/**
* 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());
}
}