Package com.opengamma.util.money

Examples of com.opengamma.util.money.MultipleCurrencyAmount.multipliedBy()

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   * Tests the present value against explicit computation.
   */
  public void presentValue() {
    final MultipleCurrencyAmount pvTransactionComputed = METHOD_TRANSACTION.presentValue(BILL_TRA, ISSUER_MULTICURVE);
    MultipleCurrencyAmount pvSecurity = METHOD_SECURITY.presentValue(BILL_TRA.getBillPurchased(), ISSUER_MULTICURVE);
    pvSecurity = pvSecurity.multipliedBy(QUANTITY);
    final double pvSettle = BILL_TRA_DEFINITION.getSettlementAmount() * ISSUER_MULTICURVE.getMulticurveProvider().getDiscountFactor(EUR, BILL_TRA.getBillPurchased().getSettlementTime());
    assertEquals("Bill Security: discounting method - present value", pvSecurity.getAmount(EUR) + pvSettle, pvTransactionComputed.getAmount(EUR), TOLERANCE_PV);
  }

  @Test
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    Validate.notNull(bond, "Coupon");
    Validate.notNull(market, "Market");
    final double notional = bond.getCoupon().getNthPayment(0).getNotional();
    final double dirtyPriceReal = cleanPriceReal + bond.getAccruedInterest() / notional;
    final MultipleCurrencyAmount pv = bond.getSettlement().accept(PVIC, market.getInflationProvider());
    return pv.multipliedBy(dirtyPriceReal);
  }

  /**
   * Computes the clean real price of a bond security from a dirty real price.
   * @param bond The bond security.
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   */
  public MultipleCurrencyAmount netAmount(final BondCapitalIndexedSecurity<Coupon> bond, final InflationIssuerProviderInterface market, final double cleanPriceReal) {
    final double notional = bond.getCoupon().getNthPayment(0).getNotional();
    final double netAmountRealByUnit = cleanPriceReal + bond.getAccruedInterest() / notional;
    final MultipleCurrencyAmount netAmount = bond.getSettlement().accept(NAIC, market.getInflationProvider());
    return netAmount.multipliedBy(netAmountRealByUnit);

  }

  /**
   * Computes the dirty real price from the conventional real yield.
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   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final CapFloorInflationZeroCouponMonthly cap, final BlackSmileCapInflationZeroCouponProviderInterface black) {
    final MultipleCurrencyAmount nonDiscountedPresentValue = netAmount(cap, black);
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    return nonDiscountedPresentValue.multipliedBy(df);
  }

  /**
   * Computes the present value.
   * @param instrument The instrument.
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   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final CapFloorInflationYearOnYearInterpolation cap, final BlackSmileCapInflationYearOnYearProviderInterface black) {
    final MultipleCurrencyAmount nonDiscountedPresentValue = netAmount(cap, black);
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    return nonDiscountedPresentValue.multipliedBy(df);
  }

  /**
   * Computes the present value.
   * @param instrument The instrument.
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   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final CapFloorInflationYearOnYearMonthly cap, final BlackSmileCapInflationYearOnYearProviderInterface black) {
    final MultipleCurrencyAmount nonDiscountedPresentValue = netAmount(cap, black);
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    return nonDiscountedPresentValue.multipliedBy(df);
  }

  /**
   * Computes the present value.
   * @param instrument The instrument.
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   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final CapFloorInflationZeroCouponInterpolation cap, final BlackSmileCapInflationZeroCouponWithConvexityProviderInterface black) {
    final MultipleCurrencyAmount nonDiscountedPresentValue = netAmount(cap, black);
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    return nonDiscountedPresentValue.multipliedBy(df);
  }

  /**
   * Computes the present value.
   * @param instrument The instrument.
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   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final CapFloorInflationZeroCouponInterpolation cap, final BlackSmileCapInflationZeroCouponProviderInterface black) {
    final MultipleCurrencyAmount nonDiscountedPresentValue = netAmount(cap, black);
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    return nonDiscountedPresentValue.multipliedBy(df);
  }

  /**
   * Computes the present value.
   * @param instrument The instrument.
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    ArgumentChecker.notNull(bill, "Bill");
    ArgumentChecker.notNull(issuer, "Issuer and multi-curves provider");
    final Currency ccy = bill.getCurrency();
    final MultipleCurrencyAmount pvBill = METHOD_SECURITY.presentValue(bill.getBillPurchased(), issuer);
    final double pvSettle = bill.getSettlementAmount() * issuer.getMulticurveProvider().getDiscountFactor(ccy, bill.getBillPurchased().getSettlementTime());
    return pvBill.multipliedBy(bill.getQuantity()).plus(MultipleCurrencyAmount.of(ccy, pvSettle));
  }

  /**
   * Computes the bill present value curve sensitivity.
   * @param bill The bill.
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   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final CapFloorInflationZeroCouponMonthly cap, final BlackSmileCapInflationZeroCouponWithConvexityProviderInterface black) {
    final MultipleCurrencyAmount nonDiscountedPresentValue = netAmount(cap, black);
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    return nonDiscountedPresentValue.multipliedBy(df);
  }

  /**
   * Computes the present value.
   * @param instrument The instrument.
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