Package com.opengamma.analytics.financial.provider.description.interestrate

Examples of com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscountingDecoratedIssuer

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   * @param issuerMulticurves The issuer and multi-curves provider.
   * @return The present value curve sensitivity.
   */
  public StringAmount presentValueParallelCurveSensitivity(final BondSecurity<? extends Payment, ? extends Coupon> bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuerMulticurves, bond.getCurrency(), bond.getIssuer());
    final StringAmount pvpcsNominal = bond.getNominal().accept(PVPCSDC, multicurvesDecorated);
    final StringAmount pvpcsCoupon = bond.getCoupon().accept(PVPCSDC, multicurvesDecorated);
    return StringAmount.plus(pvpcsNominal, pvpcsCoupon);
  }
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    ArgumentChecker.isTrue(data.getHullWhiteIssuerCurrency().equals(issuerCcy), "Incompatible data and futures");
    final int nbBond = futures.getDeliveryBasket().length;
    final String issuerName = futures.getDeliveryBasket()[0].getIssuer();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = data.getHullWhiteParameters();
    final IssuerProviderInterface issuer = data.getIssuerProvider();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuer, futures.getCurrency(), issuerName);
    final double expiry = futures.getNoticeLastTime();
    final double delivery = futures.getDeliveryLastTime();
    final double dfdelivery = data.getIssuerProvider().getDiscountFactor(issuerCcy, delivery);
    // Constructing non-homogeneous point series for the numerical estimations.
    final int nbPtWing = ((int) Math.floor(nbPoint / 20.)); // Number of point on each wing.
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    ArgumentChecker.isTrue(data.getHullWhiteIssuerCurrency().equals(issuerCcy), "Incompatible data and futures");
    final int nbBond = futures.getDeliveryBasket().length;
    final String issuerName = futures.getDeliveryBasket()[0].getIssuer();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = data.getHullWhiteParameters();
    final IssuerProviderInterface issuer = data.getIssuerProvider();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuer, futures.getCurrency(), issuerName);

    final double expiry = futures.getNoticeLastTime();
    final double delivery = futures.getDeliveryLastTime();
    final double dfdelivery = data.getIssuerProvider().getDiscountFactor(issuerCcy, delivery);
    // Constructing non-homogeneous point series for the numerical estimations.
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    ArgumentChecker.isTrue(data.getHullWhiteIssuerCurrency().equals(issuerCcy), "Incompatible data and futures");
    final int nbBond = future.getDeliveryBasket().length;
    final String issuerName = future.getDeliveryBasket()[0].getIssuer();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = data.getHullWhiteParameters();
    final IssuerProviderInterface issuer = data.getIssuerProvider();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuer, future.getCurrency(), issuerName);
    final double expiry = future.getNoticeLastTime();
    final double delivery = future.getDeliveryLastTime();
    final double dfdelivery = data.getIssuerProvider().getDiscountFactor(issuerCcy, delivery);
    // Constructing non-homogeneous point series for the numerical estimations.
    final int nbPtWing = ((int) Math.floor(nbPoint / 20.)); // Number of point on each wing.
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    ArgumentChecker.isTrue(data.getHullWhiteIssuerCurrency().equals(issuerCcy), "Incompatible data and futures");
    final int nbBond = future.getDeliveryBasket().length;
    final String issuerName = future.getDeliveryBasket()[0].getIssuer();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = data.getHullWhiteParameters();
    final IssuerProviderInterface issuer = data.getIssuerProvider();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuer, future.getCurrency(), issuerName);

