/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.future.method;
import java.util.ArrayList;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureSecurity;
import com.opengamma.analytics.financial.model.interestrate.HullWhiteOneFactorPiecewiseConstantInterestRateModel;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantDataBundle;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.CurrencyAmount;
import com.opengamma.util.tuple.DoublesPair;
/**
* Method to compute the price for an interest rate future with convexity adjustment from a Hull-White one factor model.
* <p> Reference: Henrard M., Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model. March 2005.
* Available at <a href="http://ssrn.com/abstract=682343">http://ssrn.com/abstract=682343</a>
* @deprecated Use {@link com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureSecurityHullWhiteMethod}
*/
@Deprecated
public final class InterestRateFutureSecurityHullWhiteMethod extends InterestRateFutureSecurityMethod {
/**
* The unique instance of the calculator.
*/
private static final InterestRateFutureSecurityHullWhiteMethod INSTANCE = new InterestRateFutureSecurityHullWhiteMethod();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static InterestRateFutureSecurityHullWhiteMethod getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private InterestRateFutureSecurityHullWhiteMethod() {
}
/**
* The Hull-White model.
*/
private static final HullWhiteOneFactorPiecewiseConstantInterestRateModel MODEL = new HullWhiteOneFactorPiecewiseConstantInterestRateModel();
/**
* Computes the price of a future from the curves using an estimation of the future rate without convexity adjustment.
* @param future The future.
* @param curves The Hull-White parameters and the curves.
* @return The price.
*/
public double price(final InterestRateFutureSecurity future, final HullWhiteOneFactorPiecewiseConstantDataBundle curves) {
Validate.notNull(future, "Future");
Validate.notNull(curves, "Curves");
final YieldAndDiscountCurve forwardCurve = curves.getCurve(future.getForwardCurveName());
final double dfForwardStart = forwardCurve.getDiscountFactor(future.getFixingPeriodStartTime());
final double dfForwardEnd = forwardCurve.getDiscountFactor(future.getFixingPeriodEndTime());
final double forward = (dfForwardStart / dfForwardEnd - 1) / future.getFixingPeriodAccrualFactor();
final double futureConvexityFactor = MODEL.futuresConvexityFactor(curves.getHullWhiteParameter(), future.getLastTradingTime(), future.getFixingPeriodStartTime(), future.getFixingPeriodEndTime());
final double price = 1.0 - futureConvexityFactor * forward + (1 - futureConvexityFactor) / future.getFixingPeriodAccrualFactor();
return price;
}
/**
* Compute the price sensitivity to rates of a interest rate future by discounting.
* @param future The future.
* @param curves The Hull-White parameters and the curves.
* @return The price rate sensitivity.
*/
public InterestRateCurveSensitivity priceCurveSensitivity(final InterestRateFutureSecurity future, final HullWhiteOneFactorPiecewiseConstantDataBundle curves) {
ArgumentChecker.notNull(future, "Future");
ArgumentChecker.notNull(curves, "Curves");
final YieldAndDiscountCurve forwardCurve = curves.getCurve(future.getForwardCurveName());
final double dfForwardStart = forwardCurve.getDiscountFactor(future.getFixingPeriodStartTime());
final double dfForwardEnd = forwardCurve.getDiscountFactor(future.getFixingPeriodEndTime());
final double futureConvexityFactor = MODEL.futuresConvexityFactor(curves.getHullWhiteParameter(), future.getLastTradingTime(), future.getFixingPeriodStartTime(), future.getFixingPeriodEndTime());
// Backward sweep
final double priceBar = 1.0;
final double forwardBar = -futureConvexityFactor * priceBar;
final double dfForwardEndBar = -dfForwardStart / (dfForwardEnd * dfForwardEnd) / future.getFixingPeriodAccrualFactor() * forwardBar;
final double dfForwardStartBar = 1.0 / (future.getFixingPeriodAccrualFactor() * dfForwardEnd) * forwardBar;
final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
final List<DoublesPair> listForward = new ArrayList<>();
listForward.add(new DoublesPair(future.getFixingPeriodStartTime(), -future.getFixingPeriodStartTime() * dfForwardStart * dfForwardStartBar));
listForward.add(new DoublesPair(future.getFixingPeriodEndTime(), -future.getFixingPeriodEndTime() * dfForwardEnd * dfForwardEndBar));
resultMap.put(future.getForwardCurveName(), listForward);
final InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
return result;
}
@Override
public InterestRateCurveSensitivity priceCurveSensitivity(final InterestRateFutureSecurity future, final YieldCurveBundle curves) {
ArgumentChecker.isTrue(curves instanceof HullWhiteOneFactorPiecewiseConstantDataBundle, "Bundle with Hull-White data");
return priceCurveSensitivity(future, (HullWhiteOneFactorPiecewiseConstantDataBundle) curves);
}
@Override
public CurrencyAmount presentValue(final InstrumentDerivative instrument, final YieldCurveBundle curves) {
return null;
}
@Override
public InterestRateCurveSensitivity presentValueCurveSensitivity(final InterestRateFutureSecurity future, final YieldCurveBundle curves) {
return null;
}
}