/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.swaption.method;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity;
import com.opengamma.analytics.financial.interestrate.ParRateCalculator;
import com.opengamma.analytics.financial.interestrate.PresentValueCalculator;
import com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivityCalculator;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.method.PricingMethod;
import com.opengamma.analytics.financial.interestrate.sensitivity.PresentValueSwaptionSurfaceSensitivity;
import com.opengamma.analytics.financial.interestrate.swap.method.SwapFixedCompoundingONCompoundingDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionCashFixedCompoundedONCompounded;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionCashFixedIbor;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.CurrencyAmount;
/**
* Class used to compute the price and sensitivity of a cash-settled swaption with the Black model.
* @deprecated Use {@link com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionCashFixedIborBlackMethod}
*/
// TODO: Complete the code when the definition of cash settlement is clear for those swaptions.
@Deprecated
public final class SwaptionCashFixedCompoundedONCompoundedBlackMethod implements PricingMethod {
/**
* The method unique instance.
*/
private static final SwaptionCashFixedCompoundedONCompoundedBlackMethod INSTANCE = new SwaptionCashFixedCompoundedONCompoundedBlackMethod();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static SwaptionCashFixedCompoundedONCompoundedBlackMethod getInstance() {
return INSTANCE;
}
/**
* The present value curve sensitivity calculator.
*/
private static final PresentValueCurveSensitivityCalculator PV_SENSITIVITY_CALCULATOR = PresentValueCurveSensitivityCalculator.getInstance();
/**
* The present value calculator.
*/
private static final PresentValueCalculator PVC = PresentValueCalculator.getInstance();
/**
* Private constructor.
*/
private SwaptionCashFixedCompoundedONCompoundedBlackMethod() {
}
/**
* The swap method.
*/
private static final SwapFixedCompoundingONCompoundingDiscountingMethod METHOD_SWAP = SwapFixedCompoundingONCompoundingDiscountingMethod.getInstance();
/**
* The par rate calculator.
*/
private static final ParRateCalculator PRC = ParRateCalculator.getInstance();
/**
* Computes the present value of a cash-settled European swaption in the Black model.
* @param swaption The swaption.
* @param curveBlack The curves with Black volatility data.
* @return The present value.
*/
public CurrencyAmount presentValue(final SwaptionCashFixedCompoundedONCompounded swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
ArgumentChecker.isTrue(false, "Method not implemented");
// ArgumentChecker.notNull(swaption, "Swaption");
// ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
// final Annuity<? extends Payment> annuityFixed = swaption.getUnderlyingSwap().getFirstLeg();
// final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.getBlackParameters().getGeneratorSwap();
// final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
// final Calendar calendar = fixedCompoundedON.getOvernightCalendar();
// final double tenor = swaption.getMaturityTime();
// final double forward = swaption.getUnderlyingSwap().accept(PRC, curveBlack);
// // final double forward = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), fixedCompoundedON.getFixedLegDayCount(), calendar, curveBlack);
// final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
// // Implementation comment: cash-settled swaptions make sense only for constant strike, the computation of coupon equivalent is not required.
// final BlackPriceFunction blackFunction = new BlackPriceFunction();
// final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
// final double discountFactorSettle = curveBlack.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
// final BlackFunctionData dataBlack = new BlackFunctionData(forward, discountFactorSettle * pvbp, volatility);
// final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(swaption);
// final double price = func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0);
// return CurrencyAmount.of(swaption.getCurrency(), price);
return null;
}
@Override
public CurrencyAmount presentValue(final InstrumentDerivative instrument, final YieldCurveBundle curves) {
ArgumentChecker.isTrue(instrument instanceof SwaptionCashFixedIbor, "Physical delivery swaption");
ArgumentChecker.isTrue(curves instanceof YieldCurveWithBlackSwaptionBundle, "Bundle should contain Black Swaption data");
return presentValue(instrument, curves);
}
/**
* Computes the present value rate sensitivity to rates of a cash-settled European swaption in the Black model.
* @param swaption The swaption.
* @param curveBlack The curves with Black volatility data.
* @return The present value curve sensitivity.
*/
public InterestRateCurveSensitivity presentValueCurveSensitivity(final SwaptionCashFixedCompoundedONCompounded swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
ArgumentChecker.isTrue(false, "Method not implemented");
// ArgumentChecker.notNull(swaption, "Swaption");
// ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
// final Annuity<? extends Payment> annuityFixed = swaption.getUnderlyingSwap().getFirstLeg();
// final double tenor = swaption.getMaturityTime();
// final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.getBlackParameters().getGeneratorSwap();
// final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
// final Calendar calendar = fixedCompoundedON.getOvernightCalendar();
// final DayCount dayCount = fixedCompoundedON.getFixedLegDayCount();
// final double forward = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCount, calendar, curveBlack);
// final Swap<CouponFixedAccruedCompounding, CouponONCompounded> swap = swaption.getUnderlyingSwap();
// // Derivative of the forward with respect to the rates.
