/**
* 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 java.util.ArrayList;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
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.ParRateCurveSensitivityCalculator;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed;
import com.opengamma.analytics.financial.interestrate.method.PricingMethod;
import com.opengamma.analytics.financial.interestrate.sensitivity.PresentValueSwaptionSurfaceSensitivity;
import com.opengamma.analytics.financial.interestrate.swap.method.SwapFixedCouponDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionCashFixedIbor;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle;
import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData;
import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackPriceFunction;
import com.opengamma.analytics.financial.model.volatility.BlackFormulaRepository;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.CurrencyAmount;
import com.opengamma.util.tuple.DoublesPair;
/**
* 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}
*/
@Deprecated
public final class SwaptionCashFixedIborBlackMethod implements PricingMethod {
/**
* The method unique instance.
*/
private static final SwaptionCashFixedIborBlackMethod INSTANCE = new SwaptionCashFixedIborBlackMethod();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static SwaptionCashFixedIborBlackMethod getInstance() {
return INSTANCE;
}
/**
* Private constructor.
*/
private SwaptionCashFixedIborBlackMethod() {
}
/**
* The par rate sensitivity calculator.
*/
private static final ParRateCurveSensitivityCalculator PRSC = ParRateCurveSensitivityCalculator.getInstance();
/**
* The par rate calculator.
*/
private static final ParRateCalculator PRC = ParRateCalculator.getInstance();
/**
* The swap method.
*/
private static final SwapFixedCouponDiscountingMethod METHOD_SWAP = SwapFixedCouponDiscountingMethod.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 SwaptionCashFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
ArgumentChecker.notNull(swaption, "Swaption");
ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
final double tenor = swaption.getMaturityTime();
final double forward = swaption.getUnderlyingSwap().accept(PRC, 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);
}
/**
* Computes the forward of a cash-settled European swaption in the Black model.
* @param swaption The swaption.
* @param curveBlack The curves with Black volatility data.
* @return The forward.
*/
public double forward(final SwaptionCashFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
ArgumentChecker.notNull(swaption, "Swaption");
ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
return swaption.getUnderlyingSwap().accept(PRC, curveBlack);
}
@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((SwaptionCashFixedIbor) instrument, (YieldCurveWithBlackSwaptionBundle) 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 SwaptionCashFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
ArgumentChecker.notNull(swaption, "Swaption");
ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
final double tenor = swaption.getMaturityTime();
final double forward = swaption.getUnderlyingSwap().accept(PRC, curveBlack);
// Derivative of the forward with respect to the rates.
final InterestRateCurveSensitivity forwardDr = new InterestRateCurveSensitivity(swaption.getUnderlyingSwap().accept(PRSC, curveBlack));
final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
// 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;
}
/**
* 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 SwaptionCashFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
ArgumentChecker.notNull(swaption, "Swaption");
ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
final double forward = swaption.getUnderlyingSwap().accept(PRC, 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 PresentValueSwaptionSurfaceSensitivity(sensitivity, curveBlack.getBlackParameters().getGeneratorSwap());
}
/**
* 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 SwaptionCashFixedIbor 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;
}
/**
* Computes the delta of the swaption. The delta is the first order derivative of the option present value to the spot fx rate.
* @param swaption The swaption
* @param curveBlack The curves and volatility surface
* @return The delta
*/
public CurrencyAmount delta(final SwaptionCashFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
ArgumentChecker.notNull(swaption, "Swaption");
ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
final double forward = swaption.getUnderlyingSwap().accept(PRC, curveBlack);
final double sign = swaption.isLong() ? 1.0 : -1.0;
return CurrencyAmount.of(swaption.getCurrency(), forwardDeltaTheoretical(swaption, curveBlack) * forward * sign * annuityFixed.getNthPayment(0).getAmount());
}
/**
* Computes the gamma of the swaption. The gamma is the second order derivative of the option present value to the spot fx rate.
* @param swaption The Forex option.
* @param curves The yield curve bundle.
* @return The gamma.
*/
public CurrencyAmount gamma(final SwaptionCashFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curves) {
ArgumentChecker.notNull(curves, "Curves");
final double gamma = forwardGammaTheoretical(swaption, curves);
final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
final double forward = swaption.getUnderlyingSwap().accept(PRC, curves);
final double sign = swaption.isLong() ? 1.0 : -1.0;
return CurrencyAmount.of(swaption.getCurrency(), gamma * forward * forward * sign * annuityFixed.getNthPayment(0).getAmount());
}
/**
* Computes the theta of the swaption. The delta is the first order derivative of the option present value to the spot fx rate.
