/**
* 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.hullwhite;
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.legalentity.LegalEntity;
import com.opengamma.analytics.financial.legalentity.LegalEntityFilter;
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.HullWhiteIssuerProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteIssuerProviderInterface;
import com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderDiscount;
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.Pair;
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 ParameterSensitivityHullWhiteIssuerDiscountInterpolatedFDCalculator {
/**
* The value calculator.
*/
private final InstrumentDerivativeVisitor<HullWhiteIssuerProviderInterface, 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 ParameterSensitivityHullWhiteIssuerDiscountInterpolatedFDCalculator(final InstrumentDerivativeVisitor<HullWhiteIssuerProviderInterface, 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 hwIssuerCurves The provider: all discounting, forward and issuer curves should be of the type YieldCurve with InterpolatedDoublesCurve.
* @return The parameter sensitivity.
*/
public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final HullWhiteIssuerProviderDiscount hwIssuerCurves) {
MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
final MultipleCurrencyAmount pvInit = instrument.accept(_valueCalculator, hwIssuerCurves);
final MultipleCurrencyAmount pvInitMinus = pvInit.multipliedBy(-1.0);
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 risk-free
final Set<Currency> ccyDiscounting = hwIssuerCurves.getMulticurveProvider().getCurrencies();
for (final Currency ccy : ccyDiscounting) {
final YieldAndDiscountCurve curve = hwIssuerCurves.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[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
yieldBumped[loopnode] += _shift;
final YieldAndDiscountCurve dscBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
final IssuerProviderDiscount issuer = new IssuerProviderDiscount(hwIssuerCurves.getMulticurveProvider().withDiscountFactor(ccy, dscBumped),
hwIssuerCurves.getIssuerProvider().getIssuerCurves());
final HullWhiteIssuerProviderDiscount marketDscBumped = new HullWhiteIssuerProviderDiscount(issuer, hwIssuerCurves.getHullWhiteParameters());
final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketDscBumped);
final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
}
}
final String name = hwIssuerCurves.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 = hwIssuerCurves.getMulticurveProvider().getIndexesON();
for (final IndexON index : indexON) {
final YieldAndDiscountCurve curve = hwIssuerCurves.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[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
yieldBumped[loopnode] += _shift;
final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
final IssuerProviderDiscount issuer = new IssuerProviderDiscount(hwIssuerCurves.getMulticurveProvider().withForward(index, fwdBumped),
hwIssuerCurves.getIssuerProvider().getIssuerCurves());
final HullWhiteIssuerProviderDiscount marketFwdBumped = new HullWhiteIssuerProviderDiscount(issuer, hwIssuerCurves.getHullWhiteParameters());
final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
}
}
final String name = hwIssuerCurves.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 = hwIssuerCurves.getMulticurveProvider().getIndexesIbor();
for (final IborIndex index : indexForward) {
final YieldAndDiscountCurve curve = hwIssuerCurves.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[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
yieldBumped[loopnode] += _shift;
final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
final IssuerProviderDiscount issuer = new IssuerProviderDiscount(hwIssuerCurves.getMulticurveProvider().withForward(index, fwdBumped),
hwIssuerCurves.getIssuerProvider().getIssuerCurves());
final HullWhiteIssuerProviderDiscount marketFwdBumped = new HullWhiteIssuerProviderDiscount(issuer, hwIssuerCurves.getHullWhiteParameters());
final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
}
}
final String name = hwIssuerCurves.getMulticurveProvider().getName(index);
for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
result = result.plus(Pairs.of(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
}
}
// Discounting issuer
final Set<Pair<Object, LegalEntityFilter<LegalEntity>>> issuerCcies = hwIssuerCurves.getIssuerProvider().getIssuers();
for (final Pair<Object, LegalEntityFilter<LegalEntity>> ic : issuerCcies) {
final YieldAndDiscountCurve curve = hwIssuerCurves.getIssuerProvider().getIssuerCurve(ic);
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[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
yieldBumped[loopnode] += _shift;
final YieldAndDiscountCurve icBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
final IssuerProviderDiscount providerIcBumped = hwIssuerCurves.getIssuerProvider().withIssuerCurve(ic, icBumped);
final HullWhiteIssuerProviderDiscount providerHwIcBumped = new HullWhiteIssuerProviderDiscount(providerIcBumped, hwIssuerCurves.getHullWhiteParameters());
final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, providerHwIcBumped);
final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
}
}
final String name = hwIssuerCurves.getIssuerProvider().getName(ic);
for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
result = result.plus(Pairs.of(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
}
}
return result;
}
}