/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.montecarlo.provider;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponIborRatchet;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityPaymentFixed;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorIbor;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFloating;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionCashFixedIbor;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionPhysicalFixedIbor;
import com.opengamma.analytics.financial.montecarlo.DecisionSchedule;
import com.opengamma.analytics.financial.provider.calculator.discounting.CashFlowEquivalentCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
/**
* Calculator of decision schedule for different instruments. Used in particular for Monte Carlo pricing.
*/
public class DecisionScheduleCalculator extends InstrumentDerivativeVisitorAdapter<MulticurveProviderInterface, DecisionSchedule> {
/**
* The unique instance of the calculator.
*/
private static final DecisionScheduleCalculator INSTANCE = new DecisionScheduleCalculator();
/**
* Constructor.
*/
DecisionScheduleCalculator() {
}
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static DecisionScheduleCalculator getInstance() {
return INSTANCE;
}
/**
* The cash-flow equivalent calculator.
*/
private static final CashFlowEquivalentCalculator CFEC = CashFlowEquivalentCalculator.getInstance();
@Override
public DecisionSchedule visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final MulticurveProviderInterface multicurves) {
final double[] decisionTime = new double[] {swaption.getTimeToExpiry()};
final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, multicurves);
final double[][] impactTime = new double[1][cfe.getNumberOfPayments()];
final double[][] impactAmount = new double[1][cfe.getNumberOfPayments()];
for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
impactTime[0][loopcf] = cfe.getNthPayment(loopcf).getPaymentTime();
impactAmount[0][loopcf] = cfe.getNthPayment(loopcf).getAmount();
}
final DecisionSchedule decision = new DecisionSchedule(decisionTime, impactTime, impactAmount);
return decision;
}
@Override
public DecisionSchedule visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final MulticurveProviderInterface multicurves) {
final double[] decisionTime = new double[] {swaption.getTimeToExpiry()};
final AnnuityPaymentFixed cfeIbor = swaption.getUnderlyingSwap().getSecondLeg().accept(CFEC, multicurves);
final int nbCfeIbor = cfeIbor.getNumberOfPayments();
final int nbCpnFixed = swaption.getUnderlyingSwap().getFixedLeg().getNumberOfPayments();
final double[][] impactTime = new double[1][nbCpnFixed + nbCfeIbor];
final double[][] impactAmount = new double[1][nbCpnFixed + nbCfeIbor];
// Fixed leg
for (int loopcf = 0; loopcf < nbCpnFixed; loopcf++) {
impactTime[0][loopcf] = swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentTime();
impactAmount[0][loopcf] = swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction()
* swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getNotional();
}
// Ibor leg
for (int loopcf = 0; loopcf < nbCfeIbor; loopcf++) {
impactTime[0][nbCpnFixed + loopcf] = cfeIbor.getNthPayment(loopcf).getPaymentTime();
impactAmount[0][nbCpnFixed + loopcf] = cfeIbor.getNthPayment(loopcf).getAmount();
}
final DecisionSchedule decision = new DecisionSchedule(decisionTime, impactTime, impactAmount);
return decision;
}
@Override
public DecisionSchedule visitCapFloorIbor(final CapFloorIbor payment, final MulticurveProviderInterface multicurves) {
final double[] decisionTime = new double[] {payment.getFixingTime()};
final double fixingStartTime = payment.getFixingPeriodStartTime();
final double fixingEndTime = payment.getFixingPeriodEndTime();
final double paymentTime = payment.getPaymentTime();
final double[][] impactTime = new double[1][];
impactTime[0] = new double[] {fixingStartTime, fixingEndTime, paymentTime};
final double[][] impactAmount = new double[1][];
double forward = multicurves.getForwardRate(payment.getIndex(), payment.getFixingPeriodStartTime(), payment.getFixingPeriodEndTime(), payment.getFixingAccrualFactor());
final double beta = (1.0 + payment.getFixingAccrualFactor() * forward) * multicurves.getDiscountFactor(payment.getCurrency(), payment.getFixingPeriodEndTime())
/ multicurves.getDiscountFactor(payment.getCurrency(), payment.getFixingPeriodStartTime());
impactAmount[0] = new double[] {beta, -1.0, 1.0};
final DecisionSchedule decision = new DecisionSchedule(decisionTime, impactTime, impactAmount);
return decision;
}
@Override
public DecisionSchedule visitAnnuityCouponIborRatchet(final AnnuityCouponIborRatchet annuity, final MulticurveProviderInterface multicurves) {
final int nbCpn = annuity.getNumberOfPayments();
final double[] decisionTime = new double[nbCpn];
final double[][] impactTime = new double[nbCpn][];
final double[][] impactAmount = new double[nbCpn][];
for (int loopcpn = 0; loopcpn < nbCpn; loopcpn++) {
final AnnuityPaymentFixed cfe = annuity.getNthPayment(loopcpn).accept(CFEC, multicurves);
decisionTime[loopcpn] = annuity.isFixed()[loopcpn] ? 0.0 : ((CouponFloating) annuity.getNthPayment(loopcpn)).getFixingTime();
impactTime[loopcpn] = new double[cfe.getNumberOfPayments()];
impactAmount[loopcpn] = new double[cfe.getNumberOfPayments()];
for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
impactTime[loopcpn][loopcf] = cfe.getNthPayment(loopcf).getPaymentTime();
impactAmount[loopcpn][loopcf] = cfe.getNthPayment(loopcf).getAmount();
}
}
final DecisionSchedule decision = new DecisionSchedule(decisionTime, impactTime, impactAmount);
return decision;
}
}