/**
* 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 java.util.ArrayList;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityPaymentFixed;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.SwapFuturesPriceDeliverableSecurity;
import com.opengamma.analytics.financial.model.interestrate.HullWhiteOneFactorPiecewiseConstantInterestRateModel;
import com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters;
import com.opengamma.analytics.financial.provider.calculator.discounting.CashFlowEquivalentCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.CashFlowEquivalentCurveSensitivityCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.ForwardSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.SimplyCompoundedForwardSensitivity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.DoublesPair;
/**
* Computes the par rate for different instrument. The meaning of "par rate" is instrument dependent.
*/
public final class FuturesPriceCurveSensitivityHullWhiteCalculator extends InstrumentDerivativeVisitorAdapter<HullWhiteOneFactorProviderInterface, MulticurveSensitivity> {
/**
* The unique instance of the calculator.
*/
private static final FuturesPriceCurveSensitivityHullWhiteCalculator INSTANCE = new FuturesPriceCurveSensitivityHullWhiteCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static FuturesPriceCurveSensitivityHullWhiteCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private FuturesPriceCurveSensitivityHullWhiteCalculator() {
}
/**
* The Hull-White model.
*/
private static final HullWhiteOneFactorPiecewiseConstantInterestRateModel MODEL = new HullWhiteOneFactorPiecewiseConstantInterestRateModel();
/**
* The cash flow equivalent calculator used in computations.
*/
private static final CashFlowEquivalentCalculator CFEC = CashFlowEquivalentCalculator.getInstance();
/**
* The cash flow equivalent curve sensitivity calculator used in computations.
*/
private static final CashFlowEquivalentCurveSensitivityCalculator CFECSC = CashFlowEquivalentCurveSensitivityCalculator.getInstance();
// ----- Futures -----
@Override
public MulticurveSensitivity visitInterestRateFutureSecurity(final InterestRateFutureSecurity futures, final HullWhiteOneFactorProviderInterface multicurve) {
ArgumentChecker.notNull(futures, "Future");
ArgumentChecker.notNull(multicurve, "Multi-curves with Hull-White");
final double futureConvexityFactor = MODEL.futuresConvexityFactor(multicurve.getHullWhiteParameters(), futures.getTradingLastTime(), futures.getFixingPeriodStartTime(),
futures.getFixingPeriodEndTime());
// Backward sweep
final double priceBar = 1.0;
final double forwardBar = -futureConvexityFactor * priceBar;
final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
final List<ForwardSensitivity> listForward = new ArrayList<>();
listForward.add(new SimplyCompoundedForwardSensitivity(futures.getFixingPeriodStartTime(), futures.getFixingPeriodEndTime(), futures.getFixingPeriodAccrualFactor(), forwardBar));
mapFwd.put(multicurve.getMulticurveProvider().getName(futures.getIborIndex()), listForward);
return MulticurveSensitivity.ofForward(mapFwd);
}
@Override
public MulticurveSensitivity visitSwapFuturesPriceDeliverableSecurity(final SwapFuturesPriceDeliverableSecurity futures, final HullWhiteOneFactorProviderInterface multicurve) {
ArgumentChecker.notNull(futures, "Future");
ArgumentChecker.notNull(multicurve, "Multi-curves with Hull-White");
final Currency ccy = futures.getCurrency();
ArgumentChecker.isTrue(multicurve.getHullWhiteCurrency().equals(ccy), "Futures currency incompatible with data");
final HullWhiteOneFactorPiecewiseConstantParameters parameters = multicurve.getHullWhiteParameters();
final MulticurveProviderInterface multicurves = multicurve.getMulticurveProvider();
final AnnuityPaymentFixed cfe = futures.getUnderlyingSwap().accept(CFEC, multicurves);
final int nbCf = cfe.getNumberOfPayments();
final double[] adjustments = new double[nbCf];
final double[] df = new double[nbCf];
for (int loopcf = 0; loopcf < nbCf; loopcf++) {
adjustments[loopcf] = MODEL.futuresConvexityFactor(parameters, futures.getTradingLastTime(), cfe.getNthPayment(loopcf).getPaymentTime(), futures.getDeliveryTime());
df[loopcf] = multicurves.getDiscountFactor(ccy, cfe.getNthPayment(loopcf).getPaymentTime());
}
double price = 1.0;
for (int loopcf = 0; loopcf < nbCf; loopcf++) {
price += (cfe.getNthPayment(loopcf).getAmount() * df[loopcf] * adjustments[loopcf]) / df[0];
}
// Backward sweep
final double priceBar = 1.0;
final double[] dfBar = new double[nbCf];
dfBar[0] = -(price - 1.0d - cfe.getNthPayment(0).getAmount() * adjustments[0]) / df[0] * priceBar;
for (int loopcf = 1; loopcf < nbCf; loopcf++) {
dfBar[loopcf] = (cfe.getNthPayment(loopcf).getAmount() * adjustments[loopcf]) / df[0] * priceBar;
}
final double[] cfeAmountBar = new double[nbCf];
for (int loopcf = 0; loopcf < nbCf; loopcf++) {
cfeAmountBar[loopcf] = (df[loopcf] * adjustments[loopcf]) / df[0] * priceBar;
}
final List<DoublesPair> listDfSensi = new ArrayList<>();
for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
final DoublesPair dfSensi = DoublesPair.of(cfe.getNthPayment(loopcf).getPaymentTime(), -cfe.getNthPayment(loopcf).getPaymentTime() * df[loopcf] * dfBar[loopcf]);
listDfSensi.add(dfSensi);
}
final Map<String, List<DoublesPair>> pvsDF = new HashMap<>();
pvsDF.put(multicurves.getName(ccy), listDfSensi);
MulticurveSensitivity sensitivity = MulticurveSensitivity.ofYieldDiscounting(pvsDF);
final Map<Double, MulticurveSensitivity> cfeCurveSensi = futures.getUnderlyingSwap().accept(CFECSC, multicurves);
for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
final MulticurveSensitivity sensiCfe = cfeCurveSensi.get(cfe.getNthPayment(loopcf).getPaymentTime());
if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.
sensitivity = sensitivity.plus(sensiCfe.multipliedBy(cfeAmountBar[loopcf]));
}
}
return sensitivity;
}
}