/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.calculator.discounting;
import java.util.TreeMap;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityPaymentFixed;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIbor;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborGearing;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborSpread;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed;
import com.opengamma.analytics.financial.interestrate.swap.derivative.Swap;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Compute the cash flow equivalent of simple instruments (in single or multi-curve framework).
* The cash-flow equivalent have at most one payment by time and the times are sorted in ascending order.
* Reference: Henrard, M. The Irony in the derivatives discounting Part II: the crisis. Wilmott Journal, 2010, 2, 301-316
*/
public class CashFlowEquivalentCalculator extends InstrumentDerivativeVisitorAdapter<MulticurveProviderInterface, AnnuityPaymentFixed> {
/**
* The unique instance of the calculator.
*/
private static final CashFlowEquivalentCalculator s_instance = new CashFlowEquivalentCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static CashFlowEquivalentCalculator getInstance() {
return s_instance;
}
/**
* Constructor.
*/
CashFlowEquivalentCalculator() {
}
@Override
public AnnuityPaymentFixed visitFixedPayment(final PaymentFixed payment, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(payment, "Payment");
return new AnnuityPaymentFixed(new PaymentFixed[] {payment});
}
@Override
public AnnuityPaymentFixed visitCouponFixed(final CouponFixed coupon, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(coupon, "Coupon");
return new AnnuityPaymentFixed(new PaymentFixed[] {coupon.toPaymentFixed()});
}
@Override
public AnnuityPaymentFixed visitCouponIbor(final CouponIbor payment, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(payment, "Payment");
ArgumentChecker.notNull(multicurves, "Multicurves provider");
final Currency ccy = payment.getCurrency();
final double fixingStartTime = payment.getFixingPeriodStartTime();
final double fixingEndTime = payment.getFixingPeriodEndTime();
final double paymentTime = payment.getPaymentTime();
final double beta = (1.0 + payment.getFixingAccrualFactor() * multicurves.getForwardRate(payment.getIndex(), fixingStartTime, fixingEndTime, payment.getFixingAccrualFactor()))
* multicurves.getDiscountFactor(ccy, paymentTime) / multicurves.getDiscountFactor(ccy, fixingStartTime);
final PaymentFixed paymentStart = new PaymentFixed(payment.getCurrency(), fixingStartTime, beta * payment.getNotional() * payment.getPaymentYearFraction() / payment.getFixingAccrualFactor());
final PaymentFixed paymentEnd = new PaymentFixed(payment.getCurrency(), paymentTime, -payment.getNotional() * payment.getPaymentYearFraction() / payment.getFixingAccrualFactor());
return new AnnuityPaymentFixed(new PaymentFixed[] {paymentStart, paymentEnd});
}
@Override
public AnnuityPaymentFixed visitCouponIborSpread(final CouponIborSpread payment, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(payment, "Payment");
ArgumentChecker.notNull(multicurves, "Multicurves provider");
final Currency ccy = payment.getCurrency();
final double fixingStartTime = payment.getFixingPeriodStartTime();
final double fixingEndTime = payment.getFixingPeriodEndTime();
final double paymentTime = payment.getPaymentTime();
final double beta = (1.0 + payment.getFixingAccrualFactor() * multicurves.getForwardRate(payment.getIndex(), fixingStartTime, fixingEndTime, payment.getFixingAccrualFactor()))
* multicurves.getDiscountFactor(ccy, paymentTime) / multicurves.getDiscountFactor(ccy, fixingStartTime);
final PaymentFixed paymentStart = new PaymentFixed(payment.getCurrency(), fixingStartTime, beta * payment.getNotional() * payment.getPaymentYearFraction() / payment.getFixingAccrualFactor());
final PaymentFixed paymentEnd = new PaymentFixed(payment.getCurrency(), paymentTime, (-payment.getNotional() + payment.getSpreadAmount()) * payment.getPaymentYearFraction()
/ payment.getFixingAccrualFactor());
return new AnnuityPaymentFixed(new PaymentFixed[] {paymentStart, paymentEnd});
}
@Override
public AnnuityPaymentFixed visitCouponIborGearing(final CouponIborGearing payment, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(payment, "Payment");
ArgumentChecker.notNull(multicurves, "Multicurves provider");
final Currency ccy = payment.getCurrency();
final double fixingStartTime = payment.getFixingPeriodStartTime();
final double fixingEndTime = payment.getFixingPeriodEndTime();
