/**
* 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.provider;
import java.util.ArrayList;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborGearing;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.ForwardSensitivity;
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;
import com.opengamma.util.tuple.DoublesPair;
/**
* Method to compute present value and present value sensitivity for Ibor coupon with gearing factor and spread.
*/
public final class CouponIborGearingDiscountingMethod {
/**
* The method unique instance.
*/
private static final CouponIborGearingDiscountingMethod INSTANCE = new CouponIborGearingDiscountingMethod();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static CouponIborGearingDiscountingMethod getInstance() {
return INSTANCE;
}
/**
* Private constructor.
*/
private CouponIborGearingDiscountingMethod() {
}
/**
* Compute the present value of a Ibor coupon with gearing factor and spread by discounting.
* @param coupon The coupon.
* @param multicurves The multi-curve provider.
* @return The present value.
*/
public MultipleCurrencyAmount presentValue(final CouponIborGearing coupon, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(coupon, "Coupon");
ArgumentChecker.notNull(multicurves, "Multi-curves");
final double forward = multicurves.getForwardRate(coupon.getIndex(), coupon.getFixingPeriodStartTime(), coupon.getFixingPeriodEndTime(), coupon.getFixingAccrualFactor());
final double df = multicurves.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime());
final double value = (coupon.getNotional() * coupon.getPaymentYearFraction() * (coupon.getFactor() * forward) + coupon.getSpreadAmount()) * df;
return MultipleCurrencyAmount.of(coupon.getCurrency(), value);
}
/**
* Compute the present value sensitivity to rates of a Ibor coupon with gearing and spread by discounting.
* @param coupon The coupon.
* @param multicurves The multi-curve provider.
* @return The present value sensitivity.
*/
public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final CouponIborGearing coupon, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(coupon, "Coupon");
ArgumentChecker.notNull(multicurves, "Curves");
final double forward = multicurves.getForwardRate(coupon.getIndex(), coupon.getFixingPeriodStartTime(), coupon.getFixingPeriodEndTime(), coupon.getFixingAccrualFactor());
final double df = multicurves.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime());
// Backward sweep
final double pvBar = 1.0;
final double forwardBar = coupon.getNotional() * coupon.getPaymentYearFraction() * coupon.getFactor() * df * pvBar;
final double dfBar = (coupon.getNotional() * coupon.getPaymentYearFraction() * (coupon.getFactor() * forward) + coupon.getSpreadAmount()) * pvBar;
final Map<String, List<DoublesPair>> mapDsc = new HashMap<>();
final List<DoublesPair> listDiscounting = new ArrayList<>();
listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
mapDsc.put(multicurves.getName(coupon.getCurrency()), listDiscounting);
final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
final List<ForwardSensitivity> listForward = new ArrayList<>();
listForward.add(new ForwardSensitivity(coupon.getFixingPeriodStartTime(), coupon.getFixingPeriodEndTime(), coupon.getFixingAccrualFactor(), forwardBar));
mapFwd.put(multicurves.getName(coupon.getIndex()), listForward);
final MultipleCurrencyMulticurveSensitivity result = MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
return result;
}
}