Feature/bonds cashflow

modules/measure/src/main/java/com/opengamma/strata/measure/bond/FixedCouponBondMeasureCalculations.java

@@ -11,12 +11,19 @@
 import com.opengamma.strata.data.scenario.CurrencyScenarioArray;
 import com.opengamma.strata.data.scenario.MultiCurrencyScenarioArray;
 import com.opengamma.strata.data.scenario.ScenarioArray;
+import com.opengamma.strata.market.amount.CashFlows;
 import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
 import com.opengamma.strata.market.sensitivity.PointSensitivities;
+import com.opengamma.strata.measure.rate.RatesScenarioMarketData;
+import com.opengamma.strata.pricer.DiscountFactors;
 import com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondTradePricer;
 import com.opengamma.strata.pricer.bond.LegalEntityDiscountingProvider;
+import com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors;
+import com.opengamma.strata.pricer.rate.RatesProvider;
 import com.opengamma.strata.pricer.sensitivity.MarketQuoteSensitivityCalculator;
+import com.opengamma.strata.product.bond.ResolvedFixedCouponBond;
 import com.opengamma.strata.product.bond.ResolvedFixedCouponBondTrade;
+import com.opengamma.strata.product.payment.ResolvedBulletPaymentTrade;
 
 /**
  * Multi-scenario measure calculations for fixed coupon bond trades.
@@ -193,4 +200,25 @@ CurrencyAmount currentCash(
     return tradePricer.currentCash(trade, discountingProvider.getValuationDate());
   }
 
+  //-------------------------------------------------------------------------
+  // calculates cashflows for all scenarios
+  ScenarioArray<CashFlows> cashFlows(
+          ResolvedFixedCouponBondTrade trade,
+          LegalEntityDiscountingScenarioMarketData marketData) {
+
+    return ScenarioArray.of(
+            marketData.getScenarioCount(),
+            i -> cashFlows(trade, marketData.scenario(i).discountingProvider()));
+  }
+
+  // cashflows for one scenario
+  CashFlows cashFlows(ResolvedFixedCouponBondTrade trade,
+                       LegalEntityDiscountingProvider ratesProvider) {
+
+    DiscountFactors discountingProvider = ratesProvider
+            .issuerCurveDiscountFactors(trade.getProduct().getLegalEntityId(), trade.getProduct().getCurrency())
+            .getDiscountFactors();
+    return tradePricer.cashFlows(trade, discountingProvider);
+  }
+
 }

modules/measure/src/main/java/com/opengamma/strata/measure/bond/FixedCouponBondTradeCalculationFunction.java

@@ -45,6 +45,7 @@
  *   <li>{@linkplain Measures#PV01_MARKET_QUOTE_BUCKETED PV01 market quote bucketed}
  *   <li>{@linkplain Measures#CURRENCY_EXPOSURE Currency exposure}
  *   <li>{@linkplain Measures#CURRENT_CASH Current cash}
+ *   <li>{@linkplain Measures#CASH_FLOWS Cash flows}
  *   <li>{@linkplain Measures#RESOLVED_TARGET Resolved trade}
  * </ul>
  * 
@@ -82,6 +83,7 @@ public class FixedCouponBondTradeCalculationFunction<T extends SecuritizedProduc
           .put(Measures.PV01_MARKET_QUOTE_BUCKETED, FixedCouponBondMeasureCalculations.DEFAULT::pv01MarketQuoteBucketed)
           .put(Measures.CURRENCY_EXPOSURE, FixedCouponBondMeasureCalculations.DEFAULT::currencyExposure)
           .put(Measures.CURRENT_CASH, FixedCouponBondMeasureCalculations.DEFAULT::currentCash)
+          .put(Measures.CASH_FLOWS, FixedCouponBondMeasureCalculations.DEFAULT::cashFlows)
           .put(Measures.RESOLVED_TARGET, (rt, smd) -> rt)
           .build();
 

modules/measure/src/test/java/com/opengamma/strata/measure/bond/FixedCouponBondTradeCalculationsTest.java

@@ -8,20 +8,25 @@
 import static com.opengamma.strata.basics.currency.Currency.GBP;
 import static org.assertj.core.api.Assertions.assertThat;
 
+import org.assertj.core.data.Offset;
 import org.junit.jupiter.api.Test;
 
 import com.google.common.collect.ImmutableList;
 import com.google.common.math.DoubleMath;
 import com.opengamma.strata.basics.currency.CurrencyAmount;
 import com.opengamma.strata.basics.currency.MultiCurrencyAmount;
+import com.opengamma.strata.basics.currency.Payment;
 import com.opengamma.strata.data.scenario.CurrencyScenarioArray;
 import com.opengamma.strata.data.scenario.MultiCurrencyScenarioArray;
 import com.opengamma.strata.data.scenario.ScenarioArray;
 import com.opengamma.strata.data.scenario.ScenarioMarketData;
+import com.opengamma.strata.market.amount.CashFlows;
 import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
 import com.opengamma.strata.market.sensitivity.PointSensitivities;
+import com.opengamma.strata.pricer.DiscountingPaymentPricer;
 import com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondTradePricer;
 import com.opengamma.strata.pricer.bond.LegalEntityDiscountingProvider;
+import com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors;
 import com.opengamma.strata.pricer.sensitivity.MarketQuoteSensitivityCalculator;
 import com.opengamma.strata.product.bond.ResolvedFixedCouponBondTrade;
 
