/**
* Copyright (C) 2013 - 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.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.method.PricingMethod;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONCompounded;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.util.money.CurrencyAmount;
import com.opengamma.util.tuple.DoublesPair;
/**
* @deprecated Use {@link com.opengamma.analytics.financial.interestrate.payments.provider.CouponONCompoundedDiscountingMethod}
*/
@Deprecated
public final class CouponONCompoundedDiscountingMethod implements PricingMethod {
/**
* The method unique instance.
*/
private static final CouponONCompoundedDiscountingMethod INSTANCE = new CouponONCompoundedDiscountingMethod();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static CouponONCompoundedDiscountingMethod getInstance() {
return INSTANCE;
}
/**
* Private constructor.
*/
private CouponONCompoundedDiscountingMethod() {
}
/**
* Computes the present value.
* @param coupon The coupon.
* @param curves The curves.
* @return The present value.
*/
public CurrencyAmount presentValue(final CouponONCompounded coupon, final YieldCurveBundle curves) {
Validate.notNull(coupon, "Coupon");
Validate.notNull(curves, "Curves");
final YieldAndDiscountCurve forwardCurve = curves.getCurve(coupon.getForwardCurveName());
final YieldAndDiscountCurve discountingCurve = curves.getCurve(coupon.getFundingCurveName());
double ratio = 1.0;
double forwardRatei;
for (int i = 0; i < coupon.getFixingPeriodAccrualFactors().length; i++) {
forwardRatei = (forwardCurve.getDiscountFactor(coupon.getFixingPeriodStartTimes()[i]) / forwardCurve.getDiscountFactor(coupon.getFixingPeriodEndTimes()[i]) - 1.0d) /
coupon.getFixingPeriodAccrualFactorsActAct()[i];
ratio *= Math.pow(1 + forwardRatei, coupon.getFixingPeriodAccrualFactors()[i]);
}
final double df = discountingCurve.getDiscountFactor(coupon.getPaymentTime());
final double pv = df * coupon.getNotionalAccrued() * ratio;
return CurrencyAmount.of(coupon.getCurrency(), pv);
}
@Override
public CurrencyAmount presentValue(final InstrumentDerivative instrument, final YieldCurveBundle curves) {
Validate.isTrue(instrument instanceof CouponONCompounded, "Coupon ON compounded");
return presentValue(instrument, curves);
}
/**
* Compute the present value sensitivity to rates of a OIS coupon by discounting.
* @param coupon The coupon.
* @param curves The yield curves. Should contain the discounting and forward curves associated.
* @return The present value curve sensitivities.
*/
public InterestRateCurveSensitivity presentValueCurveSensitivity(final CouponONCompounded coupon, final YieldCurveBundle curves) {
Validate.notNull(coupon, "Coupon");
Validate.notNull(curves, "Curves");
final YieldAndDiscountCurve forwardCurve = curves.getCurve(coupon.getForwardCurveName());
final YieldAndDiscountCurve discountingCurve = curves.getCurve(coupon.getFundingCurveName());
final double df = discountingCurve.getDiscountFactor(coupon.getPaymentTime());
double ratio = 1.0;
final double[] discountFactorStart = new double[coupon.getFixingPeriodAccrualFactors().length];
final double[] discountFactorEnd = new double[coupon.getFixingPeriodAccrualFactors().length];
final double[] forwardRate = new double[coupon.getFixingPeriodAccrualFactors().length];
for (int i = 0; i < coupon.getFixingPeriodAccrualFactors().length; i++) {
discountFactorStart[i] = forwardCurve.getDiscountFactor(coupon.getFixingPeriodStartTimes()[i]);
discountFactorEnd[i] = forwardCurve.getDiscountFactor(coupon.getFixingPeriodEndTimes()[i]);
// forwardRate[i] = (discountFactorEnd[i] / discountFactorStart[i] - 1) / coupon.getFixingPeriodAccrualFactorsActAct()[i];
forwardRate[i] = (discountFactorStart[i] / discountFactorEnd[i] - 1) / coupon.getFixingPeriodAccrualFactorsActAct()[i];
ratio *= Math.pow(1 + forwardRate[i], coupon.getFixingPeriodAccrualFactors()[i]);
}
// Backward sweep
final double pvBar = 1.0;
final double ratioBar = coupon.getNotionalAccrued() * df * pvBar;
final double[] discountFactorStartBar = new double[coupon.getFixingPeriodAccrualFactors().length];
final double[] discountFactorEndBar = new double[coupon.getFixingPeriodAccrualFactors().length];
final double[] forwardBar = new double[coupon.getFixingPeriodAccrualFactors().length];
for (int i = 0; i < coupon.getFixingPeriodAccrualFactors().length; i++) {
// forwardBar[i] = ratioBar * ratioBar * coupon.getFixingPeriodAccrualFactors()[i] /
// (1 + forwardRate[i]);
forwardBar[i] = ratio * ratioBar * coupon.getFixingPeriodAccrualFactors()[i] / (1 + forwardRate[i]);
// discountFactorStartBar[i] = forwardBar[i] * discountFactorEnd[i] / (discountFactorStart[i] * discountFactorStart[i]) / coupon.getFixingPeriodAccrualFactorsActAct()[i];
// discountFactorEndBar[i] = -forwardBar[i] / (discountFactorStart[i] * coupon.getFixingPeriodAccrualFactorsActAct()[i]);
discountFactorStartBar[i] = forwardBar[i] / (discountFactorEnd[i] * coupon.getFixingPeriodAccrualFactorsActAct()[i]);
discountFactorEndBar[i] = -forwardBar[i] * discountFactorStart[i] / (discountFactorEnd[i] * discountFactorEnd[i]) / coupon.getFixingPeriodAccrualFactorsActAct()[i];
}
final double dfBar = coupon.getNotionalAccrued() * ratio * pvBar;
final Map<String, List<DoublesPair>> mapDsc = new HashMap<>();
final List<DoublesPair> listDiscounting = new ArrayList<>();
listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
mapDsc.put(coupon.getFundingCurveName(), listDiscounting);
InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(mapDsc);
final Map<String, List<DoublesPair>> mapFwd = new HashMap<>();
final List<DoublesPair> listForward = new ArrayList<>();
for (int i = 0; i < coupon.getFixingPeriodAccrualFactors().length; i++) {
listForward.add(new DoublesPair(coupon.getFixingPeriodStartTimes()[i], -coupon.getFixingPeriodStartTimes()[i] * discountFactorStart[i] * discountFactorStartBar[i]));
listForward.add(new DoublesPair(coupon.getFixingPeriodEndTimes()[i], -coupon.getFixingPeriodEndTimes()[i] * discountFactorEnd[i] * discountFactorEndBar[i]));
}
mapFwd.put(coupon.getForwardCurveName(), listForward);
result = result.plus(new InterestRateCurveSensitivity(mapFwd));
return result;
}
}