com.opengamma.strata.pricer.bond

Class DiscountingFixedCouponBondProductPricer

java.lang.Object

com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer

public class DiscountingFixedCouponBondProductPricer
extends Object

Pricer for fixed coupon bond products.

This function provides the ability to price a ResolvedFixedCouponBond.

Price

Strata uses decimal prices for bonds in the trade model, pricers and market data. For example, a price of 99.32% is represented in Strata by 0.9932.

Field Summary

Fields

Modifier and Type	Field and Description
static DiscountingFixedCouponBondProductPricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
DiscountingFixedCouponBondProductPricer(DiscountingFixedCouponBondPaymentPeriodPricer periodPricer, DiscountingPaymentPricer nominalPricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
double	accruedInterest(ResolvedFixedCouponBond bond, LocalDate settlementDate) Calculates the accrued interest of the fixed coupon bond with the specified settlement date.
double	accruedYearFraction(ResolvedFixedCouponBond bond, LocalDate settlementDate) Calculates the accrued year fraction of the fixed coupon bond with the specified settlement date.
double	cleanPriceFromDirtyPrice(ResolvedFixedCouponBond bond, LocalDate settlementDate, double dirtyPrice) Calculates the clean price of the fixed coupon bond from its settlement date and dirty price.
double	convexityFromYield(ResolvedFixedCouponBond bond, LocalDate settlementDate, double yield) Calculates the convexity of the fixed coupon bond product from yield.
double	dirtyPriceFromCleanPrice(ResolvedFixedCouponBond bond, LocalDate settlementDate, double cleanPrice) Calculates the dirty price of the fixed coupon bond from its settlement date and clean price.
double	dirtyPriceFromCurves(ResolvedFixedCouponBond bond, LegalEntityDiscountingProvider provider, LocalDate settlementDate) Calculates the dirty price of the fixed coupon bond under the specified settlement date.
double	dirtyPriceFromCurves(ResolvedFixedCouponBond bond, LegalEntityDiscountingProvider provider, ReferenceData refData) Calculates the dirty price of the fixed coupon bond.
double	dirtyPriceFromCurvesWithZSpread(ResolvedFixedCouponBond bond, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear, LocalDate settlementDate) Calculates the dirty price of the fixed coupon bond under the specified settlement date with z-spread.
double	dirtyPriceFromCurvesWithZSpread(ResolvedFixedCouponBond bond, LegalEntityDiscountingProvider provider, ReferenceData refData, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the dirty price of the fixed coupon bond with z-spread.
double	dirtyPriceFromYield(ResolvedFixedCouponBond bond, LocalDate settlementDate, double yield) Calculates the dirty price of the fixed coupon bond from yield.
ValueDerivatives	dirtyPriceFromYieldAd(ResolvedFixedCouponBond bond, LocalDate settlementDate, double yield) Calculates the dirty price of the fixed coupon bond from yield and its derivative wrt to the yield.
PointSensitivityBuilder	dirtyPriceSensitivity(ResolvedFixedCouponBond bond, LegalEntityDiscountingProvider provider, LocalDate settlementDate) Calculates the dirty price sensitivity of the fixed coupon bond product under the specified settlement date.
PointSensitivityBuilder	dirtyPriceSensitivity(ResolvedFixedCouponBond bond, LegalEntityDiscountingProvider provider, ReferenceData refData) Calculates the dirty price sensitivity of the fixed coupon bond product.
PointSensitivityBuilder	dirtyPriceSensitivityWithZspread(ResolvedFixedCouponBond bond, LegalEntityDiscountingProvider provider, ReferenceData refData, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the dirty price sensitivity of the fixed coupon bond with z-spread.
double	macaulayDurationFromYield(ResolvedFixedCouponBond bond, LocalDate settlementDate, double yield) Calculates the Macaulay duration of the fixed coupon bond product from yield.
double	modifiedDurationFromYield(ResolvedFixedCouponBond bond, LocalDate settlementDate, double yield) Calculates the modified duration of the fixed coupon bond product from yield.
ValueDerivatives	modifiedDurationFromYieldAd(ResolvedFixedCouponBond bond, LocalDate settlementDate, double yield) Calculates the modified duration of the fixed coupon bond product from yield and its derivative wrt to the yield.
CurrencyAmount	presentValue(ResolvedFixedCouponBond bond, LegalEntityDiscountingProvider provider) Calculates the present value of the fixed coupon bond product.
PointSensitivityBuilder	presentValueSensitivity(ResolvedFixedCouponBond bond, LegalEntityDiscountingProvider provider) Calculates the present value sensitivity of the fixed coupon bond product.
PointSensitivityBuilder	presentValueSensitivityWithZSpread(ResolvedFixedCouponBond bond, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the present value sensitivity of the fixed coupon bond with z-spread.
CurrencyAmount	presentValueWithZSpread(ResolvedFixedCouponBond bond, LegalEntityDiscountingProvider provider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the present value of the fixed coupon bond product with z-spread.
double	yieldFromDirtyPrice(ResolvedFixedCouponBond bond, LocalDate settlementDate, double dirtyPrice) Calculates the yield of the fixed coupon bond product from dirty price.
ValueDerivatives	yieldFromDirtyPriceAd(ResolvedFixedCouponBond bond, LocalDate settlementDate, double dirtyPrice) Calculates the yield of the fixed coupon bond product from dirty price and its derivative wrt the price.
double	zSpreadFromCurvesAndDirtyPrice(ResolvedFixedCouponBond bond, LegalEntityDiscountingProvider provider, ReferenceData refData, double dirtyPrice, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the z-spread of the fixed coupon bond from curves and dirty price.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final DiscountingFixedCouponBondProductPricer DEFAULT