@@ -91,4 +96,27 @@ public void test_pv01_quote() {
     assertThat(bucketedComputed.get(0).equalWithTolerance(expectedPv01CalBucketed, 1.0e-10)).isTrue();
   }
 
+  @Test
+  public void test_cashflows() {
+    DiscountingPaymentPricer paymentPricer = new DiscountingPaymentPricer();
+    ScenarioMarketData md = FixedCouponBondTradeCalculationFunctionTest.marketData();
+    LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
+    FixedCouponBondMeasureCalculations pricer = FixedCouponBondMeasureCalculations.DEFAULT;
+    CashFlows cashFlows = pricer.cashFlows(RTRADE, provider);
+    double cashFlowsPV = cashFlows.getCashFlows()
+            .stream()
+            .map(c -> c.getPresentValue().getAmount())
+            .reduce(0.0, Double::sum);
+
+    RepoCurveDiscountFactors df = provider.repoCurveDiscountFactors(RTRADE.getProduct().getSecurityId(),
+            RTRADE.getProduct().getLegalEntityId(), RTRADE.getProduct().getCurrency());
+    DiscountingFixedCouponBondTradePricer pricer2 = DiscountingFixedCouponBondTradePricer.DEFAULT;
+    Payment test = pricer2.upfrontPayment(RTRADE);
+    CurrencyAmount presentValuePayment = paymentPricer.presentValue(test, df.getDiscountFactors());
+    cashFlowsPV += presentValuePayment.getAmount();
+
+    CurrencyAmount expectedPv = pricer2.presentValue(RTRADE, provider);
+    assertThat(expectedPv.getAmount()).isCloseTo(cashFlowsPV, Offset.offset(1.0e-10));
+  }
+
 }

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

@@ -12,7 +12,10 @@
 import static com.opengamma.strata.product.bond.FixedCouponBondYieldConvention.US_STREET;
 
 import java.time.LocalDate;
+import java.util.ArrayList;
+import java.util.List;
 import java.util.function.Function;
+import java.util.stream.Collectors;
 
 import com.google.common.collect.ImmutableList;
 import com.opengamma.strata.basics.ReferenceData;
@@ -21,11 +24,14 @@
 import com.opengamma.strata.basics.value.ValueDerivatives;
 import com.opengamma.strata.collect.ArgChecker;
 import com.opengamma.strata.collect.array.DoubleArray;
+import com.opengamma.strata.market.amount.CashFlow;
+import com.opengamma.strata.market.amount.CashFlows;
 import com.opengamma.strata.market.sensitivity.PointSensitivityBuilder;
 import com.opengamma.strata.math.impl.rootfinding.BracketRoot;
 import com.opengamma.strata.math.impl.rootfinding.BrentSingleRootFinder;
 import com.opengamma.strata.math.impl.rootfinding.RealSingleRootFinder;
 import com.opengamma.strata.pricer.CompoundedRateType;
+import com.opengamma.strata.pricer.DiscountFactors;
 import com.opengamma.strata.pricer.DiscountingPaymentPricer;
 import com.opengamma.strata.pricer.ZeroRateSensitivity;
 import com.opengamma.strata.product.Security;
@@ -1211,4 +1217,39 @@ static IssuerCurveDiscountFactors issuerCurveDf(ResolvedFixedCouponBond bond, Le
     return provider.issuerCurveDiscountFactors(bond.getLegalEntityId(), bond.getCurrency());
   }
 
