/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.payments.method;
import java.util.ArrayList;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity;
import com.opengamma.analytics.financial.interestrate.ParRateCalculator;
import com.opengamma.analytics.financial.interestrate.ParRateCurveSensitivityCalculator;
import com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.method.PricingMethod;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorIbor;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle;
import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData;
import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackPriceFunction;
import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.util.money.CurrencyAmount;
import com.opengamma.util.tuple.DoublesPair;
/**
* Class used to compute the price and sensitivity of a Ibor cap/floor with SABR model.
* No convexity adjustment is done for payment at non-standard dates.
* @deprecated {@link SABRInterestRateDataBundle} is deprecated
*/
@Deprecated
public final class CapFloorIborSABRMethod implements PricingMethod {
/**
* The Black function used in the pricing.
*/
private static final BlackPriceFunction BLACK_FUNCTION = new BlackPriceFunction();
/**
* The Par Rate Calculator used in the pricing.
*/
private static final ParRateCalculator PRC = ParRateCalculator.getInstance();
/**
* The par rate sensitivity calculator.
*/
private static final ParRateCurveSensitivityCalculator PRSC = ParRateCurveSensitivityCalculator.getInstance();
private static final CapFloorIborSABRMethod INSTANCE = new CapFloorIborSABRMethod();
public static CapFloorIborSABRMethod getInstance() {
return INSTANCE;
}
private CapFloorIborSABRMethod() {
}
/**
* Computes the present value of a cap/floor in the SABR model.
* @param cap The cap/floor.
* @param sabrData The SABR data bundle.
* @return The present value.
*/
public CurrencyAmount presentValue(final CapFloorIbor cap, final SABRInterestRateDataBundle sabrData) {
Validate.notNull(cap);
Validate.notNull(sabrData);
final EuropeanVanillaOption option = new EuropeanVanillaOption(cap.getStrike(), cap.getFixingTime(), cap.isCap());
final double forward = cap.accept(PRC, sabrData);
final double df = sabrData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getPaymentTime());
final double maturity = cap.getFixingPeriodEndTime() - cap.getFixingPeriodStartTime();
// TODO: Improve maturity, using periods?
final double volatility = sabrData.getSABRParameter().getVolatility(cap.getFixingTime(), maturity, cap.getStrike(), forward);
final BlackFunctionData dataBlack = new BlackFunctionData(forward, df, volatility);
final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(option);
final double price = func.evaluate(dataBlack) * cap.getNotional() * cap.getPaymentYearFraction();
return CurrencyAmount.of(cap.getCurrency(), price);
}
@Override
public CurrencyAmount presentValue(final InstrumentDerivative instrument, final YieldCurveBundle curves) {
Validate.isTrue(instrument instanceof CapFloorIbor, "Cap/Floor on Ibor");
Validate.isTrue(curves instanceof SABRInterestRateDataBundle, "SABR interest rate data bundle required");
return presentValue((CapFloorIbor) instrument, (SABRInterestRateDataBundle) curves);
}
/**
* Computes the present value rate sensitivity to rates of a cap/floor in the SABR model.
* @param cap The cap/floor.
* @param sabrData The SABR data bundle. The SABR function need to be the Hagan function.
* @return The present value curve sensitivity.
*/
public InterestRateCurveSensitivity presentValueSensitivity(final CapFloorIbor cap, final SABRInterestRateDataBundle sabrData) {
Validate.notNull(cap);
Validate.notNull(sabrData);
final EuropeanVanillaOption option = new EuropeanVanillaOption(cap.getStrike(), cap.getFixingTime(), cap.isCap());
final double forward = cap.accept(PRC, sabrData);
final InterestRateCurveSensitivity forwardDr = new InterestRateCurveSensitivity(cap.accept(PRSC, sabrData));
final double df = sabrData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getPaymentTime());
final double dfDr = -cap.getPaymentTime() * df;
final double maturity = cap.getFixingPeriodEndTime() - cap.getFixingPeriodStartTime();
final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(cap.getFixingTime(), maturity, cap.getStrike(), forward);
final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
final List<DoublesPair> list = new ArrayList<>();
list.add(DoublesPair.of(cap.getPaymentTime(), dfDr));
final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
resultMap.put(cap.getFundingCurveName(), list);
InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
result = result.multipliedBy(bsAdjoint[0]);
result = result.plus(forwardDr.multipliedBy(df * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1])));
result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
return result;
}
/**
* Computes the present value SABR sensitivity of a cap/floor in the SABR model.
* @param cap The cap/floor.
* @param sabrData The SABR data. The SABR function need to be the Hagan function.
* @return The present value SABR sensitivity.
*/
public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final CapFloorIbor cap, final SABRInterestRateDataBundle sabrData) {
Validate.notNull(cap);
Validate.notNull(sabrData);
final EuropeanVanillaOption option = new EuropeanVanillaOption(cap.getStrike(), cap.getFixingTime(), cap.isCap());
final double forward = cap.accept(PRC, sabrData);
final double df = sabrData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getPaymentTime());
final double maturity = cap.getFixingPeriodEndTime() - cap.getFixingPeriodStartTime();
final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(cap.getFixingTime(), maturity, cap.getStrike(), forward);
final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
final DoublesPair expiryMaturity = DoublesPair.of(cap.getFixingTime(), maturity);
final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
sensi.addAlpha(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsAdjoint[2] * volatilityAdjoint[3]);
sensi.addBeta(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsAdjoint[2] * volatilityAdjoint[4]);
sensi.addRho(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsAdjoint[2] * volatilityAdjoint[5]);
sensi.addNu(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsAdjoint[2] * volatilityAdjoint[6]);
return sensi;
}
}