/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.payments.provider;
import java.util.ArrayList;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixedCompounding;
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.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.tuple.DoublesPair;
/**
* Methods related to fixed coupons.
*/
public final class CouponFixedCompoundingDiscountingMethod {
/**
* The method unique instance.
*/
private static final CouponFixedCompoundingDiscountingMethod INSTANCE = new CouponFixedCompoundingDiscountingMethod();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static CouponFixedCompoundingDiscountingMethod getInstance() {
return INSTANCE;
}
/**
* Private constructor.
*/
private CouponFixedCompoundingDiscountingMethod() {
}
/**
* Computes the present value of a fixed compounded coupon by discounting.
* @param coupon The coupon.
* @param multicurves The multi-curve provider.
* @return The present value.
*/
public MultipleCurrencyAmount presentValue(final CouponFixedCompounding coupon, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(coupon, "Coupon");
ArgumentChecker.notNull(multicurves, "Multi-curves provider");
final double df = multicurves.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime());
final double pv = (coupon.getNotionalAccrued() - coupon.getNotional()) * df;
return MultipleCurrencyAmount.of(coupon.getCurrency(), pv);
}
public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final CouponFixedCompounding coupon, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(coupon, "Coupon");
ArgumentChecker.notNull(multicurves, "Multi-curves provider");
final double dfPayment = multicurves.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime());
// Backward sweep
final double pvBar = 1.0;
final double dfPaymentBar = (coupon.getNotionalAccrued() - coupon.getNotional()) * pvBar;
final Map<String, List<DoublesPair>> mapDsc = new HashMap<>();
final List<DoublesPair> listDiscounting = new ArrayList<>();
listDiscounting.add(DoublesPair.of(coupon.getPaymentTime(), -coupon.getPaymentTime() * dfPayment * dfPaymentBar));
mapDsc.put(multicurves.getName(coupon.getCurrency()), listDiscounting);
final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
return MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
}
}