+  //-------------------------------------------------------------------------
+  /**
+   * Calculates the future cash flow of the bond.
+   * <p>
+   * There are two cash flows on the final date.
+   *
+   * @param bond  the trade
+   * @param discountFactor  the provider
+   * @return List of cash flows of a single trade
+   */
+  public List<CashFlow> cashFlows(ResolvedFixedCouponBond bond, DiscountFactors discountFactor) {
+    ImmutableList<FixedCouponBondPaymentPeriod> bondPayments = bond.getPeriodicPayments();
+    List<CashFlow> listCashFlow = new ArrayList<>();
+
+    for (int i = 0; i < bondPayments.size(); ++i) {
+      FixedCouponBondPaymentPeriod payment = bondPayments.get(i);
+      LocalDate date = payment.getPaymentDate();
+      if (date.isAfter(discountFactor.getValuationDate()) || date.isEqual(discountFactor.getValuationDate())) {
+        CurrencyAmount amount = CurrencyAmount.of(payment.getCurrency(), payment.getNotional()
+                * payment.getYearFraction() * payment.getFixedRate());
+        if (amount.getAmount() != 0) {
+          listCashFlow.add(CashFlow.ofForecastValue(date, amount, discountFactor.discountFactor(date)));
+        }
+      }
+    }
+
+    if (bond.getNominalPayment().getDate().isAfter(discountFactor.getValuationDate())
+            || bond.getNominalPayment().getDate().isEqual(discountFactor.getValuationDate())) {
+      listCashFlow.add(CashFlow.ofForecastValue(bond.getNominalPayment().getDate(),
+              CurrencyAmount.of(bond.getNominalPayment().getCurrency(), bond.getNominalPayment().getAmount()),
+              discountFactor.discountFactor(bond.getNominalPayment().getDate())));
+    }
+    return listCashFlow;
+  }
+
 }

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

@@ -6,16 +6,22 @@
 package com.opengamma.strata.pricer.bond;
 
 import java.time.LocalDate;
+import java.util.ArrayList;
+import java.util.List;
+import java.util.stream.Collectors;
 
 import com.opengamma.strata.basics.ReferenceData;
 import com.opengamma.strata.basics.currency.Currency;
 import com.opengamma.strata.basics.currency.CurrencyAmount;
 import com.opengamma.strata.basics.currency.MultiCurrencyAmount;
 import com.opengamma.strata.basics.currency.Payment;
 import com.opengamma.strata.collect.ArgChecker;
+import com.opengamma.strata.market.amount.CashFlow;
+import com.opengamma.strata.market.amount.CashFlows;
 import com.opengamma.strata.market.sensitivity.PointSensitivities;
 import com.opengamma.strata.market.sensitivity.PointSensitivityBuilder;
 import com.opengamma.strata.pricer.CompoundedRateType;
+import com.opengamma.strata.pricer.DiscountFactors;
 import com.opengamma.strata.pricer.DiscountingPaymentPricer;
 import com.opengamma.strata.pricer.ZeroRateSensitivity;
 import com.opengamma.strata.product.bond.FixedCouponBondPaymentPeriod;
@@ -449,4 +455,28 @@ public LocalDate settlementDate(ResolvedFixedCouponBondTrade trade, LocalDate va
         .orElse(valuationDate);
   }
 
+  //-------------------------------------------------------------------------
+  /**
+   * Calculates the future cash flow of the fixed coupon trade.
+   * <p>
+   * There are two cash flows on the final date.
+   *
+   * @param trade  the trade
+   * @param discountFactors  the provider
+   * @return the cash flows
+   */
+  public CashFlows cashFlows(ResolvedFixedCouponBondTrade trade, DiscountFactors discountFactors) {
+    List<CashFlow> listCashFlow = productPricer.cashFlows(trade.getProduct(), discountFactors);
+    double quantity = trade.getQuantity();
+
+    List<CashFlow> newListCashFlow = new ArrayList<>();
+
+    for (CashFlow tempCashflow : listCashFlow) {
+      newListCashFlow.add(CashFlow.ofForecastValue(tempCashflow.getPaymentDate(),
+              tempCashflow.getForecastValue().multipliedBy(quantity), tempCashflow.getDiscountFactor()));
+    }
+
+    return CashFlows.of(newListCashFlow);
+  }
+
 }

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

@@ -43,6 +43,7 @@
 import com.opengamma.strata.basics.value.ValueDerivatives;
 import com.opengamma.strata.collect.array.DoubleArray;
 import com.opengamma.strata.collect.tuple.Pair;
+import com.opengamma.strata.market.amount.CashFlow;
 import com.opengamma.strata.market.curve.CurveMetadata;
 import com.opengamma.strata.market.curve.CurveName;
 import com.opengamma.strata.market.curve.Curves;
@@ -167,6 +168,16 @@ public void test_presentValue() {
     assertThat(computed.getAmount()).isCloseTo(expected.getAmount(), offset(NOTIONAL * TOL));
   }
 
+  @Test
+  public void test_cashFlows() {
+    List<CashFlow> cashFlows = PRICER.cashFlows(PRODUCT, DSC_FACTORS_ISSUER);
+
+    //
+    double pv = cashFlows.stream().map(c -> c.getPresentValue().getAmount()).reduce(0.0, Double::sum);
+    CurrencyAmount computed = PRICER.presentValue(PRODUCT, PROVIDER);
+    assertThat(computed.getAmount()).isCloseTo(pv, offset(NOTIONAL * TOL));
+  }
+
   @Test
   public void test_presentValueWithZSpread_continuous() {
     CurrencyAmount computed = PRICER.presentValueWithZSpread(PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);