Package com.opengamma.analytics.financial.provider.description.interestrate

Examples of com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscountingDecoratedIssuer

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  @Test
  public void presentValueFixedMiddle() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_1);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_1);
    coupon = coupon.trimBefore(REFERENCE_TIME_1);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, ISSUER);
    final MultipleCurrencyAmount pvNominal = nominal.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = coupon.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR), pv.getAmount(CUR), TOLERANCE_PV);
  }
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  @Test
  public void presentValueFixedOnCoupon() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_2);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_2);
    coupon = coupon.trimBefore(REFERENCE_TIME_2);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, ISSUER);
    final MultipleCurrencyAmount pvNominal = nominal.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = coupon.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_2, ISSUER_MULTICURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR), pv.getAmount(CUR), TOLERANCE_PV);
  }
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    final BondFixedSecurityDefinition bondNoExDefinition = BondFixedSecurityDefinition.from(GBP, MATURITY_DATE_UK, START_ACCRUAL_DATE_UK, PAYMENT_TENOR_UK, RATE_UK, SETTLEMENT_DAYS_UK, NOTIONAL_UK,
        0, CALENDAR_UK, DAY_COUNT_UK, BUSINESS_DAY_UK, YIELD_CONVENTION_UK, IS_EOM_UK, ISSUER_UK, "RepoType");
    final BondFixedSecurity BondNoEx = bondNoExDefinition.toDerivative(REFERENCE_DATE_3);
    final MultipleCurrencyAmount pvNoEx = METHOD_BOND_SECURITY.presentValue(BondNoEx, ISSUER_MULTICURVES);
    final CouponFixedDefinition couponDefinitionEx = BOND_FIXED_SECURITY_DEFINITION_UK.getCoupons().getNthPayment(17);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, GBP, ISSUER_UK);
    final MultipleCurrencyAmount pvCpn = couponDefinitionEx.toDerivative(REFERENCE_DATE_3).accept(PVDC, multicurvesDecorated);
    assertEquals("Fixed coupon bond security: present value ex dividend", pvNoEx.getAmount(GBP) - pvCpn.getAmount(GBP), pv.getAmount(GBP), TOLERANCE_PV);
  }
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  private static final double TOLERANCE_PV_DELTA = 1.0E-2;

  @Test
  public void testPVFixedBondSettlePast() {
    final MultipleCurrencyAmount pv = METHOD_BOND_TR.presentValue(BOND_TRANSACTION_FIXED_1, ISSUER_MULTICURVES);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, BOND_TRANSACTION_FIXED_1.getBondTransaction().getIssuer());
    final MultipleCurrencyAmount pvNominal = NOMINAL_TR_FIXED_1.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = COUPON_TR_FIXED_1.accept(PVDC, multicurvesDecorated);
    assertEquals("Fixed bond present value", (pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR)) * QUANTITY_FIXED, pv.getAmount(CUR));
  }
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  }

  @Test
  public void testPVFixedBondSettleToday() {
    final MultipleCurrencyAmount pv = METHOD_BOND_TR.presentValue(BOND_TRANSACTION_FIXED_2, ISSUER_MULTICURVES);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, BOND_TRANSACTION_FIXED_1.getBondTransaction().getIssuer());
    final MultipleCurrencyAmount pvNominal = NOMINAL_TR_FIXED_2.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = COUPON_TR_FIXED_2.accept(PVDC, multicurvesDecorated);
    final double pvSettlement = BOND_SETTLEMENT_FIXED_2.getAmount();
    assertEquals("Fixed bond present value", (pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR)) * QUANTITY_FIXED + pvSettlement, pv.getAmount(CUR));
  }
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  }

  @Test
  public void testPVFixedBondSettleFuture() {
    final MultipleCurrencyAmount pv = METHOD_BOND_TR.presentValue(BOND_TRANSACTION_FIXED_3, ISSUER_MULTICURVES);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, BOND_TRANSACTION_FIXED_1.getBondTransaction().getIssuer());
    final MultipleCurrencyAmount pvNominal = NOMINAL_TR_FIXED_3.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = COUPON_TR_FIXED_3.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvSettlement = BOND_SETTLEMENT_FIXED_3.accept(PVDC, ISSUER_MULTICURVES.getMulticurveProvider());
    assertEquals("Fixed bond present value", (pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR)) * QUANTITY_FIXED + pvSettlement.getAmount(CUR), pv.getAmount(CUR));
  }
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  }

  @Test
  public void testPVSFixedBond() {
    final MultipleCurrencyMulticurveSensitivity pvs = METHOD_BOND_TR.presentValueSensitivity(BOND_TRANSACTION_FIXED_3, ISSUER_MULTICURVES);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, BOND_TRANSACTION_FIXED_1.getBondTransaction().getIssuer());
    final MultipleCurrencyMulticurveSensitivity pvsNominal = NOMINAL_TR_FIXED_3.accept(PVCSDC, multicurvesDecorated);
    final MultipleCurrencyMulticurveSensitivity pvsCoupon = COUPON_TR_FIXED_3.accept(PVCSDC, multicurvesDecorated);
    final MultipleCurrencyMulticurveSensitivity pvsSettlement = BOND_SETTLEMENT_FIXED_3.accept(PVCSDC, ISSUER_MULTICURVES.getMulticurveProvider());
    final MultipleCurrencyMulticurveSensitivity expectedPvs = pvsNominal.plus(pvsCoupon).multipliedBy(QUANTITY_FRN).plus(pvsSettlement).cleaned();
    assertEquals("Fixed bond present value sensitivity", expectedPvs, pvs.cleaned());
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  @Test(enabled = false)
  //FIXME change the test and the pv method with correct accrual interests mechanism.
  public void testPVIborBond() {
    final MultipleCurrencyAmount pv = METHOD_BOND_TR.presentValue(BOND_TRANSACTION_FRN, ISSUER_MULTICURVES);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, BOND_TRANSACTION_FIXED_1.getBondTransaction().getIssuer());
    final MultipleCurrencyAmount pvNominal = NOMINAL_TR_1_FRN.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = COUPON_TR_1_FRN.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvSettlement = BOND_SETTLEMENT_FRN.accept(PVDC, multicurvesDecorated);
    assertEquals("FRN present value", (pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR)) * QUANTITY_FRN + pvSettlement.getAmount(CUR), pv.getAmount(CUR));
  }
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   * @param issuerMulticurves The issuer and multi-curves provider.
   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final BondSecurity<? extends Payment, ? extends Coupon> bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuerMulticurves, bond.getCurrency(), bond.getIssuer());
    final MultipleCurrencyAmount pvNominal = bond.getNominal().accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = bond.getCoupon().accept(PVDC, multicurvesDecorated);
    return pvNominal.plus(pvCoupon);
  }
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   * @param issuerMulticurves The issuer and multi-curves provider.
   * @return The present value curve sensitivity.
   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final BondSecurity<? extends Payment, ? extends Coupon> bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuerMulticurves, bond.getCurrency(), bond.getIssuer());
    final MultipleCurrencyMulticurveSensitivity pvcsNominal = bond.getNominal().accept(PVCSDC, multicurvesDecorated);
    final MultipleCurrencyMulticurveSensitivity pvcsCoupon = bond.getCoupon().accept(PVCSDC, multicurvesDecorated);
    return pvcsNominal.plus(pvcsCoupon);
  }
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