/**
* 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.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIbor;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborCompounding;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborCompoundingFlatSpread;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborSpread;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONArithmeticAverageSpread;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONArithmeticAverageSpreadSimplified;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONSpread;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed;
import com.opengamma.analytics.financial.interestrate.payments.provider.CouponIborCompoundingFlatSpreadDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.swap.derivative.Swap;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.util.ArgumentChecker;
/**
* Computes the present value change when the market quote changes by 1 (it is not rescaled to 1 basis point).
* The meaning of "market quote" will change for each instrument.
* For PaymentFixed, it is 0 (there is no rate).
* For coupons, it is the discounted notional times the accrual factor.
* For annuities, it is the sum of sensitivities of all payments.
* For swaps it is the pvbp of the first leg.
*/
public final class PresentValueMarketQuoteSensitivityDiscountingCalculator extends InstrumentDerivativeVisitorAdapter<MulticurveProviderInterface, Double> {
/**
* The unique instance of the calculator.
*/
private static final PresentValueMarketQuoteSensitivityDiscountingCalculator INSTANCE = new PresentValueMarketQuoteSensitivityDiscountingCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static PresentValueMarketQuoteSensitivityDiscountingCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private PresentValueMarketQuoteSensitivityDiscountingCalculator() {
}
private static final CouponIborCompoundingFlatSpreadDiscountingMethod METHOD_IBOR_CMP_FLAT = CouponIborCompoundingFlatSpreadDiscountingMethod.getInstance();
// ----- Payment/Coupon ------
@Override
public Double visitFixedPayment(final PaymentFixed payment, final MulticurveProviderInterface multicurve) {
return 0.0;
}
public Double visitCoupon(final Coupon coupon, final MulticurveProviderInterface multicurve) {
ArgumentChecker.notNull(multicurve, "multicurve");
ArgumentChecker.notNull(coupon, "Coupon");
return multicurve.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime()) * coupon.getPaymentYearFraction() * coupon.getNotional();
}
@Override
public Double visitCouponFixed(final CouponFixed coupon, final MulticurveProviderInterface multicurve) {
return visitCoupon(coupon, multicurve);
}
@Override
public Double visitCouponONSpread(final CouponONSpread coupon, final MulticurveProviderInterface multicurve) {
return visitCoupon(coupon, multicurve);
}
@Override
public Double visitCouponONArithmeticAverageSpreadSimplified(final CouponONArithmeticAverageSpreadSimplified coupon, final MulticurveProviderInterface multicurve) {
return visitCoupon(coupon, multicurve);
}
@Override
public Double visitCouponONArithmeticAverageSpread(final CouponONArithmeticAverageSpread coupon, final MulticurveProviderInterface multicurve) {
return visitCoupon(coupon, multicurve);
}
@Override
public Double visitCouponIbor(final CouponIbor coupon, final MulticurveProviderInterface multicurve) {
return visitCoupon(coupon, multicurve);
}
@Override
public Double visitCouponIborSpread(final CouponIborSpread coupon, final MulticurveProviderInterface multicurve) {
return visitCoupon(coupon, multicurve);
}
@Override
public Double visitCouponIborCompounding(final CouponIborCompounding coupon, final MulticurveProviderInterface multicurve) {
return visitCoupon(coupon, multicurve);
}
@Override
public Double visitCouponIborCompoundingFlatSpread(final CouponIborCompoundingFlatSpread coupon, final MulticurveProviderInterface multicurve) {
return METHOD_IBOR_CMP_FLAT.presentValueSpreadSensitivity(coupon, multicurve);
}
// ----- Annuity ------
@Override
public Double visitGenericAnnuity(final Annuity<? extends Payment> annuity, final MulticurveProviderInterface multicurve) {
ArgumentChecker.notNull(multicurve, "Market");
ArgumentChecker.notNull(annuity, "Annuity");
double pvbp = 0;
for (final Payment p : annuity.getPayments()) {
pvbp += p.accept(this, multicurve);
}
return pvbp;
}
@Override
public Double visitFixedCouponAnnuity(final AnnuityCouponFixed annuity, final MulticurveProviderInterface multicurve) {
return visitGenericAnnuity(annuity, multicurve);
}
// ----- Swap ------
@Override
public Double visitSwap(final Swap<?, ?> swap, final MulticurveProviderInterface multicurve) {
ArgumentChecker.notNull(multicurve, "Market");
ArgumentChecker.notNull(swap, "Swap");
return swap.getFirstLeg().accept(this, multicurve);
}
@Override
public Double visitFixedCouponSwap(final SwapFixedCoupon<?> swap, final MulticurveProviderInterface multicurve) {
return visitSwap(swap, multicurve);
}
}