/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.future.provider;
import org.apache.commons.math.stat.descriptive.rank.Min;
import com.opengamma.analytics.financial.interestrate.bond.provider.BondSecurityDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.future.derivative.BondFuture;
import com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderInterface;
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;
/**
* Method to compute the price of bond future as the cheapest forward.
*/
public final class BondFutureDiscountingMethod extends BondFutureMethod {
/**
* Creates the method unique instance.
*/
private static final BondFutureDiscountingMethod INSTANCE = new BondFutureDiscountingMethod();
/**
* Return the method unique instance.
* @return The instance.
*/
public static BondFutureDiscountingMethod getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private BondFutureDiscountingMethod() {
}
/**
* The method to compute bond security figures.
*/
private static final BondSecurityDiscountingMethod BOND_METHOD = BondSecurityDiscountingMethod.getInstance();
/**
* Method used to compute the minimum of an array.
*/
private static final Min MIN_FUNCTION = new Min();
/**
* Computes the future price from the curves used to price the underlying bonds.
* @param future The future security.
* @param issuerMulticurves The issuer and multi-curves provider.
* @return The future price.
*/
public double price(final BondFuture future, final IssuerProviderInterface issuerMulticurves) {
return priceFromNetBasis(future, issuerMulticurves, 0.0);
}
/**
* Computes the future price from the curves used to price the underlying bonds and the net basis.
* @param future The future security.
* @param issuerMulticurves The issuer and multi-curves provider.
* @param netBasis The net basis associated to the future.
* @return The future price.
*/
public double priceFromNetBasis(final BondFuture future, final IssuerProviderInterface issuerMulticurves, final double netBasis) {
ArgumentChecker.notNull(future, "Future");
ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
final double[] priceFromBond = new double[future.getDeliveryBasket().length];
for (int loopbasket = 0; loopbasket < future.getDeliveryBasket().length; loopbasket++) {
priceFromBond[loopbasket] = (BOND_METHOD.cleanPriceFromCurves(future.getDeliveryBasket()[loopbasket], issuerMulticurves) - netBasis) / future.getConversionFactor()[loopbasket];
}
final double priceFuture = MIN_FUNCTION.evaluate(priceFromBond);
return priceFuture;
}
/**
* Computes the present value of future from the curves using the cheapest-to-deliver and computing the value as a forward.
* @param future The future.
* @param issuerMulticurves The issuer and multi-curves provider.
* @return The present value.
*/
public MultipleCurrencyAmount presentValue(final BondFuture future, final IssuerProviderInterface issuerMulticurves) {
return presentValueFromPrice(future, price(future, issuerMulticurves));
}
/**
* Computes the present value of future from the curves using the cheapest-to-deliver and computing the value as a forward.
* @param future The future.
* @param issuerMulticurves The issuer and multi-curves provider.
* @param netBasis The net basis associated to the future.
* @return The present value.
*/
public MultipleCurrencyAmount presentValueFromNetBasis(final BondFuture future, final IssuerProviderInterface issuerMulticurves, final double netBasis) {
return presentValueFromPrice(future, priceFromNetBasis(future, issuerMulticurves, netBasis));
}
/**
* Computes the future price curve sensitivity.
* @param future The future security.
* @param issuerMulticurves The issuer and multi-curves provider.
* @return The curve sensitivity.
*/
public MulticurveSensitivity priceCurveSensitivity(final BondFuture future, final IssuerProviderInterface issuerMulticurves) {
ArgumentChecker.notNull(future, "Future");
ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
final double[] priceFromBond = new double[future.getDeliveryBasket().length];
int indexCTD = 0;
double priceMin = 2.0;
for (int loopbasket = 0; loopbasket < future.getDeliveryBasket().length; loopbasket++) {
priceFromBond[loopbasket] = (BOND_METHOD.cleanPriceFromCurves(future.getDeliveryBasket()[loopbasket], issuerMulticurves)) / future.getConversionFactor()[loopbasket];
if (priceFromBond[loopbasket] < priceMin) {
priceMin = priceFromBond[loopbasket];
indexCTD = loopbasket;
}
}
MulticurveSensitivity result = BOND_METHOD.dirtyPriceCurveSensitivity(future.getDeliveryBasket()[indexCTD], issuerMulticurves);
return result.multipliedBy(1.0 / future.getConversionFactor()[indexCTD]);
}
/**
* Compute the present value sensitivity to rates of a bond future by discounting.
