/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument;
import java.util.ArrayList;
import java.util.Collections;
import java.util.List;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIbor;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborGearing;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborSpread;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.interestrate.swap.derivative.Swap;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.CurrencyAmount;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
* Returns all of the projected receive floating cash-flows of an instrument.
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public final class ProjectedReceiveCashFlowVisitor extends InstrumentDerivativeVisitorAdapter<YieldCurveBundle, List<MultipleCurrencyAmount>> {
private static final ProjectedReceiveCashFlowVisitor INSTANCE = new ProjectedReceiveCashFlowVisitor();
public static ProjectedReceiveCashFlowVisitor getInstance() {
return INSTANCE;
}
private ProjectedReceiveCashFlowVisitor() {
// super(Collections.<MultipleCurrencyAmount>emptyList());
}
/**
* If the notional is negative (i.e. the amount is to be paid), returns
* an empty list. Otherwise, returns a list containing the payment estimated
* from the forward curve.
* @param coupon The coupon instrument, not null
* @param data The yield curves, not null
* @return A list containing the (single) amount, or an empty list, as appropriate
*/
@Override
public List<MultipleCurrencyAmount> visitCouponIbor(final CouponIbor coupon, final YieldCurveBundle data) {
ArgumentChecker.notNull(coupon, "coupon");
ArgumentChecker.notNull(data, "data");
if (coupon.getNotional() < 0) {
return Collections.emptyList();
}
final YieldAndDiscountCurve forwardCurve = data.getCurve(coupon.getForwardCurveName());
final double forward = (forwardCurve.getDiscountFactor(coupon.getFixingPeriodStartTime()) / forwardCurve.getDiscountFactor(coupon.getFixingPeriodEndTime()) - 1) / coupon.getFixingAccrualFactor();
final double amount = coupon.getNotional() * coupon.getPaymentYearFraction() * forward;
return Collections.singletonList(MultipleCurrencyAmount.of(CurrencyAmount.of(coupon.getCurrency(), amount)));
}
/**
* If the notional is negative (i.e. the amount is to be paid), returns
* an empty list. Otherwise, returns a list containing the payment estimated
* from the forward curve.
* @param coupon The coupon instrument, not null
* @param data The yield curves, not null
* @return A list containing the (single) amount, or an empty list, as appropriate
*/
@Override
public List<MultipleCurrencyAmount> visitCouponIborSpread(final CouponIborSpread coupon, final YieldCurveBundle data) {
ArgumentChecker.notNull(coupon, "coupon");
ArgumentChecker.notNull(data, "data");
if (coupon.getNotional() < 0) {
return Collections.emptyList();
}
final YieldAndDiscountCurve forwardCurve = data.getCurve(coupon.getForwardCurveName());
final double forward = (forwardCurve.getDiscountFactor(coupon.getFixingPeriodStartTime()) / forwardCurve.getDiscountFactor(coupon.getFixingPeriodEndTime()) - 1) / coupon.getFixingAccrualFactor();
final double amount = -(coupon.getNotional() * coupon.getPaymentYearFraction() * forward + coupon.getSpreadAmount());
return Collections.singletonList(MultipleCurrencyAmount.of(CurrencyAmount.of(coupon.getCurrency(), amount)));
}
/**
* If the notional is positive (i.e. the amount is to be received), returns
* an empty list. Otherwise, returns a list containing the payment
* estimated from the forward curve.
* @param coupon The coupon instrument, not null
* @param data The yield curves, not null
* @return A list containing the (single) amount, or an empty list, as appropriate
*/
@Override
public List<MultipleCurrencyAmount> visitCouponIborGearing(final CouponIborGearing coupon, final YieldCurveBundle data) {
ArgumentChecker.notNull(coupon, "coupon");
ArgumentChecker.notNull(data, "data");
if (coupon.getNotional() > 0) {
return Collections.emptyList();
}
final YieldAndDiscountCurve forwardCurve = data.getCurve(coupon.getForwardCurveName());
final double forward = (forwardCurve.getDiscountFactor(coupon.getFixingPeriodStartTime()) / forwardCurve.getDiscountFactor(coupon.getFixingPeriodEndTime()) - 1) / coupon.getFixingAccrualFactor();
final double amount = -(coupon.getNotional() * coupon.getPaymentYearFraction() * (coupon.getFactor() * forward) + coupon.getSpreadAmount());
return Collections.singletonList(MultipleCurrencyAmount.of(CurrencyAmount.of(coupon.getCurrency(), amount)));
}
/**
* If the notional is negative (i.e. the FRA is a receiver), returns an empty list. Otherwise, returns
* a list containing the payment estimated from the forward curve.
* @param fra The FRA, not null
* @param data The yield curves, not null
* @return A list containing the (single) amount, or an empty list, as appropriate
*/
@Override
public List<MultipleCurrencyAmount> visitForwardRateAgreement(final ForwardRateAgreement fra, final YieldCurveBundle data) {
ArgumentChecker.notNull(fra, "FRA");
ArgumentChecker.notNull(data, "data");
if (fra.getNotional() < 0) {
return Collections.emptyList();
}
final YieldAndDiscountCurve forwardCurve = data.getCurve(fra.getForwardCurveName());
final double forward = (forwardCurve.getDiscountFactor(fra.getFixingPeriodStartTime()) / forwardCurve.getDiscountFactor(fra.getFixingPeriodEndTime()) - 1) / fra.getFixingYearFraction();
final double amount = fra.getPaymentYearFraction() * fra.getNotional() * forward / (1 + fra.getPaymentYearFraction() * forward);
return Collections.singletonList(MultipleCurrencyAmount.of(CurrencyAmount.of(fra.getCurrency(), amount)));
}
/**
* Returns a list containing all of the estimated floating payments of an annuity. If there are no floating payments to be made,
* an empty list is returned
* @param annuity The annuity, not null
* @param data The yield curves, not null
* @return A list containing the amounts
*/
@Override
public List<MultipleCurrencyAmount> visitGenericAnnuity(final Annuity<? extends Payment> annuity, final YieldCurveBundle data) {
ArgumentChecker.notNull(annuity, "annuity");
ArgumentChecker.notNull(data, "data");
return getDatesFromAnnuity(annuity, data);
}
/**
* Returns a list containing all of the estimated floating payments to be made.
* @param swap The swap, not null
* @param data The yield curves, not null
* @return A list containing floating payments
*/
@Override
public List<MultipleCurrencyAmount> visitSwap(final Swap<?, ?> swap, final YieldCurveBundle data) {
ArgumentChecker.notNull(swap, "swap");
ArgumentChecker.notNull(data, "data");
if (!swap.getFirstLeg().isPayer()) {
return swap.getFirstLeg().accept(this, data);
}
return swap.getSecondLeg().accept(this, data);
}
private List<MultipleCurrencyAmount> getDatesFromAnnuity(final Annuity<? extends Payment> annuity, final YieldCurveBundle data) {
final List<MultipleCurrencyAmount> result = new ArrayList<>();
for (final Payment payment : annuity.getPayments()) {
final List<MultipleCurrencyAmount> payments = payment.accept(this, data);
for (final MultipleCurrencyAmount mca : payments) {
final int scale = mca.getCurrencyAmounts()[0].getAmount() < 0 ? -1 : 1;
result.add(mca.multipliedBy(scale));
}
}
return result;
}
}