/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.future.method;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumTransaction;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackCubeBundle;
import com.opengamma.analytics.util.amount.SurfaceValue;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.CurrencyAmount;
/**
* Method for the pricing of interest rate future options with up-front premium. The pricing is done with a Black approach on the future rate (1.0-price).
* The Black parameters are represented by (expiration-strike-delay) surfaces. The "delay" is the time between option expiration and future last trading date,
* i.e. 0 for quarterly options and x for x-year mid-curve options. The future prices are computed without convexity adjustments.
* @deprecated The parent class is deprecated
*/
@Deprecated
public final class InterestRateFutureOptionPremiumTransactionBlackSurfaceMethod extends InterestRateFutureOptionPremiumTransactionMethod {
/** Calculates values for the security */
private static final InterestRateFutureOptionPremiumSecurityBlackSurfaceMethod SECURITY_METHOD = InterestRateFutureOptionPremiumSecurityBlackSurfaceMethod.getInstance();
/**
* Creates the method unique instance.
*/
private static final InterestRateFutureOptionPremiumTransactionBlackSurfaceMethod INSTANCE = new InterestRateFutureOptionPremiumTransactionBlackSurfaceMethod();
/**
* Return the method unique instance.
* @return The instance.
*/
public static InterestRateFutureOptionPremiumTransactionBlackSurfaceMethod getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private InterestRateFutureOptionPremiumTransactionBlackSurfaceMethod() {
super(InterestRateFutureOptionPremiumSecurityBlackSurfaceMethod.getInstance());
}
@Override
public CurrencyAmount presentValue(final InstrumentDerivative instrument, final YieldCurveBundle curves) {
ArgumentChecker.isTrue(instrument instanceof InterestRateFutureOptionPremiumTransaction, "The instrument should be a InterestRateFutureOptionPremiumTransaction");
final InterestRateFutureOptionPremiumTransaction transaction = (InterestRateFutureOptionPremiumTransaction) instrument;
final double price = SECURITY_METHOD.optionPrice(transaction.getUnderlyingSecurity(), curves);
final double pvTransaction = presentValueFromPrice(transaction, curves, price);
return CurrencyAmount.of(transaction.getUnderlyingSecurity().getCurrency(), pvTransaction);
}
/**
* Computes the present value volatility sensitivity of a transaction.
* @param transaction The future option transaction.
* @param blackData The curve and Black volatility data.
* @return The present value curve sensitivity.
*/
public double vega(final InterestRateFutureOptionPremiumTransaction transaction, final YieldCurveWithBlackCubeBundle blackData) {
final double securitySensitivity = SECURITY_METHOD.optionPriceVega(transaction.getUnderlyingSecurity(), blackData);
final double txnSensitivity = securitySensitivity
* transaction.getQuantity()
* transaction.getUnderlyingSecurity().getUnderlyingFuture().getNotional()
* transaction.getUnderlyingSecurity().getUnderlyingFuture().getPaymentAccrualFactor();
return txnSensitivity;
}
/**
* Computes the theta of a transaction.
* @param transaction The future option transaction.
* @param blackData The curve and Black volatility data.
* @return The theta.
*/
public double theta(final InterestRateFutureOptionPremiumTransaction transaction, final YieldCurveWithBlackCubeBundle blackData) {
final double securitySensitivity = SECURITY_METHOD.optionPriceTheta(transaction.getUnderlyingSecurity(), blackData);
final double txnSensitivity = securitySensitivity
* transaction.getQuantity()
* transaction.getUnderlyingSecurity().getUnderlyingFuture().getNotional()
* transaction.getUnderlyingSecurity().getUnderlyingFuture().getPaymentAccrualFactor();
return txnSensitivity;
}
/**
* Computes the present value volatility sensitivity of a transaction.
* @param transaction The future option transaction.
* @param blackData The curve and Black volatility data.
* @return The present value curve sensitivity.
*/
public SurfaceValue presentValueBlackSensitivity(final InterestRateFutureOptionPremiumTransaction transaction, final YieldCurveWithBlackCubeBundle blackData) {
SurfaceValue securitySensitivity = ((InterestRateFutureOptionPremiumSecurityBlackSurfaceMethod) getSecurityMethod()).priceBlackSensitivity(transaction.getUnderlyingSecurity(), blackData);
securitySensitivity = SurfaceValue.multiplyBy(securitySensitivity, transaction.getQuantity() * transaction.getUnderlyingSecurity().getUnderlyingFuture().getNotional()
* transaction.getUnderlyingSecurity().getUnderlyingFuture().getPaymentAccrualFactor());
return securitySensitivity;
}
/**
* Computes the present value delta of a transaction.
* This is with respect to futures price
* @param transaction The future option transaction.
* @param blackData The curve and Black volatility data.
* @return The present value curve sensitivity.
*/
public double deltaWrtFuturesPrice(final InterestRateFutureOptionPremiumTransaction transaction, final YieldCurveWithBlackCubeBundle blackData) {
final double securityDelta = SECURITY_METHOD.optionPriceDelta(transaction.getUnderlyingSecurity(), blackData);
final double txnDelta = securityDelta
* transaction.getQuantity()
* transaction.getUnderlyingSecurity().getUnderlyingFuture().getNotional()
* transaction.getUnderlyingSecurity().getUnderlyingFuture().getPaymentAccrualFactor();
return txnDelta;
}
/**
* Computes the present value delta of a transaction.
* This is with respect to futures price
* @param transaction The future option transaction.
* @param blackData The curve and Black volatility data.
* @return The present value curve sensitivity.
*/
public InterestRateCurveSensitivity deltaWrtCurve(final InterestRateFutureOptionPremiumTransaction transaction, final YieldCurveWithBlackCubeBundle blackData) {
final InterestRateCurveSensitivity securityDelta = SECURITY_METHOD.priceCurveSensitivity(transaction.getUnderlyingSecurity(), blackData);
final double scaleFactor = transaction.getQuantity() * transaction.getUnderlyingSecurity().getUnderlyingFuture().getNotional()
* transaction.getUnderlyingSecurity().getUnderlyingFuture().getPaymentAccrualFactor();
return securityDelta.multipliedBy(scaleFactor);
}
/**
* Computes the present value gamma of a transaction.
* This is with respect to either futures price, or rate=1-price
* @param transaction The future option transaction.
* @param blackData The curve and Black volatility data.
* @return The present value curve sensitivity.
*/
public double presentValueGamma(final InterestRateFutureOptionPremiumTransaction transaction, final YieldCurveWithBlackCubeBundle blackData) {
final double securityGamma = SECURITY_METHOD.optionPriceGamma(transaction.getUnderlyingSecurity(), blackData);
final double txnGamma = securityGamma
* transaction.getQuantity()
* transaction.getUnderlyingSecurity().getUnderlyingFuture().getNotional()
* transaction.getUnderlyingSecurity().getUnderlyingFuture().getPaymentAccrualFactor();
return txnGamma;
}
/**
* Interpolates on the Black Volatility Surface at expiry and strike of optionTransaction
* @param optionTransaction InterestRateFutureOptionPremiumTransaction
* @param curveBundle YieldCurveWithBlackSwaptionBundle
* @return Lognormal Implied Volatility
*/
public Double impliedVolatility(final InterestRateFutureOptionPremiumTransaction optionTransaction, final YieldCurveBundle curveBundle) {
ArgumentChecker.notNull(optionTransaction, "optionTransaction");
return SECURITY_METHOD.impliedVolatility(optionTransaction.getUnderlyingSecurity(), curveBundle);
}
}