/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.financial.forex.derivative.ForexSwap;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed;
import com.opengamma.analytics.financial.interestrate.cash.derivative.Cash;
import com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement;
import com.opengamma.analytics.financial.interestrate.fra.method.ForwardRateAgreementDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureTransaction;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIbor;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborCompounding;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborSpread;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed;
import com.opengamma.analytics.financial.interestrate.swap.derivative.Swap;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.util.ArgumentChecker;
/**
* Computes the present value change when the rate/market quote changes by 1 (it is not rescaled to 1 basis point).
* The meaning of "rate/market quote" will change for each instrument.
* For Coupon, FRA and Deposit the result is the discounted accrual factor multiplied by the notional.
* For PaymentFixed, it is 0 (there is no rate).
* For annuities, it is the sum of pvbp of all payments.
* For swaps it is the pvbp of the first leg.
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public final class PresentValueBasisPointCalculator extends InstrumentDerivativeVisitorAdapter<YieldCurveBundle, Double> {
/**
* The unique instance of the calculator.
*/
private static final PresentValueBasisPointCalculator INSTANCE = new PresentValueBasisPointCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static PresentValueBasisPointCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private PresentValueBasisPointCalculator() {
}
/**
* Methods used in the calculator.
*/
private static final ForwardRateAgreementDiscountingMethod METHOD_FRA = ForwardRateAgreementDiscountingMethod.getInstance();
// ----- Deposit ------
@Override
public Double visitCash(final Cash deposit, final YieldCurveBundle curves) {
final YieldAndDiscountCurve discountingCurve = curves.getCurve(deposit.getYieldCurveName());
return discountingCurve.getDiscountFactor(deposit.getEndTime()) * deposit.getAccrualFactor() * deposit.getNotional();
}
// ----- Payment/Coupon ------
@Override
public Double visitFixedPayment(final PaymentFixed payment, final YieldCurveBundle data) {
return 0.0;
}
public Double visitCoupon(final Coupon coupon, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(coupon);
final YieldAndDiscountCurve fundingCurve = curves.getCurve(coupon.getFundingCurveName());
return fundingCurve.getDiscountFactor(coupon.getPaymentTime()) * coupon.getPaymentYearFraction() * coupon.getNotional();
}
@Override
public Double visitCouponFixed(final CouponFixed coupon, final YieldCurveBundle curves) {
return visitCoupon(coupon, curves);
}
@Override
public Double visitCouponIbor(final CouponIbor coupon, final YieldCurveBundle curves) {
return visitCoupon(coupon, curves);
}
@Override
public Double visitCouponIborSpread(final CouponIborSpread coupon, final YieldCurveBundle curves) {
return visitCoupon(coupon, curves);
}
@Override
public Double visitCouponIborCompounding(final CouponIborCompounding coupon, final YieldCurveBundle curves) {
return visitCoupon(coupon, curves);
}
@Override
public Double visitForwardRateAgreement(final ForwardRateAgreement fra, final YieldCurveBundle curves) {
return METHOD_FRA.presentValueCouponSensitivity(fra, curves) * fra.getNotional();
}
// ----- Futures ------
@Override
public Double visitInterestRateFutureTransaction(final InterestRateFutureTransaction future, final YieldCurveBundle curves) {
ArgumentChecker.notNull(future, "Futures");
ArgumentChecker.notNull(curves, "Bundle");
return future.getNotional() * future.getPaymentAccrualFactor() * future.getQuantity();
}
// ----- Annuity ------
@Override
public Double visitGenericAnnuity(final Annuity<? extends Payment> annuity, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(annuity);
double pvbp = 0;
for (final Payment p : annuity.getPayments()) {
pvbp += p.accept(this, curves);
}
return pvbp;
}
@Override
public Double visitFixedCouponAnnuity(final AnnuityCouponFixed annuity, final YieldCurveBundle curves) {
return visitGenericAnnuity(annuity, curves);
}
// ----- Swap ------
@Override
public Double visitSwap(final Swap<?, ?> swap, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(swap);
return swap.getFirstLeg().accept(this, curves);
}
@Override
public Double visitFixedCouponSwap(final SwapFixedCoupon<?> swap, final YieldCurveBundle curves) {
return visitSwap(swap, curves);
}
// ----- Forex ------
@Override
public Double visitForexSwap(final ForexSwap derivative, final YieldCurveBundle curves) {
final YieldAndDiscountCurve dsc2 = curves.getCurve(derivative.getFarLeg().getPaymentCurrency2().getFundingCurveName());
final double pvPtCcy2 = dsc2.getDiscountFactor(derivative.getFarLeg().getPaymentTime()) * -derivative.getFarLeg().getPaymentCurrency1().getAmount();
return curves.getFxRates().getFxRate(derivative.getFarLeg().getCurrency2(), derivative.getFarLeg().getCurrency1()) * pvPtCcy2;
}
}