/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.forex.provider;
import java.util.ArrayList;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import com.opengamma.analytics.financial.forex.derivative.ForexSwap;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.tuple.DoublesPair;
/**
* Pricing method for Forex swap transactions by discounting each payment.
*/
public final class ForexSwapDiscountingMethod {
/**
* The method unique instance.
*/
private static final ForexSwapDiscountingMethod INSTANCE = new ForexSwapDiscountingMethod();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static ForexSwapDiscountingMethod getInstance() {
return INSTANCE;
}
/**
* Private constructor.
*/
private ForexSwapDiscountingMethod() {
}
/**
* Forex method by discounting.
*/
private static final ForexDiscountingMethod METHOD_FX = ForexDiscountingMethod.getInstance();
/**
* Compute the present value by discounting the payments in their own currency.
* @param fx The Forex swap.
* @param multicurves The multi-curves provider.
* @return The multi-currency present value.
*/
public MultipleCurrencyAmount presentValue(final ForexSwap fx, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(fx, "Forex swap");
ArgumentChecker.notNull(multicurves, "Multi-curves provider");
final MultipleCurrencyAmount pv = METHOD_FX.presentValue(fx.getNearLeg(), multicurves);
return pv.plus(METHOD_FX.presentValue(fx.getFarLeg(), multicurves));
}
// TODO: do we need this method as it is the same as present value
public MultipleCurrencyAmount currencyExposure(final ForexSwap fx, final MulticurveProviderInterface multicurves) {
return presentValue(fx, multicurves);
}
/**
* 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 multicurves The multi-curves provider.
* @return The spread.
*/
public double parSpread(final ForexSwap fx, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(fx, "Forex swap");
ArgumentChecker.notNull(multicurves, "Multi-curves provider");
final Currency ccy2 = fx.getNearLeg().getCurrency2();
final double pv2 = multicurves.getFxRates().convert(presentValue(fx, multicurves), ccy2).getAmount();
final double dfEnd = multicurves.getDiscountFactor(fx.getFarLeg().getCurrency2(), fx.getFarLeg().getPaymentTime());
final double notional1 = fx.getNearLeg().getPaymentCurrency1().getAmount();
return -pv2 / (notional1 * dfEnd);
}
/**
* Compute the present value sensitivity to rates of a forex swap transaction.
* @param fx The forex swap transaction.
* @param multicurves The multi-curves provider.
* @return The sensitivity.
*/
public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final ForexSwap fx, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(fx, "Forex swap");
MultipleCurrencyMulticurveSensitivity result = METHOD_FX.presentValueCurveSensitivity(fx.getNearLeg(), multicurves);
result = result.plus(METHOD_FX.presentValueCurveSensitivity(fx.getFarLeg(), multicurves));
return result;
}
/**
* Computes the par spread curve sensitivity.
* @param fx The forex swap.
* @param multicurves The multi-curves provider.
* @return The par spread sensitivity.
*/
public MulticurveSensitivity parSpreadCurveSensitivity(final ForexSwap fx, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(fx, "Forex swap");
ArgumentChecker.notNull(multicurves, "Multi-curves provider");
final Currency ccy2 = fx.getNearLeg().getCurrency2();
// final String name2 = fx.getFarLeg().getPaymentCurrency2().getFundingCurveName();
final double payTime = fx.getFarLeg().getPaymentTime();
final double pv2 = multicurves.getFxRates().convert(presentValue(fx, multicurves), ccy2).getAmount();
final double dfEnd = multicurves.getDiscountFactor(fx.getFarLeg().getCurrency2(), fx.getFarLeg().getPaymentTime());
final double notional1 = fx.getNearLeg().getPaymentCurrency1().getAmount();
// double spread = -pv2 / (notional1 * dfEnd);
// Backward sweep
final double spreadBar = 1.0;
final double dfEndBar = pv2 / (notional1 * dfEnd * dfEnd) * spreadBar;
final double pv2Bar = -spreadBar / (notional1 * dfEnd);
final MultipleCurrencyMulticurveSensitivity pv2DrMC = presentValueCurveSensitivity(fx, multicurves);
final MulticurveSensitivity pv2Dr = pv2DrMC.converted(ccy2, multicurves.getFxRates()).getSensitivity(ccy2);
final List<DoublesPair> list = new ArrayList<>();
list.add(new DoublesPair(payTime, -payTime * dfEnd * dfEndBar));
final Map<String, List<DoublesPair>> result = new HashMap<>();
result.put(multicurves.getName(ccy2), list);
final MulticurveSensitivity dfEndDr = MulticurveSensitivity.ofYieldDiscounting(result);
return pv2Dr.multipliedBy(pv2Bar).plus(dfEndDr);
}
}