Fix detachment date for accrued year fraction (#1953)

Fixes the zspread
OpenGamma · Apr 23, 2019 · 63fa772 · 63fa772
1 parent 1f873a4
commit 63fa772
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diff --git a/...c/main/java/com/opengamma/strata/pricer/bond/DiscountingFixedCouponBondProductPricer.java b/...c/main/java/com/opengamma/strata/pricer/bond/DiscountingFixedCouponBondProductPricer.java
@@ -511,7 +511,7 @@ public double accruedYearFraction(ResolvedFixedCouponBond bond, LocalDate settle
     LocalDate previousAccrualDate = period.getUnadjustedStartDate();
     double accruedYearFraction = bond.yearFraction(previousAccrualDate, settlementDate);
     double result = 0d;
-    if (settlementDate.isAfter(period.getDetachmentDate())) {
+    if (!settlementDate.isBefore(period.getDetachmentDate())) {
       result = accruedYearFraction - period.getYearFraction();
     } else {
       result = accruedYearFraction;

diff --git a/...st/java/com/opengamma/strata/pricer/bond/DiscountingFixedCouponBondProductPricerTest.java b/...st/java/com/opengamma/strata/pricer/bond/DiscountingFixedCouponBondProductPricerTest.java
@@ -6,6 +6,7 @@
 package com.opengamma.strata.pricer.bond;
 
 import static com.opengamma.strata.basics.currency.Currency.EUR;
+import static com.opengamma.strata.basics.currency.Currency.GBP;
 import static com.opengamma.strata.basics.date.DayCounts.ACT_365F;
 import static com.opengamma.strata.basics.date.HolidayCalendarIds.JPTO;
 import static com.opengamma.strata.basics.date.HolidayCalendarIds.SAT_SUN;
@@ -17,9 +18,13 @@
 import static org.testng.Assert.assertTrue;
 
 import java.time.LocalDate;
+import java.time.format.DateTimeFormatter;
+import java.util.List;
+import java.util.stream.Collectors;
 
 import org.testng.annotations.Test;
 
+import com.google.common.collect.ImmutableList;
 import com.google.common.collect.ImmutableMap;
 import com.opengamma.strata.basics.ReferenceData;
 import com.opengamma.strata.basics.currency.Currency;
@@ -774,4 +779,49 @@ public void macaulayDurationFromYieldYieldJP() {
         UnsupportedOperationException.class, "The convention JP_SIMPLE is not supported.");
   }
 
+  public void zSpreadFromCurvesAndPV_acrossExDivDate() {
+    LocalDate threeDayBeforeExDiv = LocalDate.of(2019, 2, 24);
+    LocalDate twoDayBeforeExDiv = LocalDate.of(2019, 2, 25);
+    LocalDate oneDayBeforeExDiv = LocalDate.of(2019, 2, 26);
+    LocalDate exDiv = LocalDate.of(2019, 2, 27);
+    LocalDate exDivP1 = LocalDate.of(2019, 2, 28);
+    ResolvedFixedCouponBond bond = FixedCouponBond.builder()
+        .securityId(SECURITY_ID)
+        .dayCount(DayCounts.ACT_ACT_ICMA)
+        .fixedRate(0.0375)
+        .legalEntityId(ISSUER_ID)
+        .currency(GBP)
+        .notional(NOTIONAL)
+        .accrualSchedule(PeriodicSchedule.of(LocalDate.of(2010, 9, 7), LocalDate.of(2020, 9, 7), Frequency.P6M,
+            BusinessDayAdjustment.of(BusinessDayConventions.MODIFIED_FOLLOWING, HolidayCalendarIds.GBLO),
+            StubConvention.SMART_INITIAL, false))
+        .settlementDateOffset(DaysAdjustment.ofBusinessDays(1, HolidayCalendarIds.GBLO))
+        .yieldConvention(FixedCouponBondYieldConvention.GB_BUMP_DMO)
+        .exCouponPeriod(DaysAdjustment.ofCalendarDays(-8,
+            BusinessDayAdjustment.of(BusinessDayConventions.MODIFIED_FOLLOWING, HolidayCalendarIds.GBLO)))
+        .build()
+        .resolve(REF_DATA);
+
+    List<LocalDate> dates = ImmutableList.of(threeDayBeforeExDiv, twoDayBeforeExDiv, oneDayBeforeExDiv, exDiv, exDivP1);
+    List<Double> zSpreads = dates.stream().map(d -> {
+      LegalEntityDiscountingProvider dateProvider = ImmutableLegalEntityDiscountingProvider.builder()
+          .issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), ZeroRateDiscountFactors.of(GBP, d, CURVE_ISSUER)))
+          .issuerCurveGroups(ImmutableMap.of(ISSUER_ID, GROUP_ISSUER))
+          .repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO, GBP), ZeroRateDiscountFactors.of(GBP, d, CURVE_REPO)))
+          .repoCurveSecurityGroups(ImmutableMap.of(SECURITY_ID, GROUP_REPO))
+          .valuationDate(d)
+          .build();
+      LocalDate settlement = DaysAdjustment.ofBusinessDays(1, HolidayCalendarIds.GBLO).adjust(d, REF_DATA);
+      double dirtyPrice = PRICER.dirtyPriceFromCleanPrice(bond, settlement, 1.04494d);
+      double zSpread = PRICER.zSpreadFromCurvesAndDirtyPrice(bond, dateProvider, REF_DATA, dirtyPrice, PERIODIC, 2);
+      assertEquals(PRICER.dirtyPriceFromCurvesWithZSpread(bond, dateProvider, REF_DATA, zSpread, PERIODIC, 2),
+          dirtyPrice, TOL);
+      return zSpread;
+    }).collect(Collectors.toList());
+
+    for (int i = 0; i < zSpreads.size(); ++i) {
+      assertEquals(zSpreads.get(i), -.025, 5e-3, dates.get(i).format(DateTimeFormatter.ISO_DATE));
+    }
+  }
+
 }