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

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

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  public double[] presentValueHullWhiteSensitivity(final SwaptionPhysicalFixedIbor swaption, final HullWhiteOneFactorPiecewiseConstantDataBundle hwData) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(hwData, "Hull-White data");
    final int nbSigma = hwData.getHullWhiteParameter().getVolatility().length;
    final double[] sigmaBar = new double[nbSigma];
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, hwData);
    final YieldAndDiscountCurve dsc = hwData.getCurve(cfe.getDiscountCurve());
    //Forward sweep
    final double expiryTime = swaption.getTimeToExpiry();
    final double[] alpha = new double[cfe.getNumberOfPayments()];
    final double[][] alphaDerivatives = new double[cfe.getNumberOfPayments()][nbSigma];
    final double[] df = new double[cfe.getNumberOfPayments()];
    final double[] discountedCashFlow = new double[cfe.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      alpha[loopcf] = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, cfe.getNthPayment(loopcf).getPaymentTime(), alphaDerivatives[loopcf]);
      df[loopcf] = dsc.getDiscountFactor(cfe.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlow[loopcf] = df[loopcf] * cfe.getNthPayment(loopcf).getAmount();
    }
    final double kappa = MODEL.kappa(discountedCashFlow, alpha);
    final double omega = (swaption.getUnderlyingSwap().getFixedLeg().isPayer() ? -1.0 : 1.0);
    //Backward sweep
    final double pvBar = 1.0;
    final double[] alphaBar = new double[cfe.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      alphaBar[loopcf] = discountedCashFlow[loopcf] * NORMAL.getPDF(omega * (kappa + alpha[loopcf])) * omega * pvBar;
    }
    for (int loopsigma = 0; loopsigma < nbSigma; loopsigma++) {
      for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
        sigmaBar[loopsigma] += alphaDerivatives[loopcf][loopsigma] * alphaBar[loopcf];
      }
    }
    return sigmaBar;
  }
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   */
  public InterestRateCurveSensitivity presentValueCurveSensitivity(final SwaptionPhysicalFixedIbor swaption, final HullWhiteOneFactorPiecewiseConstantDataBundle hwData) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(hwData, "Hull-White data");
    final int nbSigma = hwData.getHullWhiteParameter().getVolatility().length;
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, hwData);
    //Forward sweep
    final double expiryTime = swaption.getTimeToExpiry();
    final double[] alpha = new double[cfe.getNumberOfPayments()];
    final double[][] alphaDerivatives = new double[cfe.getNumberOfPayments()][nbSigma];
    final double[] df = new double[cfe.getNumberOfPayments()];
    final double[] discountedCashFlow = new double[cfe.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      alpha[loopcf] = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, cfe.getNthPayment(loopcf).getPaymentTime(), alphaDerivatives[loopcf]);
      df[loopcf] = hwData.getCurve(cfe.getDiscountCurve()).getDiscountFactor(cfe.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlow[loopcf] = df[loopcf] * cfe.getNthPayment(loopcf).getAmount();
    }
    final double kappa = MODEL.kappa(discountedCashFlow, alpha);
    final double omega = (swaption.getUnderlyingSwap().getFixedLeg().isPayer() ? -1.0 : 1.0);
    final double[] ncdf = new double[cfe.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      ncdf[loopcf] = NORMAL.getCDF(omega * (kappa + alpha[loopcf]));
    }
    //Backward sweep
    final double pvBar = 1.0;
    final double[] discountedCashFlowBar = new double[cfe.getNumberOfPayments()];
    final double[] dfBar = new double[cfe.getNumberOfPayments()];
    final double[] cfeAmountBar = new double[cfe.getNumberOfPayments()];
    final List<DoublesPair> listDfSensi = new ArrayList<>();
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      discountedCashFlowBar[loopcf] = ncdf[loopcf] * pvBar;
      dfBar[loopcf] = cfe.getNthPayment(loopcf).getAmount() * discountedCashFlowBar[loopcf];
      cfeAmountBar[loopcf] = df[loopcf] * discountedCashFlowBar[loopcf];
      final DoublesPair dfSensi = new DoublesPair(cfe.getNthPayment(loopcf).getPaymentTime(), -cfe.getNthPayment(loopcf).getPaymentTime() * df[loopcf] * dfBar[loopcf]);
      listDfSensi.add(dfSensi);
    }
    final Map<String, List<DoublesPair>> pvsDF = new HashMap<>();
    pvsDF.put(cfe.getDiscountCurve(), listDfSensi);
    InterestRateCurveSensitivity sensitivity = new InterestRateCurveSensitivity(pvsDF);
    final Map<Double, InterestRateCurveSensitivity> cfeCurveSensi = swaption.getUnderlyingSwap().accept(CFECSC, hwData);
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      final InterestRateCurveSensitivity sensiCfe = cfeCurveSensi.get(cfe.getNthPayment(loopcf).getPaymentTime());
      if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.
