/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.calculator.inflation;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
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.inflation.derivative.CouponInflationYearOnYearInterpolation;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationYearOnYearInterpolationWithMargin;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationYearOnYearMonthly;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationYearOnYearMonthlyWithMargin;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationZeroCouponInterpolation;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationZeroCouponInterpolationGearing;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationZeroCouponMonthly;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationZeroCouponMonthlyGearing;
import com.opengamma.analytics.financial.interestrate.inflation.provider.CouponInflationYearOnYearInterpolationDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.inflation.provider.CouponInflationYearOnYearInterpolationWithMarginDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.inflation.provider.CouponInflationYearOnYearMonthlyDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.inflation.provider.CouponInflationYearOnYearMonthlyWithMarginDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.inflation.provider.CouponInflationZeroCouponInterpolationDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.inflation.provider.CouponInflationZeroCouponInterpolationGearingDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.inflation.provider.CouponInflationZeroCouponMonthlyDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.inflation.provider.CouponInflationZeroCouponMonthlyGearingDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixedCompounding;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.interestrate.payments.provider.CouponFixedCompoundingDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.payments.provider.CouponFixedDiscountingMethod;
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.inflation.InflationProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.inflation.MultipleCurrencyInflationSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.DoublesPair;
/**
* Calculator of the present value curve sensitivity as multiple currency interest rate curve sensitivity.
*/
public final class PresentValueCurveSensitivityDiscountingInflationCalculator extends InstrumentDerivativeVisitorAdapter<InflationProviderInterface, MultipleCurrencyInflationSensitivity> {
/**
* The unique instance of the calculator.
*/
private static final PresentValueCurveSensitivityDiscountingInflationCalculator INSTANCE = new PresentValueCurveSensitivityDiscountingInflationCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static PresentValueCurveSensitivityDiscountingInflationCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private PresentValueCurveSensitivityDiscountingInflationCalculator() {
}
/**
* Pricing method for zero-coupon with monthly reference index.
*/
private static final CouponInflationZeroCouponMonthlyDiscountingMethod METHOD_ZC_MONTHLY = new CouponInflationZeroCouponMonthlyDiscountingMethod();
/**
* Pricing method for zero-coupon with interpolated reference index.
*/
private static final CouponInflationZeroCouponInterpolationDiscountingMethod METHOD_ZC_INTERPOLATION = new CouponInflationZeroCouponInterpolationDiscountingMethod();
/**
* Pricing method for zero-coupon with monthly reference index.
*/
private static final CouponInflationZeroCouponMonthlyGearingDiscountingMethod METHOD_ZC_MONTHLY_GEARING = new CouponInflationZeroCouponMonthlyGearingDiscountingMethod();
/**
* Pricing method for zero-coupon with interpolated reference index.
*/
private static final CouponInflationZeroCouponInterpolationGearingDiscountingMethod METHOD_ZC_INTERPOLATION_GEARING = new CouponInflationZeroCouponInterpolationGearingDiscountingMethod();
/**
* Pricing method for year on year coupon with monthly reference index.
*/
private static final CouponInflationYearOnYearMonthlyDiscountingMethod METHOD_YEAR_ON_YEAR_MONTHLY = new CouponInflationYearOnYearMonthlyDiscountingMethod();
/**
* Pricing method for year on year coupon with interpolated reference index.
*/
private static final CouponInflationYearOnYearInterpolationDiscountingMethod METHOD_YEAR_ON_YEAR_INTERPOLATION = new CouponInflationYearOnYearInterpolationDiscountingMethod();
/**
* Pricing method for year on year coupon with monthly and with margin reference index.
*/
private static final CouponInflationYearOnYearMonthlyWithMarginDiscountingMethod METHOD_YEAR_ON_YEAR_MONTHLY_WITH_MARGIN = new CouponInflationYearOnYearMonthlyWithMarginDiscountingMethod();
/**
* Pricing method for year on year coupon with interpolated and with margin reference index.
*/
private static final CouponInflationYearOnYearInterpolationWithMarginDiscountingMethod METHOD_YEAR_ON_YEAR_INTERPOLATION_WITH_MARGIN =
new CouponInflationYearOnYearInterpolationWithMarginDiscountingMethod();
/**
* Pricing method for coupon fixed compounding.
*/
private static final CouponFixedCompoundingDiscountingMethod METHOD_CPN_FIXED_COMPOUNDING = CouponFixedCompoundingDiscountingMethod.getInstance();
/**
* Pricing method for coupon fixed .
