/**
* 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 java.util.ArrayList;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed;
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.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.util.tuple.DoublesPair;
/**
* Computes the sensitivity of the par spread to the curve rates.
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public final class PresentValueBasisPointCurveSensitivityCalculator extends InstrumentDerivativeVisitorAdapter<YieldCurveBundle, InterestRateCurveSensitivity> {
/**
* The unique instance of the calculator.
*/
private static final PresentValueBasisPointCurveSensitivityCalculator INSTANCE = new PresentValueBasisPointCurveSensitivityCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static PresentValueBasisPointCurveSensitivityCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private PresentValueBasisPointCurveSensitivityCalculator() {
}
@Override
public InterestRateCurveSensitivity visitFixedPayment(final PaymentFixed payment, final YieldCurveBundle data) {
return new InterestRateCurveSensitivity();
}
public InterestRateCurveSensitivity visitCoupon(final Coupon coupon, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(coupon);
final YieldAndDiscountCurve fundingCurve = curves.getCurve(coupon.getFundingCurveName());
final double df = fundingCurve.getDiscountFactor(coupon.getPaymentTime());
// Backward sweep
final double pvbpBar = 1.0;
final double dfBar = coupon.getPaymentYearFraction() * coupon.getNotional() * pvbpBar;
final Map<String, List<DoublesPair>> resultMapDsc = new HashMap<>();
final List<DoublesPair> listDiscounting = new ArrayList<>();
listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
resultMapDsc.put(coupon.getFundingCurveName(), listDiscounting);
return new InterestRateCurveSensitivity(resultMapDsc);
}
@Override
public InterestRateCurveSensitivity visitCouponFixed(final CouponFixed coupon, final YieldCurveBundle curves) {
return visitCoupon(coupon, curves);
}
@Override
public InterestRateCurveSensitivity visitCouponIbor(final CouponIbor coupon, final YieldCurveBundle curves) {
return visitCoupon(coupon, curves);
}
@Override
public InterestRateCurveSensitivity visitCouponIborSpread(final CouponIborSpread coupon, final YieldCurveBundle curves) {
return visitCoupon(coupon, curves);
}
@Override
public InterestRateCurveSensitivity visitCouponIborCompounding(final CouponIborCompounding coupon, final YieldCurveBundle curves) {
return visitCoupon(coupon, curves);
}
@Override
public InterestRateCurveSensitivity visitGenericAnnuity(final Annuity<? extends Payment> annuity, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(annuity);
InterestRateCurveSensitivity pvbpSensi = new InterestRateCurveSensitivity();
for (final Payment p : annuity.getPayments()) {
pvbpSensi = pvbpSensi.plus(p.accept(this, curves));
}
return pvbpSensi;
}
@Override
public InterestRateCurveSensitivity visitFixedCouponAnnuity(final AnnuityCouponFixed annuity, final YieldCurveBundle curves) {
return visitGenericAnnuity(annuity, curves);
}
}