/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed;
import com.opengamma.analytics.financial.interestrate.bond.definition.BillSecurity;
import com.opengamma.analytics.financial.interestrate.bond.definition.BillTransaction;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedTransaction;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondIborSecurity;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondIborTransaction;
import com.opengamma.analytics.financial.interestrate.bond.method.BillSecurityDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.bond.method.BillTransactionDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.bond.method.BondTransactionDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.cash.derivative.Cash;
import com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero;
import com.opengamma.analytics.financial.interestrate.cash.method.CashDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.cash.method.DepositZeroDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement;
import com.opengamma.analytics.financial.interestrate.fra.method.ForwardRateAgreementDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.future.derivative.BondFuture;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureTransaction;
import com.opengamma.analytics.financial.interestrate.future.method.BondFutureDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureTransactionDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.payments.ForexForward;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponCMS;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixedAccruedCompounding;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIbor;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborCompounding;
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.CouponON;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONCompounded;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed;
import com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.payments.method.CouponFixedAccruedCompoundingDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.payments.method.CouponFixedDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.payments.method.CouponIborCompoundedDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.payments.method.CouponIborDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.payments.method.CouponIborGearingDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.payments.method.CouponIborSpreadDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.payments.method.CouponONCompoundedDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.payments.method.CouponONDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.payments.method.PaymentFixedDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.swap.derivative.Swap;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueDiscountingCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.ParameterProviderInterface;
import com.opengamma.util.ArgumentChecker;
/**
* Calculates the present value of an instrument for a given YieldCurveBundle (set of yield curve that the instrument is sensitive to)
* @deprecated Use the present values calculators that reference {@link ParameterProviderInterface}
* e.g. {@link PresentValueDiscountingCalculator}
*/
@Deprecated
public class PresentValueCalculator extends InstrumentDerivativeVisitorAdapter<YieldCurveBundle, Double> {
/**
* The method unique instance.
*/
private static final PresentValueCalculator INSTANCE = new PresentValueCalculator();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static PresentValueCalculator getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
PresentValueCalculator() {
}
/**
* The method used for different instruments.
*/
private static final CashDiscountingMethod METHOD_DEPOSIT = CashDiscountingMethod.getInstance();
private static final DepositZeroDiscountingMethod METHOD_DEPOSIT_ZERO = DepositZeroDiscountingMethod.getInstance();
private static final BillSecurityDiscountingMethod METHOD_BILL_SECURITY = BillSecurityDiscountingMethod.getInstance();
private static final BillTransactionDiscountingMethod METHOD_BILL_TRANSACTION = BillTransactionDiscountingMethod.getInstance();
private static final PaymentFixedDiscountingMethod METHOD_PAY_FIXED = PaymentFixedDiscountingMethod.getInstance();
private static final CouponFixedDiscountingMethod METHOD_CPN_FIXED = CouponFixedDiscountingMethod.getInstance();
private static final CouponONDiscountingMethod METHOD_CPN_OIS = CouponONDiscountingMethod.getInstance();
private static final CouponIborDiscountingMethod METHOD_CPN_IBOR = CouponIborDiscountingMethod.getInstance();
private static final CouponIborSpreadDiscountingMethod METHOD_CPN_IBOR_SPREAD = CouponIborSpreadDiscountingMethod.getInstance();
private static final CouponIborGearingDiscountingMethod METHOD_CPN_IBOR_GEARING = CouponIborGearingDiscountingMethod.getInstance();
private static final CouponIborCompoundedDiscountingMethod METHOD_CPN_IBOR_COMP = CouponIborCompoundedDiscountingMethod.getInstance();
private static final ForwardRateAgreementDiscountingMethod METHOD_FRA = ForwardRateAgreementDiscountingMethod.getInstance();
private static final CouponCMSDiscountingMethod METHOD_CMS_DISCOUNTING = CouponCMSDiscountingMethod.getInstance();
private static final CouponFixedAccruedCompoundingDiscountingMethod METHOD_CPN_FIXED_ACCRUING = CouponFixedAccruedCompoundingDiscountingMethod.getInstance();
private static final CouponONCompoundedDiscountingMethod METHOD_CPN_ON_COMPOUNDED = CouponONCompoundedDiscountingMethod.getInstance();
// ----- Deposit ------
@Override
