/**
* Copyright (C) 2012 - 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.CouponIborCompoundingSimpleSpread;
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.analytics.financial.provider.sensitivity.multicurve.SimplyCompoundedForwardSensitivity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.tuple.DoublesPair;
/**
* Method to compute present value and present value sensitivity for Ibor compounding coupon with spread and compounding type "Compounding treating spread as simple interest".
* The definition of "Compounding treating spread as simple interest" is available in the ISDA document:
* Reference (cash-flow description): Alternative compounding methods for over-the-counter derivative transactions (2009)
* Reference (oricing method): Compounded Swaps in Multi-Curve Framework, OpenGamma documentation n. 19, version 1.1, August 2012.
*/
public final class CouponIborCompoundingSimpleSpreadDiscountingMethod {
/**
* The method unique instance.
*/
private static final CouponIborCompoundingSimpleSpreadDiscountingMethod INSTANCE = new CouponIborCompoundingSimpleSpreadDiscountingMethod();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static CouponIborCompoundingSimpleSpreadDiscountingMethod getInstance() {
return INSTANCE;
}
/**
* Private constructor.
*/
private CouponIborCompoundingSimpleSpreadDiscountingMethod() {
}
/**
* Compute the present value of a Ibor compounded coupon with compounding type "Compounding treating spread as simple interest" by discounting.
* @param coupon The coupon.
* @param multicurve The multi-curve provider.
* @return The present value.
*/
public MultipleCurrencyAmount presentValue(final CouponIborCompoundingSimpleSpread coupon, final MulticurveProviderInterface multicurve) {
ArgumentChecker.notNull(coupon, "coupon");
ArgumentChecker.notNull(multicurve, "multicurve");
final int nbSubPeriod = coupon.getFixingTimes().length;
double cpa = coupon.getCompoundingPeriodAmountAccumulated();
for (int loopsub = 0; loopsub < nbSubPeriod; loopsub++) {
final double forward = multicurve.getSimplyCompoundForwardRate(coupon.getIndex(), coupon.getFixingPeriodStartTimes()[loopsub],
coupon.getFixingPeriodEndTimes()[loopsub], coupon.getFixingPeriodAccrualFactors()[loopsub]);
cpa *= 1.0d + forward * coupon.getPaymentPeriodAccrualFactors()[loopsub];
}
final double df = multicurve.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime());
final double pv = (cpa - coupon.getNotional() + coupon.getNotional() * coupon.getPaymentYearFraction() * coupon.getSpread()) * df;
return MultipleCurrencyAmount.of(coupon.getCurrency(), pv);
}
/**
* Compute the present value sensitivity to rates of a Ibor compounded coupon with compounding type "Flat Compounding" by discounting.
* @param coupon The coupon.
* @param multicurve The multi-curve provider.
* @return The present value sensitivity.
*/
public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final CouponIborCompoundingSimpleSpread coupon, final MulticurveProviderInterface multicurve) {
ArgumentChecker.notNull(coupon, "coupon");
ArgumentChecker.notNull(multicurve, "multicurve");
int nbSubPeriod = coupon.getFixingTimes().length;
double cpa = coupon.getCompoundingPeriodAmountAccumulated();
double[] investFactor = new double[nbSubPeriod];
for (int loopsub = 0; loopsub < nbSubPeriod; loopsub++) {
final double forward = multicurve.getSimplyCompoundForwardRate(coupon.getIndex(), coupon.getFixingPeriodStartTimes()[loopsub],
coupon.getFixingPeriodEndTimes()[loopsub], coupon.getFixingPeriodAccrualFactors()[loopsub]);
investFactor[loopsub] = 1.0d + forward * coupon.getPaymentPeriodAccrualFactors()[loopsub];
cpa *= investFactor[loopsub];
}
final double df = multicurve.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime());
// Backward sweep
double pvBar = 1.0;
double dfBar = (cpa - coupon.getNotional() + coupon.getNotional() * coupon.getPaymentYearFraction() * coupon.getSpread()) * pvBar;
double cpaBar = df * pvBar;
final double[] forwardBar = new double[nbSubPeriod];
for (int loopsub = nbSubPeriod - 1; loopsub >= 0; loopsub--) {
forwardBar[loopsub] = cpa / investFactor[loopsub] * coupon.getPaymentPeriodAccrualFactors()[loopsub] * cpaBar;
}
final Map<String, List<DoublesPair>> mapDsc = new HashMap<>();
final List<DoublesPair> listDiscounting = new ArrayList<>();
listDiscounting.add(DoublesPair.of(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
mapDsc.put(multicurve.getName(coupon.getCurrency()), listDiscounting);
final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
final List<ForwardSensitivity> listForward = new ArrayList<>();
for (int loopsub = 0; loopsub < nbSubPeriod; loopsub++) {
listForward.add(new SimplyCompoundedForwardSensitivity(coupon.getFixingPeriodStartTimes()[loopsub], coupon.getFixingPeriodEndTimes()[loopsub],
coupon.getFixingPeriodAccrualFactors()[loopsub],
forwardBar[loopsub]));
}
mapFwd.put(multicurve.getName(coupon.getIndex()), listForward);
return MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
}
}