Bill product and trade pricers. #1754
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modules/pricer/src/main/java/com/opengamma/strata/pricer/bond/DiscountingBillProductPricer.java
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| * @return the price | ||
| */ | ||
| public double priceFromCurves(ResolvedBill bill, LegalEntityDiscountingProvider provider, LocalDate settlementDate) { | ||
| ArgChecker.isTrue(settlementDate.isBefore(bill.getNotional().getDate()), |
jodastephen
Jun 28, 2018
Member
ArgChecker.inOrderNotEqual
ArgChecker.inOrderNotEqual
modules/pricer/src/main/java/com/opengamma/strata/pricer/bond/DiscountingBillProductPricer.java
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| public double priceFromCurves(ResolvedBill bill, LegalEntityDiscountingProvider provider, LocalDate settlementDate) { | ||
| ArgChecker.isTrue(settlementDate.isBefore(bill.getNotional().getDate()), | ||
| "settlement date must be before maturity date"); | ||
| ArgChecker.isTrue(!settlementDate.isBefore(provider.getValuationDate()), |
jodastephen
Jun 28, 2018
Member
ArgChecker.inOrderOrEqual
ArgChecker.inOrderOrEqual
modules/pricer/src/main/java/com/opengamma/strata/pricer/bond/DiscountingBillProductPricer.java
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| provider.repoCurveDiscountFactors(bill.getSecurityId(), bill.getLegalEntityId(), bill.getCurrency()); | ||
| double dfRepoSettle = discountFactorsRepo.discountFactor(settlementDate); | ||
| double price = dfMaturity / dfRepoSettle; | ||
| return price; |
jodastephen
Jun 28, 2018
Member
Just return the calculation - no need for price local variable
Just return the calculation - no need for price local variable
modules/pricer/src/main/java/com/opengamma/strata/pricer/bond/DiscountingBillProductPricer.java
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| provider.repoCurveDiscountFactors(bill.getSecurityId(), bill.getLegalEntityId(), bill.getCurrency()); | ||
| double dfRepoSettle = discountFactorsRepo.discountFactor(settlementDate); | ||
| double price = dfMaturity / dfRepoSettle; | ||
| return price; |
jodastephen
Jun 28, 2018
Member
Inline variable
Inline variable
modules/pricer/src/main/java/com/opengamma/strata/pricer/bond/DiscountingBillProductPricer.java
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| ArgChecker.isTrue(settlementDate.isBefore(bill.getNotional().getDate()), | ||
| "settlement date must be before maturity date"); | ||
| ArgChecker.isTrue(!settlementDate.isBefore(provider.getValuationDate()), | ||
| "settlement date must be on or after valuation date"); |
jodastephen
Jun 28, 2018
Member
ArgChecker changes
ArgChecker changes
modules/pricer/src/main/java/com/opengamma/strata/pricer/bond/DiscountingBillTradePricer.java
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| paymentPricer.presentValueSensitivity(bill.getSettlement().get(), discountFactorsRepo).build(); | ||
| return sensiProduct.combinedWith(sensiSettle); | ||
| } | ||
| return sensiProduct; |
jodastephen
Jun 28, 2018
Member
Same comments as method above
Same comments as method above
modules/pricer/src/main/java/com/opengamma/strata/pricer/bond/DiscountingBillTradePricer.java
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| LegalEntityDiscountingProvider provider, | ||
| double zSpread, | ||
| CompoundedRateType compoundedRateType, | ||
| int periodsPerYear) { |
jodastephen
Jun 28, 2018
Member
Blank line here
Blank line here
modules/pricer/src/main/java/com/opengamma/strata/pricer/bond/DiscountingBillTradePricer.java
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| * multiplied by the quantity and the present value of the settlement payment if still due at the valuation date. | ||
| * If not it is the underlying product's present value multiplied by the quantity. | ||
| * | ||
| * @param bill the bill |
jodastephen
Jun 28, 2018
Member
In all methods on the class, this parameter should be called trade
In all methods on the class, this parameter should be called trade
.../pricer/src/test/java/com/opengamma/strata/pricer/bond/DiscountingBillProductPricerTest.java
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| private static final StandardId ISSUER_ID = StandardId.of("OG-Ticker", "GOVT1"); | ||
| private static final BillYieldConvention YIELD_CONVENTION = BillYieldConvention.INTEREST_AT_MATURITY; | ||
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jodastephen
Jun 28, 2018
Member
Only one blank line
Only one blank line
| private static final StandardId SECURITY_ID = StandardId.of("OG-Ticker", "GOVT1-BOND1"); | ||
| private static final StandardId ISSUER_ID = StandardId.of("OG-Ticker", "GOVT1"); | ||
| private static final BillYieldConvention YIELD_CONVENTION = BillYieldConvention.INTEREST_AT_MATURITY; | ||
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jodastephen
Jun 28, 2018
Member
Only one blank line
Only one blank line
yukiiwashita
Jul 3, 2018
Contributor
A blank line removed.
A blank line removed.
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Pricers for Bill products and trades