/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.future.method;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureTransaction;
import com.opengamma.analytics.financial.interestrate.method.PricingMethod;
/**
* Methods for the pricing of interest rate futures generic to all models.
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public abstract class InterestRateFutureTransactionMethod implements PricingMethod {
/**
* 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 double presentValueFromPrice(final InterestRateFutureTransaction future, final double price) {
final double pv = (price - future.getReferencePrice()) * future.getUnderlyingSecurity().getPaymentAccrualFactor() * future.getUnderlyingSecurity().getNotional() * future.getQuantity();
return pv;
}
/**
* Compute the present value sensitivity to rates of a interest rate future by discounting.
* @param future The future.
* @param priceSensi Price sensitivity.
* @return The present value rate sensitivity.
*/
public InterestRateCurveSensitivity presentValueCurveSensitivity(final InterestRateFutureTransaction future, final InterestRateCurveSensitivity priceSensi) {
Validate.notNull(future, "Future");
final InterestRateCurveSensitivity result = priceSensi.multipliedBy(future.getUnderlyingSecurity().getPaymentAccrualFactor() * future.getUnderlyingSecurity().getNotional() * future.getQuantity());
return result;
}
/**
* Compute the present value sensitivity to rates of a interest rate future by discounting.
* @param future The future.
* @param curves The yield curves. Should contain the forward curve associated.
* @return The present value sensitivity.
*/
public abstract InterestRateCurveSensitivity presentValueCurveSensitivity(final InterestRateFutureTransaction future, final YieldCurveBundle curves);
}