* @param future The future.
* @param issuerMulticurves The issuer and multi-curves provider.
* @return The present value rate sensitivity.
*/
public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final BondFuture future, final IssuerProviderInterface issuerMulticurves) {
Currency ccy = future.getCurrency();
final MulticurveSensitivity priceSensitivity = priceCurveSensitivity(future, issuerMulticurves);
final MultipleCurrencyMulticurveSensitivity transactionSensitivity = MultipleCurrencyMulticurveSensitivity.of(ccy, priceSensitivity.multipliedBy(future.getNotional()));
return transactionSensitivity;
}
/**
* Computes the gross basis of the bonds in the underlying basket from their clean prices.
* @param future The future security.
* @param cleanPrices The clean prices (at standard bond market spot date) of the bond in the basket.
* @param futurePrice The future price.
* @return The gross basis for each bond in the basket.
*/
public double[] grossBasisFromPrices(final BondFuture future, final double[] cleanPrices, final double futurePrice) {
ArgumentChecker.notNull(future, "Future");
final int nbBasket = future.getDeliveryBasket().length;
ArgumentChecker.isTrue(cleanPrices.length == nbBasket, "Number of clean prices");
final double[] grossBasis = new double[nbBasket];
for (int loopbasket = 0; loopbasket < future.getDeliveryBasket().length; loopbasket++) {
grossBasis[loopbasket] = cleanPrices[loopbasket] - futurePrice * future.getConversionFactor()[loopbasket];
}
return grossBasis;
}
/**
* Computes the gross basis of the bonds in the underlying basket from the curves.
* @param future The future security.
* @param issuerMulticurves The issuer and multi-curves provider.
* @param futurePrice The future price.
* @return The gross basis for each bond in the basket.
*/
public double[] grossBasisFromCurves(final BondFuture future, final IssuerProviderInterface issuerMulticurves, final double futurePrice) {
ArgumentChecker.notNull(future, "Future");
ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
final int nbBasket = future.getDeliveryBasket().length;
final double[] grossBasis = new double[nbBasket];
final double[] cleanPrices = new double[nbBasket];
for (int loopbasket = 0; loopbasket < future.getDeliveryBasket().length; loopbasket++) {
cleanPrices[loopbasket] = BOND_METHOD.cleanPriceFromCurves(future.getDeliveryBasket()[loopbasket], issuerMulticurves);
grossBasis[loopbasket] = cleanPrices[loopbasket] - futurePrice * future.getConversionFactor()[loopbasket];
}
return grossBasis;
}
/**
* Computes the net basis of all the bonds in the underlying basket from the curves and the future price.
* @param future The future security.
* @param issuerMulticurves The issuer and multi-curves provider.
* @param futurePrice The future price.
* @return The net basis for each bond in the basket.
*/
public double[] netBasisAllBonds(final BondFuture future, final IssuerProviderInterface issuerMulticurves, final double futurePrice) {
ArgumentChecker.notNull(future, "Future");
ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
final int nbBasket = future.getDeliveryBasket().length;
final double[] netBasis = new double[nbBasket];
for (int loopbasket = 0; loopbasket < future.getDeliveryBasket().length; loopbasket++) {
netBasis[loopbasket] = BOND_METHOD.cleanPriceFromCurves(future.getDeliveryBasket()[loopbasket], issuerMulticurves) - futurePrice * future.getConversionFactor()[loopbasket];
}
return netBasis;
}
/**
* Computes the net basis of associated to the cheapest to deliver bonds in the underlying basket from the curves and the future price.
* @param future The future security.
* @param issuerMulticurves The issuer and multi-curves provider.
* @param futurePrice The future price.
* @return The net basis.
*/
public double netBasisCheapest(final BondFuture future, final IssuerProviderInterface issuerMulticurves, final double futurePrice) {
ArgumentChecker.notNull(future, "Future");
ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
final int nbBasket = future.getDeliveryBasket().length;
final double[] netBasis = new double[nbBasket];
for (int loopbasket = 0; loopbasket < future.getDeliveryBasket().length; loopbasket++) {
netBasis[loopbasket] = BOND_METHOD.cleanPriceFromCurves(future.getDeliveryBasket()[loopbasket], issuerMulticurves) - futurePrice * future.getConversionFactor()[loopbasket];
}
return MIN_FUNCTION.evaluate(netBasis);
}
}