    final double expiry = future.getNoticeLastTime();
    final double delivery = future.getDeliveryLastTime();
    final double dfdelivery = data.getIssuerProvider().getDiscountFactor(issuerCcy, delivery);
    // Constructing non-homogeneous point series for the numerical estimations.
    final int nbPtWing = ((int) Math.floor(nbPoint / 20.)); // Number of point on each wing.
    final int nbPtCenter = nbPoint - 2 * nbPtWing;
    final double prob = 1.0 / (2.0 * nbPtCenter);
    final double xStart = NORMAL.getInverseCDF(prob);
    final double[] x = new double[nbPoint];
    for (int loopwing = 0; loopwing < nbPtWing; loopwing++) {
      x[loopwing] = xStart * (1.0 + (nbPtWing - loopwing) / 2.0);
      x[nbPoint - 1 - loopwing] = -xStart * (1.0 + (nbPtWing - loopwing) / 2.0);
    }
    for (int loopcent = 0; loopcent < nbPtCenter; loopcent++) {
      x[nbPtWing + loopcent] = xStart + loopcent * (-2.0 * xStart) / (nbPtCenter - 1);
    }
    // Figures for each bond
    final double[][] cfTime = new double[nbBond][];
    final double[][] df = new double[nbBond][];
    final double[][] alpha = new double[nbBond][];
    final double[][] beta = new double[nbBond][];
    final double[][] cfaAdjusted = new double[nbBond][];
    final double[] e = new double[nbBond];
    final double[][] pv = new double[nbPoint][nbBond];
    final AnnuityPaymentFixed[] cf = new AnnuityPaymentFixed[nbBond];
    for (int loopbnd = 0; loopbnd < nbBond; loopbnd++) {
      cf[loopbnd] = future.getDeliveryBasket()[loopbnd].accept(CFEC, multicurvesDecorated);
      final int nbCf = cf[loopbnd].getNumberOfPayments();
      cfTime[loopbnd] = new double[nbCf];
      df[loopbnd] = new double[nbCf];
      alpha[loopbnd] = new double[nbCf];
      beta[loopbnd] = new double[nbCf];
      cfaAdjusted[loopbnd] = new double[nbCf];
      for (int loopcf = 0; loopcf < nbCf; loopcf++) {
        cfTime[loopbnd][loopcf] = cf[loopbnd].getNthPayment(loopcf).getPaymentTime();
        df[loopbnd][loopcf] = issuer.getDiscountFactor(issuerCcy, cfTime[loopbnd][loopcf]);
        alpha[loopbnd][loopcf] = MODEL.alpha(parameters, 0.0, expiry, delivery, cfTime[loopbnd][loopcf]);
        beta[loopbnd][loopcf] = MODEL.futuresConvexityFactor(parameters, expiry, cfTime[loopbnd][loopcf], delivery);
        cfaAdjusted[loopbnd][loopcf] = df[loopbnd][loopcf] / dfdelivery * beta[loopbnd][loopcf] * cf[loopbnd].getNthPayment(loopcf).getAmount() / future.getConversionFactor()[loopbnd];
        for (int looppt = 0; looppt < nbPoint; looppt++) {
          pv[looppt][loopbnd] += cfaAdjusted[loopbnd][loopcf] * Math.exp(-alpha[loopbnd][loopcf] * alpha[loopbnd][loopcf] / 2.0 - alpha[loopbnd][loopcf] * x[looppt]);
        }
      }
      e[loopbnd] = future.getDeliveryBasket()[loopbnd].getAccruedInterest() / future.getConversionFactor()[loopbnd];
      for (int looppt = 0; looppt < nbPoint; looppt++) {
        pv[looppt][loopbnd] -= e[loopbnd];
      }
    }
    // Minimum: create a list of index of the CTD in each interval and a first estimate of the crossing point (x[]).
    final double[] pvMin = new double[nbPoint];
    final int[] indMin = new int[nbPoint];
    for (int looppt = 0; looppt < nbPoint; looppt++) {
      pvMin[looppt] = Double.POSITIVE_INFINITY;
      for (int loopbnd = 0; loopbnd < nbBond; loopbnd++) {
        if (pv[looppt][loopbnd] < pvMin[looppt]) {
          pvMin[looppt] = pv[looppt][loopbnd];
          indMin[looppt] = loopbnd;
        }
      }
    }
    final ArrayList<Double> refx = new ArrayList<>();
    final ArrayList<Integer> ctd = new ArrayList<>();
    int lastInd = indMin[0];
    ctd.add(indMin[0]);
    for (int looppt = 1; looppt < nbPoint; looppt++) {
      if (indMin[looppt] != lastInd) {
        ctd.add(indMin[looppt]);
        lastInd = indMin[looppt];
        refx.add(x[looppt]);
      }
    }
    // Sum on each interval
    final int nbInt = ctd.size();
    final double[] kappa = new double[nbInt - 1];
    //    double price = 0.0;
    if (nbInt != 1) {
      // The intersections
      final BracketRoot bracketer = new BracketRoot();
      final double accuracy = 1.0E-8;
      final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(accuracy);
      for (int loopint = 1; loopint < nbInt; loopint++) {
        final BondDifference cross = new BondDifference(cfaAdjusted[ctd.get(loopint - 1)], alpha[ctd.get(loopint - 1)], e[ctd.get(loopint - 1)], cfaAdjusted[ctd.get(loopint)],
            alpha[ctd.get(loopint)], e[ctd.get(loopint)]);
        final double[] range = bracketer.getBracketedPoints(cross, refx.get(loopint - 1) - 0.01, refx.get(loopint - 1) + 0.01);
        kappa[loopint - 1] = rootFinder.getRoot(cross, range[0], range[1]);
      }
    }

