/**
* 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.derivative.ForexSwap;
import com.opengamma.analytics.financial.forex.provider.ForexDiscountingMethod;
import com.opengamma.analytics.financial.forex.provider.ForexSwapDiscountingMethod;
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.FederalFundsFutureTransaction;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureTransaction;
import com.opengamma.analytics.financial.interestrate.future.derivative.SwapFuturesPriceDeliverableTransaction;
import com.opengamma.analytics.financial.interestrate.future.provider.FederalFundsFutureSecurityDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.future.provider.FuturesSecurityMulticurveMethod;
import com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureSecurityDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixedAccruedCompounding;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONCompounded;
import com.opengamma.analytics.financial.interestrate.swap.derivative.Swap;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapMultileg;
import com.opengamma.analytics.financial.provider.description.interestrate.ParameterProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Compute the sensitivity of the spread to the curve; the spread is the number to be added to the market standard quote of the instrument for which the present value of the instrument is zero.
* The notion of "spread" will depend of each instrument.
*/
public final class ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator
extends InstrumentDerivativeVisitorAdapter<ParameterProviderInterface, MulticurveSensitivity> {
/**
* The unique instance of the calculator.
*/
private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator INSTANCE = new ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator() {
}
/**
* The methods and calculators.
*/
private static final PresentValueDiscountingCalculator PVDC = PresentValueDiscountingCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingCalculator PVCSDC = PresentValueCurveSensitivityDiscountingCalculator.getInstance();
private static final PresentValueMarketQuoteSensitivityDiscountingCalculator PVMQSMC = PresentValueMarketQuoteSensitivityDiscountingCalculator.getInstance();
private static final PresentValueMarketQuoteSensitivityCurveSensitivityDiscountingCalculator PVMQSCSMC = PresentValueMarketQuoteSensitivityCurveSensitivityDiscountingCalculator.getInstance();
private static final CashDiscountingMethod METHOD_DEPOSIT = CashDiscountingMethod.getInstance();
private static final DepositIborDiscountingMethod METHOD_DEPOSIT_IBOR = DepositIborDiscountingMethod.getInstance();
private static final ForwardRateAgreementDiscountingMethod METHOD_FRA = ForwardRateAgreementDiscountingMethod.getInstance();
private static final InterestRateFutureSecurityDiscountingMethod METHOD_STIR_FUT = InterestRateFutureSecurityDiscountingMethod.getInstance();
private static final FederalFundsFutureSecurityDiscountingMethod METHOD_FED_FUNDS = FederalFundsFutureSecurityDiscountingMethod.getInstance();
private static final FuturesSecurityMulticurveMethod METHOD_FUT = new FuturesSecurityMulticurveMethod();
private static final ForexSwapDiscountingMethod METHOD_FOREX_SWAP = ForexSwapDiscountingMethod.getInstance();
private static final ForexDiscountingMethod METHOD_FOREX = ForexDiscountingMethod.getInstance();
// ----- Deposit -----
@Override
public MulticurveSensitivity visitCash(final Cash deposit, final ParameterProviderInterface multicurves) {
return METHOD_DEPOSIT.parSpreadCurveSensitivity(deposit, multicurves.getMulticurveProvider());
}
@Override
public MulticurveSensitivity visitDepositIbor(final DepositIbor deposit, final ParameterProviderInterface multicurves) {
return METHOD_DEPOSIT_IBOR.parSpreadCurveSensitivity(deposit, multicurves.getMulticurveProvider());
}
// ----- Payment/Coupon ------
@Override
public MulticurveSensitivity visitForwardRateAgreement(final ForwardRateAgreement fra, final ParameterProviderInterface multicurves) {
return METHOD_FRA.parSpreadCurveSensitivity(fra, multicurves.getMulticurveProvider());
}
// ----- Swaps -----
/**
* For swaps, the par spread is the spread to be added to the first leg to have a present value of zero.
* @param swap The swap
* @param multicurves The multi-curve provider
* @return The spread.
*/
@Override
public MulticurveSensitivity visitSwap(final Swap<?, ?> swap, final ParameterProviderInterface multicurves) {
ArgumentChecker.notNull(multicurves, "multicurve");
ArgumentChecker.notNull(swap, "Swap");
// if the swap is an On compounded (ie Brazilian like), the parspread formula is not the same.
if (swap.getSecondLeg().getNthPayment(0) instanceof CouponONCompounded && swap.getFirstLeg().getNthPayment(0) instanceof CouponFixedAccruedCompounding &&
swap.getFirstLeg().getNumberOfPayments() == 1) {
// Implementation note: check if the swap is a Brazilian swap.
