CouponONCompoundedDiscountingMethod.java example

Explorer
OG-Platform-master
- projects
- sesame
/**
 * Copyright (C) 2013 - 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.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.method.PricingMethod;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONCompounded;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.util.money.CurrencyAmount;
import com.opengamma.util.tuple.DoublesPair;

/**
 * @deprecated Use {@link com.opengamma.analytics.financial.interestrate.payments.provider.CouponONCompoundedDiscountingMethod}
 */
@Deprecated
public final class CouponONCompoundedDiscountingMethod implements PricingMethod {

  /**
   * The method unique instance.
   */
  private static final CouponONCompoundedDiscountingMethod INSTANCE = new CouponONCompoundedDiscountingMethod();

  /**
   * Return the unique instance of the class.
   * @return The instance.
   */
  public static CouponONCompoundedDiscountingMethod getInstance() {
    return INSTANCE;
  }

  /**
   * Private constructor.
   */
  private CouponONCompoundedDiscountingMethod() {
  }

  /**
   * Computes the present value.
   * @param coupon The coupon.
   * @param curves The curves.
   * @return The present value.
   */
  public CurrencyAmount presentValue(final CouponONCompounded coupon, final YieldCurveBundle curves) {
    Validate.notNull(coupon, "Coupon");
    Validate.notNull(curves, "Curves");

    final YieldAndDiscountCurve forwardCurve = curves.getCurve(coupon.getForwardCurveName());
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(coupon.getFundingCurveName());
    double ratio = 1.0;
    double forwardRatei;
    for (int i = 0; i < coupon.getFixingPeriodAccrualFactors().length; i++) {
      forwardRatei = 1 / coupon.getFixingPeriodAccrualFactors()[i] *
          (forwardCurve.getDiscountFactor(coupon.getFixingPeriodStartTimes()[i]) / forwardCurve.getDiscountFactor(coupon.getFixingPeriodEndTimes()[i]) - 1.0d);
      ratio *= Math.pow(1 + forwardRatei, coupon.getFixingPeriodAccrualFactors()[i]);
    }
    final double df = discountingCurve.getDiscountFactor(coupon.getPaymentTime());
    final double pv = df * coupon.getNotionalAccrued() * ratio;
    return CurrencyAmount.of(coupon.getCurrency(), pv);
  }

  @Override
  public CurrencyAmount presentValue(final InstrumentDerivative instrument, final YieldCurveBundle curves) {
    Validate.isTrue(instrument instanceof CouponONCompounded, "Coupon ON compounded");
    return presentValue((CouponONCompounded) instrument, curves);
  }

  /**
       * Compute the present value sensitivity to rates of a OIS coupon by discounting.
       * @param coupon The coupon.
       * @param curves The yield curves. Should contain the discounting and forward curves associated.
       * @return The present value curve sensitivities.
       */

  public InterestRateCurveSensitivity presentValueCurveSensitivity(final CouponONCompounded coupon, final YieldCurveBundle curves) {
    Validate.notNull(coupon, "Coupon");
    Validate.notNull(curves, "Curves");
    final YieldAndDiscountCurve forwardCurve = curves.getCurve(coupon.getForwardCurveName());
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(coupon.getFundingCurveName());
    final double df = discountingCurve.getDiscountFactor(coupon.getPaymentTime());
    double ratio = 1.0;
    final double[] discountFactorsStart = new double[coupon.getFixingPeriodAccrualFactors().length];
    final double[] discountFactorsEnd = new double[coupon.getFixingPeriodAccrualFactors().length];
    final double[] forwardRates = new double[coupon.getFixingPeriodAccrualFactors().length];
    for (int i = 0; i < coupon.getFixingPeriodAccrualFactors().length; i++) {
      discountFactorsStart[i] = forwardCurve.getDiscountFactor(coupon.getFixingPeriodStartTimes()[i]);
      discountFactorsEnd[i] = forwardCurve.getDiscountFactor(coupon.getFixingPeriodEndTimes()[i]);
      forwardRates[i] = (discountFactorsStart[i] / discountFactorsEnd[i] - 1) / coupon.getFixingPeriodAccrualFactors()[i];
      ratio *= Math.pow(1 + forwardRates[i], coupon.getFixingPeriodAccrualFactors()[i]);
    }
    // Backward sweep
    final double pvBar = 1.0;
    final double ratioBar = coupon.getNotionalAccrued() * df * pvBar;
    final double[] discountFactorStartBar = new double[coupon.getFixingPeriodAccrualFactors().length];
    final double[] discountFactorEndBar = new double[coupon.getFixingPeriodAccrualFactors().length];
    final double[] forwardBar = new double[coupon.getFixingPeriodAccrualFactors().length];
    for (int i = 0; i < coupon.getFixingPeriodAccrualFactors().length; i++) {
      forwardBar[i] = ratio * ratioBar * coupon.getFixingPeriodAccrualFactors()[i] / (1 + forwardRates[i]);
      discountFactorStartBar[i] = forwardBar[i] / discountFactorsEnd[i] / coupon.getFixingPeriodAccrualFactors()[i];
      discountFactorEndBar[i] = -forwardBar[i] * discountFactorsStart[i] / (discountFactorsEnd[i] * discountFactorsEnd[i]) / coupon.getFixingPeriodAccrualFactors()[i];
    }
    final double dfBar = coupon.getNotionalAccrued() * ratio * pvBar;
    final Map<String, List<DoublesPair>> mapDsc = new HashMap<>();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(DoublesPair.of(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
    mapDsc.put(coupon.getFundingCurveName(), listDiscounting);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(mapDsc);
    final Map<String, List<DoublesPair>> mapFwd = new HashMap<>();
    final List<DoublesPair> listForward = new ArrayList<>();
    listForward.add(DoublesPair.of(coupon.getFixingPeriodStartTimes()[0], -coupon.getFixingPeriodStartTimes()[0] * discountFactorsStart[0] * discountFactorStartBar[0]));
    for (int i = 1; i < coupon.getFixingPeriodAccrualFactors().length; i++) {
      listForward.add(DoublesPair.of(coupon.getFixingPeriodStartTimes()[i], -coupon.getFixingPeriodStartTimes()[i] *
          (discountFactorsStart[i] * discountFactorStartBar[i] + discountFactorsEnd[i - 1] * discountFactorEndBar[i - 1])));
    }
    listForward.add(DoublesPair.of(
        coupon.getFixingPeriodEndTimes()[coupon.getFixingPeriodAccrualFactors().length - 1],
        -coupon.getFixingPeriodEndTimes()[coupon.getFixingPeriodAccrualFactors().length - 1] * discountFactorsEnd[coupon.getFixingPeriodAccrualFactors().length - 1] *
            discountFactorEndBar[coupon.getFixingPeriodAccrualFactors().length - 1]));
    mapFwd.put(coupon.getForwardCurveName(), listForward);
    result = result.plus(new InterestRateCurveSensitivity(mapFwd));
    return result;
  }

}