MarketQuoteDiscountingCalculator.java

/**
 * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.provider.calculator.discounting;

import com.opengamma.analytics.financial.forex.derivative.Forex;
import com.opengamma.analytics.financial.forex.provider.ForexDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.cash.derivative.Cash;
import com.opengamma.analytics.financial.interestrate.cash.derivative.DepositIbor;
import com.opengamma.analytics.financial.interestrate.cash.provider.CashDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.cash.provider.DepositIborDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement;
import com.opengamma.analytics.financial.interestrate.fra.provider.ForwardRateAgreementDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureTransaction;
import com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureSecurityDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
import com.opengamma.analytics.financial.interestrate.swap.provider.SwapFixedCouponDiscountingMethod;
import com.opengamma.analytics.financial.provider.description.interestrate.ParameterProviderInterface;

/**
 * Calculate the market quote of instruments in models using a multi-curve provider.
 */
public final class MarketQuoteDiscountingCalculator 
  extends InstrumentDerivativeVisitorAdapter<ParameterProviderInterface, Double> {

  /**
   * The unique instance of the calculator.
   */
  private static final MarketQuoteDiscountingCalculator INSTANCE = new MarketQuoteDiscountingCalculator();

  /**
   * Constructor.
   */
  private MarketQuoteDiscountingCalculator() {
  }

  /**
   * Gets the calculator instance.
   * @return The calculator.
   */
  public static MarketQuoteDiscountingCalculator getInstance() {
    return INSTANCE;
  }

  /** Pricing methods and calculators. */
  private static final PresentValueDiscountingCalculator PVC = PresentValueDiscountingCalculator.getInstance();
  private static final CashDiscountingMethod METHOD_DEPO = CashDiscountingMethod.getInstance();
  private static final DepositIborDiscountingMethod METHOD_IBOR = DepositIborDiscountingMethod.getInstance();
  private static final ForwardRateAgreementDiscountingMethod METHOD_FRA = ForwardRateAgreementDiscountingMethod.getInstance();
  private static final SwapFixedCouponDiscountingMethod METHOD_SWAP = SwapFixedCouponDiscountingMethod.getInstance();
  private static final InterestRateFutureSecurityDiscountingMethod METHOD_IR_FUT = InterestRateFutureSecurityDiscountingMethod.getInstance();
  private static final ForexDiscountingMethod METHOD_FOREX = ForexDiscountingMethod.getInstance();

  //     -----     Deposit     ------

  @Override
  public Double visitCash(final Cash deposit, final ParameterProviderInterface multicurves) {
    return METHOD_DEPO.parRate(deposit, multicurves.getMulticurveProvider());
  }

  @Override
  public Double visitDepositIbor(final DepositIbor deposit, final ParameterProviderInterface multicurves) {
    return METHOD_IBOR.parRate(deposit, multicurves.getMulticurveProvider());
  }

  //     -----     Payment/Coupon     ------

  @Override
  public Double visitForwardRateAgreement(final ForwardRateAgreement fra, final ParameterProviderInterface multicurves) {
    return METHOD_FRA.parRate(fra, multicurves.getMulticurveProvider());
  }

  /**
   * Computes the par rate of a swap with one fixed leg.
   * @param swap The Fixed coupon swap. The second leg can be of any type.
   * @param multicurves The multi-curves provider.
   * @return The par swap rate. If the fixed leg has been set up with some fixed payments these are ignored for the purposes of finding the swap rate
   */
  @Override
  public Double visitFixedCouponSwap(final SwapFixedCoupon<?> swap, final ParameterProviderInterface multicurves) {
    //TODO: check currency
    final double pvSecond = swap.getSecondLeg().accept(PVC, multicurves).getAmount(swap.getSecondLeg().getCurrency()) 
        * Math.signum(swap.getSecondLeg().getNthPayment(0).getNotional());
    final double pvbp = METHOD_SWAP.presentValueBasisPoint(swap, multicurves.getMulticurveProvider());
    return pvSecond / pvbp;
  }
  
  // TODO: add generic swap? margin on first leg to get a pv=0

  //     -----     Futures     -----

  @Override
  public Double visitInterestRateFutureSecurity(final InterestRateFutureSecurity futures, final ParameterProviderInterface multicurves) {
    return METHOD_IR_FUT.price(futures, multicurves);
  }

  @Override
  public Double visitInterestRateFutureTransaction(final InterestRateFutureTransaction futures, final ParameterProviderInterface multicurves) {
    return METHOD_IR_FUT.price(futures.getUnderlyingSecurity(), multicurves);
  }

  //     -----     Forex     ------

  /**
   * Computes the forward forex rate.
   * @param forex The forex instrument.
   * @param multicurves The multicurves provider.
   * @return The forward forex rate.
   */
  @Override
  public Double visitForex(final Forex forex, final ParameterProviderInterface multicurves) {
    return METHOD_FOREX.forwardForexRate(forex, multicurves.getMulticurveProvider());
  }

}