/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.calculator.inflation;
import com.opengamma.analytics.financial.forex.derivative.ForexSwap;
import com.opengamma.analytics.financial.forex.provider.ForexSwapDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.cash.derivative.Cash;
import com.opengamma.analytics.financial.interestrate.cash.derivative.DepositIbor;
import com.opengamma.analytics.financial.interestrate.cash.provider.CashDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.cash.provider.DepositIborDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement;
import com.opengamma.analytics.financial.interestrate.fra.provider.ForwardRateAgreementDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureTransaction;
import com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureSecurityDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflation;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixedCompounding;
import com.opengamma.analytics.financial.interestrate.swap.derivative.Swap;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueMarketQuoteSensitivityDiscountingCalculator;
import com.opengamma.analytics.financial.provider.description.inflation.ParameterInflationProviderInterface;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.util.ArgumentChecker;
/**
* Compute the spread to be added to the market standard quote of the instrument for which the present value of the instrument is zero.
* The notion of "market quote" will depend of each instrument.
*/
public final class ParSpreadInflationMarketQuoteDiscountingCalculator
extends InstrumentDerivativeVisitorAdapter<ParameterInflationProviderInterface, Double> {
/**
* The unique instance of the calculator.
*/
private static final ParSpreadInflationMarketQuoteDiscountingCalculator INSTANCE = new ParSpreadInflationMarketQuoteDiscountingCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static ParSpreadInflationMarketQuoteDiscountingCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private ParSpreadInflationMarketQuoteDiscountingCalculator() {
}
/**
* The methods and calculators.
*/
private static final PresentValueDiscountingInflationCalculator PVIC = PresentValueDiscountingInflationCalculator.getInstance();
private static final PresentValueDiscountingCalculator PVMC = PresentValueDiscountingCalculator.getInstance();
private static final PresentValueMarketQuoteSensitivityDiscountingCalculator PVMQSC = PresentValueMarketQuoteSensitivityDiscountingCalculator.getInstance();
private static final CashDiscountingMethod METHOD_DEPOSIT = CashDiscountingMethod.getInstance();
private static final DepositIborDiscountingMethod METHOD_DEPOSIT_IBOR = DepositIborDiscountingMethod.getInstance();
private static final ForwardRateAgreementDiscountingMethod METHOD_FRA = ForwardRateAgreementDiscountingMethod.getInstance();
private static final InterestRateFutureSecurityDiscountingMethod METHOD_IR_FUT = InterestRateFutureSecurityDiscountingMethod.getInstance();
private static final ForexSwapDiscountingMethod METHOD_FOREX_SWAP = ForexSwapDiscountingMethod.getInstance();
//----- Deposit -----
@Override
public Double visitCash(final Cash deposit, final ParameterInflationProviderInterface inflation) {
return METHOD_DEPOSIT.parSpread(deposit, inflation.getMulticurveProvider());
}
@Override
public Double visitDepositIbor(final DepositIbor deposit, final ParameterInflationProviderInterface inflation) {
return METHOD_DEPOSIT_IBOR.parSpread(deposit, inflation.getMulticurveProvider());
}
// ----- Payment/Coupon ------
@Override
public Double visitForwardRateAgreement(final ForwardRateAgreement fra, final ParameterInflationProviderInterface inflation) {
return METHOD_FRA.parSpread(fra, inflation.getMulticurveProvider());
}
//----- Swaps -----
/**
* For swaps the ParSpread is the spread to be added on each coupon of the first leg to obtain a present value of zero.
* It is computed as the opposite of the present value of the swap in currency of the first leg divided by the present value of a basis point
* of the first leg (as computed by the PresentValueBasisPointCalculator).
* @param swap The swap.
* @param inflation The inflation curves and multi-curves provider.
* @return The par spread.
*/
@Override
public Double visitSwap(final Swap<?, ?> swap, final ParameterInflationProviderInterface inflation) {
ArgumentChecker.notNull(inflation, "Market");
ArgumentChecker.notNull(swap, "Swap");
if (swap.getFirstLeg().getNumberOfPayments() == 1 && swap.getFirstLeg().getNthPayment(0) instanceof CouponFixedCompounding) {
final CouponFixedCompounding cpn = (CouponFixedCompounding) swap.getFirstLeg().getNthPayment(0);
final double pvInflationLeg = swap.getSecondLeg().accept(PVIC, inflation).getAmount(swap.getSecondLeg().getCurrency());
final double discountFactor = inflation.getInflationProvider().getDiscountFactor(swap.getFirstLeg().getCurrency(), cpn.getPaymentTime());
final double tenor = cpn.getPaymentAccrualFactors().length;
final double notional = ((CouponInflation) swap.getSecondLeg().getNthPayment(0)).getNotional();
return Math.pow(pvInflationLeg / discountFactor / notional + 1, 1 / tenor) - 1 - cpn.getFixedRate();
}
final MulticurveProviderInterface multicurves = inflation.getMulticurveProvider();
return -multicurves.getFxRates().convert(swap.accept(PVMC, multicurves), swap.getFirstLeg().getCurrency()).getAmount()
/ swap.getFirstLeg().accept(PVMQSC, multicurves);
}
@Override
public Double visitFixedCouponSwap(final SwapFixedCoupon<?> swap, final ParameterInflationProviderInterface inflation) {
return visitSwap(swap, inflation);
}
//----- Futures -----
@Override
public Double visitInterestRateFutureTransaction(final InterestRateFutureTransaction futures, final ParameterInflationProviderInterface inflation) {
return METHOD_IR_FUT.price(futures.getUnderlyingSecurity(), inflation.getMulticurveProvider()) - futures.getReferencePrice();
}
// ----- Forex -----
/**
* The par spread is the spread that should be added to the forex forward points to have a zero value.
* @param fx The forex swap.
* @param inflation The inflation provider.
* @return The spread.
*/
@Override
public Double visitForexSwap(final ForexSwap fx, final ParameterInflationProviderInterface inflation) {
return METHOD_FOREX_SWAP.parSpread(fx, inflation.getMulticurveProvider());
}
}