/**
* Copyright (C) 2012 - 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.instrument.index.IborIndex;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborCompoundingSpread;
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;
/**
* Method to compute present value and present value sensitivity for Ibor compounding coupon with spread.
* The definition of "Compounding" is available in the ISDA document:
* Reference: Alternative compounding methods for over-the-counter derivative transactions (2009)
*/
public final class CouponIborCompoundingSpreadDiscountingMethod {
/**
* The method unique instance.
*/
private static final CouponIborCompoundingSpreadDiscountingMethod INSTANCE = new CouponIborCompoundingSpreadDiscountingMethod();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static CouponIborCompoundingSpreadDiscountingMethod getInstance() {
return INSTANCE;
}
/**
* Private constructor.
*/
private CouponIborCompoundingSpreadDiscountingMethod() {
}
/**
* Compute the present value of a Ibor compounded coupon by discounting.
* @param coupon The coupon.
* @param multicurve The multi-curve provider.
* @return The present value.
*/
public MultipleCurrencyAmount presentValue(final CouponIborCompoundingSpread coupon, final MulticurveProviderInterface multicurve) {
return presentValue(coupon, multicurve, IborForwardRateProvider.getInstance());
}
/**
* Compute the present value of a Ibor compounded coupon by discounting.
* @param coupon The coupon.
* @param multicurve The multi-curve provider.
* @param forwardRateProvider The forward rate provider.
* @return The present value.
*/
public MultipleCurrencyAmount presentValue(
final CouponIborCompoundingSpread coupon,
final MulticurveProviderInterface multicurve,
final ForwardRateProvider<IborIndex> forwardRateProvider) {
ArgumentChecker.notNull(coupon, "coupon");
ArgumentChecker.notNull(multicurve, "multicurve");
ArgumentChecker.notNull(forwardRateProvider, "forwardRateProvider");
final int nbSubPeriod = coupon.getFixingTimes().length;
double notionalAccrued = coupon.getNotionalAccrued();
for (int loopsub = 0; loopsub < nbSubPeriod; loopsub++) {
final double forward = forwardRateProvider.getRate(
multicurve,
coupon,
coupon.getFixingPeriodStartTimes()[loopsub],
coupon.getFixingPeriodEndTimes()[loopsub],
coupon.getFixingPeriodAccrualFactors()[loopsub]);
final double investFactor = 1.0 + coupon.getPaymentAccrualFactors()[loopsub] * (forward + coupon.getSpread());
notionalAccrued *= investFactor;
}
final double df = multicurve.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime());
final double pv = (notionalAccrued - coupon.getNotional()) * df;
return MultipleCurrencyAmount.of(coupon.getCurrency(), pv);
}
/**
* Compute the present value sensitivity to rates of a Ibor compounded coupon by discounting.
* @param coupon The coupon.
* @param multicurve The multi-curve provider.
* @return The present value sensitivity.
*/
public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final CouponIborCompoundingSpread coupon, final MulticurveProviderInterface multicurve) {
ArgumentChecker.notNull(coupon, "Coupon");
ArgumentChecker.notNull(multicurve, "Multi-curve provider");
final int nbSubPeriod = coupon.getFixingTimes().length;
double notionalAccrued = coupon.getNotionalAccrued();
final double[] forward = new double[nbSubPeriod];
final double[] investFactor = new double[nbSubPeriod];
for (int loopsub = 0; loopsub < nbSubPeriod; loopsub++) {
forward[loopsub] = multicurve.getSimplyCompoundForwardRate(coupon.getIndex(), coupon.getFixingPeriodStartTimes()[loopsub], coupon.getFixingPeriodEndTimes()[loopsub],
coupon.getFixingPeriodAccrualFactors()[loopsub]);
investFactor[loopsub] = 1.0 + coupon.getPaymentAccrualFactors()[loopsub] * (forward[loopsub] + coupon.getSpread());
notionalAccrued *= investFactor[loopsub];
}
final double dfPayment = multicurve.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime());
// Backward sweep
final double pvBar = 1.0;
final double dfPaymentBar = (notionalAccrued - coupon.getNotional()) * pvBar;
final double notionalAccruedBar = dfPayment * pvBar;
final double[] investFactorBar = new double[nbSubPeriod];
final double[] forwardBar = new double[nbSubPeriod];
for (int loopsub = 0; loopsub < nbSubPeriod; loopsub++) {
investFactorBar[loopsub] = notionalAccrued / investFactor[loopsub] * notionalAccruedBar;
forwardBar[loopsub] = coupon.getPaymentAccrualFactors()[loopsub] * investFactorBar[loopsub];
}
final Map<String, List<DoublesPair>> mapDsc = new HashMap<>();
final List<DoublesPair> listDiscounting = new ArrayList<>();
listDiscounting.add(DoublesPair.of(coupon.getPaymentTime(), -coupon.getPaymentTime() * dfPayment * dfPaymentBar));
mapDsc.put(multicurve.getName(coupon.getCurrency()), listDiscounting);
final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
final List<ForwardSensitivity> listForward = new ArrayList<>();
for (int loopsub = 0; loopsub < nbSubPeriod; loopsub++) {
listForward.add(new SimplyCompoundedForwardSensitivity(coupon.getFixingPeriodStartTimes()[loopsub], coupon.getFixingPeriodEndTimes()[loopsub], coupon.getFixingPeriodAccrualFactors()[loopsub],
forwardBar[loopsub]));
}
mapFwd.put(multicurve.getName(coupon.getIndex()), listForward);
return MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
}
}