Package com.opengamma.analytics.financial.interestrate.payments.derivative

Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed.accept()

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    final double pvCoupon = bond.getBondTransaction().getCoupon().accept(PVC, curves);
    final double settlementAmount = -(bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional() + bond.getBondTransaction().getAccruedInterest())
        * bond.getQuantity();
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount, bond.getBondTransaction()
        .getRepoCurveName());
    final double pvSettlement = settlement.accept(PVC, curves);
    return (pvNominal + pvCoupon) * bond.getQuantity() + pvSettlement;
  }

  /**
   * Compute the present value of a Ibor coupon bond (FRN) transaction.
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    final double pvCoupon = bond.getBondTransaction().getCoupon().accept(PVC, curves);
    final double settlementAmount = bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional(); //FIXME: add accrued.
    LOGGER.error("The FRN settlement amount does not include the accrued interests.");
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount, bond.getBondTransaction()
        .getRepoCurveName());
    final double pvSettlement = settlement.accept(PVC, curves);
    return (pvNominal + pvCoupon) * bond.getQuantity() + pvSettlement;
  }

  /**
   * Compute the present value of a bond transaction from its clean price.
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    final InterestRateCurveSensitivity pvsCoupon = new InterestRateCurveSensitivity(bond.getBondTransaction().getCoupon().accept(PVSC, curves));
    final double settlementAmount = -(bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional() + bond.getBondTransaction().getAccruedInterest())
        * bond.getQuantity();
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount, bond.getBondTransaction()
        .getRepoCurveName());
    final InterestRateCurveSensitivity pvsSettlement = new InterestRateCurveSensitivity(settlement.accept(PVSC, curves));
    return pvsNominal.plus(pvsCoupon).multipliedBy(bond.getQuantity()).plus(pvsSettlement);
  }

  public InterestRateCurveSensitivity presentValueSensitivity(final BondIborTransaction bond, final YieldCurveBundle curves) {
    final InterestRateCurveSensitivity pvsNominal = new InterestRateCurveSensitivity(bond.getBondTransaction().getNominal().accept(PVSC, curves));
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    final InterestRateCurveSensitivity pvsCoupon = new InterestRateCurveSensitivity(bond.getBondTransaction().getCoupon().accept(PVSC, curves));
    final double settlementAmount = bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional(); //FIXME: add accrued.
    LOGGER.error("The FRN settlement amount does not include the accrued interests.");
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount, bond.getBondTransaction()
        .getRepoCurveName());
    final InterestRateCurveSensitivity pvsSettlement = new InterestRateCurveSensitivity(settlement.accept(PVSC, curves));
    return pvsNominal.plus(pvsCoupon).multipliedBy(bond.getQuantity()).plus(pvsSettlement);
  }
}
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    final MultipleCurrencyAmount pvNominal = bond.getBondTransaction().getNominal().accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = bond.getBondTransaction().getCoupon().accept(PVDC, multicurvesDecorated);
    final double settlementAmount = -(bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional() + bond.getBondTransaction().getAccruedInterest())
        * bond.getQuantity();
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount);
    final MultipleCurrencyAmount pvSettlement = settlement.accept(PVDC, issuerMulticurves.getMulticurveProvider());
    return pvNominal.plus(pvCoupon).multipliedBy(bond.getQuantity()).plus(pvSettlement);
  }

  /**
   * Compute the present value of a Ibor coupon bond (FRN) transaction.
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    final MultipleCurrencyAmount pvNominal = bond.getBondTransaction().getNominal().accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = bond.getBondTransaction().getCoupon().accept(PVDC, multicurvesDecorated);
    final double settlementAmount = bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional(); //FIXME: add accrued.
    LOGGER.error("The FRN settlement amount does not include the accrued interests.");
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount);
    final MultipleCurrencyAmount pvSettlement = settlement.accept(PVDC, issuerMulticurves.getMulticurveProvider());
    return pvNominal.plus(pvCoupon).multipliedBy(bond.getQuantity()).plus(pvSettlement);
  }

  /**
   * Compute the present value of a bond transaction from its clean price.
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    final MultipleCurrencyMulticurveSensitivity pvcsNominal = bond.getBondTransaction().getNominal().accept(PVSDC, multicurvesDecorated);
    final MultipleCurrencyMulticurveSensitivity pvcsCoupon = bond.getBondTransaction().getCoupon().accept(PVSDC, multicurvesDecorated);
    final double settlementAmount = -(bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional() + bond.getBondTransaction().getAccruedInterest())
        * bond.getQuantity();
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount);
    final MultipleCurrencyMulticurveSensitivity pvcsSettlement = settlement.accept(PVSDC, issuerMulticurves.getMulticurveProvider());
    return pvcsNominal.plus(pvcsCoupon).multipliedBy(bond.getQuantity()).plus(pvcsSettlement);
  }

  public MultipleCurrencyMulticurveSensitivity presentValueSensitivity(final BondIborTransaction bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
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    final MultipleCurrencyMulticurveSensitivity pvcsNominal = bond.getBondTransaction().getNominal().accept(PVSDC, multicurvesDecorated);
    final MultipleCurrencyMulticurveSensitivity pvcsCoupon = bond.getBondTransaction().getCoupon().accept(PVSDC, multicurvesDecorated);
    final double settlementAmount = bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional(); //FIXME: add accrued.
    LOGGER.error("The FRN settlement amount does not include the accrued interests.");
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount);
    final MultipleCurrencyMulticurveSensitivity pvcsSettlement = settlement.accept(PVSDC, issuerMulticurves.getMulticurveProvider());
    return pvcsNominal.plus(pvcsCoupon).multipliedBy(bond.getQuantity()).plus(pvcsSettlement);
  }

  /**
   * The par spread for which the present value of the bond transaction is 0. If that spread was added to the transaction yield, the new transaction would have a present value of 0.
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    ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
    final Currency ccy = bond.getBondTransaction().getCurrency();
    final PaymentFixed nominalAtSettlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), bond.getBondTransaction().getCoupon()
        .getNthPayment(0).getNotional() *
        bond.getQuantity());
    final double pvNominalAtSettlement = nominalAtSettlement.accept(PVDC, issuerMulticurves.getMulticurveProvider()).getAmount(ccy);
    return -presentValue(bond, issuerMulticurves).getAmount(ccy) / pvNominalAtSettlement;
  }

  public double parSpread(final BondIborTransaction bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
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    ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
    final Currency ccy = bond.getBondTransaction().getCurrency();
    final PaymentFixed nominalAtSettlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), bond.getBondTransaction().getCoupon()
        .getNthPayment(0).getNotional() *
        bond.getQuantity());
    final double pvNominalAtSettlement = nominalAtSettlement.accept(PVDC, issuerMulticurves.getMulticurveProvider()).getAmount(ccy);
    return -presentValue(bond, issuerMulticurves).getAmount(ccy) / pvNominalAtSettlement;
  }

  /**
   * The par spread curve sensitivity.
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