DiscountingCapitalIndexedBondProductPricer (OpenGamma Strata Pricer API)

java.lang.Object
- com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer

```
public class DiscountingCapitalIndexedBondProductPricer
extends Object
```
Pricer for capital indexed bond products.
This function provides the ability to price a ResolvedCapitalIndexedBond.
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 DiscountingCapitalIndexedBondProductPricer DEFAULT
Default implementation.

Fields
Modifier and Type	Field and Description
`static DiscountingCapitalIndexedBondProductPricer`	`DEFAULT` Default implementation.

Constructor Summary

Constructors
Constructor and Description

DiscountingCapitalIndexedBondProductPricer(DiscountingCapitalIndexedBondPaymentPeriodPricer periodPricer)
Creates an instance.

Constructors
Constructor and Description
`DiscountingCapitalIndexedBondProductPricer(DiscountingCapitalIndexedBondPaymentPeriodPricer periodPricer)` Creates an instance.

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`double`	`cleanNominalPriceFromDirtyNominalPrice(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LocalDate settlementDate, double dirtyPrice)` Calculates the clean nominal price of the bond from its settlement date and dirty nominal price.
`double`	`cleanPriceFromRealYield(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LocalDate settlementDate, double yield)` Computes the clean price from the conventional real yield.
`double`	`cleanRealPriceFromDirtyRealPrice(ResolvedCapitalIndexedBond bond, LocalDate settlementDate, double dirtyPrice)` Calculates the clean real price of the bond from its settlement date and dirty real price.
`double`	`convexityFromRealYieldFiniteDifference(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LocalDate settlementDate, double yield)` Calculates the convexity from the conventional real yield using finite difference approximation.
`double`	`convexityFromStandardYield(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LocalDate settlementDate, double yield)` Computes the covexity from the standard yield.
`MultiCurrencyAmount`	`currencyExposure(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, LocalDate referenceDate)` Calculates the currency exposure of the bond product.
`MultiCurrencyAmount`	`currencyExposureWithZSpread(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, LocalDate referenceDate, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)` Calculates the currency exposure of the bond product with z-spread.
`CurrencyAmount`	`currentCash(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LocalDate settlementDate)` Calculates the current cash of the bond product.
`double`	`dirtyNominalPriceFromCleanNominalPrice(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LocalDate settlementDate, double cleanPrice)` Calculates the dirty nominal price of the bond from its settlement date and clean nominal price.
`double`	`dirtyNominalPriceFromCurves(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, ReferenceData refData)` Calculates the dirty price of the bond security.
`double`	`dirtyNominalPriceFromCurvesWithZSpread(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, ReferenceData refData, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)` Calculates the dirty price of the bond security with z-spread.
`PointSensitivityBuilder`	`dirtyNominalPriceSensitivity(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, ReferenceData refData)` Calculates the dirty price sensitivity of the bond security.
`PointSensitivityBuilder`	`dirtyNominalPriceSensitivityWithZSpread(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, ReferenceData refData, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)` Calculates the dirty price sensitivity of the bond security with z-spread.
`double`	`dirtyPriceFromRealYield(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LocalDate settlementDate, double yield)` Computes the dirty price from the conventional real yield.
`double`	`dirtyPriceFromStandardYield(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LocalDate settlementDate, double yield)` Computes the dirty price from the standard yield.
`double`	`dirtyRealPriceFromCleanRealPrice(ResolvedCapitalIndexedBond bond, LocalDate settlementDate, double cleanPrice)` Calculates the dirty real price of the bond from its settlement date and clean real price.
`DiscountingCapitalIndexedBondPaymentPeriodPricer`	`getPeriodPricer()` Obtains the period pricer.
`double`	`modifiedDurationFromRealYieldFiniteDifference(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LocalDate settlementDate, double yield)` Calculates the modified duration from the conventional real yield using finite difference approximation.
`double`	`modifiedDurationFromStandardYield(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LocalDate settlementDate, double yield)` Computes the modified duration from the standard yield.
`double`	`nominalPriceFromRealPrice(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LocalDate settlementDate, double realPrice)` Calculates the nominal price of the bond from its settlement date and real price.
`CurrencyAmount`	`presentValue(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider)` Calculates the present value of the bond.
`PointSensitivityBuilder`	`presentValueSensitivity(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider)` Calculates the present value sensitivity of the bond product.
`PointSensitivityBuilder`	`presentValueSensitivityWithZSpread(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)` Calculates the present value sensitivity of the bond product with z-spread.
`CurrencyAmount`	`presentValueWithZSpread(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear)` Calculates the present value of the bond product with z-spread.
`double`	`realPriceFromNominalPrice(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LocalDate settlementDate, double nominalPrice)` Calculates the real price of the bond from its settlement date and nominal price.
`double`	`realYieldFromCurves(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, ReferenceData refData)` Computes the conventional real yield from the curves.
`double`	`realYieldFromDirtyPrice(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LocalDate settlementDate, double dirtyPrice)` Computes the conventional real yield from the dirty price.
`double`	`zSpreadFromCurvesAndCleanPrice(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, ReferenceData refData, double cleanPrice, CompoundedRateType compoundedRateType, int periodsPerYear)` Calculates the z-spread of the bond from curves and clean price.
`double`	`zSpreadFromCurvesAndPv(ResolvedCapitalIndexedBond bond, RatesProvider ratesProvider, LegalEntityDiscountingProvider discountingProvider, ReferenceData refData, CurrencyAmount presentValue, CompoundedRateType compoundedRateType, int periodsPerYear)` Calculates the z-spread of the bond from curves and present value.

Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final DiscountingCapitalIndexedBondProductPricer DEFAULT

Default implementation.

Constructor Detail
- DiscountingCapitalIndexedBondProductPricer
```
public DiscountingCapitalIndexedBondProductPricer(DiscountingCapitalIndexedBondPaymentPeriodPricer periodPricer)
```
  Creates an instance.
  
  Parameters:
  
  periodPricer - the pricer for CapitalIndexedBondPaymentPeriod.

Method Detail

getPeriodPricer

public DiscountingCapitalIndexedBondPaymentPeriodPricer getPeriodPricer()

Obtains the period pricer.

Returns:: the period pricer

presentValue
```
public CurrencyAmount presentValue(ResolvedCapitalIndexedBond bond,
                                   RatesProvider ratesProvider,
                                   LegalEntityDiscountingProvider discountingProvider)
```
Calculates the present value of the bond.
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

ratesProvider - the rates provider, used to determine price index values

discountingProvider - the discount factors provider

Returns:

the present value of the product

presentValueWithZSpread
```
public CurrencyAmount presentValueWithZSpread(ResolvedCapitalIndexedBond bond,
                                              RatesProvider ratesProvider,
                                              LegalEntityDiscountingProvider discountingProvider,
                                              double zSpread,
                                              CompoundedRateType compoundedRateType,
                                              int periodsPerYear)
```
Calculates the present value of the 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

ratesProvider - the rates provider, used to determine price index values

discountingProvider - the discount factors provider

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the present value of the bond product

presentValueSensitivity

public PointSensitivityBuilder presentValueSensitivity(ResolvedCapitalIndexedBond bond,
                                                       RatesProvider ratesProvider,
                                                       LegalEntityDiscountingProvider discountingProvider)

Calculates the present value sensitivity of the bond product.

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

Parameters:: bond - the product; ratesProvider - the rates provider, used to determine price index values; discountingProvider - the discount factors provider
Returns:: the present value curve sensitivity of the product

presentValueSensitivityWithZSpread

public PointSensitivityBuilder presentValueSensitivityWithZSpread(ResolvedCapitalIndexedBond bond,
                                                                  RatesProvider ratesProvider,
                                                                  LegalEntityDiscountingProvider discountingProvider,
                                                                  double zSpread,
                                                                  CompoundedRateType compoundedRateType,
                                                                  int periodsPerYear)

Calculates the present value sensitivity of the bond product 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; ratesProvider - the rates provider, used to determine price index values; discountingProvider - the discount factors 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

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedCapitalIndexedBond bond,
                                            RatesProvider ratesProvider,
                                            LegalEntityDiscountingProvider discountingProvider,
                                            LocalDate referenceDate)

Calculates the currency exposure of the bond product.

Parameters:: bond - the product; ratesProvider - the rates provider, used to determine price index values; discountingProvider - the discount factors provider; referenceDate - the reference date
Returns:: the currency exposure of the product

currencyExposureWithZSpread

public MultiCurrencyAmount currencyExposureWithZSpread(ResolvedCapitalIndexedBond bond,
                                                       RatesProvider ratesProvider,
                                                       LegalEntityDiscountingProvider discountingProvider,
                                                       LocalDate referenceDate,
                                                       double zSpread,
                                                       CompoundedRateType compoundedRateType,
                                                       int periodsPerYear)

Calculates the currency exposure of the bond product with z-spread.

