/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.calculator.inflation;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import com.opengamma.analytics.financial.forex.derivative.ForexSwap;
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.inflation.derivative.CouponInflation;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixedCompounding;
import com.opengamma.analytics.financial.interestrate.swap.derivative.Swap;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueCurveSensitivityDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueMarketQuoteSensitivityCurveSensitivityDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueMarketQuoteSensitivityDiscountingCalculator;
import com.opengamma.analytics.financial.provider.description.inflation.ParameterInflationProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity;
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;
import com.opengamma.util.tuple.DoublesPair;
/**
* 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 ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator
extends InstrumentDerivativeVisitorAdapter<ParameterInflationProviderInterface, InflationSensitivity> {
/**
* The unique instance of the calculator.
*/
private static final ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator INSTANCE = new ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator getInstance() {
return INSTANCE;
}
/**
* The methods and calculators (specific for inflation).
*/
private static final PresentValueDiscountingInflationCalculator PVIC = PresentValueDiscountingInflationCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingInflationCalculator PVISC = PresentValueCurveSensitivityDiscountingInflationCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingCalculator PVSC = PresentValueCurveSensitivityDiscountingCalculator.getInstance();
/**
* The methods and calculators.
*/
private static final PresentValueDiscountingCalculator PVMC = PresentValueDiscountingCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingCalculator PVCSMC = 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 ForexSwapDiscountingMethod METHOD_FOREX_SWAP = ForexSwapDiscountingMethod.getInstance();
//----- Swaps -----
/**
* For swaps the ParSpread is the spread to be added on each coupon of the first leg to obtain a present value of zero.
* It is computed as the opposite of the present value of the swap in currency of the first leg divided by the present value of a basis point
* of the first leg (as computed by the PresentValueBasisPointCalculator).
* @param swap The swap.
* @param inflation The inflation curves and multi-curves provider.
* @return The par spread sensitivity.
*/
@Override
public InflationSensitivity visitSwap(final Swap<?, ?> swap, final ParameterInflationProviderInterface inflation) {
ArgumentChecker.notNull(inflation, "Market");
ArgumentChecker.notNull(swap, "Swap");
if (swap.getFirstLeg().getNumberOfPayments() == 1 && swap.getFirstLeg().getNthPayment(0) instanceof CouponFixedCompounding) {
// Implementation note: check if the swap is an inflation swap.
final CouponFixedCompounding cpn = (CouponFixedCompounding) swap.getFirstLeg().getNthPayment(0);
final double pvInflationLeg = swap.getSecondLeg().accept(PVIC, inflation).getAmount(swap.getSecondLeg().getCurrency());
final double discountFactor = inflation.getInflationProvider().getDiscountFactor(swap.getFirstLeg().getCurrency(), cpn.getPaymentTime());
final double tenor = cpn.getPaymentAccrualFactors().length;
final double notional = ((CouponInflation) swap.getSecondLeg().getNthPayment(0)).getNotional();
final double intermediateVariable = (1 / tenor) * Math.pow(pvInflationLeg / discountFactor / notional + 1, 1 / tenor - 1);
final InflationSensitivity pvcis = swap.getSecondLeg().accept(PVISC, inflation).getSensitivity(swap.getSecondLeg().getCurrency()).multipliedBy(1 / discountFactor / notional);
final InflationSensitivity modifiedpvcis = pvcis.multipliedBy(intermediateVariable);
return InflationSensitivity.ofPriceIndex(modifiedpvcis.getPriceCurveSensitivities());
}
final Currency ccy1 = swap.getFirstLeg().getCurrency();
final MultipleCurrencyMulticurveSensitivity pvcs = swap.accept(PVCSMC, inflation.getMulticurveProvider());
final MulticurveSensitivity pvcs1 = pvcs.converted(ccy1, inflation.getInflationProvider().getFxRates()).getSensitivity(ccy1);
final MulticurveSensitivity pvmqscs = swap.getFirstLeg().accept(PVMQSCSMC, inflation.getMulticurveProvider());
final double pvmqs = swap.getFirstLeg().accept(PVMQSMC, inflation.getMulticurveProvider());
final double pv = inflation.getInflationProvider().getFxRates().convert(swap.accept(PVMC, inflation.getMulticurveProvider()), ccy1).getAmount();
// Implementation note: Total pv in currency 1.
final Map<String, List<DoublesPair>> sensitivityPriceCurve = new HashMap<>();
return InflationSensitivity.of(pvcs1.multipliedBy(-1.0 / pvmqs).plus(pvmqscs.multipliedBy(pv / (pvmqs * pvmqs))), sensitivityPriceCurve);
}
@Override
public InflationSensitivity visitFixedCouponSwap(final SwapFixedCoupon<?> swap, final ParameterInflationProviderInterface inflation) {
return visitSwap(swap, inflation);
}
// ----- Deposit -----
@Override
public InflationSensitivity visitCash(final Cash deposit, final ParameterInflationProviderInterface inflation) {
final Map<String, List<DoublesPair>> sensitivityPriceCurve = new HashMap<>();
return InflationSensitivity.of(METHOD_DEPOSIT.parSpreadCurveSensitivity(deposit, inflation.getMulticurveProvider()), sensitivityPriceCurve);
}
@Override
public InflationSensitivity visitDepositIbor(final DepositIbor deposit, final ParameterInflationProviderInterface inflation) {
final Map<String, List<DoublesPair>> sensitivityPriceCurve = new HashMap<>();
return InflationSensitivity.of(METHOD_DEPOSIT_IBOR.parSpreadCurveSensitivity(deposit, inflation.getMulticurveProvider()), sensitivityPriceCurve);
}
// ----- Payment/Coupon ------
@Override
public InflationSensitivity visitForwardRateAgreement(final ForwardRateAgreement fra, final ParameterInflationProviderInterface inflation) {
final Map<String, List<DoublesPair>> sensitivityPriceCurve = new HashMap<>();
return InflationSensitivity.of(METHOD_FRA.parSpreadCurveSensitivity(fra, inflation.getMulticurveProvider()), sensitivityPriceCurve);
}
// ----- Forex -----
/**
* The par spread is the spread that should be added to the forex forward points to have a zero value.
* @param fx The forex swap.
* @param inflation The inflation provider.
* @return The spread.
*/
@Override
public InflationSensitivity visitForexSwap(final ForexSwap fx, final ParameterInflationProviderInterface inflation) {
final Map<String, List<DoublesPair>> sensitivityPriceCurve = new HashMap<>();
return InflationSensitivity.of(METHOD_FOREX_SWAP.parSpreadCurveSensitivity(fx, inflation.getMulticurveProvider()), sensitivityPriceCurve);
}
}