/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.future.provider;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction;
import com.opengamma.analytics.financial.provider.description.interestrate.BlackSTIRFuturesSmileProviderInterface;
import com.opengamma.analytics.util.amount.SurfaceValue;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
* Method for the pricing of interest rate future options with daily margining. The pricing is done with a Black approach on the future rate (1.0-price).
* The Black parameters are represented by (expiration-strike-delay) surfaces. The "delay" is the time between option expiration and future last trading date,
* i.e. 0 for quarterly options and x for x-year mid-curve options. The future prices are computed without convexity adjustments.
*/
public final class InterestRateFutureOptionMarginTransactionBlackSmileMethod extends InterestRateFutureOptionMarginTransactionGenericMethod<BlackSTIRFuturesSmileProviderInterface> {
/**
* Creates the method unique instance.
*/
private static final InterestRateFutureOptionMarginTransactionBlackSmileMethod INSTANCE = new InterestRateFutureOptionMarginTransactionBlackSmileMethod();
/**
* Constructor.
*/
private InterestRateFutureOptionMarginTransactionBlackSmileMethod() {
super(InterestRateFutureOptionMarginSecurityBlackSmileMethod.getInstance());
}
/**
* Return the method unique instance.
* @return The instance.
*/
public static InterestRateFutureOptionMarginTransactionBlackSmileMethod getInstance() {
return INSTANCE;
}
/**
* Returns the method to compute the underlying security price and price curve sensitivity.
* @return The method.
*/
@Override
public InterestRateFutureOptionMarginSecurityBlackSmileMethod getSecurityMethod() {
return (InterestRateFutureOptionMarginSecurityBlackSmileMethod) super.getSecurityMethod();
}
/**
* Computes the present value of a transaction from the future price and curve/volatility data.
* @param transaction The future option transaction.
* @param blackData The Black volatility and multi-curves provider.
* @param priceFuture The price of the underlying future.
* @return The present value.
*/
public MultipleCurrencyAmount presentValueFromFuturePrice(final InterestRateFutureOptionMarginTransaction transaction, final BlackSTIRFuturesSmileProviderInterface blackData,
final double priceFuture) {
ArgumentChecker.notNull(transaction, "Transaction on option on STIR futures");
ArgumentChecker.notNull(blackData, "Black / multi-curves provider");
final double priceSecurity = getSecurityMethod().priceFromFuturePrice(transaction.getUnderlyingOption(), blackData, priceFuture);
final MultipleCurrencyAmount priceTransaction = presentValueFromPrice(transaction, priceSecurity);
return priceTransaction;
}
/**
* Computes the present value curve sensitivity of a transaction.
* @param transaction The future option transaction.
* @param blackData The Black volatility and multi-curves provider.
* @return The present value curve sensitivity.
*/
public SurfaceValue presentValueBlackSensitivity(final InterestRateFutureOptionMarginTransaction transaction, final BlackSTIRFuturesSmileProviderInterface blackData) {
ArgumentChecker.notNull(transaction, "Transaction on option on STIR futures");
ArgumentChecker.notNull(blackData, "Black / multi-curves provider");
SurfaceValue securitySensitivity = getSecurityMethod().priceBlackSensitivity(transaction.getUnderlyingOption(), blackData);
securitySensitivity = SurfaceValue.multiplyBy(securitySensitivity, transaction.getQuantity() * transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()
* transaction.getUnderlyingOption().getUnderlyingFuture().getPaymentAccrualFactor());
return securitySensitivity;
}
/**
* Computes the present value gamma of a transaction.
* This is with respect to futures rate
* @param transaction The future option transaction.
* @param blackData The Black volatility and multi-curves provider.
* @return The present value curve sensitivity.
*/
public double presentValueGamma(final InterestRateFutureOptionMarginTransaction transaction, final BlackSTIRFuturesSmileProviderInterface blackData) {
ArgumentChecker.notNull(transaction, "Transaction on option on STIR futures");
ArgumentChecker.notNull(blackData, "Black / multi-curves provider");
final double securityGamma = getSecurityMethod().priceGamma(transaction.getUnderlyingOption(), blackData);
final double txnGamma = securityGamma * transaction.getQuantity() * transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()
* transaction.getUnderlyingOption().getUnderlyingFuture().getPaymentAccrualFactor();
return txnGamma;
}
/**
* Computes the present value delta of a transaction.
* This is with respect to futures price
* @param transaction The future option transaction.
* @param blackData The curve and Black volatility data.
* @return The present value curve sensitivity.
*/
public double presentValueDelta(final InterestRateFutureOptionMarginTransaction transaction, final BlackSTIRFuturesSmileProviderInterface blackData) {
final double securityDelta = getSecurityMethod().priceDelta(transaction.getUnderlyingOption(), blackData);
final double txnDelta = securityDelta
* transaction.getQuantity()
* transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()
* transaction.getUnderlyingOption().getUnderlyingFuture().getPaymentAccrualFactor();
return txnDelta;
}
/**
* Computes the present value volatility sensitivity of a transaction.
* @param transaction The future option transaction.
* @param blackData The curve and Black volatility data.
* @return The present value curve sensitivity.
*/
public double presentValueVega(final InterestRateFutureOptionMarginTransaction transaction, final BlackSTIRFuturesSmileProviderInterface blackData) {
final double securitySensitivity = getSecurityMethod().priceVega(transaction.getUnderlyingOption(), blackData);
final double txnSensitivity = securitySensitivity
* transaction.getQuantity()
* transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()
* transaction.getUnderlyingOption().getUnderlyingFuture().getPaymentAccrualFactor();
return txnSensitivity;
}
}