Default implementation.

Constructor Detail

DiscountingFixedCouponBondProductPricer

public DiscountingFixedCouponBondProductPricer(DiscountingFixedCouponBondPaymentPeriodPricer periodPricer,
                                               DiscountingPaymentPricer nominalPricer)

Creates an instance.

Parameters:

periodPricer - the pricer for FixedCouponBondPaymentPeriod

nominalPricer - the pricer for Payment

Method Detail

presentValue

public CurrencyAmount presentValue(ResolvedFixedCouponBond bond,
                                   LegalEntityDiscountingProvider provider)

Calculates the present value of the fixed coupon bond product.

The present value of the product is the value on the valuation date. The result is expressed using the payment currency of the bond.

Coupon payments of the product are considered based on the valuation date.

Parameters:

bond - the product

provider - the discounting provider

Returns:

the present value of the fixed coupon bond product

presentValueWithZSpread

public CurrencyAmount presentValueWithZSpread(ResolvedFixedCouponBond bond,
                                              LegalEntityDiscountingProvider provider,
                                              double zSpread,
                                              CompoundedRateType compoundedRateType,
                                              int periodsPerYear)

Calculates the present value of the fixed coupon bond product with z-spread.

The present value of the product is the value on the valuation date. The result is expressed using the payment currency of the bond.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the issuer discounting curve.

Parameters:

bond - the product

provider - the discounting provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the present value of the fixed coupon bond product

dirtyPriceFromCurves

public double dirtyPriceFromCurves(ResolvedFixedCouponBond bond,
                                   LegalEntityDiscountingProvider provider,
                                   ReferenceData refData)

Calculates the dirty price of the fixed coupon bond.

The fixed coupon bond is represented as Security where standard ID of the bond is stored.

Strata uses decimal prices for bonds. For example, a price of 99.32% is represented in Strata by 0.9932.

Parameters:

bond - the product

provider - the discounting provider

refData - the reference data used to calculate the settlement date

Returns:

the dirty price of the fixed coupon bond security

dirtyPriceFromCurves

public double dirtyPriceFromCurves(ResolvedFixedCouponBond bond,
                                   LegalEntityDiscountingProvider provider,
                                   LocalDate settlementDate)

Calculates the dirty price of the fixed coupon bond under the specified settlement date.

The fixed coupon bond is represented as Security where standard ID of the bond is stored.

Parameters:

bond - the product

provider - the discounting provider

settlementDate - the settlement date

Returns:

the dirty price of the fixed coupon bond security

dirtyPriceFromCurvesWithZSpread

public double dirtyPriceFromCurvesWithZSpread(ResolvedFixedCouponBond bond,
                                              LegalEntityDiscountingProvider provider,
                                              ReferenceData refData,
                                              double zSpread,
                                              CompoundedRateType compoundedRateType,
                                              int periodsPerYear)

Calculates the dirty price of the fixed coupon bond with z-spread.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the discounting curve.

The fixed coupon bond is represented as Security where standard ID of the bond is stored.

Parameters:

bond - the product

provider - the discounting provider

refData - the reference data used to calculate the settlement date

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the dirty price of the fixed coupon bond security

dirtyPriceFromCurvesWithZSpread

public double dirtyPriceFromCurvesWithZSpread(ResolvedFixedCouponBond bond,
                                              LegalEntityDiscountingProvider provider,
                                              double zSpread,
                                              CompoundedRateType compoundedRateType,
                                              int periodsPerYear,
                                              LocalDate settlementDate)

Calculates the dirty price of the fixed coupon bond under the specified settlement date with z-spread.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the discounting curve.

The fixed coupon bond is represented as Security where standard ID of the bond is stored.

