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

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

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

com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderIssuerDecoratedSpread
Class describing a issuer provider created from a issuer provider where the discounting curve for one issuer is shifted (decorated) by a a parallel spread (in the zero-coupon continuously compounded rate).

  public void presentValueFromZSpread() {
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES);
    double zSpread = 0.0;
    MultipleCurrencyAmount pvZ = METHOD_BOND_SECURITY.presentValueFromZSpread(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, zSpread);
    assertEquals("Fixed coupon bond security: present value from z-spread", pv.getAmount(CUR), pvZ.getAmount(CUR), TOLERANCE_PV);
    IssuerProviderInterface issuerShifted = new IssuerProviderIssuerDecoratedSpread(ISSUER_MULTICURVES, BOND_FIXED_SECURITY_1.getIssuerCcy(), zSpread);
    MultipleCurrencyAmount pvZExpected = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, issuerShifted);
    assertEquals("Fixed coupon bond security: present value from z-spread", pvZExpected.getAmount(CUR), pvZ.getAmount(CUR), TOLERANCE_PV);
    zSpread = 0.0010; // 10bps
    issuerShifted = new IssuerProviderIssuerDecoratedSpread(ISSUER_MULTICURVES, BOND_FIXED_SECURITY_1.getIssuerCcy(), zSpread);
    pvZ = METHOD_BOND_SECURITY.presentValueFromZSpread(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, zSpread);
    pvZExpected = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, issuerShifted);
    assertEquals("Fixed coupon bond security: present value from z-spread", pvZExpected.getAmount(CUR), pvZ.getAmount(CUR), TOLERANCE_PV);
  }

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  /**
   * Tests the z-spread computation from the clean price.
   */
  public void zSpreadFromCleanPrice() {
    final double zSpreadExpected = 0.0025; // 25bps
    final IssuerProviderInterface issuerShifted = new IssuerProviderIssuerDecoratedSpread(ISSUER_MULTICURVES, BOND_FIXED_SECURITY_1.getIssuerCcy(), zSpreadExpected);
    final double cleanZSpread = METHOD_BOND_SECURITY.cleanPriceFromCurves(BOND_FIXED_SECURITY_1, issuerShifted);
    final double zSpread = METHOD_BOND_SECURITY.zSpreadFromCurvesAndClean(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, cleanZSpread);
    assertEquals("Fixed coupon bond security: present value from z-spread", zSpreadExpected, zSpread, TOLERANCE_PV);
  }

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  /**
   * Tests the z-spread sensitivity computation from the present value.
   */
  public void zSpreadSensitivityFromCleanPrice() {
    final double zSpread = 0.0025; // 25bps
    final IssuerProviderInterface issuerShifted = new IssuerProviderIssuerDecoratedSpread(ISSUER_MULTICURVES, BOND_FIXED_SECURITY_1.getIssuerCcy(), zSpread);
    final double cleanZSpread = METHOD_BOND_SECURITY.cleanPriceFromCurves(BOND_FIXED_SECURITY_1, issuerShifted);
    final double zsComputed = METHOD_BOND_SECURITY.presentValueZSpreadSensitivityFromCurvesAndClean(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, cleanZSpread);
    final double zsExpected = METHOD_BOND_SECURITY.presentValueZSpreadSensitivity(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, zSpread);
    assertEquals("Fixed coupon bond security: z-spread sensitivity", zsExpected, zsComputed, TOLERANCE_PV);
  }

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   * @param issuerMulticurves The issuer and multi-curves provider.
   * @param zSpread The z-spread.
   * @return The present value.
   */
  public MultipleCurrencyAmount presentValueFromZSpread(final BondSecurity<? extends Payment, ? extends Coupon> bond, final IssuerProviderInterface issuerMulticurves, final double zSpread) {
    final IssuerProviderInterface issuerShifted = new IssuerProviderIssuerDecoratedSpread(issuerMulticurves, bond.getIssuerCcy(), zSpread);
    return presentValue(bond, issuerShifted);
  }

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   * @param issuerMulticurves The issuer and multi-curves provider.
   * @param zSpread The z-spread.
   * @return The Z spread sensitivity.
   */
  public double presentValueZSpreadSensitivity(final BondSecurity<? extends Payment, ? extends Coupon> bond, final IssuerProviderInterface issuerMulticurves, final double zSpread) {
    final IssuerProviderInterface issuerShifted = new IssuerProviderIssuerDecoratedSpread(issuerMulticurves, bond.getIssuerCcy(), zSpread);
    final StringAmount parallelSensi = presentValueParallelCurveSensitivity(bond, issuerShifted);
    return parallelSensi.getMap().get(issuerMulticurves.getName(bond.getIssuerCcy()));
  }

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Related Classes of com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderIssuerDecoratedSpread

com.opengamma.analytics.financial.interestrate.bond.provider.BondSecurityDiscountingMethod

com.opengamma.analytics.financial.interestrate.bond.provider.BondSecurityDiscountingMethodTest

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