/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate;
import java.util.TreeMap;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityPaymentFixed;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIbor;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborGearing;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborSpread;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed;
import com.opengamma.analytics.financial.interestrate.swap.derivative.Swap;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Compute the cash flow equivalent of simple instruments (in single or multi-curve framework).
* The cash-flow equivalent have at most one payment by time and the times are sorted in ascending order.
* Reference: Henrard, M. The Irony in the derivatives discounting Part II: the crisis. Wilmott Journal, 2010, 2, 301-316
* @deprecated Use {@link com.opengamma.analytics.financial.provider.calculator.discounting.CashFlowEquivalentCalculator}
*/
@Deprecated
public class CashFlowEquivalentCalculator extends InstrumentDerivativeVisitorAdapter<YieldCurveBundle, AnnuityPaymentFixed> {
/**
* The unique instance of the calculator.
*/
private static final CashFlowEquivalentCalculator s_instance = new CashFlowEquivalentCalculator();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static CashFlowEquivalentCalculator getInstance() {
return s_instance;
}
/**
* Constructor.
*/
CashFlowEquivalentCalculator() {
}
@Override
public AnnuityPaymentFixed visitFixedPayment(final PaymentFixed payment, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(payment, "payment");
return new AnnuityPaymentFixed(new PaymentFixed[] {payment });
}
@Override
public AnnuityPaymentFixed visitCouponFixed(final CouponFixed coupon, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(coupon, "coupon");
return new AnnuityPaymentFixed(new PaymentFixed[] {coupon.toPaymentFixed() });
}
@Override
public AnnuityPaymentFixed visitCouponIbor(final CouponIbor payment, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(payment, "payment");
final YieldAndDiscountCurve discountingCurve = curves.getCurve(payment.getFundingCurveName());
final YieldAndDiscountCurve forwardCurve = curves.getCurve(payment.getForwardCurveName());
final double fixingStartTime = payment.getFixingPeriodStartTime();
final double fixingEndTime = payment.getFixingPeriodEndTime();
final double paymentTime = payment.getPaymentTime();
final double beta = forwardCurve.getDiscountFactor(fixingStartTime) / forwardCurve.getDiscountFactor(fixingEndTime) * discountingCurve.getDiscountFactor(paymentTime)
/ discountingCurve.getDiscountFactor(fixingStartTime);
final PaymentFixed paymentStart = new PaymentFixed(payment.getCurrency(), fixingStartTime, beta * payment.getNotional() * payment.getPaymentYearFraction() / payment.getFixingAccrualFactor(),
payment.getFundingCurveName());
final PaymentFixed paymentEnd = new PaymentFixed(payment.getCurrency(), paymentTime, -payment.getNotional() * payment.getPaymentYearFraction() / payment.getFixingAccrualFactor(),
payment.getFundingCurveName());
return new AnnuityPaymentFixed(new PaymentFixed[] {paymentStart, paymentEnd });
}
@Override
public AnnuityPaymentFixed visitCouponIborSpread(final CouponIborSpread payment, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(payment, "payment");
final YieldAndDiscountCurve discountingCurve = curves.getCurve(payment.getFundingCurveName());
final YieldAndDiscountCurve forwardCurve = curves.getCurve(payment.getForwardCurveName());
final double fixingStartTime = payment.getFixingPeriodStartTime();
final double fixingEndTime = payment.getFixingPeriodEndTime();
final double paymentTime = payment.getPaymentTime();
final double beta = forwardCurve.getDiscountFactor(fixingStartTime) / forwardCurve.getDiscountFactor(fixingEndTime) * discountingCurve.getDiscountFactor(paymentTime)
/ discountingCurve.getDiscountFactor(fixingStartTime);
final PaymentFixed paymentStart = new PaymentFixed(payment.getCurrency(), fixingStartTime, beta * payment.getNotional() * payment.getPaymentYearFraction() / payment.getFixingAccrualFactor(),
payment.getFundingCurveName());
final PaymentFixed paymentEnd = new PaymentFixed(payment.getCurrency(), paymentTime, (-payment.getNotional() + payment.getSpreadAmount()) * payment.getPaymentYearFraction()
/ payment.getFixingAccrualFactor(), payment.getFundingCurveName());
return new AnnuityPaymentFixed(new PaymentFixed[] {paymentStart, paymentEnd});
}
@Override
public AnnuityPaymentFixed visitCouponIborGearing(final CouponIborGearing payment, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(payment, "payment");
