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

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

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   */
  public MultipleCurrencyAmount presentValue(final CapFloorIbor cap, final LiborMarketModelDisplacedDiffusionProviderInterface lmmData) {
    ArgumentChecker.notNull(cap, "The cap/floor shoud not be null");
    ArgumentChecker.notNull(lmmData, "LMM provider");
    Currency ccy = cap.getCurrency();
    MulticurveProviderInterface multicurves = lmmData.getMulticurveProvider();
    LiborMarketModelDisplacedDiffusionParameters parameters = lmmData.getLMMParameters();
    int index = lmmData.getLMMParameters().getTimeIndex(cap.getFixingPeriodStartTime());
    double volatility = 0;
    for (int loopfact = 0; loopfact < lmmData.getLMMParameters().getNbFactor(); loopfact++) {
      volatility += parameters.getVolatility()[index][loopfact] * parameters.getVolatility()[index][loopfact];
    }
    volatility = Math.sqrt(volatility);
    double timeDependentFactor = Math.sqrt((Math.exp(2 * parameters.getMeanReversion() * cap.getFixingTime()) - 1.0) / (2.0 * parameters.getMeanReversion()));
    volatility *= timeDependentFactor;
    double displacement = parameters.getDisplacement()[index];
    double forward = multicurves.getForwardRate(cap.getIndex(), cap.getFixingPeriodStartTime(), cap.getFixingPeriodEndTime(), cap.getFixingAccrualFactor());
    double beta = (1.0 + cap.getFixingAccrualFactor() * forward) * multicurves.getDiscountFactor(ccy, cap.getFixingPeriodEndTime())
        / multicurves.getDiscountFactor(ccy, cap.getFixingPeriodStartTime());
    double strikeAdjusted = (cap.getStrike() - (beta - 1) / cap.getFixingAccrualFactor()) / beta;
    EuropeanVanillaOption option = new EuropeanVanillaOption(strikeAdjusted + displacement, 1.0, cap.isCap()); // Time is in timeDependentFactor
    double forwardDsc = (multicurves.getDiscountFactor(ccy, cap.getFixingPeriodStartTime()) / multicurves.getDiscountFactor(ccy, cap.getFixingPeriodEndTime()) - 1.0) / cap.getFixingAccrualFactor();
    final double df = multicurves.getDiscountFactor(ccy, cap.getPaymentTime());
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardDsc + displacement, df, volatility);
    final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(option);
    final double price = beta * func.evaluate(dataBlack) * cap.getNotional() * cap.getPaymentYearFraction();
    return MultipleCurrencyAmount.of(cap.getCurrency(), price);
  }
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   * @return The present value curve sensitivity.
   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final CapFloorIbor cap, final BlackSmileCapProviderInterface black) {
    ArgumentChecker.notNull(cap, "The cap/floor shoud not be null");
    ArgumentChecker.notNull(black, "Black provider");
    final MulticurveProviderInterface multicurve = black.getMulticurveProvider();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(cap.getStrike(), cap.getFixingTime(), cap.isCap());
    final double forward = multicurve.getForwardRate(cap.getIndex(), cap.getFixingPeriodStartTime(), cap.getFixingPeriodEndTime(), cap.getFixingAccrualFactor());
    final double df = multicurve.getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    final MulticurveSensitivity forwardDr = MulticurveSensitivity.ofForward(multicurve.getName(cap.getIndex()),
        new ForwardSensitivity(cap.getFixingPeriodStartTime(), cap.getFixingPeriodEndTime(), cap.getFixingAccrualFactor(), 1.0));
    final double dfDr = -cap.getPaymentTime() * df;
    final double volatility = black.getBlackParameters().getVolatility(cap.getFixingTime(), cap.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(multicurve.getName(cap.getCurrency()), list);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardDr.multipliedBy(df * bsAdjoint[1]));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyMulticurveSensitivity.of(cap.getCurrency(), result);
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  @Override
  public double price(final InterestRateFutureOptionMarginSecurity security, final HullWhiteOneFactorProviderInterface hwMulticurves) {
    ArgumentChecker.notNull(security, "Option security");
    ArgumentChecker.notNull(hwMulticurves, "Hull-White and multi-curves data");
    ArgumentChecker.isTrue(security.getCurrency().equals(hwMulticurves.getHullWhiteCurrency()), "Model currency incompatible with security currency");
    final MulticurveProviderInterface multicurves = hwMulticurves.getMulticurveProvider();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = hwMulticurves.getHullWhiteParameters();
    final double k = security.getStrike();
    final double ktilde = 1.0 - k;
    final double theta = security.getExpirationTime();
    final double delta = security.getUnderlyingFuture().getFixingPeriodAccrualFactor();
    final double t0 = security.getUnderlyingFuture().getLastTradingTime();
    final double t1 = security.getUnderlyingFuture().getFixingPeriodStartTime();
    final double t2 = security.getUnderlyingFuture().getFixingPeriodEndTime();
    final double alpha = MODEL.alpha(parameters, 0.0, theta, t1, t2);
    final double gamma = MODEL.futuresConvexityFactor(parameters, t0, t1, t2);
    final double forward = multicurves.getForwardRate(security.getUnderlyingFuture().getIborIndex(), t1, t2, delta);
    final double kappa = -Math.log((1 + delta * ktilde) / (1 + delta * forward) / gamma) / alpha - 0.5 * alpha;
    if (security.isCall()) {
      final double normalKappa = NORMAL.getCDF(-kappa);
      final double normalAlphaKappa = NORMAL.getCDF(-kappa - alpha);
      return (1 - k + 1.0 / delta) * normalKappa - (1.0 / delta + forward) * gamma * normalAlphaKappa;
 