final double paymentTime = payment.getPaymentTime();
final double beta = (1.0 + payment.getFixingAccrualFactor() * multicurves.getForwardRate(payment.getIndex(), fixingStartTime, fixingEndTime, payment.getFixingAccrualFactor()))
* multicurves.getDiscountFactor(ccy, paymentTime) / multicurves.getDiscountFactor(ccy, fixingStartTime);
final PaymentFixed paymentStart = new PaymentFixed(payment.getCurrency(), fixingStartTime, payment.getFactor() * beta * payment.getNotional() * payment.getPaymentYearFraction()
/ payment.getFixingAccrualFactor());
final PaymentFixed paymentEnd = new PaymentFixed(payment.getCurrency(), paymentTime, (-payment.getFactor() / payment.getFixingAccrualFactor() + payment.getSpread()) *
payment.getPaymentYearFraction() * payment.getNotional());
return new AnnuityPaymentFixed(new PaymentFixed[] {paymentStart, paymentEnd});
}
@Override
public AnnuityPaymentFixed visitGenericAnnuity(final Annuity<? extends Payment> annuity, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(annuity, "Annuity");
ArgumentChecker.notNull(multicurves, "Multicurves provider");
final TreeMap<Double, Double> flow = new TreeMap<>();
final Currency ccy = annuity.getCurrency();
for (final Payment p : annuity.getPayments()) {
final AnnuityPaymentFixed cfe = p.accept(this, multicurves);
for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
addcf(flow, cfe.getNthPayment(loopcf).getPaymentTime(), cfe.getNthPayment(loopcf).getAmount());
}
}
final PaymentFixed[] agregatedCfe = new PaymentFixed[flow.size()];
int loopcf = 0;
for (final double time : flow.keySet()) {
agregatedCfe[loopcf++] = new PaymentFixed(ccy, time, flow.get(time));
}
return new AnnuityPaymentFixed(agregatedCfe);
}
@Override
public AnnuityPaymentFixed visitFixedCouponAnnuity(final AnnuityCouponFixed annuity, final MulticurveProviderInterface multicurves) {
return visitGenericAnnuity(annuity, multicurves);
}
@Override
public AnnuityPaymentFixed visitSwap(final Swap<?, ?> swap, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(swap, "Swap");
ArgumentChecker.notNull(multicurves, "Multicurves provider");
final Currency ccy = swap.getFirstLeg().getCurrency();
Validate.isTrue(ccy.equals(swap.getSecondLeg().getCurrency()), "Cash flow equivalent available only for single currency swaps.");
final TreeMap<Double, Double> flow = new TreeMap<>();
final AnnuityPaymentFixed cfeLeg1 = swap.getFirstLeg().accept(this, multicurves);
final AnnuityPaymentFixed cfeLeg2 = swap.getSecondLeg().accept(this, multicurves);
for (final PaymentFixed p : cfeLeg1.getPayments()) {
flow.put(p.getPaymentTime(), p.getAmount());
}
for (final PaymentFixed p : cfeLeg2.getPayments()) {
addcf(flow, p.getPaymentTime(), p.getAmount());
}
final PaymentFixed[] agregatedCfe = new PaymentFixed[flow.size()];
int loopcf = 0;
for (final double time : flow.keySet()) {
agregatedCfe[loopcf++] = new PaymentFixed(ccy, time, flow.get(time));
}
return new AnnuityPaymentFixed(agregatedCfe);
}
@Override
public AnnuityPaymentFixed visitFixedCouponSwap(final SwapFixedCoupon<?> swap, final MulticurveProviderInterface multicurves) {
return visitSwap(swap, multicurves);
}
@Override
public AnnuityPaymentFixed visitBondFixedSecurity(final BondFixedSecurity bond, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(bond, "Bond");
ArgumentChecker.notNull(multicurves, "Multicurves provider");
final Currency ccy = bond.getCurrency();
final TreeMap<Double, Double> flow = new TreeMap<>();
final AnnuityPaymentFixed cfeNom = bond.getNominal().accept(this, multicurves);
final AnnuityPaymentFixed cfeCpn = bond.getCoupon().accept(this, multicurves);
for (final PaymentFixed p : cfeNom.getPayments()) {
flow.put(p.getPaymentTime(), p.getAmount());
}
for (final PaymentFixed p : cfeCpn.getPayments()) {
addcf(flow, p.getPaymentTime(), p.getAmount());
}
final PaymentFixed[] agregatedCfe = new PaymentFixed[flow.size()];
int loopcf = 0;
for (final double time : flow.keySet()) {
agregatedCfe[loopcf++] = new PaymentFixed(ccy, time, flow.get(time));
}
return new AnnuityPaymentFixed(agregatedCfe);
}
/**
* Add a cash flow amount at a given time in the flow map. If the time is present, the amount is added; if the time is not present a new entry is created.
* @param flow The map describing the cash flows.
* @param time The time of the flow to add.
* @param amount The amount of the flow to add.
*/
private static void addcf(final TreeMap<Double, Double> flow, final double time, final double amount) {
if (flow.containsKey(time)) {
flow.put(time, flow.get(time) + amount);
} else {
flow.put(time, amount);
}
}
}