final YieldAndDiscountCurve discountingCurve = curves.getCurve(payment.getFundingCurveName());
final YieldAndDiscountCurve forwardCurve = curves.getCurve(payment.getForwardCurveName());
final double fixingStartTime = payment.getFixingPeriodStartTime();
final double fixingEndTime = payment.getFixingPeriodEndTime();
final double paymentTime = payment.getPaymentTime();
final double beta = forwardCurve.getDiscountFactor(fixingStartTime) / forwardCurve.getDiscountFactor(fixingEndTime) * discountingCurve.getDiscountFactor(paymentTime)
/ discountingCurve.getDiscountFactor(fixingStartTime);
final PaymentFixed paymentStart = new PaymentFixed(payment.getCurrency(), fixingStartTime, payment.getFactor() * beta * payment.getNotional() * payment.getPaymentYearFraction()
/ payment.getFixingAccrualFactor(), payment.getFundingCurveName());
final PaymentFixed paymentEnd = new PaymentFixed(payment.getCurrency(), paymentTime, (-payment.getFactor() / payment.getFixingAccrualFactor() + payment.getSpread()) *
payment.getPaymentYearFraction()
* payment.getNotional(), payment.getFundingCurveName());
return new AnnuityPaymentFixed(new PaymentFixed[] {paymentStart, paymentEnd });
}
@Override
public AnnuityPaymentFixed visitGenericAnnuity(final Annuity<? extends Payment> annuity, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(annuity, "annuity");
final TreeMap<Double, Double> flow = new TreeMap<>();
final Currency ccy = annuity.getCurrency();
for (final Payment p : annuity.getPayments()) {
final AnnuityPaymentFixed cfe = p.accept(this, curves);
for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
addcf(flow, cfe.getNthPayment(loopcf).getPaymentTime(), cfe.getNthPayment(loopcf).getAmount());
}
}
final PaymentFixed[] agregatedCfe = new PaymentFixed[flow.size()];
int loopcf = 0;
for (final double time : flow.keySet()) {
agregatedCfe[loopcf++] = new PaymentFixed(ccy, time, flow.get(time), annuity.getDiscountCurve());
}
return new AnnuityPaymentFixed(agregatedCfe);
}
@Override
public AnnuityPaymentFixed visitFixedCouponAnnuity(final AnnuityCouponFixed annuity, final YieldCurveBundle curves) {
return visitGenericAnnuity(annuity, curves);
}
@Override
public AnnuityPaymentFixed visitSwap(final Swap<?, ?> swap, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(swap, "swap");
final Currency ccy = swap.getFirstLeg().getCurrency();
ArgumentChecker.isTrue(ccy.equals(swap.getSecondLeg().getCurrency()), "Cash flow equivalent available only for single currency swaps.");
final TreeMap<Double, Double> flow = new TreeMap<>();
final AnnuityPaymentFixed cfeLeg1 = swap.getFirstLeg().accept(this, curves);
final AnnuityPaymentFixed cfeLeg2 = swap.getSecondLeg().accept(this, curves);
for (final PaymentFixed p : cfeLeg1.getPayments()) {
flow.put(p.getPaymentTime(), p.getAmount());
}
for (final PaymentFixed p : cfeLeg2.getPayments()) {
addcf(flow, p.getPaymentTime(), p.getAmount());
}
final PaymentFixed[] agregatedCfe = new PaymentFixed[flow.size()];
int loopcf = 0;
for (final double time : flow.keySet()) {
agregatedCfe[loopcf++] = new PaymentFixed(ccy, time, flow.get(time), cfeLeg1.getDiscountCurve());
}
return new AnnuityPaymentFixed(agregatedCfe);
}
@Override
public AnnuityPaymentFixed visitFixedCouponSwap(final SwapFixedCoupon<?> swap, final YieldCurveBundle curves) {
return visitSwap(swap, curves);
}
@Override
public AnnuityPaymentFixed visitBondFixedSecurity(final BondFixedSecurity bond, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(bond, "bond");
final Currency ccy = bond.getCurrency();
final TreeMap<Double, Double> flow = new TreeMap<>();
final AnnuityPaymentFixed cfeNom = bond.getNominal().accept(this, curves);
final AnnuityPaymentFixed cfeCpn = bond.getCoupon().accept(this, curves);
for (final PaymentFixed p : cfeNom.getPayments()) {
flow.put(p.getPaymentTime(), p.getAmount());
}
for (final PaymentFixed p : cfeCpn.getPayments()) {
addcf(flow, p.getPaymentTime(), p.getAmount());
}
final PaymentFixed[] agregatedCfe = new PaymentFixed[flow.size()];
int loopcf = 0;
for (final double time : flow.keySet()) {
agregatedCfe[loopcf++] = new PaymentFixed(ccy, time, flow.get(time), cfeCpn.getDiscountCurve());
}
return new AnnuityPaymentFixed(agregatedCfe);
}
/**
* Add a cash flow amount at a given time in the flow map. If the time is present, the amount is added; if the time is not present a new entry is created.
* @param flow The map describing the cash flows.
* @param time The time of the flow to add.
* @param amount The amount of the flow to add.
*/
private void addcf(final TreeMap<Double, Double> flow, final double time, final double amount) {
if (flow.containsKey(time)) {
flow.put(time, flow.get(time) + amount);
} else {
flow.put(time, amount);
}
}
}