/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.bond;
import static java.time.temporal.ChronoUnit.DAYS;
import java.time.LocalDate;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.market.explain.ExplainKey;
import com.opengamma.strata.market.explain.ExplainMapBuilder;
import com.opengamma.strata.market.sensitivity.PointSensitivityBuilder;
import com.opengamma.strata.pricer.CompoundedRateType;
import com.opengamma.strata.pricer.ZeroRateSensitivity;
import com.opengamma.strata.pricer.rate.RateComputationFn;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.bond.CapitalIndexedBondPaymentPeriod;
import com.opengamma.strata.product.rate.RateComputation;
/**
* Pricer implementation for bond payment periods based on a capital indexed coupon.
* <p>
* This pricer performs discounting of {@link CapitalIndexedBondPaymentPeriod}.
*/
public class DiscountingCapitalIndexedBondPaymentPeriodPricer {
/**
* Default implementation.
*/
public static final DiscountingCapitalIndexedBondPaymentPeriodPricer DEFAULT =
new DiscountingCapitalIndexedBondPaymentPeriodPricer(RateComputationFn.standard());
/**
* Rate observation.
*/
private final RateComputationFn<RateComputation> rateComputationFn;
/**
* Creates an instance.
*
* @param rateComputationFn the rate computation function
*/
public DiscountingCapitalIndexedBondPaymentPeriodPricer(RateComputationFn<RateComputation> rateComputationFn) {
this.rateComputationFn = ArgChecker.notNull(rateComputationFn, "rateComputationFn");
}
/**
* Obtains the rate computation function.
*
* @return the rate computation function
*/
public RateComputationFn<RateComputation> getRateComputationFn() {
return rateComputationFn;
}
//-------------------------------------------------------------------------
/**
* Calculates the present value of a single payment period.
* <p>
* This returns the value of the period with discounting.
* If the payment date of the period is in the past, zero is returned.
*
* @param period the period to price
* @param ratesProvider the rates provider, used to determine price index values
* @param issuerDiscountFactors the discount factor provider
* @return the present value of the period
*/
public double presentValue(
CapitalIndexedBondPaymentPeriod period,
RatesProvider ratesProvider,
IssuerCurveDiscountFactors issuerDiscountFactors) {
double df = issuerDiscountFactors.discountFactor(period.getPaymentDate());
return df * forecastValue(period, ratesProvider);
}
/**
* Calculates the present value of a single payment period with z-spread.
* <p>
* This returns the value of the period with discounting.
* If the payment date of the period is in the past, zero is returned.
*
* @param period the period to price
* @param ratesProvider the rates provider, used to determine price index values
* @param issuerDiscountFactors the discount factor provider
* @param zSpread the z-spread
* @param compoundedRateType the compounded rate type
* @param periodsPerYear the number of periods per year
* @return the present value of the period
*/
public double presentValueWithZSpread(
CapitalIndexedBondPaymentPeriod period,
RatesProvider ratesProvider,
IssuerCurveDiscountFactors issuerDiscountFactors,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) {
double df = issuerDiscountFactors.getDiscountFactors()
.discountFactorWithSpread(period.getPaymentDate(), zSpread, compoundedRateType, periodsPerYear);
return df * forecastValue(period, ratesProvider);
}
/**
* Calculates the forecast value of a single payment period.
*
* @param period the period to price
* @param ratesProvider the rates provider, used to determine price index values
* @return the forecast value of the period
*/
public double forecastValue(CapitalIndexedBondPaymentPeriod period, RatesProvider ratesProvider) {
if (period.getPaymentDate().isBefore(ratesProvider.getValuationDate())) {
return 0d;
}
double rate = rateComputationFn.rate(
period.getRateComputation(), period.getStartDate(), period.getEndDate(), ratesProvider);
return period.getNotional() * period.getRealCoupon() * (rate + 1d);
}
//-------------------------------------------------------------------------
/**
* Calculates the present value sensitivity of a single payment period.
* <p>
* The present value sensitivity of the period is the sensitivity of the present value to
* the underlying curves.
