Bond irregular dates

modules/pricer/src/main/java/com/opengamma/strata/pricer/bond/DiscountingFixedCouponBondProductPricer.java

@@ -12,6 +12,7 @@
 import static com.opengamma.strata.product.bond.FixedCouponBondYieldConvention.US_STREET;
 
 import java.time.LocalDate;
+import java.util.List;
 import java.util.function.Function;
 
 import com.google.common.collect.ImmutableList;
@@ -554,9 +555,9 @@ public double dirtyPriceFromYield(ResolvedFixedCouponBond bond, LocalDate settle
     if (nCoupon == 1) {
       if (yieldConv.equals(US_STREET) || yieldConv.equals(DE_BONDS)) {
         FixedCouponBondPaymentPeriod payment = payments.get(payments.size() - 1);
+        double eventsPerYear = bond.getFrequency().eventsPerYear();
         return (1d + payment.getFixedRate() * payment.getYearFraction()) /
-            (1d + factorToNextCoupon(bond, settlementDate) * yield /
-                ((double) bond.getFrequency().eventsPerYear()));
+            (1d + factorToNextCoupon(bond, settlementDate) * yield / eventsPerYear);
       }
     }
     if ((yieldConv.equals(US_STREET)) || (yieldConv.equals(GB_BUMP_DMO)) || (yieldConv.equals(DE_BONDS))) {
@@ -592,11 +593,11 @@ public ValueDerivatives dirtyPriceFromYieldAd(ResolvedFixedCouponBond bond, Loca
     if (nCoupon == 1) {
       if (yieldConv.equals(US_STREET) || yieldConv.equals(DE_BONDS)) {
         FixedCouponBondPaymentPeriod payment = payments.get(payments.size() - 1);
-        double df = (1d + factorToNextCoupon(bond, settlementDate) * yield /
-            ((double) bond.getFrequency().eventsPerYear()));
+        double eventsPerYear = bond.getFrequency().eventsPerYear();
+        double df = (1d + factorToNextCoupon(bond, settlementDate) * yield / eventsPerYear);
         double price = (1d + payment.getFixedRate() * payment.getYearFraction()) / df;
         double yieldBar = -(1d + payment.getFixedRate() * payment.getYearFraction()) /
-            (df * df) * factorToNextCoupon(bond, settlementDate) / ((double) bond.getFrequency().eventsPerYear());
+            (df * df) * factorToNextCoupon(bond, settlementDate) / eventsPerYear;
         return ValueDerivatives.of(price, DoubleArray.of(yieldBar));
       }
     }
@@ -624,20 +625,32 @@ private double dirtyPriceFromYieldStandard(
       LocalDate settlementDate,
       double yield) {
 
-    int nbCoupon = bond.getPeriodicPayments().size();
-    double factorOnPeriod = 1 + yield / ((double) bond.getFrequency().eventsPerYear());
+    List<FixedCouponBondPaymentPeriod> periodicPayments = bond.getPeriodicPayments();
+    double eventsPerYear = bond.getFrequency().eventsPerYear();
+    double factorOnPeriod = 1 + yield / eventsPerYear;
     double fixedRate = bond.getFixedRate();
     double pvAtFirstCoupon = 0;
-    int pow = 0;
-    for (int loopcpn = 0; loopcpn < nbCoupon; loopcpn++) {
-      FixedCouponBondPaymentPeriod period = bond.getPeriodicPayments().get(loopcpn);
+    double factor = 1;
+    boolean first = true;
+    for (FixedCouponBondPaymentPeriod period : periodicPayments) {
       if ((period.hasExCouponPeriod() && !settlementDate.isAfter(period.getDetachmentDate())) ||
           (!period.hasExCouponPeriod() && period.getPaymentDate().isAfter(settlementDate))) {
-        pvAtFirstCoupon += fixedRate * period.getYearFraction() / Math.pow(factorOnPeriod, pow);
-        ++pow;
+        double yearFraction = period.getYearFraction();
+        if (first) {
+          first = false;
+          factor = 1;
+        } else {
+          if (period.isRegular()) {
+            factor *= factorOnPeriod;
+          } else {
+            factor *= Math.pow(factorOnPeriod, yearFraction * eventsPerYear);
+          }
+        }
+        pvAtFirstCoupon += yearFraction / factor;
       }
     }
-    pvAtFirstCoupon += 1d / Math.pow(factorOnPeriod, pow - 1);
+    pvAtFirstCoupon *= fixedRate;
+    pvAtFirstCoupon += 1d / factor;
     return pvAtFirstCoupon * Math.pow(factorOnPeriod, -factorToNextCoupon(bond, settlementDate));
   }
 