final MulticurveSensitivity pvcsFirstLeg = swap.getFirstLeg().accept(PVCSDC, multicurves.getMulticurveProvider()).getSensitivity(swap.getFirstLeg().getCurrency());
final MulticurveSensitivity pvcsSecondLeg = swap.getSecondLeg().accept(PVCSDC, multicurves.getMulticurveProvider()).getSensitivity(swap.getSecondLeg().getCurrency());
final CouponFixedAccruedCompounding cpnFixed = (CouponFixedAccruedCompounding) swap.getFirstLeg().getNthPayment(0);
final double pvONCompoundedLeg = swap.getSecondLeg().accept(PVDC, multicurves).getAmount(swap.getSecondLeg().getCurrency());
final double discountFactor = multicurves.getMulticurveProvider().getDiscountFactor(swap.getFirstLeg().getCurrency(), cpnFixed.getPaymentTime());
final double paymentYearFraction = cpnFixed.getPaymentYearFraction();
final double notional = ((CouponONCompounded) swap.getSecondLeg().getNthPayment(0)).getNotional();
final double intermediateVariable = (1 / paymentYearFraction) * Math.pow(pvONCompoundedLeg / discountFactor / notional, 1 / paymentYearFraction - 1) / (discountFactor * notional);
final MulticurveSensitivity modifiedpvcsFirstLeg = pvcsFirstLeg.multipliedBy(pvONCompoundedLeg * intermediateVariable / discountFactor);
final MulticurveSensitivity modifiedpvcsSecondLeg = pvcsSecondLeg.multipliedBy(-intermediateVariable);
return modifiedpvcsFirstLeg.plus(modifiedpvcsSecondLeg);
}
final Currency ccy1 = swap.getFirstLeg().getCurrency();
final MultipleCurrencyMulticurveSensitivity pvcs = swap.accept(PVCSDC, multicurves.getMulticurveProvider());
final MulticurveSensitivity pvcs1 = pvcs.converted(ccy1, multicurves.getMulticurveProvider().getFxRates()).getSensitivity(ccy1);
final MulticurveSensitivity pvmqscs = swap.getFirstLeg().accept(PVMQSCSMC, multicurves.getMulticurveProvider());
final double pvmqs = swap.getFirstLeg().accept(PVMQSMC, multicurves.getMulticurveProvider());
final double pv = multicurves.getMulticurveProvider().getFxRates().convert(swap.accept(PVDC, multicurves), ccy1).getAmount();
// Implementation note: Total pv in currency 1.
return pvcs1.multipliedBy(-1.0 / pvmqs).plus(pvmqscs.multipliedBy(pv / (pvmqs * pvmqs)));
}
@Override
public MulticurveSensitivity visitFixedCouponSwap(final SwapFixedCoupon<?> swap, final ParameterProviderInterface multicurve) {
return visitSwap(swap, multicurve);
}
/**
* For swaps, the par spread is the spread to be added to the first leg to have a present value of zero.
* @param swap The swap
* @param multicurves The multi-curve provider
* @return The spread.
*/
@Override
public MulticurveSensitivity visitSwapMultileg(final SwapMultileg swap, final ParameterProviderInterface multicurves) {
ArgumentChecker.notNull(multicurves, "multicurve");
ArgumentChecker.notNull(swap, "Swap");
final Currency ccy1 = swap.getLegs()[0].getCurrency();
final MultipleCurrencyMulticurveSensitivity pvcs = swap.accept(PVCSDC, multicurves);
final MulticurveSensitivity pvcs1 = pvcs.converted(ccy1, multicurves.getMulticurveProvider().getFxRates()).getSensitivity(ccy1);
final MulticurveSensitivity pvmqscs = swap.getLegs()[0].accept(PVMQSCSMC, multicurves.getMulticurveProvider());
final double pvmqs = swap.getLegs()[0].accept(PVMQSMC, multicurves.getMulticurveProvider());
final double pv = multicurves.getMulticurveProvider().getFxRates().convert(swap.accept(PVDC, multicurves.getMulticurveProvider()), ccy1).getAmount();
// Implementation note: Total pv in currency 1.
return pvcs1.multipliedBy(-1.0 / pvmqs).plus(pvmqscs.multipliedBy(pv / (pvmqs * pvmqs)));
}
// ----- Futures -----
@Override
public MulticurveSensitivity visitInterestRateFutureTransaction(final InterestRateFutureTransaction futures, final ParameterProviderInterface multicurves) {
return METHOD_STIR_FUT.priceCurveSensitivity(futures.getUnderlyingSecurity(), multicurves);
}
@Override
public MulticurveSensitivity visitFederalFundsFutureTransaction(final FederalFundsFutureTransaction future, final ParameterProviderInterface multicurves) {
return METHOD_FED_FUNDS.priceCurveSensitivity(future.getUnderlyingSecurity(), multicurves);
}
@Override
public MulticurveSensitivity visitSwapFuturesPriceDeliverableTransaction(final SwapFuturesPriceDeliverableTransaction futures, final ParameterProviderInterface multicurves) {
return METHOD_FUT.priceCurveSensitivity(futures.getUnderlyingSecurity(), multicurves);
}
// ----- Forex -----
@Override
public MulticurveSensitivity visitForexSwap(final ForexSwap fx, final ParameterProviderInterface multicurves) {
return METHOD_FOREX_SWAP.parSpreadCurveSensitivity(fx, multicurves.getMulticurveProvider());
}
@Override
public MulticurveSensitivity visitForex(final Forex fx, final ParameterProviderInterface multicurves) {
return METHOD_FOREX.parSpreadCurveSensitivity(fx, multicurves.getMulticurveProvider());
}
}