*/
private static final CouponFixedDiscountingMethod METHOD_CPN_FIXED = CouponFixedDiscountingMethod.getInstance();
// ----- Inflation Coupon ------
@Override
public MultipleCurrencyInflationSensitivity visitCouponInflationZeroCouponMonthly(final CouponInflationZeroCouponMonthly coupon, final InflationProviderInterface inflation) {
return METHOD_ZC_MONTHLY.presentValueCurveSensitivity(coupon, inflation);
}
@Override
public MultipleCurrencyInflationSensitivity visitCouponInflationZeroCouponInterpolation(final CouponInflationZeroCouponInterpolation coupon, final InflationProviderInterface inflation) {
return METHOD_ZC_INTERPOLATION.presentValueCurveSensitivity(coupon, inflation);
}
@Override
public MultipleCurrencyInflationSensitivity visitCouponInflationZeroCouponMonthlyGearing(final CouponInflationZeroCouponMonthlyGearing coupon, final InflationProviderInterface inflation) {
return METHOD_ZC_MONTHLY_GEARING.presentValueCurveSensitivity(coupon, inflation);
}
@Override
public MultipleCurrencyInflationSensitivity visitCouponInflationZeroCouponInterpolationGearing(final CouponInflationZeroCouponInterpolationGearing coupon,
final InflationProviderInterface inflation) {
return METHOD_ZC_INTERPOLATION_GEARING.presentValueCurveSensitivity(coupon, inflation);
}
@Override
public MultipleCurrencyInflationSensitivity visitCouponInflationYearOnYearMonthly(final CouponInflationYearOnYearMonthly coupon, final InflationProviderInterface inflation) {
return METHOD_YEAR_ON_YEAR_MONTHLY.presentValueCurveSensitivity(coupon, inflation);
}
@Override
public MultipleCurrencyInflationSensitivity visitCouponInflationYearOnYearInterpolation(final CouponInflationYearOnYearInterpolation coupon, final InflationProviderInterface inflation) {
return METHOD_YEAR_ON_YEAR_INTERPOLATION.presentValueCurveSensitivity(coupon, inflation);
}
@Override
public MultipleCurrencyInflationSensitivity visitCouponInflationYearOnYearMonthlyWithMargin(final CouponInflationYearOnYearMonthlyWithMargin coupon, final InflationProviderInterface inflation) {
return METHOD_YEAR_ON_YEAR_MONTHLY_WITH_MARGIN.presentValueCurveSensitivity(coupon, inflation);
}
@Override
public MultipleCurrencyInflationSensitivity visitCouponInflationYearOnYearInterpolationWithMargin(final CouponInflationYearOnYearInterpolationWithMargin coupon,
final InflationProviderInterface inflation) {
return METHOD_YEAR_ON_YEAR_INTERPOLATION_WITH_MARGIN.presentValueCurveSensitivity(coupon, inflation);
}
//----- Coupon fix ------
@Override
public MultipleCurrencyInflationSensitivity visitCouponFixed(final CouponFixed coupon, final InflationProviderInterface inflation) {
MultipleCurrencyMulticurveSensitivity multipleCurrencyMulticurveSensitivity = METHOD_CPN_FIXED.presentValueCurveSensitivity(coupon, inflation.getMulticurveProvider());
MultipleCurrencyInflationSensitivity multipleCurrencyInflationSensitivity = new MultipleCurrencyInflationSensitivity();
for (final Currency loopccy : multipleCurrencyMulticurveSensitivity.getCurrencies()) {
Map<String, List<DoublesPair>> sensitivityPriceCurve = new HashMap<>();
multipleCurrencyInflationSensitivity.plus(loopccy, InflationSensitivity.of(multipleCurrencyMulticurveSensitivity.getSensitivity(loopccy), sensitivityPriceCurve));
}
return multipleCurrencyInflationSensitivity;
}
@Override
public MultipleCurrencyInflationSensitivity visitCouponFixedCompounding(final CouponFixedCompounding coupon, final InflationProviderInterface inflation) {
MultipleCurrencyMulticurveSensitivity multipleCurrencyMulticurveSensitivity = METHOD_CPN_FIXED_COMPOUNDING.presentValueCurveSensitivity(coupon, inflation.getMulticurveProvider());
MultipleCurrencyInflationSensitivity multipleCurrencyInflationSensitivity = new MultipleCurrencyInflationSensitivity();
for (final Currency loopccy : multipleCurrencyMulticurveSensitivity.getCurrencies()) {
Map<String, List<DoublesPair>> sensitivityPriceCurve = new HashMap<>();
multipleCurrencyInflationSensitivity.plus(loopccy, InflationSensitivity.of(multipleCurrencyMulticurveSensitivity.getSensitivity(loopccy), sensitivityPriceCurve));
}
return multipleCurrencyInflationSensitivity;
}
//----- Annuity ------
@Override
public MultipleCurrencyInflationSensitivity visitGenericAnnuity(final Annuity<? extends Payment> annuity, final InflationProviderInterface inflation) {
ArgumentChecker.notNull(annuity, "Annuity");
ArgumentChecker.notNull(inflation, "inflation");
MultipleCurrencyInflationSensitivity cs = annuity.getNthPayment(0).accept(this, inflation);
for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
cs = cs.plus(annuity.getNthPayment(loopp).accept(this, inflation));
}
return cs;
}
@Override
public MultipleCurrencyInflationSensitivity visitFixedCouponAnnuity(final AnnuityCouponFixed annuity, final InflationProviderInterface inflation) {
return visitGenericAnnuity(annuity, inflation);
}
// ----- Swap ------
@Override
public MultipleCurrencyInflationSensitivity visitSwap(final Swap<?, ?> swap, final InflationProviderInterface inflation) {
final MultipleCurrencyInflationSensitivity sensitivity1 = swap.getFirstLeg().accept(this, inflation);
final MultipleCurrencyInflationSensitivity sensitivity2 = swap.getSecondLeg().accept(this, inflation);
return sensitivity1.plus(sensitivity2);
}
@Override
public MultipleCurrencyInflationSensitivity visitFixedCouponSwap(final SwapFixedCoupon<?> swap, final InflationProviderInterface multicurve) {
return visitSwap(swap, multicurve);
}
}