// final double pvSecond = swap.getSecondLeg().accept(PVC, curveBlack) * Math.signum(swap.getSecondLeg().getNthPayment(0).getNotional());
// final InterestRateCurveSensitivity pvbpDr = METHOD_SWAP.presentValueBasisPointCurveSensitivity(swap, dayCount, curveBlack);
// final InterestRateCurveSensitivity pvSecondDr = new InterestRateCurveSensitivity(swap.getSecondLeg().accept(PV_SENSITIVITY_CALCULATOR, curveBlack)).multipliedBy(Math
// .signum(swap.getSecondLeg().getNthPayment(0).getNotional()));
// final double pvbp = METHOD_SWAP.getAnnuityCash(swap, forward);
// final InterestRateCurveSensitivity forwardDr = pvSecondDr.multipliedBy(1.0 / pvbp).plus(pvbpDr.multipliedBy(-pvSecond / (pvbp * pvbp)));
// // Derivative of the cash annuity with respect to the forward.
// final double pvbpDf = METHOD_SWAP.getAnnuityCashDerivative(swaption.getUnderlyingSwap(), forward);
// // Implementation note: strictly speaking, the strike equivalent is curve dependent; that dependency is ignored.
// final BlackPriceFunction blackFunction = new BlackPriceFunction();
// final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
// final double discountFactorSettle = curveBlack.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
// final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
// final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
// final double sensiDF = -swaption.getSettlementTime() * discountFactorSettle * pvbp * bsAdjoint[0];
// final List<DoublesPair> list = new ArrayList<>();
// list.add(DoublesPair.of(swaption.getSettlementTime(), sensiDF));
// final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
// resultMap.put(annuityFixed.getNthPayment(0).getFundingCurveName(), list);
// InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
// result = result.plus(forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * bsAdjoint[0] + pvbp * bsAdjoint[1])));
// if (!swaption.isLong()) {
// result = result.multipliedBy(-1);
// }
// return result;
return null;
}
/**
* Computes the present value sensitivity to the Black volatility (also called vega) of a cash-settled European swaption in the Black swaption model.
* @param swaption The swaption.
* @param curveBlack The curves with Black volatility data.
* @return The present value Black sensitivity.
*/
public PresentValueSwaptionSurfaceSensitivity presentValueBlackSensitivity(final SwaptionCashFixedCompoundedONCompounded swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
ArgumentChecker.isTrue(false, "Method not implemented");
// ArgumentChecker.notNull(swaption, "Swaption");
// ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
// final Annuity<? extends Payment> annuityFixed = swaption.getUnderlyingSwap().getFirstLeg();
// final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.getBlackParameters().getGeneratorSwap();
// final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
// final Calendar calendar = fixedCompoundedON.getOvernightCalendar();
// final double forward = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), fixedCompoundedON.getFixedLegDayCount(), calendar, curveBlack);
// final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
// final double discountFactorSettle = curveBlack.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
// final DoublesPair point = DoublesPair.of(swaption.getTimeToExpiry(), swaption.getMaturityTime());
// final BlackPriceFunction blackFunction = new BlackPriceFunction();
// final double volatility = curveBlack.getBlackParameters().getVolatility(point);
// final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
// final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
// final Map<DoublesPair, Double> sensitivity = new HashMap<>();
// sensitivity.put(point, bsAdjoint[2] * pvbp * discountFactorSettle * (swaption.isLong() ? 1.0 : -1.0));
// return new PresentValueBlackSwaptionSensitivity(sensitivity, curveBlack.getBlackParameters().getGeneratorSwap());
return null;
}
/**
* Computes the implied Black volatility of the vanilla swaption.
* @param swaption The swaption.
* @param curves The yield curve bundle.
* @return The implied volatility.
*/
public double impliedVolatility(final SwaptionCashFixedCompoundedONCompounded swaption, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "Curves");
ArgumentChecker.isTrue(curves instanceof YieldCurveWithBlackSwaptionBundle, "Yield curve bundle should contain Black swaption data");
final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
ArgumentChecker.notNull(swaption, "Forex option");
final double tenor = swaption.getMaturityTime();
final double volatility = curvesBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
return volatility;
}
}