Package com.opengamma.analytics.financial.interestrate.annuity.derivative

Examples of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed

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   * @return The present value curve sensitivity.
   */
  public InterestRateCurveSensitivity presentValueSensitivity(final SwaptionCashFixedIbor swaption, final SABRInterestRateDataBundle sabrData) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(sabrData, "SARB data");
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRC, sabrData);
    // Derivative of the forward with respect to the rates.
    final InterestRateCurveSensitivity forwardDr = new InterestRateCurveSensitivity(swaption.getUnderlyingSwap().accept(PRSC, sabrData));
    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 double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, swaption.getStrike(), forward);
    final double discountFactorSettle = sabrData.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
    final double sensiDF = -swaption.getSettlementTime() * discountFactorSettle * pvbp * bsAdjoint[0];
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(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] + bsAdjoint[2] * volatilityAdjoint[1]))));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
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   */
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final SwaptionCashFixedIbor swaption, final SABRInterestRateDataBundle sabrData) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(sabrData, "SARB data");
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRC, sabrData);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    final double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, swaption.getStrike(), forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
    final double discountFactorSettle = sabrData.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
    final double omega = (swaption.isLong() ? 1.0 : -1.0);
    sensi.addAlpha(expiryMaturity, omega * discountFactorSettle * pvbp * bsAdjoint[2] * volatilityAdjoint[3]);
    sensi.addBeta(expiryMaturity, omega * discountFactorSettle * pvbp * bsAdjoint[2] * volatilityAdjoint[4]);
    sensi.addRho(expiryMaturity, omega * discountFactorSettle * pvbp * bsAdjoint[2] * volatilityAdjoint[5]);
    sensi.addNu(expiryMaturity, omega * discountFactorSettle * pvbp * bsAdjoint[2] * volatilityAdjoint[6]);
 
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  public MultipleCurrencyAmount presentValue(final SwaptionCashFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final Currency ccy = swaption.getCurrency();
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRDC, multicurves);
    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 maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
    final double discountFactorSettle = multicurves.getDiscountFactor(ccy, swaption.getSettlementTime());
    double pv;
    if (swaption.getStrike() <= _cutOffStrike) { // No extrapolation
      final BlackPriceFunction blackFunction = new BlackPriceFunction();
      final double volatility = sabrData.getSABRParameter().getVolatility(swaption.getTimeToExpiry(), maturity, swaption.getStrike(), forward);
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  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final SwaptionCashFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final Currency ccy = swaption.getCurrency();
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRDC, multicurves);
    // Derivative of the forward with respect to the rates.
    final MulticurveSensitivity forwardDr = swaption.getUnderlyingSwap().accept(PRCSDC, multicurves);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // Derivative of the annuity with respect to the forward.
    final double pvbpDf = METHOD_SWAP.getAnnuityCashDerivative(swaption.getUnderlyingSwap(), forward);
    final double discountFactorSettle = multicurves.getDiscountFactor(ccy, swaption.getSettlementTime());
    final double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final double dfDr = -swaption.getSettlementTime() * discountFactorSettle;
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(swaption.getSettlementTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
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    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final Currency ccy = swaption.getCurrency();
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRDC, multicurves);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    final double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
    final double discountFactorSettle = multicurves.getDiscountFactor(ccy, swaption.getSettlementTime());
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final double alpha = sabrData.getSABRParameter().getAlpha(expiryMaturity);
    final double beta = sabrData.getSABRParameter().getBeta(expiryMaturity);
    final double rho = sabrData.getSABRParameter().getRho(expiryMaturity);
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   * @param notional The notional.
   * @return The new swap.
   */
  @SuppressWarnings("unchecked")
  public SwapFixedCoupon<R> withNotional(final double notional) {
    final AnnuityCouponFixed legFixedNotional = getFixedLeg().withNotional(notional * Math.signum(getFixedLeg().getNthPayment(0).getNotional()));
    final Coupon[] cpn = new Coupon[getSecondLeg().getNumberOfPayments()];
    for (int loopcpn = 0; loopcpn < getSecondLeg().getNumberOfPayments(); loopcpn++) {
      cpn[loopcpn] = getSecondLeg().getNthPayment(loopcpn).withNotional(notional * Math.signum(getSecondLeg().getNthPayment(loopcpn).getNotional()));
    }
    return new SwapFixedCoupon<>(legFixedNotional, new Annuity<>((R[]) cpn));
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   * Creates a new swap with the same characteristics, except that the fixed coupon rate of all coupons is the one given.
   * @param rate The rate.
   * @return The new swap.
   */
  public SwapFixedCoupon<R> withRate(final double rate) {
    final AnnuityCouponFixed legFixedNotional = getFixedLeg().withRate(rate);
    return new SwapFixedCoupon<>(legFixedNotional, getSecondLeg());
  }
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   * Creates a new swap with the same characteristics, except that the fixed coupon rate of all coupons are shifted by the given amount.
   * @param spread The spread.
   * @return The new swap.
   */
  public SwapFixedCompoundingCoupon<R> withRateShifted(final double spread) {
    final AnnuityCouponFixed legFixedNotional = getFixedLeg().withRateShifted(spread);
    return new SwapFixedCompoundingCoupon<>(legFixedNotional, getSecondLeg());
  }
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   * @param fixedCouponSwap The underlying swap.
   * @param multicurves The multi-curves provider.
   * @return The physical annuity.
   */
  public double presentValueBasisPoint(final SwapFixedCoupon<? extends Payment> fixedCouponSwap, final MulticurveProviderInterface multicurves) {
    final AnnuityCouponFixed annuityFixed = fixedCouponSwap.getFixedLeg();
    double pvbp = 0;
    for (int loopcpn = 0; loopcpn < annuityFixed.getPayments().length; loopcpn++) {
      pvbp += annuityFixed.getNthPayment(loopcpn).getPaymentYearFraction() * Math.abs(annuityFixed.getNthPayment(loopcpn).getNotional())
          * multicurves.getDiscountFactor(annuityFixed.getNthPayment(loopcpn).getCurrency(), annuityFixed.getNthPayment(loopcpn).getPaymentTime());
    }
    return pvbp;
  }
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   */
  public double presentValueBasisPoint(final SwapFixedCoupon<? extends Payment> fixedCouponSwap, final DayCount dayCount, final MulticurveProviderInterface multicurves) {
    ArgumentChecker.notNull(fixedCouponSwap, "swap");
    ArgumentChecker.notNull(dayCount, "day count");
    ArgumentChecker.notNull(multicurves, "Multi-curves provider");
    final AnnuityCouponFixed annuityFixed = fixedCouponSwap.getFixedLeg();
    double pvbp = 0;
    for (int loopcpn = 0; loopcpn < annuityFixed.getPayments().length; loopcpn++) {
      pvbp += dayCount.getDayCountFraction(annuityFixed.getNthPayment(loopcpn).getAccrualStartDate(), annuityFixed.getNthPayment(loopcpn).getAccrualEndDate())
          * Math.abs(annuityFixed.getNthPayment(loopcpn).getNotional())
          * multicurves.getDiscountFactor(annuityFixed.getNthPayment(loopcpn).getCurrency(), annuityFixed.getNthPayment(loopcpn).getPaymentTime());
    }
    return pvbp;
  }
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