/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.payments.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.InterestRateCurveSensitivity;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.util.amount.StringAmount;
import com.opengamma.util.money.CurrencyAmount;
import com.opengamma.util.tuple.DoublesPair;
/**
* Methods related to fixed coupons.
* @deprecated Use {@link com.opengamma.analytics.financial.interestrate.payments.provider.CouponFixedDiscountingMethod}
*/
@Deprecated
public final class CouponFixedDiscountingMethod {
/**
* The method unique instance.
*/
private static final CouponFixedDiscountingMethod INSTANCE = new CouponFixedDiscountingMethod();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static CouponFixedDiscountingMethod getInstance() {
return INSTANCE;
}
/**
* Private constructor.
*/
private CouponFixedDiscountingMethod() {
}
/**
* Computes the present value of a fixed coupon by discounting.
* @param cpn The coupon.
* @param curves The curve bundle.
* @return The present value.
*/
public CurrencyAmount presentValue(final CouponFixed cpn, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(cpn);
final YieldAndDiscountCurve fundingCurve = curves.getCurve(cpn.getFundingCurveName());
final double pv = cpn.getAmount() * fundingCurve.getDiscountFactor(cpn.getPaymentTime());
return CurrencyAmount.of(cpn.getCurrency(), pv);
}
/**
* Computes the present value of the fixed coupon with positive notional (abs(notional) is used) by discounting.
* @param cpn The coupon.
* @param curves The curve bundle.
* @return The present value.
*/
public CurrencyAmount presentValuePositiveNotional(final CouponFixed cpn, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(cpn);
final YieldAndDiscountCurve fundingCurve = curves.getCurve(cpn.getFundingCurveName());
final double pv = cpn.getPaymentYearFraction() * Math.abs(cpn.getNotional()) * cpn.getFixedRate() * fundingCurve.getDiscountFactor(cpn.getPaymentTime());
return CurrencyAmount.of(cpn.getCurrency(), pv);
}
/**
* Computes the present value curve sensitivity of a fixed coupon by discounting.
* @param cpn The coupon.
* @param curves The curve bundle.
* @return The sensitivity.
*/
public InterestRateCurveSensitivity presentValueCurveSensitivity(final CouponFixed cpn, final YieldCurveBundle curves) {
final String curveName = cpn.getFundingCurveName();
final YieldAndDiscountCurve discountingCurve = curves.getCurve(curveName);
final double time = cpn.getPaymentTime();
final DoublesPair s = new DoublesPair(time, -time * cpn.getAmount() * discountingCurve.getDiscountFactor(time));
final List<DoublesPair> list = new ArrayList<>();
list.add(s);
final Map<String, List<DoublesPair>> result = new HashMap<>();
result.put(curveName, list);
return new InterestRateCurveSensitivity(result);
}
/**
* Compute the the present value curve sensitivity of a fixed coupon by discounting to a parallel curve movement.
* @param cpn The coupon.
* @param curves The curve bundle.
* @return The sensitivity.
*/
public StringAmount presentValueParallelCurveSensitivity(final CouponFixed cpn, final YieldCurveBundle curves) {
final String curveName = cpn.getFundingCurveName();
final YieldAndDiscountCurve discountingCurve = curves.getCurve(curveName);
final double time = cpn.getPaymentTime();
final double sensitivity = -time * cpn.getAmount() * discountingCurve.getDiscountFactor(time);
return StringAmount.from(curveName, sensitivity);
}
}