Package com.opengamma.analytics.financial.interestrate.annuity.derivative

Examples of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed

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    out.println(Arrays.toString(paymentTimes));
  }

  public static void annuityFixedDemo(final PrintStream out) {
    final double[] paymentTimes = fixedPaymentTimes(MATURITY);
    final AnnuityCouponFixed annuity = new AnnuityCouponFixed(CCY, paymentTimes, R, LIBOR_CURVE_NAME, false);

    out.println(Arrays.deepToString(annuity.getPayments()));

    final YieldCurveBundle bundle = getBundle();

    final PresentValueCalculator presentValueCalculator = PresentValueCalculator.getInstance();
    final double presentValue = annuity.accept(presentValueCalculator, bundle);
    out.format("Present Value %f%n", presentValue);
  }
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  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final SwaptionCashFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final Currency ccy = swaption.getCurrency();
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRDC, multicurves);
    // Derivative of the forward with respect to the rates.
    final MulticurveSensitivity forwardDr = swaption.getUnderlyingSwap().accept(PRCSDC, multicurves);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // Derivative of the cash annuity with respect to the forward.
    final double pvbpDf = METHOD_SWAP.getAnnuityCashDerivative(swaption.getUnderlyingSwap(), forward);
    // Implementation note: strictly speaking, the strike equivalent is curve dependent; that dependency is ignored.
    final double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, swaption.getStrike(), forward);
    final double discountFactorSettle = multicurves.getDiscountFactor(ccy, swaption.getSettlementTime());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
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    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final Currency ccy = swaption.getCurrency();
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRDC, multicurves);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    final double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, swaption.getStrike(), forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
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  private static final double TOLERANCE_YIELD = 1.0E-8;

  @Test
  public void presentValueFixedMiddle() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_1);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_1);
    coupon = coupon.trimBefore(REFERENCE_TIME_1);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, ISSUER);
    final MultipleCurrencyAmount pvNominal = nominal.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = coupon.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR), pv.getAmount(CUR), TOLERANCE_PV);
  }
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  }

  @Test
  public void presentValueFixedOnCoupon() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_2);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_2);
    coupon = coupon.trimBefore(REFERENCE_TIME_2);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, ISSUER);
    final MultipleCurrencyAmount pvNominal = nominal.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = coupon.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_2, ISSUER_MULTICURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR), pv.getAmount(CUR), TOLERANCE_PV);
  }
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  // Spot: one day after coupon date

  @Test
  public void presentValueFixedMiddle() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_US_1, CURVES_NAME);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_US_1, CURVES_NAME);
    coupon = coupon.trimBefore(REFERENCE_TIME_1);
    final double pvNominal = nominal.accept(PVC, CURVES);
    final double pvCoupon = coupon.accept(PVC, CURVES);
    final double pv = METHOD.presentValue(BOND_FIXED_SECURITY_1, CURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal + pvCoupon, pv);
  }
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  }

  @Test
  public void presentValueFixedOnCoupon() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_US_2, CURVES_NAME);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_US_2, CURVES_NAME);
    coupon = coupon.trimBefore(REFERENCE_TIME_2);
    final double pvNominal = nominal.accept(PVC, CURVES);
    final double pvCoupon = coupon.accept(PVC, CURVES);
    final double pv = METHOD.presentValue(BOND_FIXED_SECURITY_2, CURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal + pvCoupon, pv);
  }
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  // @export "annuityDerivatives"
  public static void annuityDerivativeDemo(final PrintStream out) {
    final double[] paymentTimes = {t };
    final boolean isPayer = false;
    final YieldCurveBundle bundle = getBundle(y);
    final AnnuityCouponFixed annuity = new AnnuityCouponFixed(ccy, paymentTimes, r, yieldCurveName, isPayer);
    final double presentValue = annuity.accept(presentValueCalculator, bundle);
    out.format("Present value of 1-period annuity: %f%n", presentValue);
  }
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  private static final BondFixedSecurity BOND_DE_SECURITY_1 = BOND_DE_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE_DE_1, CURVES_NAME);

  @Test
  public void presentValueFixedMiddle() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_DE_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_DE_1, CURVES_NAME);
    final AnnuityCouponFixed coupon = BOND_DE_SECURITY_DEFINITION.getCoupons().trimBefore(SPOT_DATE_DE_1).toDerivative(REFERENCE_DATE_DE_1, CURVES_NAME);
    final double pvNominal = nominal.accept(PVC, CURVES);
    final double pvCoupon = coupon.accept(PVC, CURVES);
    final double pv = METHOD.presentValue(BOND_DE_SECURITY_1, CURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal + pvCoupon, pv);
  }
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   * @return The present value.
   */
  public CurrencyAmount presentValue(final SwaptionCashFixedIbor swaption, final SABRInterestRateDataBundle sabrData) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(sabrData, "SARB data");
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRC, sabrData);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // Implementation comment: cash-settled swaptions make sense only for constant strike, the computation of coupon equivalent is not required.
    // TODO: A better notion of maturity may be required (using period?)
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = sabrData.getSABRParameter().getVolatility(swaption.getTimeToExpiry(), swaption.getMaturityTime(), swaption.getStrike(), forward);
    final double discountFactorSettle = sabrData.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, discountFactorSettle * pvbp, volatility);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(swaption);
    final double price = func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0);
    return CurrencyAmount.of(swaption.getCurrency(), price);
  }
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