/**
* Copyright (C) 2011 - 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.HashMap;
import java.util.List;
import java.util.Map;
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.CouponON;
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 its sensitivities for OIS coupons.
* @deprecated {@link PricingMethod} is deprecated.
*/
@Deprecated
public final class CouponONDiscountingMethod implements PricingMethod {
/**
* The method unique instance.
*/
private static final CouponONDiscountingMethod INSTANCE = new CouponONDiscountingMethod();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static CouponONDiscountingMethod getInstance() {
return INSTANCE;
}
/**
* Private constructor.
*/
private CouponONDiscountingMethod() {
}
/**
* Computes the present value.
* @param coupon The coupon.
* @param curves The curves.
* @return The present value.
*/
public CurrencyAmount presentValue(final CouponON 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 ratio = forwardCurve.getDiscountFactor(coupon.getFixingPeriodStartTime()) / forwardCurve.getDiscountFactor(coupon.getFixingPeriodEndTime());
final double df = discountingCurve.getDiscountFactor(coupon.getPaymentTime());
final double value = (coupon.getNotionalAccrued() * ratio - coupon.getNotional()) * df;
return CurrencyAmount.of(coupon.getCurrency(), value);
}
@Override
public CurrencyAmount presentValue(final InstrumentDerivative instrument, final YieldCurveBundle curves) {
Validate.isTrue(instrument instanceof CouponON, "Coupon OIS");
return presentValue((CouponON) instrument, curves);
}
/**
* Compute the present value sensitivity to rates of a OIS coupon by discounting.
* @param coupon The coupon.
* @param curves The yield curves. Should contain the discounting and forward curves associated.
* @return The present value curve sensitivities.
*/
public InterestRateCurveSensitivity presentValueCurveSensitivity(final CouponON 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 dfRatioStart = forwardCurve.getDiscountFactor(coupon.getFixingPeriodStartTime());
final double dfRatioEnd = forwardCurve.getDiscountFactor(coupon.getFixingPeriodEndTime());
final double ratio = dfRatioStart / dfRatioEnd;
// Backward sweep
final double pvBar = 1.0;
final double ratioBar = coupon.getNotionalAccrued() * df * pvBar;
final double dfRatioEndBar = -dfRatioStart / (dfRatioEnd * dfRatioEnd) * ratioBar;
final double dfRatioStartBar = 1.0 / dfRatioEnd * ratioBar;
final double dfBar = (coupon.getNotionalAccrued() * ratio - coupon.getNotional()) * pvBar;
final Map<String, List<DoublesPair>> resultMapDsc = new HashMap<>();
final List<DoublesPair> listDiscounting = new ArrayList<>();
listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
resultMapDsc.put(coupon.getFundingCurveName(), listDiscounting);
InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMapDsc);
final Map<String, List<DoublesPair>> resultMapFwd = new HashMap<>();
final List<DoublesPair> listForward = new ArrayList<>();
listForward.add(new DoublesPair(coupon.getFixingPeriodStartTime(), -coupon.getFixingPeriodStartTime() * dfRatioStart * dfRatioStartBar));
listForward.add(new DoublesPair(coupon.getFixingPeriodEndTime(), -coupon.getFixingPeriodEndTime() * dfRatioEnd * dfRatioEndBar));
resultMapFwd.put(coupon.getForwardCurveName(), listForward);
result = result.plus(new InterestRateCurveSensitivity(resultMapFwd));
return result;
}
/**
* Computes the par rate, i.e. the fair rate for the remaining period.
* @param coupon The coupon.
* @param curves The curves.
* @return The par rate.
*/
public double parRate(final CouponON 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());
final double forward = (dfForwardStart / dfForwardEnd - 1.0) / coupon.getFixingPeriodAccrualFactor();
return forward;
}
/**
* Computes the par rate sensitivity to the curve rates.
* @param coupon The coupon.
* @param curves The curves.
* @return The sensitivities.
*/
public InterestRateCurveSensitivity parRateCurveSensitivity(final CouponON 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 forwardBar = 1.0;
final double dfForwardEndBar = -dfForwardStart / (dfForwardEnd * dfForwardEnd) / coupon.getFixingPeriodAccrualFactor() * forwardBar;
final double dfForwardStartBar = 1.0 / (coupon.getFixingPeriodAccrualFactor() * dfForwardEnd) * forwardBar;
final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
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));
resultMap.put(coupon.getForwardCurveName(), listForward);
final InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
return result;
}
}