    // === Backward Sweep ===
    final double priceBar = 1.0;
    final double[][] cfaAdjustedBar = new double[nbBond][];
    final double[][] dfBar = new double[nbBond][];
    for (int loopbnd = 0; loopbnd < nbBond; loopbnd++) {
      final int nbCf = cf[loopbnd].getNumberOfPayments();
      cfaAdjustedBar[loopbnd] = new double[nbCf];
      dfBar[loopbnd] = new double[nbCf];
    }
    double dfdeliveryBar = 0.0;
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    final List<DoublesPair> listCredit = new ArrayList<>();
    if (nbInt == 1) {
      for (int loopcf = 0; loopcf < cfaAdjusted[ctd.get(0)].length; loopcf++) {
        cfaAdjustedBar[ctd.get(0)][loopcf] = priceBar;
        dfBar[ctd.get(0)][loopcf] = beta[ctd.get(0)][loopcf] / dfdelivery * cf[ctd.get(0)].getNthPayment(loopcf).getAmount() / future.getConversionFactor()[ctd.get(0)]
            * cfaAdjustedBar[ctd.get(0)][loopcf];
        listCredit.add(new DoublesPair(cfTime[ctd.get(0)][loopcf], -cfTime[ctd.get(0)][loopcf] * df[ctd.get(0)][loopcf] * dfBar[ctd.get(0)][loopcf]));
        dfdeliveryBar += -cfaAdjusted[ctd.get(0)][loopcf] / dfdelivery * cfaAdjustedBar[ctd.get(0)][loopcf];
      }
      listCredit.add(new DoublesPair(delivery, -delivery * dfdelivery * dfdeliveryBar));
    } else {
      // From -infinity to first cross.
      for (int loopcf = 0; loopcf < cfaAdjusted[ctd.get(0)].length; loopcf++) {
        cfaAdjustedBar[ctd.get(0)][loopcf] = NORMAL.getCDF(kappa[0] + alpha[ctd.get(0)][loopcf]) * priceBar;
      }
      // Between cross
      for (int loopint = 1; loopint < nbInt - 1; loopint++) {
        for (int loopcf = 0; loopcf < cfaAdjusted[ctd.get(loopint)].length; loopcf++) {
          cfaAdjustedBar[ctd.get(loopint)][loopcf] = (NORMAL.getCDF(kappa[loopint] + alpha[ctd.get(loopint)][loopcf]) - NORMAL.getCDF(kappa[loopint - 1] + alpha[ctd.get(loopint)][loopcf])) * priceBar;
        }
      }
      // From last cross to +infinity
      for (int loopcf = 0; loopcf < cfaAdjusted[ctd.get(nbInt - 1)].length; loopcf++) {
        cfaAdjustedBar[ctd.get(nbInt - 1)][loopcf] = (1.0 - NORMAL.getCDF(kappa[nbInt - 2] + alpha[ctd.get(nbInt - 1)][loopcf])) * priceBar;
      }
      for (int loopbnd = 0; loopbnd < nbBond; loopbnd++) { // Could be reduced to only the ctd intervals.
        for (int loopcf = 0; loopcf < cfaAdjusted[loopbnd].length; loopcf++) {
          dfBar[loopbnd][loopcf] = beta[loopbnd][loopcf] / dfdelivery * cf[loopbnd].getNthPayment(loopcf).getAmount() / future.getConversionFactor()[loopbnd] * cfaAdjustedBar[loopbnd][loopcf];
          listCredit.add(new DoublesPair(cfTime[loopbnd][loopcf], -cfTime[loopbnd][loopcf] * df[loopbnd][loopcf] * dfBar[loopbnd][loopcf]));
          dfdeliveryBar += -cfaAdjusted[loopbnd][loopcf] / dfdelivery * cfaAdjustedBar[loopbnd][loopcf];
        }
      }
      listCredit.add(new DoublesPair(delivery, -delivery * dfdelivery * dfdeliveryBar));
    }
    resultMap.put(multicurvesDecorated.getName(ccy), listCredit);
    return MulticurveSensitivity.ofYieldDiscounting(resultMap);
  }
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   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final BondFixedTransaction bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
    final Currency ccy = bond.getBondTransaction().getCurrency();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuerMulticurves, ccy, bond.getBondTransaction().getIssuer());
    final MultipleCurrencyAmount pvNominal = bond.getBondTransaction().getNominal().accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = bond.getBondTransaction().getCoupon().accept(PVDC, multicurvesDecorated);
    final double settlementAmount = -(bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional() + bond.getBondTransaction().getAccruedInterest())
        * bond.getQuantity();
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount);
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   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final BondIborTransaction bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
    final Currency ccy = bond.getBondTransaction().getCurrency();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuerMulticurves, ccy, bond.getBondTransaction().getIssuer());
