Package com.opengamma.analytics.financial.model.interestrate.curve

Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve

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    ArgumentChecker.notNull(coupon, "coupon");
    ArgumentChecker.notNull(data, "data");
    if (coupon.getNotional() < 0) {
      return Collections.emptyList();
    }
    final YieldAndDiscountCurve forwardCurve = data.getCurve(coupon.getForwardCurveName());
    final double forward = (forwardCurve.getDiscountFactor(coupon.getFixingPeriodStartTime()) / forwardCurve.getDiscountFactor(coupon.getFixingPeriodEndTime()) - 1) / coupon.getFixingAccrualFactor();
    final double amount = -(coupon.getNotional() * coupon.getPaymentYearFraction() * forward + coupon.getSpreadAmount());
    return Collections.singletonList(MultipleCurrencyAmount.of(CurrencyAmount.of(coupon.getCurrency(), amount)));
  }
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    ArgumentChecker.notNull(coupon, "coupon");
    ArgumentChecker.notNull(data, "data");
    if (coupon.getNotional() > 0) {
      return Collections.emptyList();
    }
    final YieldAndDiscountCurve forwardCurve = data.getCurve(coupon.getForwardCurveName());
    final double forward = (forwardCurve.getDiscountFactor(coupon.getFixingPeriodStartTime()) / forwardCurve.getDiscountFactor(coupon.getFixingPeriodEndTime()) - 1) / coupon.getFixingAccrualFactor();
    final double amount = -(coupon.getNotional() * coupon.getPaymentYearFraction() * (coupon.getFactor() * forward) + coupon.getSpreadAmount());
    return Collections.singletonList(MultipleCurrencyAmount.of(CurrencyAmount.of(coupon.getCurrency(), amount)));
  }
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    ArgumentChecker.notNull(fra, "FRA");
    ArgumentChecker.notNull(data, "data");
    if (fra.getNotional() < 0) {
      return Collections.emptyList();
    }
    final YieldAndDiscountCurve forwardCurve = data.getCurve(fra.getForwardCurveName());
    final double forward = (forwardCurve.getDiscountFactor(fra.getFixingPeriodStartTime()) / forwardCurve.getDiscountFactor(fra.getFixingPeriodEndTime()) - 1) / fra.getFixingYearFraction();
    final double amount = fra.getPaymentYearFraction() * fra.getNotional() * forward / (1 + fra.getPaymentYearFraction() * forward);
    return Collections.singletonList(MultipleCurrencyAmount.of(CurrencyAmount.of(fra.getCurrency(), amount)));
  }
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   * @param curves The yield curve bundle (containing the appropriate discounting curve).
   * @return The physical annuity.
   */
  public double presentValueBasisPoint(final Swap<CouponFixedAccruedCompounding, CouponONCompounded> fixedCouponSwap, final YieldCurveBundle curves) {
    final Annuity<CouponFixedAccruedCompounding> annuityFixed = fixedCouponSwap.getFirstLeg();
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName());
    return presentValueBasisPoint(fixedCouponSwap, discountingCurve);
  }
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   * @return The physical annuity.
   */
  public double presentValueBasisPoint(final Swap<CouponFixedAccruedCompounding, CouponONCompounded> fixedCouponSwap, final DayCount dayCount, final Calendar calendar,
      final YieldCurveBundle curves) {
    final Annuity<CouponFixedAccruedCompounding> annuityFixed = fixedCouponSwap.getFirstLeg();
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName());
    return presentValueBasisPoint(fixedCouponSwap, dayCount, calendar, discountingCurve);
  }
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   * @return The sensitivity.
   */
  public InterestRateCurveSensitivity presentValueBasisPointCurveSensitivity(final Swap<CouponFixedAccruedCompounding, CouponONCompounded> fixedCouponSwap, final YieldCurveBundle curves) {
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    final Annuity<CouponFixedAccruedCompounding> annuityFixed = fixedCouponSwap.getFirstLeg();
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName());
    result.put(annuityFixed.getNthPayment(0).getFundingCurveName(), presentValueBasisPointCurveSensitivity(fixedCouponSwap, discountingCurve));
    return new InterestRateCurveSensitivity(result);
  }
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   */
  public InterestRateCurveSensitivity presentValueBasisPointCurveSensitivity(final Swap<CouponFixedAccruedCompounding, CouponONCompounded> fixedCouponSwap, final DayCount dayCount,
      final Calendar calendar, final YieldCurveBundle curves) {
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    final Annuity<CouponFixedAccruedCompounding> annuityFixed = fixedCouponSwap.getFirstLeg();
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName());
    result.put(annuityFixed.getNthPayment(0).getFundingCurveName(), presentValueBasisPointCurveSensitivity(fixedCouponSwap, dayCount, calendar, discountingCurve));