public Double visitCash(final Cash deposit, final YieldCurveBundle curves) {
return METHOD_DEPOSIT.presentValue(deposit, curves).getAmount();
}
@Override
public Double visitDepositZero(final DepositZero deposit, final YieldCurveBundle curves) {
return METHOD_DEPOSIT_ZERO.presentValue(deposit, curves).getAmount();
}
// ----- Bill/Bond ------
@Override
public Double visitBillSecurity(final BillSecurity bill, final YieldCurveBundle curves) {
return METHOD_BILL_SECURITY.presentValue(bill, curves).getAmount();
}
@Override
public Double visitBillTransaction(final BillTransaction bill, final YieldCurveBundle curves) {
return METHOD_BILL_TRANSACTION.presentValue(bill, curves).getAmount();
}
@Override
public Double visitBondFixedSecurity(final BondFixedSecurity bond, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(bond, "bond");
final BondSecurityDiscountingMethod method = BondSecurityDiscountingMethod.getInstance();
return method.presentValue(bond, curves);
}
@Override
public Double visitBondFixedTransaction(final BondFixedTransaction bond, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(bond, "bond");
final BondTransactionDiscountingMethod method = BondTransactionDiscountingMethod.getInstance();
return method.presentValue(bond, curves);
}
@Override
public Double visitBondIborSecurity(final BondIborSecurity bond, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(bond, "bond");
final BondSecurityDiscountingMethod method = BondSecurityDiscountingMethod.getInstance();
return method.presentValue(bond, curves);
}
@Override
public Double visitBondIborTransaction(final BondIborTransaction bond, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(bond, "bond");
final BondTransactionDiscountingMethod method = BondTransactionDiscountingMethod.getInstance();
return method.presentValue(bond, curves);
}
// ----- Payment/Coupon ------
@Override
public Double visitFixedPayment(final PaymentFixed payment, final YieldCurveBundle curves) {
return METHOD_PAY_FIXED.presentValue(payment, curves).getAmount();
}
@Override
public Double visitCouponFixed(final CouponFixed payment, final YieldCurveBundle curves) {
return METHOD_CPN_FIXED.presentValue(payment, curves).getAmount();
}
@Override
public Double visitCouponOIS(final CouponON payment, final YieldCurveBundle data) {
return METHOD_CPN_OIS.presentValue(payment, data).getAmount();
}
@Override
public Double visitCouponIbor(final CouponIbor coupon, final YieldCurveBundle curves) {
return METHOD_CPN_IBOR.presentValue(coupon, curves).getAmount();
}
@Override
public Double visitCouponIborSpread(final CouponIborSpread payment, final YieldCurveBundle curves) {
return METHOD_CPN_IBOR_SPREAD.presentValue(payment, curves).getAmount();
}
@Override
public Double visitCouponIborGearing(final CouponIborGearing coupon, final YieldCurveBundle curves) {
return METHOD_CPN_IBOR_GEARING.presentValue(coupon, curves).getAmount();
}
@Override
public Double visitCouponIborCompounding(final CouponIborCompounding coupon, final YieldCurveBundle curves) {
return METHOD_CPN_IBOR_COMP.presentValue(coupon, curves).getAmount();
}
@Override
public Double visitCouponFixedAccruedCompounding(final CouponFixedAccruedCompounding coupon, final YieldCurveBundle curves) {
return METHOD_CPN_FIXED_ACCRUING.presentValue(coupon, curves).getAmount();
}
@Override
public Double visitCouponONCompounded(final CouponONCompounded coupon, final YieldCurveBundle curves) {
return METHOD_CPN_ON_COMPOUNDED.presentValue(coupon, curves).getAmount();
}
@Override
public Double visitForwardRateAgreement(final ForwardRateAgreement fra, final YieldCurveBundle curves) {
return METHOD_FRA.presentValue(fra, curves).getAmount();
}
@Override
public Double visitInterestRateFutureTransaction(final InterestRateFutureTransaction future, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(future, "future");
final InterestRateFutureTransactionDiscountingMethod method = InterestRateFutureTransactionDiscountingMethod.getInstance();
return method.presentValue(future, curves).getAmount();
}
@Override
public Double visitSwap(final Swap<?, ?> swap, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(swap, "swap");
final double pvFirst = swap.getFirstLeg().accept(this, curves);
final double pvSecond = swap.getSecondLeg().accept(this, curves);
return pvSecond + pvFirst;
}
@Override
public Double visitFixedCouponSwap(final SwapFixedCoupon<?> swap, final YieldCurveBundle curves) {
return visitSwap(swap, curves);
}
@Override
public Double visitBondFuture(final BondFuture bondFuture, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(bondFuture, "bond future");
final BondFutureDiscountingMethod method = BondFutureDiscountingMethod.getInstance();
return method.presentValue(bondFuture, curves).getAmount();
}
@Override
public Double visitGenericAnnuity(final Annuity<? extends Payment> annuity, final YieldCurveBundle curves) {
ArgumentChecker.notNull(curves, "curves");
ArgumentChecker.notNull(annuity, "annuity");
double pv = 0;
for (final Payment p : annuity.getPayments()) {
pv += p.accept(this, curves);
}
return pv;
}
@Override
public Double visitForexForward(final ForexForward fx, final YieldCurveBundle data) {
final double leg1 = visitFixedPayment(fx.getPaymentCurrency1(), data);
final double leg2 = visitFixedPayment(fx.getPaymentCurrency2(), data);
return leg1 + fx.getSpotForexRate() * leg2;
}
@Override
public Double visitFixedCouponAnnuity(final AnnuityCouponFixed annuity, final YieldCurveBundle curves) {
return visitGenericAnnuity(annuity, curves);
}
@Override
public Double visitCouponCMS(final CouponCMS cmsCoupon, final YieldCurveBundle curves) {
return METHOD_CMS_DISCOUNTING.presentValue(cmsCoupon, curves).getAmount();
}
}