/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.payments.method;
import java.util.ArrayList;
import java.util.List;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.method.PricingMethod;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborSpread;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.util.money.CurrencyAmount;
import com.opengamma.util.tuple.DoublesPair;
/**
* Method to compute present value and present value sensitivity for Ibor coupon.
* @deprecated Use {@link com.opengamma.analytics.financial.interestrate.payments.provider.CouponIborSpreadDiscountingMethod}
*/
@Deprecated
public final class CouponIborSpreadDiscountingMethod implements PricingMethod {
/**
* The method unique instance.
*/
private static final CouponIborSpreadDiscountingMethod INSTANCE = new CouponIborSpreadDiscountingMethod();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static CouponIborSpreadDiscountingMethod getInstance() {
return INSTANCE;
}
/**
* Private constructor.
*/
private CouponIborSpreadDiscountingMethod() {
}
/**
* Compute the present value of a Ibor coupon with spread by discounting.
* @param coupon The coupon.
* @param curves The yield curves. Should contain the discounting and forward curves associated.
* @return The present value.
*/
public CurrencyAmount presentValue(final CouponIborSpread coupon, final YieldCurveBundle curves) {
Validate.notNull(coupon, "Coupon");
Validate.notNull(curves, "Curves");
final YieldAndDiscountCurve forwardCurve = curves.getCurve(coupon.getForwardCurveName());
final YieldAndDiscountCurve discountingCurve = curves.getCurve(coupon.getFundingCurveName());
final double forward = (forwardCurve.getDiscountFactor(coupon.getFixingPeriodStartTime()) / forwardCurve.getDiscountFactor(coupon.getFixingPeriodEndTime()) - 1) / coupon.getFixingAccrualFactor();
final double df = discountingCurve.getDiscountFactor(coupon.getPaymentTime());
final double value = (coupon.getNotional() * coupon.getPaymentYearFraction() * forward + coupon.getSpreadAmount()) * df;
return CurrencyAmount.of(coupon.getCurrency(), value);
}
@Override
public CurrencyAmount presentValue(final InstrumentDerivative instrument, final YieldCurveBundle curves) {
Validate.isTrue(instrument instanceof CouponIborSpread, "Coupon Ibor Spread");
return presentValue((CouponIborSpread) instrument, curves);
}
/**
* Computes the present value of the coupon without the spread part and with a positive notional.
* @param coupon The coupon.
* @param curves The yield curves. Should contain the discounting and forward curves associated.
* @return The present value.
*/
public CurrencyAmount presentValueNoSpreadPositiveNotional(final CouponIborSpread coupon, final YieldCurveBundle curves) {
Validate.notNull(coupon, "Coupon");
Validate.notNull(curves, "Curves");
final YieldAndDiscountCurve forwardCurve = curves.getCurve(coupon.getForwardCurveName());
final YieldAndDiscountCurve discountingCurve = curves.getCurve(coupon.getFundingCurveName());
final double forward = (forwardCurve.getDiscountFactor(coupon.getFixingPeriodStartTime()) / forwardCurve.getDiscountFactor(coupon.getFixingPeriodEndTime()) - 1) / coupon.getFixingAccrualFactor();
final double df = discountingCurve.getDiscountFactor(coupon.getPaymentTime());
final double value = (Math.abs(coupon.getNotional()) * coupon.getPaymentYearFraction() * forward) * df;
return CurrencyAmount.of(coupon.getCurrency(), value);
}
/**
* Compute the present value sensitivity to rates of a Ibor coupon by discounting.
* @param coupon The coupon.
* @param curves The yield curves. Should contain the discounting and forward curves associated.
* @return The present value sensitivity.