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  @Override
  public MulticurveSensitivity priceCurveSensitivity(final InterestRateFutureOptionMarginSecurity security, final HullWhiteOneFactorProviderInterface hwMulticurves) {
    ArgumentChecker.notNull(security, "Option security");
    ArgumentChecker.notNull(hwMulticurves, "Hull-White and multi-curves data");
    ArgumentChecker.isTrue(security.getCurrency().equals(hwMulticurves.getHullWhiteCurrency()), "Model currency incompatible with security currency");
    final MulticurveProviderInterface multicurves = hwMulticurves.getMulticurveProvider();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = hwMulticurves.getHullWhiteParameters();
    final double k = security.getStrike();
    final double ktilde = 1.0 - k;
    final double theta = security.getExpirationTime();
    final double delta = security.getUnderlyingFuture().getFixingPeriodAccrualFactor();
    final double t0 = security.getUnderlyingFuture().getLastTradingTime();
    final double t1 = security.getUnderlyingFuture().getFixingPeriodStartTime();
    final double t2 = security.getUnderlyingFuture().getFixingPeriodEndTime();
    // forward sweep
    final double alpha = MODEL.alpha(parameters, 0.0, theta, t1, t2);
    final double gamma = MODEL.futuresConvexityFactor(parameters, t0, t1, t2);
    final double forward = multicurves.getForwardRate(security.getUnderlyingFuture().getIborIndex(), t1, t2, delta);
    final double kappa = -Math.log((1 + delta * ktilde) / (1 + delta * forward) / gamma) / alpha - 0.5 * alpha;
    // Bakcward sweep
    final double priceBar = 1.0;
    double forwardBar;
    if (security.isCall()) {
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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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   * @param issuerMulticurves The issuer and multi-curves provider.
   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(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 MultipleCurrencyAmount pvNominal = bond.getNominal().accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = bond.getCoupon().accept(PVDC, multicurvesDecorated);
    return pvNominal.plus(pvCoupon);
  }
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   * @return The price curve sensitivity.
   */
  public MulticurveSensitivity dirtyPriceCurveSensitivity(final BondFixedSecurity bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
    ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
    final MulticurveProviderInterface multicurves = issuerMulticurves.getMulticurveProvider();
    final Currency ccy = bond.getCurrency();
    final double notional = bond.getCoupon().getNthPayment(0).getNotional();
    final MultipleCurrencyAmount pv = presentValue(bond, issuerMulticurves);
    final MultipleCurrencyMulticurveSensitivity sensiPv = presentValueCurveSensitivity(bond, issuerMulticurves);
    final double df = multicurves.getDiscountFactor(ccy, bond.getSettlementTime());
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    final List<DoublesPair> listDf = new ArrayList<>();
    listDf.add(new DoublesPair(bond.getSettlementTime(), bond.getSettlementTime() / df));
    resultMap.put(multicurves.getName(ccy), listDf);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(pv.getAmount(ccy) / notional);
    result = result.plus(sensiPv.getSensitivity(ccy).multipliedBy(1 / (df * notional)));
    return result;
  }
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   * @param issuerMulticurves The issuer and multi-curves provider.
   * @return The present value curve sensitivity.
   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(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 MultipleCurrencyMulticurveSensitivity pvcsNominal = bond.getNominal().accept(PVCSDC, multicurvesDecorated);
    final MultipleCurrencyMulticurveSensitivity pvcsCoupon = bond.getCoupon().accept(PVCSDC, multicurvesDecorated);
    return pvcsNominal.plus(pvcsCoupon);
  }
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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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