/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.swaption.provider;
import com.opengamma.analytics.financial.instrument.index.GeneratorAttributeIR;
import com.opengamma.analytics.financial.instrument.index.GeneratorInstrument;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedCompoundedONCompounded;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedON;
import com.opengamma.analytics.financial.interestrate.swap.provider.SwapFixedIborSpreadDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionPhysicalFixedIbor;
import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData;
import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackPriceFunction;
import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption;
import com.opengamma.analytics.financial.provider.description.interestrate.BlackSwaptionFlatProviderInterface;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
* Class used to compute the price and sensitivity of a physical delivery swaption on a swap with spread in the Black model.
* The implied Black volatilities are expiry and underlying maturity dependent.
* The swap underlying the swaption should be a Fixed for Ibor with spread swap.
*/
public final class SwaptionPhysicalFixedIborSpreadBlackMethod {
/**
* The method unique instance.
*/
private static final SwaptionPhysicalFixedIborSpreadBlackMethod INSTANCE = new SwaptionPhysicalFixedIborSpreadBlackMethod();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static SwaptionPhysicalFixedIborSpreadBlackMethod getInstance() {
return INSTANCE;
}
/**
* Private constructor.
*/
private SwaptionPhysicalFixedIborSpreadBlackMethod() {
}
/**
* The swap method.
*/
private static final SwapFixedIborSpreadDiscountingMethod METHOD_SWAP = SwapFixedIborSpreadDiscountingMethod.getInstance();
/**
* Computes the present value of a physical delivery European swaption in the Black model.
* @param swaption The swaption.
* @param blackMulticurves Black volatility for swaption and multi-curves provider.
* @return The present value.
*/
public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final BlackSwaptionFlatProviderInterface blackMulticurves) {
ArgumentChecker.notNull(swaption, "Swaption");
ArgumentChecker.notNull(blackMulticurves, "Black volatility for swaption and multicurve");
final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = blackMulticurves.getBlackParameters().getGeneratorSwap();
Calendar calendar;
DayCount dayCountModification;
if (generatorSwap instanceof GeneratorSwapFixedIbor) {
final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
calendar = fixedIborGenerator.getCalendar();
dayCountModification = fixedIborGenerator.getFixedLegDayCount();
} else if (generatorSwap instanceof GeneratorSwapFixedON) {
final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
calendar = fixedONGenerator.getOvernightCalendar();
dayCountModification = fixedONGenerator.getFixedLegDayCount();
} else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
calendar = fixedCompoundedON.getOvernightCalendar();
dayCountModification = fixedCompoundedON.getFixedLegDayCount();
} else {
throw new IllegalArgumentException("Cannot handle swap with underlying generator of type " + generatorSwap.getClass());
}
final MulticurveProviderInterface multicurves = blackMulticurves.getMulticurveProvider();
final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, calendar, multicurves);
final double forwardModified = METHOD_SWAP.forwardSwapSpreadModified(swaption.getUnderlyingSwap(), pvbpModified, multicurves);
final double strikeModified = METHOD_SWAP.couponEquivalentSpreadModified(swaption.getUnderlyingSwap(), pvbpModified, multicurves);
final double maturity = swaption.getMaturityTime();
final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
// Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
final BlackPriceFunction blackFunction = new BlackPriceFunction();
final double volatility = blackMulticurves.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), maturity);
final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, pvbpModified, volatility);
final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
final double pv = func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0);
return MultipleCurrencyAmount.of(swaption.getCurrency(), pv);
}
}