/**
* 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.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.CouponONArithmeticAverage;
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;
/**
* Class describing the pricing of Fed Fund swap-like floating coupon (arithmetic average on overnight rates) by estimation and discounting (no convexity adjustment is computed).
* The estimation is done by estimating each ON forward rate and averaging them.
* <p>Reference: Overnight Indexes Related Products. OpenGamma Documentation n. 20, Version 1.0, February 2013.
*/
public final class CouponONArithmeticAverageDiscountingMethod {
// FIXME: Class under construction, don't use yet.
/**
* The method unique instance.
*/
private static final CouponONArithmeticAverageDiscountingMethod INSTANCE = new CouponONArithmeticAverageDiscountingMethod();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static CouponONArithmeticAverageDiscountingMethod getInstance() {
return INSTANCE;
}
/**
* Private constructor.
*/
private CouponONArithmeticAverageDiscountingMethod() {
}
/**
* Computes the present value.
* @param coupon The coupon.
* @param multicurve The multi-curve provider.
* @return The present value.
*/
public MultipleCurrencyAmount presentValue(final CouponONArithmeticAverage coupon, final MulticurveProviderInterface multicurve) {
ArgumentChecker.notNull(coupon, "Coupon");
ArgumentChecker.notNull(multicurve, "Multi-curve provider");
final double[] delta = coupon.getFixingPeriodAccrualFactors();
final double[] startTimes = coupon.getFixingPeriodStartTimes();
final double[] endTimes = coupon.getFixingPeriodEndTimes();
final int nbFwd = delta.length;
final double[] forwardON = new double[nbFwd];
double rateAccrued = coupon.getRateAccrued();
for (int loopfwd = 0; loopfwd < nbFwd; loopfwd++) {
forwardON[loopfwd] = multicurve.getSimplyCompoundForwardRate(coupon.getIndex(), startTimes[loopfwd], endTimes[loopfwd], delta[loopfwd]);
rateAccrued += forwardON[loopfwd] * delta[loopfwd];
}
final double df = multicurve.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime());
final double pv = df * rateAccrued * coupon.getNotional(); // Does not use the payment accrual factor.
return MultipleCurrencyAmount.of(coupon.getCurrency(), pv);
}
/**
* Computes the present value.
* @param coupon The coupon.
* @param multicurve The multi-curve provider.
* @return The present value curve sensitivities.
*/
public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final CouponONArithmeticAverage coupon, final MulticurveProviderInterface multicurve) {
ArgumentChecker.notNull(coupon, "Coupon");
ArgumentChecker.notNull(multicurve, "Multi-curve provider");
// Forward sweep
final double[] delta = coupon.getFixingPeriodAccrualFactors();
final double[] startTimes = coupon.getFixingPeriodStartTimes();
final double[] endTimes = coupon.getFixingPeriodEndTimes();
;
final int nbFwd = delta.length;
final double[] forwardON = new double[nbFwd];
double rateAccrued = coupon.getRateAccrued();
for (int loopfwd = 0; loopfwd < nbFwd; loopfwd++) {
forwardON[loopfwd] = multicurve.getSimplyCompoundForwardRate(coupon.getIndex(), startTimes[loopfwd], endTimes[loopfwd], delta[loopfwd]);
rateAccrued += forwardON[loopfwd] * delta[loopfwd];
}
final double df = multicurve.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime());
// Backward sweep
final double pvBar = 1.0;
final double dfBar = rateAccrued * coupon.getNotional() * pvBar;
final double rateAccruedBar = df * coupon.getNotional() * pvBar;
final double[] forwardONBar = new double[nbFwd];
for (int loopfwd = 0; loopfwd < nbFwd; loopfwd++) {
forwardONBar[loopfwd] = delta[loopfwd] * rateAccruedBar;
}
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 loopfwd = 0; loopfwd < nbFwd; loopfwd++) {
listForward.add(new SimplyCompoundedForwardSensitivity(startTimes[loopfwd], endTimes[loopfwd], delta[loopfwd], forwardONBar[loopfwd]));
}
mapFwd.put(multicurve.getName(coupon.getIndex()), listForward);
final MultipleCurrencyMulticurveSensitivity result = MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
return result;
}
}