/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.commodity.multicurvecommodity.provider;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.financial.commodity.multicurvecommodity.derivative.CommodityFutureTransaction;
import com.opengamma.analytics.financial.provider.sensitivity.commodity.CommoditySensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.commodity.MultipleCurrencyCommoditySensitivity;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
* Methods for the pricing of commodity futures generic to all models.
*/
public abstract class CommodityFutureTransactionMethod {
/**
* Compute the present value of a future transaction from a quoted price.
* @param future The future.
* @param price The quoted price.
* @return The present value.
*/
public MultipleCurrencyAmount presentValueFromPrice(final CommodityFutureTransaction future, final double price) {
final double pv = price - future.getReferencePrice() * future.getQuantity();
return MultipleCurrencyAmount.of(future.getCurrency(), pv);
}
/**
* Compute the present value sensitivity to rates of a interest rate future by discounting.
* @param future The future.
* @param priceSensitivity The sensitivity of the futures price.
* @return The present value rate sensitivity.
*/
public MultipleCurrencyCommoditySensitivity presentValueCurveSensitivity(final CommodityFutureTransaction future, final CommoditySensitivity priceSensitivity) {
Validate.notNull(future, "Future");
return MultipleCurrencyCommoditySensitivity.of(future.getCurrency(), priceSensitivity.multipliedBy(future.getQuantity() * future.getUnitAmount()));
}
}