/**
* 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.instrument.index.IborIndex;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIbor;
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 coupon with gearing factor and spread.
*/
public final class CouponIborDiscountingMethod {
/**
* The method unique instance.
*/
private static final CouponIborDiscountingMethod INSTANCE = new CouponIborDiscountingMethod();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static CouponIborDiscountingMethod getInstance() {
return INSTANCE;
}
/**
* Private constructor.
*/
private CouponIborDiscountingMethod() {
}
/**
* Compute the present value of a Ibor coupon by discounting.
* @param coupon The coupon.
* @param multicurves The multi-curve provider.
* @return The present value.
*/
public MultipleCurrencyAmount presentValue(final CouponIbor coupon, final MulticurveProviderInterface multicurves) {
return presentValue(coupon, multicurves, IborForwardRateProvider.getInstance());
}
public MultipleCurrencyAmount presentValue(
final CouponIbor coupon,
final MulticurveProviderInterface multicurves,
final ForwardRateProvider<IborIndex> forwardRateProvider) {
ArgumentChecker.notNull(coupon, "coupon");
ArgumentChecker.notNull(multicurves, "multicurves");
ArgumentChecker.notNull(forwardRateProvider, "forwardRateProvider");
final double forward = forwardRateProvider.getRate(
multicurves,
coupon,
coupon.getFixingPeriodStartTime(),
coupon.getFixingPeriodEndTime(),
coupon.getFixingAccrualFactor());
final double df = multicurves.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime());
final double pv = coupon.getNotional() * coupon.getPaymentYearFraction() * forward * 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 CouponIbor coupon, final MulticurveProviderInterface multicurve) {
ArgumentChecker.notNull(coupon, "Coupon");
ArgumentChecker.notNull(multicurve, "Curves");
final double forward = multicurve.getSimplyCompoundForwardRate(coupon.getIndex(), coupon.getFixingPeriodStartTime(), coupon.getFixingPeriodEndTime(), coupon.getFixingAccrualFactor());
final double df = multicurve.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime());
// Backward sweep
final double pvBar = 1.0;
final double forwardBar = coupon.getNotional() * coupon.getPaymentYearFraction() * df * pvBar;
final double dfBar = coupon.getNotional() * coupon.getPaymentYearFraction() * forward * 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(multicurve.getName(coupon.getCurrency()), listDiscounting);
final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
final List<ForwardSensitivity> listForward = new ArrayList<>();
listForward.add(new SimplyCompoundedForwardSensitivity(coupon.getFixingPeriodStartTime(), coupon.getFixingPeriodEndTime(), coupon.getFixingAccrualFactor(), forwardBar));
mapFwd.put(multicurve.getName(coupon.getIndex()), listForward);
return MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
}
public MultipleCurrencyMulticurveSensitivity presentValueSecondOrderCurveSensitivity(final CouponIbor coupon, final MulticurveProviderInterface multicurve) {
ArgumentChecker.notNull(coupon, "Coupon");
ArgumentChecker.notNull(multicurve, "Curves");
final double forward = multicurve.getSimplyCompoundForwardRate(coupon.getIndex(), coupon.getFixingPeriodStartTime(), coupon.getFixingPeriodEndTime(), coupon.getFixingAccrualFactor());
final double df = multicurve.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime());
// Backward sweep
final double pvBar = 1.0;
final double forwardBar = coupon.getNotional() * coupon.getPaymentYearFraction() * df * pvBar;
final double dfBar = coupon.getNotional() * coupon.getPaymentYearFraction() * forward * pvBar;
final Map<String, List<DoublesPair>> mapDsc = new HashMap<>();
final List<DoublesPair> listDiscounting = new ArrayList<>();
listDiscounting.add(DoublesPair.of(coupon.getPaymentTime(), 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<>();
listForward.add(new SimplyCompoundedForwardSensitivity(coupon.getFixingPeriodStartTime(), coupon.getFixingPeriodEndTime(), coupon.getFixingAccrualFactor(), -2. * coupon.getPaymentTime() *
forwardBar));
mapFwd.put(multicurve.getName(coupon.getIndex()), listForward);
return MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
}
}