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

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

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    for (int loopcf = 0; loopcf < nbFixed; loopcf++) {
      alphaFixed[loopcf] = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, swap.getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      dfFixed[loopcf] = multicurves.getDiscountFactor(ccy, swap.getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowFixed[loopcf] = dfFixed[loopcf] * swap.getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction() * swap.getFixedLeg().getNthPayment(loopcf).getNotional();
    }
    final AnnuityPaymentFixed cfeIbor = swap.getSecondLeg().accept(CFEC, multicurves);
    final double[] alphaIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] dfIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] discountedCashFlowIbor = new double[cfeIbor.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfeIbor.getNumberOfPayments(); loopcf++) {
      alphaIbor[loopcf] = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      dfIbor[loopcf] = multicurves.getDiscountFactor(ccy, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowIbor[loopcf] = dfIbor[loopcf] * cfeIbor.getNthPayment(loopcf).getAmount();
    }
    final double alphaPayment = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, cms.getPaymentTime());
    final double x0 = -alphaPayment;
    final double a0 = MODEL.swapRate(x0, discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor);
    final double a2 = MODEL.swapRateDx2(x0, discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor);
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    for (int loopcf = 0; loopcf < nbFixed; loopcf++) {
      alphaFixed[loopcf] = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, swap.getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      dfFixed[loopcf] = multicurves.getDiscountFactor(ccy, swap.getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowFixed[loopcf] = dfFixed[loopcf] * swap.getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction() * swap.getFixedLeg().getNthPayment(loopcf).getNotional();
    }
    final AnnuityPaymentFixed cfeIbor = swap.getSecondLeg().accept(CFEC, multicurves);
    final int nbIbor = cfeIbor.getNumberOfPayments();
    final double[] alphaIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] dfIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] discountedCashFlowIbor = new double[cfeIbor.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfeIbor.getNumberOfPayments(); loopcf++) {
      alphaIbor[loopcf] = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      dfIbor[loopcf] = multicurves.getDiscountFactor(ccy, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowIbor[loopcf] = dfIbor[loopcf] * cfeIbor.getNthPayment(loopcf).getAmount();
    }
    final double alphaPayment = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, cms.getPaymentTime());
    final double x0 = -alphaPayment;
    final double a0 = MODEL.swapRate(x0, discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor);
    final double a2 = MODEL.swapRateDx2(x0, discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor);
    //    final double pv = (a0 + a2 / 2) * dfPayment * cms.getNotional() * cms.getPaymentYearFraction();
    // Backward sweep
    final double pvBar = 1.0;
    final double a2Bar = 0.5 * dfPayment * cms.getNotional() * cms.getPaymentYearFraction() * pvBar;
    final double a0Bar = dfPayment * cms.getNotional() * cms.getPaymentYearFraction() * pvBar;
    final double[] discountedCashFlowAdjIborBar0 = MODEL.swapRateDdcfi1(x0, discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor);
    final double[] discountedCashFlowAdjFixedBar0 = MODEL.swapRateDdcff1(x0, discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor);
    final Pair<double[], double[]> discountedCashFlowAdjXBar2 = MODEL.swapRateDx2Ddcf1(x0, discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor);
    final double[] discountedCashFlowAdjFixedBar2 = discountedCashFlowAdjXBar2.getFirst();
    final double[] discountedCashFlowAdjIborBar2 = discountedCashFlowAdjXBar2.getSecond();

    final double[] discountedCashFlowIborBar = new double[nbIbor];
    for (int loopcf = 0; loopcf < nbIbor; loopcf++) {
      discountedCashFlowIborBar[loopcf] = discountedCashFlowAdjIborBar0[loopcf] * a0Bar + discountedCashFlowAdjIborBar2[loopcf] * a2Bar;
    }
    final double[] dfIborBar = new double[nbIbor];
    for (int loopcf = 0; loopcf < nbIbor; loopcf++) {
      dfIborBar[loopcf] = cfeIbor.getNthPayment(loopcf).getAmount() * discountedCashFlowIborBar[loopcf];
    }
    final double[] cfeIborAmountBar = new double[nbIbor];
    for (int loopcf = 0; loopcf < nbIbor; loopcf++) {
      cfeIborAmountBar[loopcf] = dfIbor[loopcf] * discountedCashFlowIborBar[loopcf]; // OK
    }

    final double[] discountedCashFlowFixedBar = new double[nbFixed];
    for (int loopcf = 0; loopcf < nbFixed; loopcf++) {
      discountedCashFlowFixedBar[loopcf] = discountedCashFlowAdjFixedBar0[loopcf] * a0Bar + discountedCashFlowAdjFixedBar2[loopcf] * a2Bar;
    }
    final double[] dfFixedBar = new double[nbFixed];
    for (int loopcf = 0; loopcf < nbFixed; loopcf++) {
      dfFixedBar[loopcf] = swap.getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction() * swap.getFixedLeg().getNthPayment(loopcf).getNotional() *
          discountedCashFlowFixedBar[loopcf];
    }

