/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.bond.provider;
import java.util.ArrayList;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import com.opengamma.analytics.financial.interestrate.bond.definition.BillTransaction;
import com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.tuple.DoublesPair;
import com.opengamma.util.tuple.Pair;
/**
* Class with methods related to bill transaction valued by discounting.
* <P> Reference: Bill pricing, version 1.0. OpenGamma documentation, January 2012.
*/
public final class BillTransactionDiscountingMethod {
/**
* The unique instance of the class.
*/
private static final BillTransactionDiscountingMethod INSTANCE = new BillTransactionDiscountingMethod();
/**
* Return the class instance.
* @return The instance.
*/
public static BillTransactionDiscountingMethod getInstance() {
return INSTANCE;
}
/**
* Constructor
*/
private BillTransactionDiscountingMethod() {
}
/**
* Methods.
*/
private static final BillSecurityDiscountingMethod METHOD_SECURITY = BillSecurityDiscountingMethod.getInstance();
/**
* Computes the bill transaction present value.
* @param bill The bill.
* @param issuer The issuer and multi-curves provider.
* @return The present value.
*/
public MultipleCurrencyAmount presentValue(final BillTransaction bill, final IssuerProviderInterface issuer) {
ArgumentChecker.notNull(bill, "Bill");
ArgumentChecker.notNull(issuer, "Issuer and multi-curves provider");
final Currency ccy = bill.getCurrency();
final MultipleCurrencyAmount pvBill = METHOD_SECURITY.presentValue(bill.getBillPurchased(), issuer);
final double pvSettle = bill.getSettlementAmount() * issuer.getMulticurveProvider().getDiscountFactor(ccy, bill.getBillPurchased().getSettlementTime());
return pvBill.multipliedBy(bill.getQuantity()).plus(MultipleCurrencyAmount.of(ccy, pvSettle));
}
/**
* Computes the bill present value curve sensitivity.
* @param bill The bill.
* @param issuer The issuer and multi-curves provider.
* @return The sensitivity.
*/
public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final BillTransaction bill, final IssuerProviderInterface issuer) {
ArgumentChecker.notNull(bill, "Bill");
ArgumentChecker.notNull(issuer, "Issuer and multi-curves provider");
final Currency ccy = bill.getCurrency();
final Pair<String, Currency> issuerCcy = bill.getBillPurchased().getIssuerCcy();
final double dfCreditEnd = issuer.getDiscountFactor(issuerCcy, bill.getBillPurchased().getEndTime());
final double dfDscSettle = issuer.getMulticurveProvider().getDiscountFactor(ccy, bill.getBillPurchased().getSettlementTime());
// Backward sweep
final double pvBar = 1.0;
final double dfCreditEndBar = bill.getQuantity() * bill.getBillPurchased().getNotional() * pvBar;
final double dfDscSettleBar = bill.getSettlementAmount() * pvBar;
final Map<String, List<DoublesPair>> resultMapCredit = new HashMap<>();
final List<DoublesPair> listCredit = new ArrayList<>();
listCredit.add(new DoublesPair(bill.getBillPurchased().getEndTime(), -bill.getBillPurchased().getEndTime() * dfCreditEnd * dfCreditEndBar));
resultMapCredit.put(issuer.getName(issuerCcy), listCredit);
final MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMapCredit);
final Map<String, List<DoublesPair>> resultMapDsc = new HashMap<>();
final List<DoublesPair> listDsc = new ArrayList<>();
listDsc.add(new DoublesPair(bill.getBillPurchased().getSettlementTime(), -bill.getBillPurchased().getSettlementTime() * dfDscSettle * dfDscSettleBar));
resultMapDsc.put(issuer.getMulticurveProvider().getName(ccy), listDsc);
return MultipleCurrencyMulticurveSensitivity.of(ccy, result.plus(MulticurveSensitivity.ofYieldDiscounting(resultMapDsc)));
}
/**
* The par spread for which the present value of the bill transaction is 0. If that spread was added to the transaction yield, the new transaction would have a present value of 0.
* @param bill The bill transaction.
* @param issuer The issuer and multi-curves provider.
* @return The spread.
*/
public double parSpread(final BillTransaction bill, final IssuerProviderInterface issuer) {
ArgumentChecker.notNull(bill, "Bill");
ArgumentChecker.notNull(issuer, "Issuer and multi-curves provider");
final Currency ccy = bill.getCurrency();
final double dfCreditEnd = issuer.getDiscountFactor(bill.getBillPurchased().getIssuerCcy(), bill.getBillPurchased().getEndTime());
final double dfDscSettle = issuer.getMulticurveProvider().getDiscountFactor(ccy, bill.getBillPurchased().getSettlementTime());
final double pricePar = dfCreditEnd / dfDscSettle;
return METHOD_SECURITY.yieldFromPrice(bill.getBillPurchased(), pricePar)
- METHOD_SECURITY.yieldFromPrice(bill.getBillPurchased(), -bill.getSettlementAmount() / (bill.getQuantity() * bill.getBillPurchased().getNotional()));
}
/**
* The par spread curve sensitivity.
* @param bill The bill transaction.
* @param issuer The issuer and multi-curves provider.
* @return The curve sensitivity.
*/
public MulticurveSensitivity parSpreadCurveSensitivity(final BillTransaction bill, final IssuerProviderInterface issuer) {
ArgumentChecker.notNull(bill, "Bill");
ArgumentChecker.notNull(issuer, "Issuer and multi-curves provider");
final Currency ccy = bill.getCurrency();
final Pair<String, Currency> issuerCcy = bill.getBillPurchased().getIssuerCcy();
final double dfCreditEnd = issuer.getDiscountFactor(issuerCcy, bill.getBillPurchased().getEndTime());
final double dfDscSettle = issuer.getMulticurveProvider().getDiscountFactor(ccy, bill.getBillPurchased().getSettlementTime());
final double pricePar = dfCreditEnd / dfDscSettle;
// Backward sweep
final double spreadBar = 1.0;
final double priceParBar = METHOD_SECURITY.yieldFromPriceDerivative(bill.getBillPurchased(), pricePar) * spreadBar;
final double dfDscSettleBar = -dfCreditEnd / (dfDscSettle * dfDscSettle) * priceParBar;
final double dfCreditEndBar = priceParBar / dfDscSettle;
final Map<String, List<DoublesPair>> resultMapCredit = new HashMap<>();
final List<DoublesPair> listCredit = new ArrayList<>();
listCredit.add(new DoublesPair(bill.getBillPurchased().getEndTime(), -bill.getBillPurchased().getEndTime() * dfCreditEnd * dfCreditEndBar));
resultMapCredit.put(issuer.getName(issuerCcy), listCredit);
final MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMapCredit);
final Map<String, List<DoublesPair>> resultMapDsc = new HashMap<>();
final List<DoublesPair> listDsc = new ArrayList<>();
listDsc.add(new DoublesPair(bill.getBillPurchased().getSettlementTime(), -bill.getBillPurchased().getSettlementTime() * dfDscSettle * dfDscSettleBar));
resultMapDsc.put(issuer.getMulticurveProvider().getName(ccy), listDsc);
return result.plus(MulticurveSensitivity.ofYieldDiscounting(resultMapDsc));
}
}