*
* @param period the period to price
* @param ratesProvider the rates provider, used to determine price index values
* @param issuerDiscountFactors the discount factor provider
* @return the present value curve sensitivity of the period
*/
public PointSensitivityBuilder presentValueSensitivity(
CapitalIndexedBondPaymentPeriod period,
RatesProvider ratesProvider,
IssuerCurveDiscountFactors issuerDiscountFactors) {
if (period.getPaymentDate().isBefore(ratesProvider.getValuationDate())) {
return PointSensitivityBuilder.none();
}
double rate = rateComputationFn.rate(
period.getRateComputation(), period.getStartDate(), period.getEndDate(), ratesProvider);
PointSensitivityBuilder rateSensi = rateComputationFn.rateSensitivity(
period.getRateComputation(), period.getStartDate(), period.getEndDate(), ratesProvider);
double df = issuerDiscountFactors.discountFactor(period.getPaymentDate());
PointSensitivityBuilder dfSensi = issuerDiscountFactors.zeroRatePointSensitivity(period.getPaymentDate());
double factor = period.getNotional() * period.getRealCoupon();
return rateSensi.multipliedBy(df * factor).combinedWith(dfSensi.multipliedBy((rate + 1d) * factor));
}
/**
* Calculates the present value sensitivity of a single payment period with z-spread.
* <p>
* The present value sensitivity of the period is the sensitivity of the present value to
* the underlying curves.
*
* @param period the period to price
* @param ratesProvider the rates provider, used to determine price index values
* @param issuerDiscountFactors the discount factor provider
* @param zSpread the z-spread
* @param compoundedRateType the compounded rate type
* @param periodsPerYear the number of periods per year
* @return the present value curve sensitivity of the period
*/
public PointSensitivityBuilder presentValueSensitivityWithZSpread(
CapitalIndexedBondPaymentPeriod period,
RatesProvider ratesProvider,
IssuerCurveDiscountFactors issuerDiscountFactors,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) {
if (period.getPaymentDate().isBefore(ratesProvider.getValuationDate())) {
return PointSensitivityBuilder.none();
}
double rate = rateComputationFn.rate(
period.getRateComputation(), period.getStartDate(), period.getEndDate(), ratesProvider);
PointSensitivityBuilder rateSensi = rateComputationFn.rateSensitivity(
period.getRateComputation(), period.getStartDate(), period.getEndDate(), ratesProvider);
double df = issuerDiscountFactors.getDiscountFactors()
.discountFactorWithSpread(period.getPaymentDate(), zSpread, compoundedRateType, periodsPerYear);
ZeroRateSensitivity zeroSensi = issuerDiscountFactors.getDiscountFactors()
.zeroRatePointSensitivityWithSpread(period.getPaymentDate(), zSpread, compoundedRateType, periodsPerYear);
IssuerCurveZeroRateSensitivity dfSensi =
IssuerCurveZeroRateSensitivity.of(zeroSensi, issuerDiscountFactors.getLegalEntityGroup());
double factor = period.getNotional() * period.getRealCoupon();
return rateSensi.multipliedBy(df * factor).combinedWith(dfSensi.multipliedBy((rate + 1d) * factor));
}
/**
* Calculates the forecast value sensitivity of a single payment period.
* <p>
* The forecast value sensitivity of the period is the sensitivity of the present value to
* the underlying curves.
*
* @param period the period to price
* @param ratesProvider the rates provider, used to determine price index values
* @return the forecast value sensitivity of the period
*/
public PointSensitivityBuilder forecastValueSensitivity(
CapitalIndexedBondPaymentPeriod period,
RatesProvider ratesProvider) {
if (period.getPaymentDate().isBefore(ratesProvider.getValuationDate())) {
return PointSensitivityBuilder.none();
}
PointSensitivityBuilder rateSensi = rateComputationFn.rateSensitivity(
period.getRateComputation(), period.getStartDate(), period.getEndDate(), ratesProvider);
return rateSensi.multipliedBy(period.getNotional() * period.getRealCoupon());
}
//-------------------------------------------------------------------------
/**
* Explains the present value of a single payment period.
* <p>
* This adds information to the {@link ExplainMapBuilder} to aid understanding of the calculation.