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; ratesProvider - the rates provider, used to determine price index values; discountingProvider - the discount factors provider; referenceDate - the reference date; zSpread - the z-spread; compoundedRateType - the compounded rate type; periodsPerYear - the number of periods per year
Returns:: the currency exposure of the product

currentCash

public CurrencyAmount currentCash(ResolvedCapitalIndexedBond bond,
                                  RatesProvider ratesProvider,
                                  LocalDate settlementDate)

Calculates the current cash of the bond product.

Parameters:: bond - the product; ratesProvider - the rates provider, used to determine price index values; settlementDate - the settlement date
Returns:: the current cash of the product

dirtyNominalPriceFromCurves
```
public double dirtyNominalPriceFromCurves(ResolvedCapitalIndexedBond bond,
                                          RatesProvider ratesProvider,
                                          LegalEntityDiscountingProvider discountingProvider,
                                          ReferenceData refData)
```
Calculates the dirty price of the bond security.
The 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

ratesProvider - the rates provider, used to determine price index values

discountingProvider - the discount factors provider

refData - the reference data used to calculate the settlement date

Returns:

the dirty price of the bond security

dirtyNominalPriceFromCurvesWithZSpread

public double dirtyNominalPriceFromCurvesWithZSpread(ResolvedCapitalIndexedBond bond,
                                                     RatesProvider ratesProvider,
                                                     LegalEntityDiscountingProvider discountingProvider,
                                                     ReferenceData refData,
                                                     double zSpread,
                                                     CompoundedRateType compoundedRateType,
                                                     int periodsPerYear)

Calculates the dirty price of the bond security with z-spread.

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

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

Parameters:: bond - the product; ratesProvider - the rates provider, used to determine price index values; discountingProvider - the discount factors 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 bond security

dirtyNominalPriceSensitivity

public PointSensitivityBuilder dirtyNominalPriceSensitivity(ResolvedCapitalIndexedBond bond,
                                                            RatesProvider ratesProvider,
                                                            LegalEntityDiscountingProvider discountingProvider,
                                                            ReferenceData refData)

Calculates the dirty price sensitivity of the bond security.

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

Parameters:: bond - the product; ratesProvider - the rates provider, used to determine price index values; discountingProvider - the discount factors provider; refData - the reference data used to calculate the settlement date
Returns:: the dirty price curve sensitivity of the security

dirtyNominalPriceSensitivityWithZSpread

public PointSensitivityBuilder dirtyNominalPriceSensitivityWithZSpread(ResolvedCapitalIndexedBond bond,
                                                                       RatesProvider ratesProvider,
                                                                       LegalEntityDiscountingProvider discountingProvider,
                                                                       ReferenceData refData,
                                                                       double zSpread,
                                                                       CompoundedRateType compoundedRateType,
                                                                       int periodsPerYear)

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

The dirty price sensitivity of the security is the sensitivity of the dirty price 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; ratesProvider - the rates provider, used to determine price index values; discountingProvider - the discount factors 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

dirtyPriceFromRealYield
```
public double dirtyPriceFromRealYield(ResolvedCapitalIndexedBond bond,
                                      RatesProvider ratesProvider,
                                      LocalDate settlementDate,
                                      double yield)
```
Computes the dirty price from the conventional real yield.
The resulting dirty price is real price or nominal price depending on the yield convention.
The input yield and output are expressed in fraction.

Parameters:

bond - the product

ratesProvider - the rates provider, used to determine price index values

settlementDate - the settlement date

yield - the yield

Returns:

the dirty price of the product

cleanPriceFromRealYield
```
public double cleanPriceFromRealYield(ResolvedCapitalIndexedBond bond,
                                      RatesProvider ratesProvider,
                                      LocalDate settlementDate,
                                      double yield)
```
Computes the clean price from the conventional real yield.
The resulting clean price is real price or nominal price depending on the yield convention.
The input yield and output are expressed in fraction.
Strata uses decimal prices for bonds. For example, a price of 99.32% is represented in Strata by 0.9932.

Parameters:

bond - the product

ratesProvider - the rates provider, used to determine price index values

settlementDate - the settlement date

yield - the yield

Returns:

the clean price of the product

realYieldFromDirtyPrice
```
public double realYieldFromDirtyPrice(ResolvedCapitalIndexedBond bond,
                                      RatesProvider ratesProvider,
                                      LocalDate settlementDate,
                                      double dirtyPrice)
```
Computes the conventional real yield from the dirty price.
The input dirty price should be real price or nominal price depending on the yield convention. This is coherent to the implementation of dirtyPriceFromRealYield(ResolvedCapitalIndexedBond, RatesProvider, LocalDate, double).
The input price and output are expressed in fraction.

