }
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      final double cleanPrice) {
    ArgumentChecker.notNull(bond, "Bond");
    ArgumentChecker.isTrue(bond instanceof BondFixedTransaction, "Present value from clean price only for fixed coupon bond");
    final Currency ccy = bond.getBondTransaction().getCurrency();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuerMulticurves, ccy, bond.getBondTransaction().getIssuer());
    final BondFixedTransaction bondFixed = (BondFixedTransaction) bond;
    final double dfSettle = issuerMulticurves.getMulticurveProvider().getDiscountFactor(ccy, bondFixed.getBondTransaction().getSettlementTime());
    final MultipleCurrencyAmount pvPriceStandard = MultipleCurrencyAmount.of(ccy, (cleanPrice * bondFixed.getNotionalStandard() + bondFixed.getBondStandard().getAccruedInterest()) * dfSettle);
    final MultipleCurrencyAmount pvNominalStandard = bond.getBondStandard().getNominal().accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCouponStandard = bond.getBondStandard().getCoupon().accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvDiscountingStandard = pvNominalStandard.plus(pvCouponStandard);
    final MultipleCurrencyAmount pvNominalTransaction = bond.getBondTransaction().getNominal().accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCouponTransaction = bond.getBondTransaction().getCoupon().accept(PVDC, multicurvesDecorated);
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  @SuppressWarnings("deprecation")
  @Test
  public void toDerivativesDeprecated() {
    final BondFixedSecurity bondSecurityStandard = BOND_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final BondFixedTransaction bondTransaction = BOND_TRANSACTION_DEFINITION.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    assertEquals("Bond transaction: toDerivative", bondSecurityStandard, bondTransaction.getBondStandard());
    final BondFixedSecurity bondSecurityPurchase = BOND_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE_1, SETTLEMENT_DATE, CURVES_NAME);
    assertEquals("Bond transaction: toDerivative", bondSecurityPurchase.getAccruedInterest(), bondTransaction.getBondTransaction().getAccruedInterest());
    assertEquals("Bond transaction: toDerivative", bondSecurityPurchase.getCouponPerYear(), bondTransaction.getBondTransaction().getCouponPerYear());
    assertEquals("Bond transaction: toDerivative", bondSecurityPurchase.getYieldConvention(), bondTransaction.getBondTransaction().getYieldConvention());
  }
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  }

  @Test
  public void toDerivatives() {
    final BondFixedSecurity bondSecurityStandard = BOND_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE_1);
    final BondFixedTransaction bondTransaction = BOND_TRANSACTION_DEFINITION.toDerivative(REFERENCE_DATE_1);
    assertEquals("Bond transaction: toDerivative", bondSecurityStandard, bondTransaction.getBondStandard());
    final BondFixedSecurity bondSecurityPurchase = BOND_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE_1, SETTLEMENT_DATE);
    assertEquals("Bond transaction: toDerivative", bondSecurityPurchase.getAccruedInterest(), bondTransaction.getBondTransaction().getAccruedInterest());
    assertEquals("Bond transaction: toDerivative", bondSecurityPurchase.getCouponPerYear(), bondTransaction.getBondTransaction().getCouponPerYear());
    assertEquals("Bond transaction: toDerivative", bondSecurityPurchase.getYieldConvention(), bondTransaction.getBondTransaction().getYieldConvention());
  }
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      coupons[i] = new CouponFixed(CUR, tau * (i + 1), FUNDING_CURVE_NAME, yearFrac, initialCoupon + i * ramp);
    }
    final AnnuityPaymentFixed nominal = new AnnuityPaymentFixed(new PaymentFixed[] {new PaymentFixed(CUR, tau * n, 1, FUNDING_CURVE_NAME) });
    final BondFixedSecurity bond = new BondFixedSecurity(nominal, new AnnuityCouponFixed(coupons), 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FUNDING_CURVE_NAME, "S");
    doTest(bond, CURVES);
    final BondFixedTransaction trade = new BondFixedTransaction(bond, 100, 100, bond, 90);
    doTest(trade, CURVES);
  }
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    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(context);
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(context);
    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(context);
    BondTradeConverter visitor = new BondTradeConverter(new BondSecurityConverter(holidaySource, conventionSource, regionSource));
    final BondFixedTransactionDefinition definition = visitor.convert(trade);
    BondFixedTransaction derivative = definition.toDerivative(date, riskFreeCurveName, creditCurveName);
    return CALCULATOR.presentValueFromCleanPrice(derivative, data, price);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedTransaction

  • com.opengamma.analytics.financial.instrument.bond.BondFixedTransactionDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondFixedTransactionDefinitionTest
  • com.opengamma.analytics.financial.interestrate.bond.method.BondTransactionDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.bond.provider.BondTransactionDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.PV01CalculatorTest
  • com.opengamma.financial.analytics.model.bond.BondPresentValueFromCleanPriceFunction
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