/**
* Copyright (C) 2014 - 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.CouponIborAverageFixingDatesCompoundingFlatSpread;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.ForwardSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.SimplyCompoundedForwardSensitivity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.tuple.DoublesPair;
/**
* Pricing method related to coupon with average on a single index. Pricing done by simple forward and discounting.
* No timing adjustment is done.
*/
public final class CouponIborAverageFixingDatesCompoundingFlatSpreadDiscountingMethod {
/**
* The method unique instance.
*/
private static final CouponIborAverageFixingDatesCompoundingFlatSpreadDiscountingMethod INSTANCE =
new CouponIborAverageFixingDatesCompoundingFlatSpreadDiscountingMethod();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static CouponIborAverageFixingDatesCompoundingFlatSpreadDiscountingMethod getInstance() {
return INSTANCE;
}
/**
* Private constructor.
*/
private CouponIborAverageFixingDatesCompoundingFlatSpreadDiscountingMethod() {
}
/**
* Compute the present value of a Ibor average coupon by discounting.
* @param coupon The coupon.
* @param multicurves The multi-curve provider.
* @return The present value.
*/
public MultipleCurrencyAmount presentValue(final CouponIborAverageFixingDatesCompoundingFlatSpread coupon, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(coupon, "Coupon");
ArgumentChecker.notNull(multicurves, "Multi-curves provider");
final int nPeriods = coupon.getFixingTime().length;
double payoff = coupon.getRateFixed();
for (int i = 0; i < nPeriods; ++i) {
double forwardAverage = ((i == 0) ? coupon.getAmountAccrued() : 0.0);
final int nDates = coupon.getFixingTime()[i].length;
for (int j = 0; j < nDates; ++j) {
final double forward1 = multicurves.getSimplyCompoundForwardRate(coupon.getIndex(), coupon.getFixingPeriodStartTime()[i][j], coupon.getFixingPeriodEndTime()[i][j],
coupon.getFixingPeriodAccrualFactor()[i][j]);
forwardAverage += coupon.getWeight()[i][j] * forward1;
}
payoff += (forwardAverage + coupon.getSpread() + forwardAverage * payoff) * coupon.getPaymentAccrualFactors()[i];
}
final double df = multicurves.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime());
final double pv = coupon.getNotional() * payoff * df;
return MultipleCurrencyAmount.of(coupon.getCurrency(), pv);
}
/**
* Compute the present value sensitivity to yield for discounting curve and forward rate (in index convention) for forward curve.
* @param coupon The coupon.
* @param multicurve The multi-curve provider.
* @return The present value sensitivity.
*/
public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final CouponIborAverageFixingDatesCompoundingFlatSpread coupon, final MulticurveProviderInterface multicurve) {
ArgumentChecker.notNull(coupon, "Coupon");
ArgumentChecker.notNull(multicurve, "Curves");
final int nPeriods = coupon.getFixingTime().length;
final int[] nDates = new int[nPeriods];
final double[] forwardAverage = new double[nPeriods];
final double[] cpaSum = new double[nPeriods + 1];
cpaSum[0] = coupon.getRateFixed();
forwardAverage[0] = coupon.getAmountAccrued();
for (int i = 0; i < nPeriods; ++i) {
nDates[i] = coupon.getFixingTime()[i].length;
for (int j = 0; j < nDates[i]; ++j) {
final double forward = multicurve.getSimplyCompoundForwardRate(coupon.getIndex(), coupon.getFixingPeriodStartTime()[i][j], coupon.getFixingPeriodEndTime()[i][j],
coupon.getFixingPeriodAccrualFactor()[i][j]);
forwardAverage[i] += coupon.getWeight()[i][j] * forward;
}
cpaSum[i + 1] = cpaSum[i] + (forwardAverage[i] + coupon.getSpread() + cpaSum[i] * forwardAverage[i]) * coupon.getPaymentAccrualFactors()[i];
}
double payoff = cpaSum[nPeriods];
final double df = multicurve.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime());
// Backward sweep
final double payoffBar = coupon.getNotional() * df;
final double dfBar = coupon.getNotional() * payoff;
final double[] cpaSumBar = new double[nPeriods + 1];
final double[] forwardAverageBar = new double[nPeriods];
cpaSumBar[nPeriods] = payoffBar;
for (int i = nPeriods - 1; i >= 0; i--) {
cpaSumBar[i] += (1 + forwardAverage[i] * coupon.getPaymentAccrualFactors()[i]) * cpaSumBar[i + 1];
forwardAverageBar[i] = (1 + cpaSum[i]) * coupon.getPaymentAccrualFactors()[i] * cpaSumBar[i + 1];
}
final double[][] forwardBar = new double[nPeriods][];
for (int i = 0; i < nPeriods; ++i) {
forwardBar[i] = new double[nDates[i]];
for (int j = 0; j < nDates[i]; ++j) {
forwardBar[i][j] += coupon.getWeight()[i][j] * forwardAverageBar[i];
}
}
// Storing results
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(multicurve.getName(coupon.getCurrency()), listDiscounting);
final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
final List<ForwardSensitivity> listForward = new ArrayList<>();
for (int i = 0; i < nPeriods; ++i) {
for (int j = 0; j < nDates[i]; ++j) {
listForward.add(new SimplyCompoundedForwardSensitivity(coupon.getFixingPeriodStartTime()[i][j], coupon.getFixingPeriodEndTime()[i][j], coupon.getFixingPeriodAccrualFactor()[i][j],
forwardBar[i][j]));
}
}
mapFwd.put(multicurve.getName(coupon.getIndex()), listForward);
return MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
}
}