@@ -648,7 +661,8 @@ private ValueDerivatives dirtyPriceFromYieldStandardAd(
       double yield) {
 
     int nbCoupon = bond.getPeriodicPayments().size();
-    double factorOnPeriod = 1 + yield / ((double) bond.getFrequency().eventsPerYear());
+    double eventsPerYear = bond.getFrequency().eventsPerYear();
+    double factorOnPeriod = 1 + yield / eventsPerYear;
     double fixedRate = bond.getFixedRate();
     double pvAtFirstCoupon = 0;
     int pow = 0;
@@ -681,7 +695,7 @@ private ValueDerivatives dirtyPriceFromYieldStandardAd(
       }
     }
     factorOnPeriodBar += -factorNextCoupon * Math.pow(factorOnPeriod, -factorNextCoupon - 1.0) * priceAfterBar;
-    double yieldBar = 1.0d / ((double) bond.getFrequency().eventsPerYear()) * factorOnPeriodBar;
+    double yieldBar = 1.0d / eventsPerYear * factorOnPeriodBar;
     return ValueDerivatives.of(price, DoubleArray.of(yieldBar));
   }
 
@@ -958,12 +972,12 @@ public double macaulayDurationFromYield(ResolvedFixedCouponBond bond, LocalDate
     int nCoupon = payments.size() - couponIndex(payments, settlementDate);
     FixedCouponBondYieldConvention yieldConv = bond.getYieldConvention();
     if ((yieldConv.equals(US_STREET)) && (nCoupon == 1)) {
-      return factorToNextCoupon(bond, settlementDate) /
-          bond.getFrequency().eventsPerYear();
+      double eventsPerYear = bond.getFrequency().eventsPerYear();
+      return factorToNextCoupon(bond, settlementDate) / eventsPerYear;
     }
     if ((yieldConv.equals(US_STREET)) || (yieldConv.equals(GB_BUMP_DMO)) || (yieldConv.equals(DE_BONDS))) {
-      return modifiedDurationFromYield(bond, settlementDate, yield) *
-          (1d + yield / bond.getFrequency().eventsPerYear());
+      double eventsPerYear = bond.getFrequency().eventsPerYear();
+      return modifiedDurationFromYield(bond, settlementDate, yield) * (1d + yield / eventsPerYear);
     }
     throw new UnsupportedOperationException("The convention " + yieldConv.name() + " is not supported.");
   }
@@ -1056,7 +1070,8 @@ private double factorToNextCoupon(ResolvedFixedCouponBond bond, LocalDate settle
     int couponIndex = couponIndex(bond.getPeriodicPayments(), settlementDate);
     double factorSpot = accruedYearFraction(bond, settlementDate);
     double factorPeriod = bond.getPeriodicPayments().get(couponIndex).getYearFraction();
-    return (factorPeriod - factorSpot) * ((double) bond.getFrequency().eventsPerYear());
+    double eventsPerYear = bond.getFrequency().eventsPerYear();
+    return (factorPeriod - factorSpot) * eventsPerYear;
   }
 
   private int couponIndex(ImmutableList<FixedCouponBondPaymentPeriod> list, LocalDate date) {

modules/pricer/src/test/java/com/opengamma/strata/pricer/bond/DiscountingFixedCouponBondProductPricerTest.java

