/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.commodity.multicurvecommodity.calculator;
import com.opengamma.analytics.financial.commodity.multicurvecommodity.derivative.AgricultureFutureTransaction;
import com.opengamma.analytics.financial.commodity.multicurvecommodity.derivative.EnergyFutureTransaction;
import com.opengamma.analytics.financial.commodity.multicurvecommodity.derivative.ForwardCommodityCashSettle;
import com.opengamma.analytics.financial.commodity.multicurvecommodity.derivative.ForwardCommodityPhysicalSettle;
import com.opengamma.analytics.financial.commodity.multicurvecommodity.derivative.MetalFutureTransaction;
import com.opengamma.analytics.financial.commodity.multicurvecommodity.provider.CommodityFutureSecurityForwardMethod;
import com.opengamma.analytics.financial.commodity.multicurvecommodity.provider.ForwardCommodityCashSettleSecurityForwardMethod;
import com.opengamma.analytics.financial.commodity.multicurvecommodity.provider.ForwardCommodityPhysicalSettleSecurityForwardMethod;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
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.commodity.CommodityProviderInterface;
import com.opengamma.util.ArgumentChecker;
/**
* Compute the spread to be added to the market standard quote of the instrument for which the present value of the instrument is zero.
* The notion of "market quote" will depend of each instrument.
*/
public final class ParSpreadCommodityMarketQuoteDiscountingCalculator extends InstrumentDerivativeVisitorAdapter<CommodityProviderInterface, Double> {
/**
* The unique instance of the calculator.
*/
private static final ParSpreadCommodityMarketQuoteDiscountingCalculator INSTANCE = new ParSpreadCommodityMarketQuoteDiscountingCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static ParSpreadCommodityMarketQuoteDiscountingCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private ParSpreadCommodityMarketQuoteDiscountingCalculator() {
}
private static final PresentValueCommodityDiscountingCalculator PVDC = PresentValueCommodityDiscountingCalculator.getInstance();
private static final PresentValueCommodityMarketQuoteSensitivityDiscountingCalculator PVMQSC = PresentValueCommodityMarketQuoteSensitivityDiscountingCalculator.getInstance();
private static final CommodityFutureSecurityForwardMethod METHOD_COMMODITY_FUTURE = CommodityFutureSecurityForwardMethod.getInstance();
private static final ForwardCommodityCashSettleSecurityForwardMethod METHOD_FWD_COMMODITY_CASH_COUPON = ForwardCommodityCashSettleSecurityForwardMethod.getInstance();
private static final ForwardCommodityPhysicalSettleSecurityForwardMethod METHOD_FWD_COMMODITY_PHYSICAL_COUPON = ForwardCommodityPhysicalSettleSecurityForwardMethod.getInstance();
//----- Payment/Coupon ------
@Override
public Double visitForwardCommodityCashSettle(final ForwardCommodityCashSettle forward, final CommodityProviderInterface multicurve) {
return METHOD_FWD_COMMODITY_CASH_COUPON.parSpread(forward, multicurve);
}
@Override
public Double visitForwardCommodityPhysicalSettle(final ForwardCommodityPhysicalSettle forward, final CommodityProviderInterface multicurve) {
return METHOD_FWD_COMMODITY_PHYSICAL_COUPON.parSpread(forward, multicurve);
}
// ----- Swap ------
/**
* 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 PresentValueMarketQuoteSensitivityDiscountingCalculator).
* @param swap The swap.
* @param multicurves The multi-curves provider.
* @return The par spread.
*/
@Override
public Double visitSwap(final Swap<?, ?> swap, final CommodityProviderInterface multicurves) {
ArgumentChecker.notNull(multicurves, "Market");
ArgumentChecker.notNull(swap, "Swap");
return -multicurves.getFxRates().convert(swap.accept(PVDC, multicurves), swap.getFirstLeg().getCurrency()).getAmount() / swap.getFirstLeg().accept(PVMQSC, multicurves);
}
@Override
public Double visitFixedCouponSwap(final SwapFixedCoupon<?> swap, final CommodityProviderInterface multicurve) {
return visitSwap(swap, multicurve);
}
// ----- Futures ------
@Override
public Double visitAgricultureFutureTransaction(final AgricultureFutureTransaction future, final CommodityProviderInterface multicurves) {
return METHOD_COMMODITY_FUTURE.price(future.getUnderlying(), multicurves) - future.getReferencePrice();
}
@Override
public Double visitEnergyFutureTransaction(final EnergyFutureTransaction future, final CommodityProviderInterface multicurves) {
return METHOD_COMMODITY_FUTURE.price(future.getUnderlying(), multicurves) - future.getReferencePrice();
}
@Override
public Double visitMetalFutureTransaction(final MetalFutureTransaction future, final CommodityProviderInterface multicurves) {
return METHOD_COMMODITY_FUTURE.price(future.getUnderlying(), multicurves) - future.getReferencePrice();
}
}