Parameters:

bond - the product

ratesProvider - the rates provider, used to determine price index values

settlementDate - the settlement date

dirtyPrice - the bond dirty price

Returns:

the yield of the product

realYieldFromCurves

public double realYieldFromCurves(ResolvedCapitalIndexedBond bond,
                                  RatesProvider ratesProvider,
                                  LegalEntityDiscountingProvider discountingProvider,
                                  ReferenceData refData)

Computes the conventional real yield from the curves.

The yield is in the bill yield convention.

Parameters:: bond - the product; ratesProvider - the rates provider, used to determine price index values; discountingProvider - the discount factors provider; refData - the reference data used to calculate the settlement date
Returns:: the yield of the product

dirtyPriceFromStandardYield

public double dirtyPriceFromStandardYield(ResolvedCapitalIndexedBond bond,
                                          RatesProvider ratesProvider,
                                          LocalDate settlementDate,
                                          double yield)

Computes the dirty price from the standard yield.

The input yield and output are expressed in fraction.

Parameters:: bond - the product; ratesProvider - the rates provider, used to determine price index values; settlementDate - the settlement date; yield - the standard yield
Returns:: the dirty price of the product

modifiedDurationFromRealYieldFiniteDifference
```
public double modifiedDurationFromRealYieldFiniteDifference(ResolvedCapitalIndexedBond bond,
                                                            RatesProvider ratesProvider,
                                                            LocalDate settlementDate,
                                                            double yield)
```
Calculates the modified duration from the conventional real yield using finite difference approximation.
The modified duration is defined as the minus of the first derivative of clean price with respect to yield, divided by the clean price.
The clean price here is real price or nominal price depending on the yield convention. This is coherent to the implementation of dirtyPriceFromRealYield(ResolvedCapitalIndexedBond, RatesProvider, LocalDate, double).
The input yield and output are expressed in fraction.

Parameters:

bond - the product

ratesProvider - the rates provider, used to determine price index values

settlementDate - the settlement date

yield - the yield

Returns:

the modified duration of the product

convexityFromRealYieldFiniteDifference
```
public double convexityFromRealYieldFiniteDifference(ResolvedCapitalIndexedBond bond,
                                                     RatesProvider ratesProvider,
                                                     LocalDate settlementDate,
                                                     double yield)
```
Calculates the convexity from the conventional real yield using finite difference approximation.
The convexity is defined as the second derivative of clean price with respect to yield, divided by the clean price.
The clean price here is real price or nominal price depending on the yield convention. This is coherent to the implementation of dirtyPriceFromRealYield(ResolvedCapitalIndexedBond, RatesProvider, LocalDate, double).
The input yield and output are expressed in fraction.

Parameters:

bond - the product

ratesProvider - the rates provider, used to determine price index values

settlementDate - the settlement date

yield - the yield

Returns:

the covexity of the product

modifiedDurationFromStandardYield
```
public double modifiedDurationFromStandardYield(ResolvedCapitalIndexedBond bond,
                                                RatesProvider ratesProvider,
                                                LocalDate settlementDate,
                                                double yield)
```
Computes the modified duration from the standard 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 and output are expressed in fraction.

Parameters:

bond - the product

ratesProvider - the rates provider, used to determine price index values

settlementDate - the settlement date

yield - the standard yield

Returns:

the modified duration of the product

convexityFromStandardYield
```
public double convexityFromStandardYield(ResolvedCapitalIndexedBond bond,
                                         RatesProvider ratesProvider,
                                         LocalDate settlementDate,
                                         double yield)
```
Computes the covexity from the standard yield.
The convexity is defined as the second derivative of dirty price with respect to yield, divided by the dirty price.
The input yield and output are expressed in fraction.

Parameters:

bond - the product

ratesProvider - the rates provider, used to determine price index values

settlementDate - the settlement date

yield - the standard yield

Returns:

the convexity of the product

dirtyRealPriceFromCleanRealPrice

public double dirtyRealPriceFromCleanRealPrice(ResolvedCapitalIndexedBond bond,
                                               LocalDate settlementDate,
                                               double cleanPrice)

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

Parameters:: bond - the product; settlementDate - the settlement date; cleanPrice - the clean real price
Returns:: the price of the bond product

cleanRealPriceFromDirtyRealPrice

public double cleanRealPriceFromDirtyRealPrice(ResolvedCapitalIndexedBond bond,
                                               LocalDate settlementDate,
                                               double dirtyPrice)