@@ -20,6 +20,7 @@
 import static org.assertj.core.api.Assertions.offset;
 
 import java.time.LocalDate;
+import java.time.Month;
 import java.time.format.DateTimeFormatter;
 import java.util.List;
 
@@ -115,6 +116,27 @@ public class DiscountingFixedCouponBondProductPricerTest {
       .yieldConvention(YIELD_CONVENTION)
       .build()
       .resolve(REF_DATA);
+  private static final PeriodicSchedule PERIOD_SCHEDULE_WITH_FIRST_REGULAR_START_DATE = PeriodicSchedule.builder()
+      .startDate(LocalDate.of(2021, Month.JUNE, 30))
+      .firstRegularStartDate(LocalDate.of(2021, Month.OCTOBER, 15))
+      .endDate(LocalDate.of(2026, Month.JUNE, 30))
+      .frequency(Frequency.P6M)
+      .businessDayAdjustment(BUSINESS_ADJUST)
+      .stubConvention(StubConvention.SMART_FINAL)
+      .build();
+  private static final ResolvedFixedCouponBond PRODUCT_WITH_FIRST_REGULAR_START_DATE = FixedCouponBond.builder()
+      .securityId(SECURITY_ID)
+      .dayCount(DayCounts.THIRTY_E_360_ISDA)
+      .fixedRate(0.085)
+      .legalEntityId(ISSUER_ID)
+      .currency(EUR)
+      .notional(1_000_000)
+      .accrualSchedule(PERIOD_SCHEDULE_WITH_FIRST_REGULAR_START_DATE)
+      .settlementDateOffset(DaysAdjustment.ofBusinessDays(2, EUR_CALENDAR))
+      .yieldConvention(FixedCouponBondYieldConvention.DE_BONDS)
+      .exCouponPeriod(EX_COUPON)
+      .build()
+      .resolve(REF_DATA);
 
   // rates provider
   private static final CurveInterpolator INTERPOLATOR = CurveInterpolators.LINEAR;
@@ -151,6 +173,64 @@ public class DiscountingFixedCouponBondProductPricerTest {
   private static final RatesFiniteDifferenceSensitivityCalculator FD_CAL =
       new RatesFiniteDifferenceSensitivityCalculator(EPS);
 
+  @Test
+  public void test_yield_act_act_isda() {
+    PeriodicSchedule period = PeriodicSchedule.builder()
+          .startDate(LocalDate.of(2021, Month.JUNE, 30))
+          .endDate(LocalDate.of(2026, Month.JUNE, 30))
+          .frequency(Frequency.P6M)
+          .businessDayAdjustment(BUSINESS_ADJUST)
+          .build();
+    ResolvedFixedCouponBond bond = FixedCouponBond.builder()
+          .securityId(SECURITY_ID)
+          .dayCount(DayCounts.ACT_ACT_ISDA)
+          .fixedRate(0.085)
+          .legalEntityId(ISSUER_ID)
+          .currency(EUR)
+          .notional(100)
+          .accrualSchedule(period)
+          .settlementDateOffset(DaysAdjustment.ofBusinessDays(2, EUR_CALENDAR))
+          .yieldConvention(FixedCouponBondYieldConvention.DE_BONDS)
+          .exCouponPeriod(EX_COUPON)
+          .build()
+          .resolve(REF_DATA);
+    double cleanPrice = 1.05;
+    LocalDate settlementDate = period.getStartDate();
+    double dirtyPrice = PRICER.dirtyPriceFromCleanPrice(bond, settlementDate, cleanPrice);
+    assertThat(dirtyPrice).isCloseTo(cleanPrice, offset(TOL)); // 2.x.
+    double yield = PRICER.yieldFromDirtyPrice(bond, settlementDate, dirtyPrice);
+    assertThat(yield).isCloseTo(0.07286881667273096, offset(TOL)); // 2.x.œœ
+  }
+
+  @Test
+  public void test_yield_act_act_icma() {
+    PeriodicSchedule period = PeriodicSchedule.builder()
+          .startDate(LocalDate.of(2021, Month.JUNE, 30))
+          .endDate(LocalDate.of(2026, Month.JUNE, 30))
+          .frequency(Frequency.P6M)
+          .businessDayAdjustment(BUSINESS_ADJUST)
+          .build();
+    ResolvedFixedCouponBond bond = FixedCouponBond.builder()
+          .securityId(SECURITY_ID)
+          .dayCount(DayCounts.ACT_ACT_ICMA)
+          .fixedRate(0.085)
+          .legalEntityId(ISSUER_ID)
+          .currency(EUR)
+          .notional(100)
+          .accrualSchedule(period)
+          .settlementDateOffset(DaysAdjustment.ofBusinessDays(2, EUR_CALENDAR))
+          .yieldConvention(FixedCouponBondYieldConvention.DE_BONDS)
+          .exCouponPeriod(EX_COUPON)
+          .build()
+          .resolve(REF_DATA);
+    double cleanPrice = 1.05;
+    LocalDate settlementDate = period.getStartDate();
+    double dirtyPrice = PRICER.dirtyPriceFromCleanPrice(bond, settlementDate, cleanPrice);
+    assertThat(dirtyPrice).isCloseTo(cleanPrice, offset(TOL)); // 2.x.
+    double yield = PRICER.yieldFromDirtyPrice(bond, settlementDate, dirtyPrice);
+    assertThat(yield).isCloseTo(0.07288818170674201, offset(TOL)); // 2.x.œœ
+  }
+
   //-------------------------------------------------------------------------
   @Test
   public void test_presentValue() {
@@ -330,6 +410,21 @@ public void test_dirtyPriceFromCleanPrice_ukNewIssue() {
     assertThat(cleanPrice).isCloseTo(dirtyPrice - accruedInterest / NOTIONAL, offset(NOTIONAL * TOL));
   }
 
