/**
* 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.provider;
import java.util.ArrayList;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponCMS;
import com.opengamma.analytics.financial.provider.calculator.discounting.ParRateCurveSensitivityDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.ParRateDiscountingCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.tuple.DoublesPair;
/**
* Pricing and sensitivities of a CMS coupon by discounting (no convexity adjustment).
*/
public final class CouponCMSDiscountingMethod {
/**
* The method unique instance.
*/
private static final CouponCMSDiscountingMethod INSTANCE = new CouponCMSDiscountingMethod();
/**
* Private constructor.
*/
private CouponCMSDiscountingMethod() {
}
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static CouponCMSDiscountingMethod getInstance() {
return INSTANCE;
}
/**
* The par rate calculator.
*/
private static final ParRateDiscountingCalculator PRDC = ParRateDiscountingCalculator.getInstance();
/**
* The par rate sensitivity calculator.
*/
private static final ParRateCurveSensitivityDiscountingCalculator PRCSDC = ParRateCurveSensitivityDiscountingCalculator.getInstance();
/**
* Compute the present value of a CMS coupon by discounting (no convexity adjustment).
* @param coupon The CMS coupon.
* @param multicurves The multi-curve provider.
* @return The coupon price.
*/
public MultipleCurrencyAmount presentValue(final CouponCMS coupon, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(coupon, "Coupon");
ArgumentChecker.notNull(multicurves, "Multi-curves provider");
final double swapRate = PRDC.visitFixedCouponSwap(coupon.getUnderlyingSwap(), multicurves);
final double paymentDiscountFactor = multicurves.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime());
final double pv = swapRate * coupon.getPaymentYearFraction() * coupon.getNotional() * paymentDiscountFactor;
return MultipleCurrencyAmount.of(coupon.getCurrency(), pv);
}
/**
* Compute the present value sensitivity to the yield curves of a CMS coupon by discounting (no convexity adjustment).
* @param coupon The CMS coupon.
* @param multicurves The multi-curve provider.
* @return The present value curve sensitivity.
*/
public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final CouponCMS coupon, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(coupon, "Coupon");
ArgumentChecker.notNull(multicurves, "Multi-curves provider");
final Currency ccy = coupon.getCurrency();
final double swapRate = PRDC.visitFixedCouponSwap(coupon.getUnderlyingSwap(), multicurves);
final double paymentTime = coupon.getPaymentTime();
final double paymentDiscountFactor = multicurves.getDiscountFactor(coupon.getCurrency(), paymentTime);
final double paymentDiscountFactorBar = swapRate * coupon.getPaymentYearFraction() * coupon.getNotional();
final MulticurveSensitivity swapRateDp = coupon.getUnderlyingSwap().accept(PRCSDC, multicurves);
final List<DoublesPair> list = new ArrayList<>();
list.add(DoublesPair.of(paymentTime, -paymentTime * paymentDiscountFactor * paymentDiscountFactorBar));
final Map<String, List<DoublesPair>> resultMapDsc = new HashMap<>();
resultMapDsc.put(multicurves.getName(coupon.getCurrency()), list);
final MulticurveSensitivity dfDp = MulticurveSensitivity.ofYieldDiscounting(resultMapDsc);
return MultipleCurrencyMulticurveSensitivity.of(
ccy,
swapRateDp.multipliedBy(coupon.getPaymentYearFraction() * coupon.getNotional() * paymentDiscountFactor).plus(
dfDp.multipliedBy(swapRate * coupon.getPaymentYearFraction() * coupon.getNotional())));
}
}