Parameters:

bond - the product

provider - the discounting provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

settlementDate - the settlement date

Returns:

the dirty price of the fixed coupon bond security

dirtyPriceFromCleanPrice

public double dirtyPriceFromCleanPrice(ResolvedFixedCouponBond bond,
                                       LocalDate settlementDate,
                                       double cleanPrice)

Calculates the dirty price of the fixed coupon bond from its settlement date and clean price.

Parameters:

bond - the product

settlementDate - the settlement date

cleanPrice - the clean price

Returns:

the present value of the fixed coupon bond product

cleanPriceFromDirtyPrice

public double cleanPriceFromDirtyPrice(ResolvedFixedCouponBond bond,
                                       LocalDate settlementDate,
                                       double dirtyPrice)

Calculates the clean price of the fixed coupon bond from its settlement date and dirty price.

Strata uses decimal prices for bonds. For example, a price of 99.32% is represented in Strata by 0.9932.

Parameters:

bond - the product

settlementDate - the settlement date

dirtyPrice - the dirty price

Returns:

the present value of the fixed coupon bond product

zSpreadFromCurvesAndDirtyPrice

public double zSpreadFromCurvesAndDirtyPrice(ResolvedFixedCouponBond bond,
                                             LegalEntityDiscountingProvider provider,
                                             ReferenceData refData,
                                             double dirtyPrice,
                                             CompoundedRateType compoundedRateType,
                                             int periodsPerYear)

Calculates the z-spread of the fixed coupon bond from curves and dirty price.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the discounting curve associated to the bond (Issuer Entity) to match the dirty price.

Parameters:

bond - the product

provider - the discounting provider

refData - the reference data used to calculate the settlement date

dirtyPrice - the dirtyPrice

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the z-spread of the fixed coupon bond security

presentValueSensitivity

public PointSensitivityBuilder presentValueSensitivity(ResolvedFixedCouponBond bond,
                                                       LegalEntityDiscountingProvider provider)

Calculates the present value sensitivity of the fixed coupon bond product.

The present value sensitivity of the product is the sensitivity of the present value to the underlying curves.

Parameters:

bond - the product

provider - the discounting provider

Returns:

the present value curve sensitivity of the product

presentValueSensitivityWithZSpread

public PointSensitivityBuilder presentValueSensitivityWithZSpread(ResolvedFixedCouponBond bond,
                                                                  LegalEntityDiscountingProvider provider,
                                                                  double zSpread,
                                                                  CompoundedRateType compoundedRateType,
                                                                  int periodsPerYear)

Calculates the present value sensitivity of the fixed coupon bond with z-spread.

The present value sensitivity of the product is the sensitivity of the present value to the underlying curves.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the issuer discounting curve.

Parameters:

bond - the product

provider - the discounting provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the present value curve sensitivity of the product

dirtyPriceSensitivity

public PointSensitivityBuilder dirtyPriceSensitivity(ResolvedFixedCouponBond bond,
                                                     LegalEntityDiscountingProvider provider,
                                                     ReferenceData refData)

Calculates the dirty price sensitivity of the fixed coupon bond product.

The dirty price sensitivity of the security is the sensitivity of the present value to the underlying curves.

Parameters:

bond - the product

provider - the discounting provider

refData - the reference data used to calculate the settlement date

Returns:

the dirty price value curve sensitivity of the security

dirtyPriceSensitivity

public PointSensitivityBuilder dirtyPriceSensitivity(ResolvedFixedCouponBond bond,
                                                     LegalEntityDiscountingProvider provider,
                                                     LocalDate settlementDate)

Calculates the dirty price sensitivity of the fixed coupon bond product under the specified settlement date.

The dirty price sensitivity of the security is the sensitivity of the present value to the underlying curves.

Parameters:

bond - the product

provider - the discounting provider

settlementDate - the settlement date

Returns:

the dirty price value curve sensitivity of the security

dirtyPriceSensitivityWithZspread

public PointSensitivityBuilder dirtyPriceSensitivityWithZspread(ResolvedFixedCouponBond bond,
                                                                LegalEntityDiscountingProvider provider,
                                                                ReferenceData refData,
                                                                double zSpread,
                                                                CompoundedRateType compoundedRateType,
                                                                int periodsPerYear)

Calculates the dirty price sensitivity of the fixed coupon bond with z-spread.

The dirty price sensitivity of the security is the sensitivity of the present value to the underlying curves.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the discounting curve.

Parameters:

bond - the product

provider - the discounting provider

refData - the reference data used to calculate the settlement date

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the dirty price curve sensitivity of the security

accruedInterest

public double accruedInterest(ResolvedFixedCouponBond bond,
                              LocalDate settlementDate)

Calculates the accrued interest of the fixed coupon bond with the specified settlement date.

