/**
* 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.ParameterProviderInterface;
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.MultipleCurrencyAmount;
/**
* Method for the pricing of interest rate future options with daily margining.
* @param <DATA_TYPE> Data type. Extends ParameterProviderInterface.
*/
public abstract class InterestRateFutureOptionMarginTransactionGenericMethod<DATA_TYPE extends ParameterProviderInterface> {
/**
* The method to compute the underlying security price and price curve sensitivity.
*/
private final InterestRateFutureOptionMarginSecurityGenericMethod<DATA_TYPE> _methodSecurity;
/**
* Constructor.
* @param methodSecurity The method to compute the underlying security price and price curve sensitivity.
*/
public InterestRateFutureOptionMarginTransactionGenericMethod(InterestRateFutureOptionMarginSecurityGenericMethod<DATA_TYPE> methodSecurity) {
_methodSecurity = methodSecurity;
}
/**
* Returns the method to compute the underlying security price and price curve sensitivity.
* @return The method.
*/
public InterestRateFutureOptionMarginSecurityGenericMethod<DATA_TYPE> getSecurityMethod() {
return _methodSecurity;
}
/**
* Compute the present value of a future transaction from a quoted price.
* @param option The future option.
* @param price The quoted price.
* @return The present value.
*/
public MultipleCurrencyAmount presentValueFromPrice(final InterestRateFutureOptionMarginTransaction option, final double price) {
ArgumentChecker.notNull(option, "Option on STIR futures");
double pv = (price - option.getReferencePrice()) * option.getUnderlyingOption().getUnderlyingFuture().getPaymentAccrualFactor() * option.getUnderlyingOption().getUnderlyingFuture().getNotional()
* option.getQuantity();
return MultipleCurrencyAmount.of(option.getUnderlyingOption().getCurrency(), pv);
}
/**
* Computes the present value of a transaction.
* @param transaction The future option transaction.
* @param data The data provider.
* @return The present value.
*/
public MultipleCurrencyAmount presentValue(final InterestRateFutureOptionMarginTransaction transaction, final DATA_TYPE data) {
ArgumentChecker.notNull(transaction, "Transaction on option on STIR futures");
ArgumentChecker.notNull(data, "data provider");
double priceSecurity = _methodSecurity.price(transaction.getUnderlyingOption(), data);
MultipleCurrencyAmount pvTransaction = presentValueFromPrice(transaction, priceSecurity);
return pvTransaction;
}
/**
* Computes the present value curve sensitivity of a transaction.
* @param transaction The future option transaction.
* @param data The data provider.
* @return The present value curve sensitivity.
*/
public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final InterestRateFutureOptionMarginTransaction transaction, final DATA_TYPE data) {
ArgumentChecker.notNull(transaction, "Transaction on option on STIR futures");
ArgumentChecker.notNull(data, "data provider");
MulticurveSensitivity securitySensitivity = _methodSecurity.priceCurveSensitivity(transaction.getUnderlyingOption(), data);
return MultipleCurrencyMulticurveSensitivity.of(
transaction.getCurrency(),
securitySensitivity.multipliedBy(transaction.getQuantity() * transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()
* transaction.getUnderlyingOption().getUnderlyingFuture().getPaymentAccrualFactor()));
}
}