/**
* 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 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.InterestRateFutureTransaction;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.util.money.CurrencyAmount;
/**
* Method to compute the price for an interest rate future with discounting (like a forward).
* No convexity adjustment is done.
* @deprecated Use {@link com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureTransactionDiscountingMethod}
*/
@Deprecated
public final class InterestRateFutureTransactionDiscountingMethod extends InterestRateFutureTransactionMethod {
/**
* The unique instance of the calculator.
*/
private static final InterestRateFutureTransactionDiscountingMethod INSTANCE = new InterestRateFutureTransactionDiscountingMethod();
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static InterestRateFutureTransactionDiscountingMethod getInstance() {
return INSTANCE;
}
/**
* Constructor.
*/
private InterestRateFutureTransactionDiscountingMethod() {
}
/**
* The method to compute result for the underlying security.
*/
private static final InterestRateFutureSecurityDiscountingMethod METHOD_SECURITY = InterestRateFutureSecurityDiscountingMethod.getInstance();
public CurrencyAmount presentValue(final InterestRateFutureTransaction future, final YieldCurveBundle curves) {
final double pv = presentValueFromPrice(future, METHOD_SECURITY.price(future.getUnderlying(), curves));
return CurrencyAmount.of(future.getCurrency(), pv);
}
@Override
public CurrencyAmount presentValue(final InstrumentDerivative instrument, final YieldCurveBundle curves) {
Validate.isTrue(instrument instanceof InterestRateFutureTransaction, "Interest rate future");
return presentValue((InterestRateFutureTransaction) instrument, curves);
}
/**
* Computes the future rate (1-price) from the curves using an estimation of the future rate without convexity adjustment.
* @param future The future.
* @param curves The yield curves. Should contain the forward curve associated.
* @return The rate.
*/
public double parRate(final InterestRateFutureTransaction future, final YieldCurveBundle curves) {
Validate.notNull(future, "Future");
Validate.notNull(curves, "Curves");
final YieldAndDiscountCurve forwardCurve = curves.getCurve(future.getForwardCurveName());
final double forward = (forwardCurve.getDiscountFactor(future.getFixingPeriodStartTime()) / forwardCurve.getDiscountFactor(future.getFixingPeriodEndTime()) - 1)
/ future.getFixingPeriodAccrualFactor();
return forward;
}
@Override
public InterestRateCurveSensitivity presentValueCurveSensitivity(final InterestRateFutureTransaction future, final YieldCurveBundle curves) {
return presentValueCurveSensitivity(future, METHOD_SECURITY.priceCurveSensitivity(future.getUnderlying(), curves));
}
}