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

Parameters:: bond - the product; settlementDate - the settlement date; dirtyPrice - the dirty real price
Returns:: the price of the bond product

dirtyNominalPriceFromCleanNominalPrice

public double dirtyNominalPriceFromCleanNominalPrice(ResolvedCapitalIndexedBond bond,
                                                     RatesProvider ratesProvider,
                                                     LocalDate settlementDate,
                                                     double cleanPrice)

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

Parameters:: bond - the product; ratesProvider - the rates provider, used to determine price index values; settlementDate - the settlement date; cleanPrice - the clean nominal price
Returns:: the price of the bond product

cleanNominalPriceFromDirtyNominalPrice

public double cleanNominalPriceFromDirtyNominalPrice(ResolvedCapitalIndexedBond bond,
                                                     RatesProvider ratesProvider,
                                                     LocalDate settlementDate,
                                                     double dirtyPrice)

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

Parameters:: bond - the product; ratesProvider - the rates provider, used to determine price index values; settlementDate - the settlement date; dirtyPrice - the dirty nominal price
Returns:: the price of the bond product

realPriceFromNominalPrice

public double realPriceFromNominalPrice(ResolvedCapitalIndexedBond bond,
                                        RatesProvider ratesProvider,
                                        LocalDate settlementDate,
                                        double nominalPrice)

Calculates the real price of the bond from its settlement date and nominal price.

The input and output prices are both clean or dirty.

Parameters:: bond - the product; ratesProvider - the rates provider, used to determine price index values; settlementDate - the settlement date; nominalPrice - the nominal price
Returns:: the price of the bond product

nominalPriceFromRealPrice

public double nominalPriceFromRealPrice(ResolvedCapitalIndexedBond bond,
                                        RatesProvider ratesProvider,
                                        LocalDate settlementDate,
                                        double realPrice)

Calculates the nominal price of the bond from its settlement date and real price.

The input and output prices are both clean or dirty.

Parameters:: bond - the product; ratesProvider - the rates provider, used to determine price index values; settlementDate - the settlement date; realPrice - the real price
Returns:: the price of the bond product

zSpreadFromCurvesAndCleanPrice
```
public double zSpreadFromCurvesAndCleanPrice(ResolvedCapitalIndexedBond bond,
                                             RatesProvider ratesProvider,
                                             LegalEntityDiscountingProvider discountingProvider,
                                             ReferenceData refData,
                                             double cleanPrice,
                                             CompoundedRateType compoundedRateType,
                                             int periodsPerYear)
```
Calculates the z-spread of the bond from curves and clean price.
The input clean price is real price or nominal price depending on the yield convention.
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 present value.

Parameters:

bond - the product

ratesProvider - the rates provider, used to determine price index values

discountingProvider - the discount factors provider

refData - the reference data used to calculate the settlement date

cleanPrice - the clean price

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the z-spread of the bond security

zSpreadFromCurvesAndPv

public double zSpreadFromCurvesAndPv(ResolvedCapitalIndexedBond bond,
                                     RatesProvider ratesProvider,
                                     LegalEntityDiscountingProvider discountingProvider,
                                     ReferenceData refData,
                                     CurrencyAmount presentValue,
                                     CompoundedRateType compoundedRateType,
                                     int periodsPerYear)

Calculates the z-spread of the bond from curves and present value.

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 present value.

Parameters:: bond - the product; ratesProvider - the rates provider, used to determine price index values; discountingProvider - the discount factors provider; refData - the reference data used to calculate the settlement date; presentValue - the present value; compoundedRateType - the compounded rate type; periodsPerYear - the number of periods per year
Returns:: the z-spread of the bond product

Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.

Class DiscountingCapitalIndexedBondProductPricer

Price

Field Summary

Constructor Summary

Method Summary

Methods inherited from class java.lang.Object

Field Detail

DEFAULT

Constructor Detail

DiscountingCapitalIndexedBondProductPricer

Method Detail

getPeriodPricer

presentValue

presentValueWithZSpread

presentValueSensitivity

presentValueSensitivityWithZSpread

currencyExposure

currencyExposureWithZSpread

currentCash

dirtyNominalPriceFromCurves

dirtyNominalPriceFromCurvesWithZSpread

dirtyNominalPriceSensitivity

dirtyNominalPriceSensitivityWithZSpread

dirtyPriceFromRealYield

cleanPriceFromRealYield

realYieldFromDirtyPrice

realYieldFromCurves

dirtyPriceFromStandardYield

modifiedDurationFromRealYieldFiniteDifference

convexityFromRealYieldFiniteDifference

modifiedDurationFromStandardYield

convexityFromStandardYield