        sensitivity = sensitivity.plus(sensiCfe.multipliedBy(cfeAmountBar[loopcf]));
      }
    }
    return sensitivity;
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    ArgumentChecker.notNull(hwMulticurves, "Multi-curves with Hull-White");
    final Currency ccy = futures.getCurrency();
    ArgumentChecker.isTrue(hwMulticurves.getHullWhiteCurrency().equals(ccy), "Futures currency incompatible with data");
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = hwMulticurves.getHullWhiteParameters();
    final MulticurveProviderInterface multicurves = hwMulticurves.getMulticurveProvider();
    final AnnuityPaymentFixed cfe = futures.getUnderlyingSwap().accept(CFEC, multicurves);
    final int nbCf = cfe.getNumberOfPayments();
    final double[] adjustments = new double[nbCf];
    final double[] df = new double[nbCf];
    for (int loopcf = 0; loopcf < nbCf; loopcf++) {
      adjustments[loopcf] = MODEL.futuresConvexityFactor(parameters, futures.getLastTradingTime(), cfe.getNthPayment(loopcf).getPaymentTime(), futures.getDeliveryTime());
      df[loopcf] = multicurves.getDiscountFactor(ccy, cfe.getNthPayment(loopcf).getPaymentTime());
    }
    double price = 1.0;
    for (int loopcf = 0; loopcf < nbCf; loopcf++) {
      price += (cfe.getNthPayment(loopcf).getAmount() * df[loopcf] * adjustments[loopcf]) / df[0];
    }
    return price;
  }
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    ArgumentChecker.notNull(hwMulticurves, "Multi-curves with Hull-White");
    final Currency ccy = futures.getCurrency();
    ArgumentChecker.isTrue(hwMulticurves.getHullWhiteCurrency().equals(ccy), "Futures currency incompatible with data");
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = hwMulticurves.getHullWhiteParameters();
    final MulticurveProviderInterface multicurves = hwMulticurves.getMulticurveProvider();
    final AnnuityPaymentFixed cfe = futures.getUnderlyingSwap().accept(CFEC, multicurves);
    final int nbCf = cfe.getNumberOfPayments();
    final double[] adjustments = new double[nbCf];
    final double[] df = new double[nbCf];
    for (int loopcf = 0; loopcf < nbCf; loopcf++) {
      adjustments[loopcf] = MODEL.futuresConvexityFactor(parameters, futures.getLastTradingTime(), cfe.getNthPayment(loopcf).getPaymentTime(), futures.getDeliveryTime());
      df[loopcf] = multicurves.getDiscountFactor(ccy, cfe.getNthPayment(loopcf).getPaymentTime());
    }
    double price = 1.0;
    for (int loopcf = 0; loopcf < nbCf; loopcf++) {
      price += (cfe.getNthPayment(loopcf).getAmount() * df[loopcf] * adjustments[loopcf]) / df[0];
    }
    // Backward sweep
    final double priceBar = 1.0;
    final double[] dfBar = new double[nbCf];
    dfBar[0] = -(price - cfe.getNthPayment(0).getAmount() * adjustments[0]) / df[0] * priceBar;
    for (int loopcf = 1; loopcf < nbCf; loopcf++) {
      dfBar[loopcf] = (cfe.getNthPayment(loopcf).getAmount() * adjustments[loopcf]) / df[0] * priceBar;
    }
    final double[] cfeAmountBar = new double[nbCf];
    for (int loopcf = 0; loopcf < nbCf; loopcf++) {
      cfeAmountBar[loopcf] = (df[loopcf] * adjustments[loopcf]) / df[0] * priceBar;
    }
    final List<DoublesPair> listDfSensi = new ArrayList<>();
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      final DoublesPair dfSensi = new DoublesPair(cfe.getNthPayment(loopcf).getPaymentTime(), -cfe.getNthPayment(loopcf).getPaymentTime() * df[loopcf] * dfBar[loopcf]);
      listDfSensi.add(dfSensi);
    }
    final Map<String, List<DoublesPair>> pvsDF = new HashMap<>();
    pvsDF.put(multicurves.getName(ccy), listDfSensi);
    MulticurveSensitivity sensitivity = MulticurveSensitivity.ofYieldDiscounting(pvsDF);
    final Map<Double, MulticurveSensitivity> cfeCurveSensi = futures.getUnderlyingSwap().accept(CFECSC, multicurves);
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      final MulticurveSensitivity sensiCfe = cfeCurveSensi.get(cfe.getNthPayment(loopcf).getPaymentTime());
      if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.
