/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.calculator.generic;
import java.util.ArrayList;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import java.util.Set;
import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.provider.description.interestrate.ParameterProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.analytics.math.rootfinding.BracketRoot;
import com.opengamma.analytics.math.rootfinding.BrentSingleRootFinder;
import com.opengamma.analytics.math.rootfinding.RealSingleRootFinder;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.tuple.DoublesPair;
/**
* Calculates the z-spread of an annuity to a curve. The z-spread is defined as
* the flat spread over the curve that is required to make the present value
* equal to the price.
*
* @param <T> The type of {@link ParameterProviderInterface} that is required
* to calculate present value for the annuity.
*/
public class ZSpreadCalculator<T extends ParameterProviderInterface> {
/** Brackets a root */
private static final BracketRoot ROOT_BRACKETER = new BracketRoot();
/** The root-finder */
private static final RealSingleRootFinder ROOT_FINDER = new BrentSingleRootFinder();
/** The present value calculator */
private final InstrumentDerivativeVisitor<T, MultipleCurrencyAmount> _pvCalculator;
/** The present value sensitivity calculator */
private final InstrumentDerivativeVisitor<T, MultipleCurrencyMulticurveSensitivity> _pvSensitivityCalculator;
/**
* @param pvCalculator The present value calculator, not null
* @param pvSensitivityCalculator The present value sensitivity calculator, not null
*/
public ZSpreadCalculator(final InstrumentDerivativeVisitor<T, MultipleCurrencyAmount> pvCalculator,
final InstrumentDerivativeVisitor<T, MultipleCurrencyMulticurveSensitivity> pvSensitivityCalculator) {
ArgumentChecker.notNull(pvCalculator, "present value calculator");
ArgumentChecker.notNull(pvSensitivityCalculator, "curve sensitivity calculator");
_pvCalculator = pvCalculator;
_pvSensitivityCalculator = pvSensitivityCalculator;
}
/**
* Calculates the z-spread of an annuity given curves and a price.
* @param annuity The annuity, not null
* @param curves The curves, not null
* @param price The price of the annuity
* @return The z-spread
*/
public double calculateZSpread(final Annuity<? extends Payment> annuity, final T curves, final double price) {
ArgumentChecker.notNull(annuity, "annuity");
ArgumentChecker.notNull(curves, "curves");
final Function1D<Double, Double> f = new Function1D<Double, Double>() {
@Override
public Double evaluate(final Double y) {
return calculatePriceForZSpread(annuity, curves, y) - price;
}
};
final double[] range = ROOT_BRACKETER.getBracketedPoints(f, 0.0, 1.2);
return ROOT_FINDER.getRoot(f, range[0], range[1]);
}
/**
* Calculates the price of an annuity given curves and a z-spread.
* @param annuity The annuity, not null
* @param curves The curves, not null
* @param zSpread The z-spread of the annuity
* @return The price of the annuity
*/
public double calculatePriceForZSpread(final Annuity<? extends Payment> annuity, final T curves, final double zSpread) {
ArgumentChecker.notNull(annuity, "annuity");
ArgumentChecker.notNull(curves, "curves");
double sum = 0;
final int n = annuity.getNumberOfPayments();
Payment payment;
for (int i = 0; i < n; i++) {
payment = annuity.getNthPayment(i);
final MultipleCurrencyAmount pvs = payment.accept(_pvCalculator, curves);
if (pvs.size() != 1) {
throw new IllegalStateException("Had more than one currency in result: " + pvs.getCurrencyAmounts());
}
final double pv = Iterables.getOnlyElement(pvs).getAmount();
sum += pv * Math.exp(-zSpread * payment.getPaymentTime());
}
return sum;
}
/**
* Calculates the sensitivity of the price of an annuity to the z-spread.