*
* @param period the period to price
* @param ratesProvider the rates provider, used to determine price index values
* @param issuerDiscountFactors the discount factor provider
* @param builder the builder to populate
*/
public void explainPresentValue(
CapitalIndexedBondPaymentPeriod period,
RatesProvider ratesProvider,
IssuerCurveDiscountFactors issuerDiscountFactors,
ExplainMapBuilder builder) {
Currency currency = period.getCurrency();
LocalDate paymentDate = period.getPaymentDate();
builder.put(ExplainKey.ENTRY_TYPE, "CapitalIndexedBondPaymentPeriod");
builder.put(ExplainKey.PAYMENT_DATE, paymentDate);
builder.put(ExplainKey.PAYMENT_CURRENCY, currency);
builder.put(ExplainKey.START_DATE, period.getStartDate());
builder.put(ExplainKey.UNADJUSTED_START_DATE, period.getUnadjustedStartDate());
builder.put(ExplainKey.END_DATE, period.getEndDate());
builder.put(ExplainKey.UNADJUSTED_END_DATE, period.getUnadjustedEndDate());
builder.put(ExplainKey.DAYS, (int) DAYS.between(period.getUnadjustedStartDate(), period.getUnadjustedEndDate()));
if (paymentDate.isBefore(ratesProvider.getValuationDate())) {
builder.put(ExplainKey.COMPLETED, Boolean.TRUE);
builder.put(ExplainKey.FORECAST_VALUE, CurrencyAmount.zero(currency));
builder.put(ExplainKey.PRESENT_VALUE, CurrencyAmount.zero(currency));
} else {
builder.put(ExplainKey.DISCOUNT_FACTOR, issuerDiscountFactors.discountFactor(paymentDate));
builder.put(ExplainKey.FORECAST_VALUE, CurrencyAmount.of(currency, forecastValue(period, ratesProvider)));
builder.put(ExplainKey.PRESENT_VALUE,
CurrencyAmount.of(currency, presentValue(period, ratesProvider, issuerDiscountFactors)));
}
}
/**
* Explains the present value of a single payment period with z-spread.
* <p>
* This adds information to the {@link ExplainMapBuilder} to aid understanding of the calculation.
*
* @param period the period to price
* @param ratesProvider the rates provider, used to determine price index values
* @param issuerDiscountFactors the discount factor provider
* @param zSpread the z-spread
* @param compoundedRateType the compounded rate type
* @param periodsPerYear the number of periods per year
* @param builder the builder to populate
*/
public void explainPresentValueWithZSpread(
CapitalIndexedBondPaymentPeriod period,
RatesProvider ratesProvider,
IssuerCurveDiscountFactors issuerDiscountFactors,
ExplainMapBuilder builder,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) {
Currency currency = period.getCurrency();
LocalDate paymentDate = period.getPaymentDate();
builder.put(ExplainKey.ENTRY_TYPE, "CapitalIndexedBondPaymentPeriod");
builder.put(ExplainKey.PAYMENT_DATE, paymentDate);
builder.put(ExplainKey.PAYMENT_CURRENCY, currency);
builder.put(ExplainKey.START_DATE, period.getStartDate());
builder.put(ExplainKey.UNADJUSTED_START_DATE, period.getUnadjustedStartDate());
builder.put(ExplainKey.END_DATE, period.getEndDate());
builder.put(ExplainKey.UNADJUSTED_END_DATE, period.getUnadjustedEndDate());
builder.put(ExplainKey.DAYS, (int) DAYS.between(period.getUnadjustedStartDate(), period.getUnadjustedEndDate()));
if (paymentDate.isBefore(ratesProvider.getValuationDate())) {
builder.put(ExplainKey.COMPLETED, Boolean.TRUE);
builder.put(ExplainKey.FORECAST_VALUE, CurrencyAmount.zero(currency));
builder.put(ExplainKey.PRESENT_VALUE, CurrencyAmount.zero(currency));
} else {
builder.put(ExplainKey.DISCOUNT_FACTOR, issuerDiscountFactors.discountFactor(paymentDate));
builder.put(ExplainKey.FORECAST_VALUE, CurrencyAmount.of(currency, forecastValue(period, ratesProvider)));
builder.put(ExplainKey.PRESENT_VALUE, CurrencyAmount.of(currency, presentValueWithZSpread(
period, ratesProvider, issuerDiscountFactors, zSpread, compoundedRateType, periodsPerYear)));
}
}
}