* @param swaption The swaption
* @param curveBlack The curves and volatility surface
* @return The delta
*/
public CurrencyAmount theta(final SwaptionCashFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
ArgumentChecker.notNull(swaption, "Swaption");
ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
final double sign = swaption.isLong() ? 1.0 : -1.0;
return CurrencyAmount.of(swaption.getCurrency(), forwardThetaTheoretical(swaption, curveBlack) * sign * annuityFixed.getNthPayment(0).getAmount());
}
/**
* Compute first derivative of present value with respect to forward rate
* @param swaption The swaption.
* @param curveBlack The curves with Black volatility data.
* @return The forward delta
*/
public double forwardDeltaTheoretical(final SwaptionCashFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
ArgumentChecker.notNull(swaption, "Swaption");
ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
final double tenor = swaption.getMaturityTime();
final double forward = swaption.getUnderlyingSwap().accept(PRC, 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 double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
final double discountFactorSettle = curveBlack.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
final double strike = swaption.getStrike();
final double expiry = swaption.getTimeToExpiry();
final boolean isCall = swaption.isCall();
final double df = discountFactorSettle * pvbp;
return df * BlackFormulaRepository.delta(forward, strike, expiry, volatility, isCall) * (swaption.isLong() ? 1.0 : -1.0);
}
/**
* Compute second derivative of present value with respect to forward rate
* @param swaption The swaption.
* @param curveBlack The curves with Black volatility data.
* @return The forward gamma
*/
public double forwardGammaTheoretical(final SwaptionCashFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
ArgumentChecker.notNull(swaption, "Swaption");
ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
final double tenor = swaption.getMaturityTime();
final double forward = swaption.getUnderlyingSwap().accept(PRC, 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 double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
final double discountFactorSettle = curveBlack.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
final double strike = swaption.getStrike();
final double expiry = swaption.getTimeToExpiry();
final double df = discountFactorSettle * pvbp;
return df * BlackFormulaRepository.gamma(forward, strike, expiry, volatility) * (swaption.isLong() ? 1.0 : -1.0);
}
/**
* Compute minus of first derivative of present value with respect to time, setting drift term to be 0
* @param swaption The swaption.
* @param curveBlack The curves with Black volatility data.
* @return The driftless theta
*/
public double driftlessThetaTheoretical(final SwaptionCashFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
ArgumentChecker.notNull(swaption, "Swaption");
ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
final double tenor = swaption.getMaturityTime();
final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
final double forward = swaption.getUnderlyingSwap().accept(PRC, 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 double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
final double discountFactorSettle = curveBlack.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
final double strike = swaption.getStrike();
final double expiry = swaption.getTimeToExpiry();
final double df = discountFactorSettle * pvbp;
return df * BlackFormulaRepository.driftlessTheta(forward, strike, expiry, volatility) * (swaption.isLong() ? 1.0 : -1.0);
}
/**
* Compute minus of first derivative of present value with respect to time
* @param swaption The swaption.
* @param curveBlack The curves with Black volatility data.
* @return The forward theta
*/
public double forwardThetaTheoretical(final SwaptionCashFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
ArgumentChecker.notNull(swaption, "Swaption");
ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
final double tenor = swaption.getMaturityTime();
final double forward = swaption.getUnderlyingSwap().accept(PRC, 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 double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
final double discountFactorSettle = curveBlack.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
final double strike = swaption.getStrike();
final double expiry = swaption.getTimeToExpiry();
final boolean isCall = swaption.isCall();
final double df = discountFactorSettle * pvbp;
return forward * df * BlackFormulaRepository.delta(forward, strike, expiry, volatility, isCall) * (swaption.isLong() ? 1.0 : -1.0) + df *
BlackFormulaRepository.driftlessTheta(forward, strike, expiry, volatility) * (swaption.isLong() ? 1.0 : -1.0);
}
/**
* Compute first derivative of present value with respect to volatility
* @param swaption The swaption.
* @param curveBlack The curves with Black volatility data.
* @return The forward vega
*/
public double forwardVegaTheoretical(final SwaptionCashFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
ArgumentChecker.notNull(swaption, "Swaption");
ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
final double tenor = swaption.getMaturityTime();
final double forward = swaption.getUnderlyingSwap().accept(PRC, 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 double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
final double discountFactorSettle = curveBlack.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
final double strike = swaption.getStrike();
final double expiry = swaption.getTimeToExpiry();
final double df = discountFactorSettle * pvbp;
return df * BlackFormulaRepository.vega(forward, strike, expiry, volatility) * (swaption.isLong() ? 1.0 : -1.0);
}
}