/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.sensitivity.blackstirfutures;
import java.util.ArrayList;
import java.util.List;
import java.util.Set;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.provider.description.interestrate.BlackSTIRFuturesExpLogMoneynessProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.BlackSTIRFuturesProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.tuple.Pairs;
/**
* For an instrument, computes the sensitivity of a value (often the present value or a par spread) to the parameters used in the curve.
* The computation is done by shifting each node point in each curve; the curves must be interpolated yield curves for discounting and forward curves.
* The return format is ParameterSensitivity object.
* This is a very inefficient way to compute the sensitivities. It should be used only for tests purposes or when speed is irrelevant.
*/
public class ParameterSensitivityBlackSTIRFuturesExpLogMoneynessDiscountInterpolatedFDCalculator {
/**
* The value calculator.
*/
private final InstrumentDerivativeVisitor<BlackSTIRFuturesProviderInterface, MultipleCurrencyAmount> _valueCalculator;
/**
* The shift used for finite difference.
*/
private final double _shift;
/**
* Constructor
* @param valueCalculator The value calculator.
* @param shift The shift used for finite difference.
*/
public ParameterSensitivityBlackSTIRFuturesExpLogMoneynessDiscountInterpolatedFDCalculator(
final InstrumentDerivativeVisitor<BlackSTIRFuturesProviderInterface, MultipleCurrencyAmount> valueCalculator, final double shift) {
ArgumentChecker.notNull(valueCalculator, "Calculator");
_valueCalculator = valueCalculator;
_shift = shift;
}
/**
* Compute the sensitivity by finite difference on all points. The curves must be interpolated yield curves.
* Only the discounting and forward curves sensitivity is computed.
* @param instrument The instrument.
* @param black The market (all discounting and forward curves should be of the type YieldCurve with InterpolatedDoublesCurve.
* @return The parameter sensitivity.
*/
public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final BlackSTIRFuturesExpLogMoneynessProviderDiscount black) {
MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
final MultipleCurrencyAmount pvInit = instrument.accept(_valueCalculator, black);
final int nbCcy = pvInit.size();
final List<Currency> ccyList = new ArrayList<>();
for (int loopccy = 0; loopccy < nbCcy; loopccy++) {
ccyList.add(pvInit.getCurrencyAmounts()[loopccy].getCurrency());
}
// Discounting
final Set<Currency> ccyDiscounting = black.getMulticurveProvider().getCurrencies();
for (final Currency ccy : ccyDiscounting) {
final YieldAndDiscountCurve curve = black.getMulticurveProvider().getCurve(ccy);
ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
final YieldCurve curveYield = (YieldCurve) curve;
ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
final double[][] sensitivity = new double[nbCcy][nbNodePoint];
for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
yieldBumpedPlus[loopnode] += _shift;
final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus,
curveInt.getInterpolator(), true));
final BlackSTIRFuturesExpLogMoneynessProviderDiscount marketDscBumpedPlus = new BlackSTIRFuturesExpLogMoneynessProviderDiscount(
black.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedPlus), black.getBlackParameters(), black.getFuturesIndex());
final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketDscBumpedPlus);
final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
yieldBumpedMinus[loopnode] -= _shift;
final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
final BlackSTIRFuturesExpLogMoneynessProviderDiscount marketDscBumpedMinus = new BlackSTIRFuturesExpLogMoneynessProviderDiscount(
black.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedMinus), black.getBlackParameters(), black.getFuturesIndex());
final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketDscBumpedMinus);
final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
}
}
final String name = black.getMulticurveProvider().getName(ccy);
for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
result = result.plus(Pairs.of(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
}
}
// Forward ON
final Set<IndexON> indexON = black.getMulticurveProvider().getIndexesON();
for (final IndexON index : indexON) {
final YieldAndDiscountCurve curve = black.getMulticurveProvider().getCurve(index);
ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
final YieldCurve curveYield = (YieldCurve) curve;
ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
final double[][] sensitivity = new double[nbCcy][nbNodePoint];
for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
yieldBumpedPlus[loopnode] += _shift;
final YieldAndDiscountCurve fwdBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(),
yieldBumpedPlus, curveInt.getInterpolator(), true));
final BlackSTIRFuturesExpLogMoneynessProviderDiscount marketFwdBumpedPlus = new BlackSTIRFuturesExpLogMoneynessProviderDiscount(
black.getMulticurveProvider().withForward(index, fwdBumpedPlus), black.getBlackParameters(), black.getFuturesIndex());
final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
yieldBumpedMinus[loopnode] -= _shift;
final YieldAndDiscountCurve fwdBumpedMinus = new YieldCurve(curveInt.getName(),
new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
final BlackSTIRFuturesExpLogMoneynessProviderDiscount marketFwdBumpedMinus = new BlackSTIRFuturesExpLogMoneynessProviderDiscount(
black.getMulticurveProvider().withForward(index, fwdBumpedMinus), black.getBlackParameters(), black.getFuturesIndex());
final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
}
}
final String name = black.getMulticurveProvider().getName(index);
for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
result = result.plus(Pairs.of(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
}
}
// Forward Ibor
final Set<IborIndex> indexForward = black.getMulticurveProvider().getIndexesIbor();
for (final IborIndex index : indexForward) {
final YieldAndDiscountCurve curve = black.getMulticurveProvider().getCurve(index);
ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
final YieldCurve curveYield = (YieldCurve) curve;
ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
final double[][] sensitivity = new double[nbCcy][nbNodePoint];
for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
yieldBumpedPlus[loopnode] += _shift;
final YieldAndDiscountCurve fwdBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus,
curveInt.getInterpolator(), true));
final BlackSTIRFuturesExpLogMoneynessProviderDiscount marketFwdBumpedPlus = new BlackSTIRFuturesExpLogMoneynessProviderDiscount(
black.getMulticurveProvider().withForward(index, fwdBumpedPlus), black.getBlackParameters(), black.getFuturesIndex());
final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
yieldBumpedMinus[loopnode] -= _shift;
final YieldAndDiscountCurve fwdBumpedMinus = new YieldCurve(curveInt.getName(),
new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
final BlackSTIRFuturesExpLogMoneynessProviderDiscount marketFwdBumpedMinus = new BlackSTIRFuturesExpLogMoneynessProviderDiscount(
black.getMulticurveProvider().withForward(index, fwdBumpedMinus), black.getBlackParameters(), black.getFuturesIndex());
final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
}
}
final String name = black.getMulticurveProvider().getName(index);
for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
result = result.plus(Pairs.of(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
}
}
return result;
}
}