        sensitivity = sensitivity.plus(sensiCfe.multipliedBy(cfeAmountBar[loopcf]));
      }
    }
    return sensitivity;
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  @Override
  public AnnuityPaymentFixed visitFixedPayment(final PaymentFixed payment, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(payment, "payment");
    return new AnnuityPaymentFixed(new PaymentFixed[] {payment });
  }
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  @Override
  public AnnuityPaymentFixed visitCouponFixed(final CouponFixed coupon, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(coupon, "coupon");
    return new AnnuityPaymentFixed(new PaymentFixed[] {coupon.toPaymentFixed() });
  }
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        / discountingCurve.getDiscountFactor(fixingStartTime);
    final PaymentFixed paymentStart = new PaymentFixed(payment.getCurrency(), fixingStartTime, beta * payment.getNotional() * payment.getPaymentYearFraction() / payment.getFixingAccrualFactor(),
        payment.getFundingCurveName());
    final PaymentFixed paymentEnd = new PaymentFixed(payment.getCurrency(), paymentTime, -payment.getNotional() * payment.getPaymentYearFraction() / payment.getFixingAccrualFactor(),
        payment.getFundingCurveName());
    return new AnnuityPaymentFixed(new PaymentFixed[] {paymentStart, paymentEnd });
  }
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        / discountingCurve.getDiscountFactor(fixingStartTime);
    final PaymentFixed paymentStart = new PaymentFixed(payment.getCurrency(), fixingStartTime, beta * payment.getNotional() * payment.getPaymentYearFraction() / payment.getFixingAccrualFactor(),
        payment.getFundingCurveName());
    final PaymentFixed paymentEnd = new PaymentFixed(payment.getCurrency(), paymentTime, (-payment.getNotional() + payment.getSpreadAmount()) * payment.getPaymentYearFraction()
        / payment.getFixingAccrualFactor(), payment.getFundingCurveName());
    return new AnnuityPaymentFixed(new PaymentFixed[] {paymentStart, paymentEnd});
  }
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    final PaymentFixed paymentStart = new PaymentFixed(payment.getCurrency(), fixingStartTime, payment.getFactor() * beta * payment.getNotional() * payment.getPaymentYearFraction()
        / payment.getFixingAccrualFactor(), payment.getFundingCurveName());
    final PaymentFixed paymentEnd = new PaymentFixed(payment.getCurrency(), paymentTime, (-payment.getFactor() / payment.getFixingAccrualFactor() + payment.getSpread()) *
        payment.getPaymentYearFraction()
        * payment.getNotional(), payment.getFundingCurveName());
    return new AnnuityPaymentFixed(new PaymentFixed[] {paymentStart, paymentEnd });
  }
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    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(annuity, "annuity");
    final TreeMap<Double, Double> flow = new TreeMap<>();
    final Currency ccy = annuity.getCurrency();
    for (final Payment p : annuity.getPayments()) {
      final AnnuityPaymentFixed cfe = p.accept(this, curves);
      for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
        addcf(flow, cfe.getNthPayment(loopcf).getPaymentTime(), cfe.getNthPayment(loopcf).getAmount());
      }
    }
    final PaymentFixed[] agregatedCfe = new PaymentFixed[flow.size()];
    int loopcf = 0;
    for (final double time : flow.keySet()) {
      agregatedCfe[loopcf++] = new PaymentFixed(ccy, time, flow.get(time), annuity.getDiscountCurve());
    }
    return new AnnuityPaymentFixed(agregatedCfe);
  }
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