/** * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.interestrate.future.calculator; import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter; import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginSecurity; import com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureSecurityDiscountingMethod; import com.opengamma.analytics.financial.interestrate.sensitivity.PresentValueBlackSTIRFuturesCubeSensitivity; import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData; import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackPriceFunction; import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption; import com.opengamma.analytics.financial.provider.description.interestrate.BlackSTIRFuturesProviderInterface; import com.opengamma.analytics.util.amount.CubeValue; import com.opengamma.util.ArgumentChecker; import com.opengamma.util.tuple.Triple; /** * Computes the price for different types of futures. Calculator using a multi-curve and issuer provider. */ public final class FuturesPriceBlackSensitivityBlackSTIRFuturesCalculator extends InstrumentDerivativeVisitorAdapter<BlackSTIRFuturesProviderInterface, PresentValueBlackSTIRFuturesCubeSensitivity> { /** * The unique instance of the calculator. */ private static final FuturesPriceBlackSensitivityBlackSTIRFuturesCalculator INSTANCE = new FuturesPriceBlackSensitivityBlackSTIRFuturesCalculator(); /** * Gets the calculator instance. * @return The calculator. */ public static FuturesPriceBlackSensitivityBlackSTIRFuturesCalculator getInstance() { return INSTANCE; } /** * Constructor. */ private FuturesPriceBlackSensitivityBlackSTIRFuturesCalculator() { } /** The Black function used in the pricing. */ private static final BlackPriceFunction BLACK_FUNCTION = new BlackPriceFunction(); /** The method used to compute the future price. It is a method without convexity adjustment. */ private static final InterestRateFutureSecurityDiscountingMethod METHOD_FUTURE = InterestRateFutureSecurityDiscountingMethod.getInstance(); // ----- Futures options ----- @Override public PresentValueBlackSTIRFuturesCubeSensitivity visitInterestRateFutureOptionMarginSecurity(final InterestRateFutureOptionMarginSecurity security, final BlackSTIRFuturesProviderInterface black) { ArgumentChecker.notNull(security, "Option security"); ArgumentChecker.notNull(black, "Black data"); // Forward sweep final double priceFuture = METHOD_FUTURE.price(security.getUnderlyingFuture(), black.getMulticurveProvider()); final double strike = security.getStrike(); final double rateStrike = 1.0 - strike; final EuropeanVanillaOption option = new EuropeanVanillaOption(rateStrike, security.getExpirationTime(), !security.isCall()); final double forward = 1 - priceFuture; final double delay = security.getUnderlyingFuture().getTradingLastTime() - security.getExpirationTime(); final double volatility = black.getVolatility(security.getExpirationTime(), delay, security.getStrike(), priceFuture); final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility); final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack); // Backward sweep final double priceBar = 1.0; final double volatilityBar = priceAdjoint[2] * priceBar; final Triple<Double, Double, Double> expiryDelayStrike = Triple.of(security.getExpirationTime(), delay, strike); final CubeValue sensi = CubeValue.from(expiryDelayStrike, volatilityBar); return new PresentValueBlackSTIRFuturesCubeSensitivity(sensi, security.getUnderlyingFuture().getIborIndex()); } }