/**
* 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 com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction;
import com.opengamma.analytics.financial.provider.description.interestrate.SABRSTIRFuturesProviderInterface;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
* Method for the pricing of interest rate future options with up-front premium. The pricing is done with a SABR approach on the future rate (1.0-price).
* The SABR parameters are represented by (expiration-delay) surfaces. The "delay" is the time between option expiration and future last trading date,
* i.e. 0 for normal options and x for x-year mid-curve options.
*/
public final class InterestRateFutureOptionMarginTransactionSABRMethod extends InterestRateFutureOptionMarginTransactionGenericMethod<SABRSTIRFuturesProviderInterface> {
/**
* Creates the method unique instance.
*/
private static final InterestRateFutureOptionMarginTransactionSABRMethod INSTANCE = new InterestRateFutureOptionMarginTransactionSABRMethod();
/**
* Constructor.
*/
private InterestRateFutureOptionMarginTransactionSABRMethod() {
super(InterestRateFutureOptionMarginSecuritySABRMethod.getInstance());
}
/**
* Return the method unique instance.
* @return The instance.
*/
public static InterestRateFutureOptionMarginTransactionSABRMethod getInstance() {
return INSTANCE;
}
/**
* Returns the method to compute the underlying security price and price curve sensitivity.
* @return The method.
*/
@Override
public InterestRateFutureOptionMarginSecuritySABRMethod getSecurityMethod() {
return (InterestRateFutureOptionMarginSecuritySABRMethod) super.getSecurityMethod();
}
/**
* Computes the present value of a transaction from the future price and curve/volatility data.
* @param transaction The future option transaction.
* @param sabrData The SABR and multi-curves provider.
* @param priceFuture The price of the underlying future.
* @return The present value.
*/
public MultipleCurrencyAmount presentValueFromFuturePrice(final InterestRateFutureOptionMarginTransaction transaction, final SABRSTIRFuturesProviderInterface sabrData, final double priceFuture) {
ArgumentChecker.notNull(transaction, "Transaction on option on STIR futures");
ArgumentChecker.notNull(sabrData, "SABR / multi-curves provider");
double priceSecurity = getSecurityMethod().priceFromFuturePrice(transaction.getUnderlyingOption(), sabrData, priceFuture);
MultipleCurrencyAmount priceTransaction = presentValueFromPrice(transaction, priceSecurity);
return priceTransaction;
}
/**
* Computes the present value curve sensitivity of a transaction.
* @param transaction The future option transaction.
* @param sabrData The SABR and multi-curves provider.
* @return The present value curve sensitivity.
*/
public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final InterestRateFutureOptionMarginTransaction transaction, final SABRSTIRFuturesProviderInterface sabrData) {
PresentValueSABRSensitivityDataBundle securitySensitivity = getSecurityMethod().priceSABRSensitivity(transaction.getUnderlyingOption(), sabrData);
securitySensitivity = securitySensitivity.multiplyBy(transaction.getQuantity() * transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()
* transaction.getUnderlyingOption().getUnderlyingFuture().getPaymentAccrualFactor());
return securitySensitivity;
}
}