Parameters:

bond - the product

settlementDate - the settlement date

Returns:

the accrued interest of the product

accruedYearFraction

public double accruedYearFraction(ResolvedFixedCouponBond bond,
                                  LocalDate settlementDate)

Calculates the accrued year fraction of the fixed coupon bond with the specified settlement date.

Parameters:

bond - the product

settlementDate - the settlement date

Returns:

the accrued year fraction of the product

dirtyPriceFromYield

public double dirtyPriceFromYield(ResolvedFixedCouponBond bond,
                                  LocalDate settlementDate,
                                  double yield)

Calculates the dirty price of the fixed coupon bond from yield.

The yield must be fractional. The dirty price is computed for FixedCouponBondYieldConvention, and the result is expressed in fraction.

Parameters:

bond - the product

settlementDate - the settlement date

yield - the yield

Returns:

the dirty price of the product

dirtyPriceFromYieldAd

public ValueDerivatives dirtyPriceFromYieldAd(ResolvedFixedCouponBond bond,
                                              LocalDate settlementDate,
                                              double yield)

Calculates the dirty price of the fixed coupon bond from yield and its derivative wrt to the yield.

The yield must be fractional. The dirty price is computed for FixedCouponBondYieldConvention, and the result is expressed in fraction.

Parameters:

bond - the product

settlementDate - the settlement date

yield - the yield

Returns:

the dirty price of the product and its derivative

yieldFromDirtyPrice

public double yieldFromDirtyPrice(ResolvedFixedCouponBond bond,
                                  LocalDate settlementDate,
                                  double dirtyPrice)

Calculates the yield of the fixed coupon bond product from dirty price.

The dirty price must be fractional. If the analytic formula is not available, the yield is computed by solving a root-finding problem with dirtyPriceFromYield(ResolvedFixedCouponBond, LocalDate, double). The result is also expressed in fraction.

Parameters:

bond - the product

settlementDate - the settlement date

dirtyPrice - the dirty price

Returns:

the yield of the product

yieldFromDirtyPriceAd

public ValueDerivatives yieldFromDirtyPriceAd(ResolvedFixedCouponBond bond,
                                              LocalDate settlementDate,
                                              double dirtyPrice)

Calculates the yield of the fixed coupon bond product from dirty price and its derivative wrt the price.

The dirty price must be fractional. If the analytic formula is not available, the yield is computed by solving a root-finding problem with dirtyPriceFromYield(ResolvedFixedCouponBond, LocalDate, double). The result is also expressed in fraction.

Parameters:

bond - the product

settlementDate - the settlement date

dirtyPrice - the dirty price

Returns:

the yield of the product

modifiedDurationFromYield

public double modifiedDurationFromYield(ResolvedFixedCouponBond bond,
                                        LocalDate settlementDate,
                                        double yield)

Calculates the modified duration of the fixed coupon bond product from yield.

The modified duration is defined as the minus of the first derivative of dirty price with respect to yield, divided by the dirty price.

The input yield must be fractional. The dirty price and its derivative are computed for FixedCouponBondYieldConvention, and the result is expressed in fraction.

Parameters:

bond - the product

settlementDate - the settlement date

yield - the yield

Returns:

the modified duration of the product

modifiedDurationFromYieldAd

public ValueDerivatives modifiedDurationFromYieldAd(ResolvedFixedCouponBond bond,
                                                    LocalDate settlementDate,
                                                    double yield)

Calculates the modified duration of the fixed coupon bond product from yield and its derivative wrt to the yield.

The modified duration is defined as the minus of the first derivative of dirty price with respect to yield, divided by the dirty price.

The input yield must be fractional. The dirty price and its derivative are computed for FixedCouponBondYieldConvention, and the result is expressed in fraction.

Parameters:

bond - the product

settlementDate - the settlement date

yield - the yield

Returns:

the modified duration of the product

macaulayDurationFromYield

public double macaulayDurationFromYield(ResolvedFixedCouponBond bond,
                                        LocalDate settlementDate,
                                        double yield)

Calculates the Macaulay duration of the fixed coupon bond product from yield.

Macaulay defined an alternative way of weighting the future cash flows.

The input yield must be fractional. The dirty price and its derivative are computed for FixedCouponBondYieldConvention, and the result is expressed in fraction.

Parameters:

bond - the product

settlementDate - the settlement date

yield - the yield

Returns:

the modified duration of the product

convexityFromYield

public double convexityFromYield(ResolvedFixedCouponBond bond,
                                 LocalDate settlementDate,
                                 double yield)

Calculates the convexity of the fixed coupon bond product from yield.

The convexity is defined as the second derivative of dirty price with respect to yield, divided by the dirty price.

The input yield must be fractional. The dirty price and its derivative are computed for FixedCouponBondYieldConvention, and the result is expressed in fraction.

Parameters:

bond - the product

settlementDate - the settlement date

yield - the yield

Returns:

the convexity of the product