+  @Test
+  public void test_yieldWithFirstRegularStartDate() {
+    double cleanPrice = 1.0009;
+    LocalDate settlementDate = LocalDate.of(2023, Month.JUNE, 6);
+    double dirtyPrice = PRICER.dirtyPriceFromCleanPrice(PRODUCT_WITH_FIRST_REGULAR_START_DATE, settlementDate, cleanPrice);
+    assertThat(dirtyPrice).isCloseTo(1.0129416666666667, offset(TOL)); // 2.x.
+    double yield = PRICER.yieldFromDirtyPrice(PRODUCT_WITH_FIRST_REGULAR_START_DATE, settlementDate, dirtyPrice);
+    assertThat(yield).isCloseTo(0.08465593560577835, offset(TOL));
+    settlementDate = LocalDate.of(2024, Month.APRIL, 26);
+    double dirtyPriceRbt = PRICER.dirtyPriceFromYield(PRODUCT_WITH_FIRST_REGULAR_START_DATE, settlementDate, yield);
+    double cleanPriceRbt = PRICER.cleanPriceFromDirtyPrice(PRODUCT_WITH_FIRST_REGULAR_START_DATE, settlementDate, dirtyPriceRbt);
+    double delta = (cleanPriceRbt - cleanPrice) * PRODUCT_WITH_FIRST_REGULAR_START_DATE.getNotional();
+    assertThat(delta).isCloseTo(-100.27459341377387, offset(TOL));
+  }
+
   //-------------------------------------------------------------------------
   @Test
   public void test_zSpreadFromCurvesAndPV_continuous() {

modules/product/src/main/java/com/opengamma/strata/product/bond/FixedCouponBond.java

@@ -189,6 +189,7 @@ public ResolvedFixedCouponBond resolve(ReferenceData refData) {
           .currency(currency)
           .fixedRate(fixedRate)
           .yearFraction(unadjustedPeriod.yearFraction(dayCount, unadjustedSchedule))
+          .regular(period.isRegular(accrualSchedule.getFrequency(), accrualSchedule.calculatedRollConvention()))
           .build());
     }
     ImmutableList<FixedCouponBondPaymentPeriod> periodicPayments = accrualPeriods.build();