    final MultipleCurrencyAmount pvNominal = bond.getBondTransaction().getNominal().accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = bond.getBondTransaction().getCoupon().accept(PVDC, multicurvesDecorated);
    final double settlementAmount = bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional(); //FIXME: add accrued.
    LOGGER.error("The FRN settlement amount does not include the accrued interests.");
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount);
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  public MultipleCurrencyAmount presentValueFromCleanPrice(final BondTransaction<? extends BondSecurity<? extends Payment, ? extends Coupon>> bond, final IssuerProviderInterface issuerMulticurves,
      final double cleanPrice) {
    ArgumentChecker.notNull(bond, "Bond");
    ArgumentChecker.isTrue(bond instanceof BondFixedTransaction, "Present value from clean price only for fixed coupon bond");
    final Currency ccy = bond.getBondTransaction().getCurrency();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuerMulticurves, ccy, bond.getBondTransaction().getIssuer());
    final BondFixedTransaction bondFixed = (BondFixedTransaction) bond;
    final double dfSettle = issuerMulticurves.getMulticurveProvider().getDiscountFactor(ccy, bondFixed.getBondTransaction().getSettlementTime());
    final MultipleCurrencyAmount pvPriceStandard = MultipleCurrencyAmount.of(ccy, (cleanPrice * bondFixed.getNotionalStandard() + bondFixed.getBondStandard().getAccruedInterest()) * dfSettle);
    final MultipleCurrencyAmount pvNominalStandard = bond.getBondStandard().getNominal().accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCouponStandard = bond.getBondStandard().getCoupon().accept(PVDC, multicurvesDecorated);
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   * @return The present value sensitivity.
   */
  public MultipleCurrencyMulticurveSensitivity presentValueSensitivity(final BondFixedTransaction bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
    final Currency ccy = bond.getBondTransaction().getCurrency();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuerMulticurves, ccy, bond.getBondTransaction().getIssuer());
    final MultipleCurrencyMulticurveSensitivity pvcsNominal = bond.getBondTransaction().getNominal().accept(PVSDC, multicurvesDecorated);
    final MultipleCurrencyMulticurveSensitivity pvcsCoupon = bond.getBondTransaction().getCoupon().accept(PVSDC, multicurvesDecorated);
    final double settlementAmount = -(bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional() + bond.getBondTransaction().getAccruedInterest())
        * bond.getQuantity();
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount);
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  }

  public MultipleCurrencyMulticurveSensitivity presentValueSensitivity(final BondIborTransaction bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
    final Currency ccy = bond.getBondTransaction().getCurrency();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuerMulticurves, ccy, bond.getBondTransaction().getIssuer());
    final MultipleCurrencyMulticurveSensitivity pvcsNominal = bond.getBondTransaction().getNominal().accept(PVSDC, multicurvesDecorated);
    final MultipleCurrencyMulticurveSensitivity pvcsCoupon = bond.getBondTransaction().getCoupon().accept(PVSDC, multicurvesDecorated);
    final double settlementAmount = bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional(); //FIXME: add accrued.
    LOGGER.error("The FRN settlement amount does not include the accrued interests.");
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount);
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Related Classes of com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscountingDecoratedIssuer

  • com.opengamma.analytics.financial.interestrate.bond.provider.BondSecurityDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.bond.provider.BondSecurityDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.bond.provider.BondTransactionDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.bond.provider.BondTransactionDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.future.provider.BondFutureHullWhiteMethod
  • com.opengamma.analytics.financial.interestrate.future.provider.BondFuturesSecurityHullWhiteMethod
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