    final List<DoublesPair> listDfSensi = new ArrayList<>();
    for (int loopcf = 0; loopcf < nbIbor; loopcf++) {
      final DoublesPair dfSensi = new DoublesPair(cfeIbor.getNthPayment(loopcf).getPaymentTime(), -cfeIbor.getNthPayment(loopcf).getPaymentTime() * dfIbor[loopcf] * dfIborBar[loopcf]);
      listDfSensi.add(dfSensi);
    }
    for (int loopcf = 0; loopcf < nbFixed; loopcf++) {
      final DoublesPair dfSensi = new DoublesPair(swap.getFixedLeg().getNthPayment(loopcf).getPaymentTime(), -swap.getFixedLeg().getNthPayment(loopcf).getPaymentTime() * dfFixed[loopcf] *
          dfFixedBar[loopcf]);
      listDfSensi.add(dfSensi);
    }
    final Map<String, List<DoublesPair>> pvsDF = new HashMap<>();
    pvsDF.put(multicurvesHW.getMulticurveProvider().getName(ccy), listDfSensi);
    final double dfPaymentBar = (a0 + a2 / 2) * cms.getNotional() * cms.getPaymentYearFraction() * pvBar;
    final DoublesPair dfPaymentSensi = new DoublesPair(payTimeCMS, -payTimeCMS * dfPayment * dfPaymentBar); // Sensi to dfPayment
    listDfSensi.add(dfPaymentSensi);
    MulticurveSensitivity sensitivity = MulticurveSensitivity.ofYieldDiscounting(pvsDF);
    sensitivity = sensitivity.cleaned();
    // Sensitivity from the CFE
    final Map<Double, MulticurveSensitivity> cfeCurveSensi = swap.accept(CFECSC, multicurvesHW.getMulticurveProvider());
    for (int loopcf = 0; loopcf < nbIbor; loopcf++) {
      final MulticurveSensitivity sensiCfe = cfeCurveSensi.get(cfeIbor.getNthPayment(loopcf).getPaymentTime());
      if (!(sensiCfe == null)) { // There is some sensitivity to that cfe. No sensi of the last cf.
        sensitivity = sensitivity.plus(sensiCfe.multipliedBy(cfeIborAmountBar[loopcf]));
      }
    }
    sensitivity = sensitivity.cleaned();
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    for (int loopcf = 0; loopcf < nbFixed; loopcf++) {
      alphaFixed[loopcf] = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, swap.getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      dfFixed[loopcf] = multicurves.getDiscountFactor(ccy, swap.getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowFixed[loopcf] = dfFixed[loopcf] * swap.getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction() * swap.getFixedLeg().getNthPayment(loopcf).getNotional();
    }
    final AnnuityPaymentFixed cfeIbor = swap.getSecondLeg().accept(CFEC, multicurves);
    final double[] alphaIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] dfIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] discountedCashFlowIbor = new double[cfeIbor.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfeIbor.getNumberOfPayments(); loopcf++) {
      alphaIbor[loopcf] = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      dfIbor[loopcf] = multicurves.getDiscountFactor(ccy, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowIbor[loopcf] = dfIbor[loopcf] * cfeIbor.getNthPayment(loopcf).getAmount();
    }
    final double alphaPayment = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, cms.getPaymentTime());
    final double x0 = -alphaPayment;
    final double a0 = MODEL.swapRate(x0, discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor) - cms.getStrike();
    final double a1 = MODEL.swapRateDx1(x0, discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor);
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  }

  @Override
  public DecisionSchedule visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
    final double[] decisionTime = new double[] {swaption.getTimeToExpiry() };
    final AnnuityPaymentFixed cfeIbor = swaption.getUnderlyingSwap().getSecondLeg().accept(CFEC, curves);
    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;
  }
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    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, curves);
      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;
  }
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  }

  @Override
  public DecisionScheduleDerivative visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
    final double[] decisionTime = new double[] {swaption.getTimeToExpiry() };
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, curves);
    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 ArrayList<Map<Double, InterestRateCurveSensitivity>> impactAmountDerivative = new ArrayList<>();
    impactAmountDerivative.add(swaption.getUnderlyingSwap().accept(CFECSC, curves));
    final DecisionScheduleDerivative decision = new DecisionScheduleDerivative(decisionTime, impactTime, impactAmount, impactAmountDerivative);
    return decision;
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    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, curves);
      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 ArrayList<Map<Double, InterestRateCurveSensitivity>> impactAmountDerivative = new ArrayList<>();
    for (int loopcpn = 0; loopcpn < nbCpn; loopcpn++) {
      impactAmountDerivative.add(annuity.getNthPayment(loopcpn).accept(CFECSC, curves));
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      alphaFixed[loopcf] = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, swap.getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      dfFixed[loopcf] = multicurves.getDiscountFactor(ccy, swap.getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowFixed[loopcf] = dfFixed[loopcf] * swap.getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction() * swap.getFixedLeg().getNthPayment(loopcf).getNotional();
    }

    final AnnuityPaymentFixed cfeIbor = swap.getSecondLeg().accept(CFEC, multicurves);
    final double[] alphaIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] dfIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] discountedCashFlowIbor = new double[cfeIbor.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfeIbor.getNumberOfPayments(); loopcf++) {
      alphaIbor[loopcf] = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      dfIbor[loopcf] = multicurves.getDiscountFactor(ccy, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowIbor[loopcf] = dfIbor[loopcf] * cfeIbor.getNthPayment(loopcf).getAmount();
    }

    final double alphaPayment = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, cms.getPaymentTime());
    final double dfPayment = multicurves.getDiscountFactor(ccy, cms.getPaymentTime());
    // Integration
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  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;
  }
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  }

  @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;
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityPaymentFixed

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