*/
public InterestRateCurveSensitivity presentValueCurveSensitivity(final CouponIborSpread coupon, final YieldCurveBundle curves) {
Validate.notNull(coupon, "Coupon");
Validate.notNull(curves, "Curves");
final YieldAndDiscountCurve forwardCurve = curves.getCurve(coupon.getForwardCurveName());
final YieldAndDiscountCurve discountingCurve = curves.getCurve(coupon.getFundingCurveName());
final double df = discountingCurve.getDiscountFactor(coupon.getPaymentTime());
final double dfForwardStart = forwardCurve.getDiscountFactor(coupon.getFixingPeriodStartTime());
final double dfForwardEnd = forwardCurve.getDiscountFactor(coupon.getFixingPeriodEndTime());
final double forward = (dfForwardStart / dfForwardEnd - 1.0) / coupon.getFixingAccrualFactor();
// final double pv = (coupon.getNotional() * coupon.getPaymentYearFraction() * forward + coupon.getSpreadAmount()) * df;
// Backward sweep
final double pvBar = 1.0;
final double forwardBar = coupon.getNotional() * coupon.getPaymentYearFraction() * df * pvBar;
final double dfForwardEndBar = -dfForwardStart / (dfForwardEnd * dfForwardEnd) / coupon.getFixingAccrualFactor() * forwardBar;
final double dfForwardStartBar = 1.0 / (coupon.getFixingAccrualFactor() * dfForwardEnd) * forwardBar;
final double dfBar = (coupon.getNotional() * coupon.getPaymentYearFraction() * forward + coupon.getSpreadAmount()) * pvBar;
InterestRateCurveSensitivity result = new InterestRateCurveSensitivity();
final List<DoublesPair> listDiscounting = new ArrayList<>();
listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
result = result.plus(coupon.getFundingCurveName(), listDiscounting);
final List<DoublesPair> listForward = new ArrayList<>();
listForward.add(new DoublesPair(coupon.getFixingPeriodStartTime(), -coupon.getFixingPeriodStartTime() * dfForwardStart * dfForwardStartBar));
listForward.add(new DoublesPair(coupon.getFixingPeriodEndTime(), -coupon.getFixingPeriodEndTime() * dfForwardEnd * dfForwardEndBar));
result = result.plus(coupon.getForwardCurveName(), listForward);
return result;
}
/**
* Compute the par rate (Ibor forward) of a Ibor coupon by discounting. The par rate is the same with or without spread.
* @param coupon The coupon.
* @param curves The yield curves. Should contain the discounting and forward curves associated.
* @return The present value.
*/
public double parRate(final CouponIborSpread coupon, final YieldCurveBundle curves) {
Validate.notNull(coupon, "Coupon");
Validate.notNull(curves, "Curves");
final YieldAndDiscountCurve curve = curves.getCurve(coupon.getForwardCurveName());
return (curve.getDiscountFactor(coupon.getFixingPeriodStartTime()) / curve.getDiscountFactor(coupon.getFixingPeriodEndTime()) - 1.0) / coupon.getFixingAccrualFactor();
}
/**
* Compute the par rate (Ibor forward) sensitivity to rates of a Ibor coupon by discounting.
* @param coupon The coupon.
* @param curves The yield curves. Should contain the discounting and forward curves associated.
* @return The par rate curve sensitivity.
*/
public InterestRateCurveSensitivity parRateCurveSensitivity(final CouponIborSpread coupon, final YieldCurveBundle curves) {
Validate.notNull(coupon, "Coupon");
Validate.notNull(curves, "Curves");
final YieldAndDiscountCurve forwardCurve = curves.getCurve(coupon.getForwardCurveName());
final double dfForwardStart = forwardCurve.getDiscountFactor(coupon.getFixingPeriodStartTime());
final double dfForwardEnd = forwardCurve.getDiscountFactor(coupon.getFixingPeriodEndTime());
// Backward sweep
final double parRateBar = 1.0;
final double dfForwardEndBar = -dfForwardStart / (dfForwardEnd * dfForwardEnd) / coupon.getFixingAccrualFactor() * parRateBar;
final double dfForwardStartBar = 1.0 / (coupon.getFixingAccrualFactor() * dfForwardEnd) * parRateBar;
final List<DoublesPair> listForward = new ArrayList<>();
listForward.add(new DoublesPair(coupon.getFixingPeriodStartTime(), -coupon.getFixingPeriodStartTime() * dfForwardStart * dfForwardStartBar));
listForward.add(new DoublesPair(coupon.getFixingPeriodEndTime(), -coupon.getFixingPeriodEndTime() * dfForwardEnd * dfForwardEndBar));
InterestRateCurveSensitivity result = new InterestRateCurveSensitivity();
result = result.plus(coupon.getForwardCurveName(), listForward);
return result;
}
}