/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.future.method;
import java.util.ArrayList;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import com.opengamma.analytics.financial.interestrate.CashFlowEquivalentCalculator;
import com.opengamma.analytics.financial.interestrate.CashFlowEquivalentCurveSensitivityCalculator;
import com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityPaymentFixed;
import com.opengamma.analytics.financial.interestrate.future.derivative.SwapFuturesPriceDeliverableSecurity;
import com.opengamma.analytics.financial.interestrate.future.provider.SwapFuturesPriceDeliverableSecurityHullWhiteMethod;
import com.opengamma.analytics.financial.model.interestrate.HullWhiteOneFactorPiecewiseConstantInterestRateModel;
import com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantDataBundle;
import com.opengamma.util.tuple.DoublesPair;
/**
* Method to compute the price for an deliverable swap futures with convexity adjustment from a Hull-White one factor model.
* <p> Reference: Henrard M., Deliverable Interest Rate Swap Futures: pricing in Gaussian HJM model, September 2012.
* @deprecated Use {@link SwapFuturesPriceDeliverableSecurityHullWhiteMethod}
*/
@Deprecated
public final class SwapFuturesDeliverableSecurityHullWhiteMethod {
/**
* The unique instance of the calculator.
*/
private static final SwapFuturesDeliverableSecurityHullWhiteMethod INSTANCE = new SwapFuturesDeliverableSecurityHullWhiteMethod();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static SwapFuturesDeliverableSecurityHullWhiteMethod getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private SwapFuturesDeliverableSecurityHullWhiteMethod() {
}
/**
* 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();
/**
* Computes the futures price.
* @param futures The futures.
* @param curves The curves and the Hull-White parameters.
* @return The price.
*/
public double price(final SwapFuturesPriceDeliverableSecurity futures, final HullWhiteOneFactorPiecewiseConstantDataBundle curves) {
final AnnuityPaymentFixed cfe = futures.getUnderlyingSwap().accept(CFEC, curves);
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(curves.getHullWhiteParameter(), futures.getTradingLastTime(), cfe.getNthPayment(loopcf).getPaymentTime(), futures.getDeliveryTime());
df[loopcf] = curves.getCurve(cfe.getNthPayment(loopcf).getFundingCurveName()).getDiscountFactor(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];
}
return price;
}
public InterestRateCurveSensitivity pricecurveSensitivity(final SwapFuturesPriceDeliverableSecurity futures, final HullWhiteOneFactorPiecewiseConstantDataBundle curves) {
final AnnuityPaymentFixed cfe = futures.getUnderlyingSwap().accept(CFEC, curves);
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(curves.getHullWhiteParameter(), futures.getTradingLastTime(), cfe.getNthPayment(loopcf).getPaymentTime(), futures.getDeliveryTime());
df[loopcf] = curves.getCurve(cfe.getNthPayment(loopcf).getFundingCurveName()).getDiscountFactor(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 - cfe.getNthPayment(0).getAmount() * adjustments[0]) / df[0];
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(cfe.getDiscountCurve(), listDfSensi);
InterestRateCurveSensitivity sensitivity = new InterestRateCurveSensitivity(pvsDF);
final Map<Double, InterestRateCurveSensitivity> cfeCurveSensi = futures.getUnderlyingSwap().accept(CFECSC, curves);
for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
final InterestRateCurveSensitivity 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;
}
}