* @param annuity The annuity, not null
* @param curves The curves, not null
* @param zSpread The z-spread
* @return The sensitivity of the price to the z-spread
*/
public double calculatePriceSensitivityToZSpread(final Annuity<? extends Payment> annuity, final T curves, final double zSpread) {
ArgumentChecker.notNull(annuity, "annuity");
ArgumentChecker.notNull(curves, "curves");
double sum = 0;
final int n = annuity.getNumberOfPayments();
Payment payment;
for (int i = 0; i < n; i++) {
payment = annuity.getNthPayment(i);
final MultipleCurrencyAmount pvs = payment.accept(_pvCalculator, curves);
if (pvs.size() != 1) {
throw new IllegalStateException("Had more than one currency in result: " + pvs.getCurrencyAmounts());
}
final double pv = Iterables.getOnlyElement(pvs).getAmount();
final double time = payment.getPaymentTime();
sum -= time * pv * Math.exp(-zSpread * time);
}
return sum;
}
/**
* Calculates the sensitivity of the price of an annuity to the curve.
* @param annuity The annuity, not null
* @param curves The curves, not null
* @param zSpread The z-spread
* @return The sensitivity of the price to the z-spread
*/
public Map<String, List<DoublesPair>> calculatePriceSensitivityToCurve(final Annuity<? extends Payment> annuity, final T curves, final double zSpread) {
ArgumentChecker.notNull(annuity, "annuity");
ArgumentChecker.notNull(curves, "curves");
final MultipleCurrencyMulticurveSensitivity pvss = annuity.accept(_pvSensitivityCalculator, curves);
final Set<Currency> currencies = pvss.getCurrencies();
if (currencies.size() != 1) {
throw new IllegalStateException("Had more than one currency in result: " + pvss.getCurrencies());
}
final MulticurveSensitivity sensitivities = pvss.getSensitivity(Iterables.getOnlyElement(currencies));
if (Double.doubleToLongBits(zSpread) == 0) {
return sensitivities.getYieldDiscountingSensitivities();
}
final Map<String, List<DoublesPair>> result = new HashMap<>();
for (final Map.Entry<String, List<DoublesPair>> entry : sensitivities.getYieldDiscountingSensitivities().entrySet()) {
final List<DoublesPair> unadjusted = entry.getValue();
final ArrayList<DoublesPair> adjusted = new ArrayList<>(unadjusted.size());
for (final DoublesPair pair : unadjusted) {
final DoublesPair newPair = new DoublesPair(pair.first, pair.second * Math.exp(-zSpread * pair.first));
adjusted.add(newPair);
}
result.put(entry.getKey(), adjusted);
}
return result;
}
/**
* Calculates the sensitivity of the z-spread of an annuity to the curves.
* @param annuity The annuity, not null
* @param curves The curves, not null
* @param zSpread The z-spread
* @return The sensitivity of the price to the z-spread
*/
public Map<String, List<DoublesPair>> calculateZSpreadSensitivityToCurve(final Annuity<? extends Payment> annuity, final T curves, final double zSpread) {
ArgumentChecker.notNull(annuity, "annuity");
ArgumentChecker.notNull(curves, "curves");
final double dPricedZ = calculatePriceSensitivityToZSpread(annuity, curves, zSpread);
ArgumentChecker.isTrue(Double.doubleToLongBits(dPricedZ) != 0, "Price Sensitivity To ZSpread is zero");
final MultipleCurrencyMulticurveSensitivity pvss = annuity.accept(_pvSensitivityCalculator, curves);
final Set<Currency> currencies = pvss.getCurrencies();
if (currencies.size() != 1) {
throw new IllegalStateException("Had more than one currency in result: " + pvss.getCurrencies());
}
final MulticurveSensitivity sensitivities = pvss.getSensitivity(Iterables.getOnlyElement(currencies));
if (Double.doubleToLongBits(zSpread) == 0) {
return sensitivities.getYieldDiscountingSensitivities();
}
final Map<String, List<DoublesPair>> result = new HashMap<>();
for (final Map.Entry<String, List<DoublesPair>> entry : sensitivities.getYieldDiscountingSensitivities().entrySet()) {
final List<DoublesPair> unadjusted = entry.getValue();
final ArrayList<DoublesPair> adjusted = new ArrayList<>(unadjusted.size());
for (final DoublesPair pair : unadjusted) {
final DoublesPair newPair = new DoublesPair(pair.first, -pair.second * Math.exp(-zSpread * pair.first) / dPricedZ);
adjusted.add(newPair);
}
result.put(entry.getKey(), adjusted);
}
return result;
}
}