    return new InterestRateCurveSensitivity(result);
  }
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  public InterestRateCurveSensitivity presentValueBasisPointCurveSensitivity(final Swap<CouponFixedAccruedCompounding, CouponONCompounded> fixedCouponSwap,
      final DayCount dayCount,
      final YieldCurveBundle curves) {
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    final Annuity<CouponFixedAccruedCompounding> annuityFixed = fixedCouponSwap.getFirstLeg();
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName());
    result.put(annuityFixed.getNthPayment(0).getFundingCurveName(), presentValueBasisPointCurveSensitivity(fixedCouponSwap, dayCount, discountingCurve));
    return new InterestRateCurveSensitivity(result);
  }
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  public SimpleParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final HullWhiteOneFactorProviderDiscount hwcurves) {
    SimpleParameterSensitivity result = new SimpleParameterSensitivity();
    // Discounting
    final Set<Currency> ccyDiscounting = hwcurves.getMulticurveProvider().getCurrencies();
    for (final Currency ccy : ccyDiscounting) {
      final YieldAndDiscountCurve curve = hwcurves.getMulticurveProvider().getCurve(ccy);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final HullWhiteOneFactorProviderDiscount marketDscBumpedPlus = new HullWhiteOneFactorProviderDiscount(hwcurves.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedPlus),
            hwcurves.getHullWhiteParameters(), hwcurves.getHullWhiteCurrency());
        final double valueBumpedPlus = instrument.accept(_valueCalculator, marketDscBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final HullWhiteOneFactorProviderDiscount marketDscBumpedMinus = new HullWhiteOneFactorProviderDiscount(hwcurves.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedMinus),
            hwcurves.getHullWhiteParameters(), hwcurves.getHullWhiteCurrency());
        final double valueBumpedMinus = instrument.accept(_valueCalculator, marketDscBumpedMinus);
        sensitivity[loopnode] = (valueBumpedPlus - valueBumpedMinus) / (2 * _shift);
      }
      final String name = hwcurves.getMulticurveProvider().getName(ccy);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward ON
    final Set<IndexON> indexON = hwcurves.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = hwcurves.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final HullWhiteOneFactorProviderDiscount marketFwdBumpedPlus = new HullWhiteOneFactorProviderDiscount(hwcurves.getMulticurveProvider().withForward(index, dscBumpedPlus),
            hwcurves.getHullWhiteParameters(), hwcurves.getHullWhiteCurrency());
        final double valueBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final HullWhiteOneFactorProviderDiscount marketFwdBumpedMinus = new HullWhiteOneFactorProviderDiscount(hwcurves.getMulticurveProvider().withForward(index, dscBumpedMinus),
            hwcurves.getHullWhiteParameters(), hwcurves.getHullWhiteCurrency());
        final double valueBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        sensitivity[loopnode] = (valueBumpedPlus - valueBumpedMinus) / (2 * _shift);
      }
      final String name = hwcurves.getMulticurveProvider().getName(index);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward Ibor - symmetrical
    final Set<IborIndex> indexForward = hwcurves.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = hwcurves.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final HullWhiteOneFactorProviderDiscount marketFwdBumpedPlus = new HullWhiteOneFactorProviderDiscount(hwcurves.getMulticurveProvider().withForward(index, dscBumpedPlus),
            hwcurves.getHullWhiteParameters(), hwcurves.getHullWhiteCurrency());
        final double valueBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final HullWhiteOneFactorProviderDiscount marketFwdBumpedMinus = new HullWhiteOneFactorProviderDiscount(hwcurves.getMulticurveProvider().withForward(index, dscBumpedMinus),
            hwcurves.getHullWhiteParameters(), hwcurves.getHullWhiteCurrency());
        final double valueBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        sensitivity[loopnode] = (valueBumpedPlus - valueBumpedMinus) / (2 * _shift);
 
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   * @return The present value.
   */
  public CurrencyAmount presentValue(final CouponFixedAccruedCompounding cpn, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(cpn);
    final YieldAndDiscountCurve fundingCurve = curves.getCurve(cpn.getFundingCurveName());
    final double pv = cpn.getAmount() * fundingCurve.getDiscountFactor(cpn.getPaymentTime());
    return CurrencyAmount.of(cpn.getCurrency(), pv);
  }
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