/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.future.provider;
import java.util.ArrayList;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityPaymentFixed;
import com.opengamma.analytics.financial.interestrate.future.derivative.SwapFuturesPriceDeliverableSecurity;
import com.opengamma.analytics.financial.model.interestrate.HullWhiteOneFactorPiecewiseConstantInterestRateModel;
import com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters;
import com.opengamma.analytics.financial.provider.calculator.discounting.CashFlowEquivalentCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.CashFlowEquivalentCurveSensitivityCalculator;
import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueDiscountingCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.tuple.DoublesPair;
/**
* Method to compute the price for an deliverable swap futures with convexity adjustment from a Hull-White one factor model.
* <p> Reference: Henrard M., Deliverable Interest Rate Swap Futures: pricing in Gaussian HJM model, September 2012.
*/
public final class SwapFuturesPriceDeliverableSecurityHullWhiteMethod {
/**
* The unique instance of the calculator.
*/
private static final SwapFuturesPriceDeliverableSecurityHullWhiteMethod INSTANCE = new SwapFuturesPriceDeliverableSecurityHullWhiteMethod();
/**
* Constructor.
*/
private SwapFuturesPriceDeliverableSecurityHullWhiteMethod() {
}
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static SwapFuturesPriceDeliverableSecurityHullWhiteMethod getInstance() {
return INSTANCE;
}
/**
* The Hull-White model.
*/
private static final HullWhiteOneFactorPiecewiseConstantInterestRateModel MODEL = new HullWhiteOneFactorPiecewiseConstantInterestRateModel();
/**
* The cash flow equivalent calculator used in computations.
*/
private static final CashFlowEquivalentCalculator CFEC = CashFlowEquivalentCalculator.getInstance();
/**
* The cash flow equivalent curve sensitivity calculator used in computations.
*/
private static final CashFlowEquivalentCurveSensitivityCalculator CFECSC = CashFlowEquivalentCurveSensitivityCalculator.getInstance();
/**
* The present value calculator by discounting.
*/
private static final PresentValueDiscountingCalculator PVDC = PresentValueDiscountingCalculator.getInstance();
/**
* Computes the futures price.
* @param futures The futures.
* @param hwMulticurves The multi-curves provider with Hull-White one factor parameters.
* @return The price.
*/
public double price(final SwapFuturesPriceDeliverableSecurity futures, final HullWhiteOneFactorProviderInterface hwMulticurves) {
ArgumentChecker.notNull(futures, "Future");
ArgumentChecker.notNull(hwMulticurves, "Multi-curves with Hull-White");
final Currency ccy = futures.getCurrency();
ArgumentChecker.isTrue(hwMulticurves.getHullWhiteCurrency().equals(ccy), "Futures currency incompatible with data");
final HullWhiteOneFactorPiecewiseConstantParameters parameters = hwMulticurves.getHullWhiteParameters();
final MulticurveProviderInterface multicurves = hwMulticurves.getMulticurveProvider();
final AnnuityPaymentFixed cfe = futures.getUnderlyingSwap().accept(CFEC, multicurves);
final int nbCf = cfe.getNumberOfPayments();
final double[] adjustments = new double[nbCf];
final double[] df = new double[nbCf];
for (int loopcf = 0; loopcf < nbCf; loopcf++) {
adjustments[loopcf] = MODEL.futuresConvexityFactor(parameters, futures.getLastTradingTime(), cfe.getNthPayment(loopcf).getPaymentTime(), futures.getDeliveryTime());
df[loopcf] = multicurves.getDiscountFactor(ccy, cfe.getNthPayment(loopcf).getPaymentTime());
}
double price = 1.0;
for (int loopcf = 0; loopcf < nbCf; loopcf++) {
price += (cfe.getNthPayment(loopcf).getAmount() * df[loopcf] * adjustments[loopcf]) / df[0];
}
return price;
}
/**
* Returns the convexity adjustment, i.e. the difference between the adjusted price and the present value of the underlying swap.
* @param futures The swap futures.
* @param hwMulticurves The multi-curve and parameters provider.
* @return The adjustment.
*/
public double convexityAdjustment(final SwapFuturesPriceDeliverableSecurity futures, final HullWhiteOneFactorProviderInterface hwMulticurves) {
ArgumentChecker.notNull(futures, "swap futures");
ArgumentChecker.notNull(hwMulticurves, "parameter provider");
MultipleCurrencyAmount pv = futures.getUnderlyingSwap().accept(PVDC, hwMulticurves.getMulticurveProvider());
double price = price(futures, hwMulticurves);
return price - (1.0d + pv.getAmount(futures.getCurrency()));
}
/**
* Computes the futures price sensitivity to the curves.
* @param futures The futures.
* @param hwMulticurves The multi-curves provider with Hull-White one factor parameters.
* @return The sensitivity.
*/
// TODO: review Dsc sensitivity
public MulticurveSensitivity priceCurveSensitivity(final SwapFuturesPriceDeliverableSecurity futures, final HullWhiteOneFactorProviderInterface hwMulticurves) {
ArgumentChecker.notNull(futures, "Future");
ArgumentChecker.notNull(hwMulticurves, "Multi-curves with Hull-White");
final Currency ccy = futures.getCurrency();
ArgumentChecker.isTrue(hwMulticurves.getHullWhiteCurrency().equals(ccy), "Futures currency incompatible with data");
final HullWhiteOneFactorPiecewiseConstantParameters parameters = hwMulticurves.getHullWhiteParameters();
final MulticurveProviderInterface multicurves = hwMulticurves.getMulticurveProvider();
final AnnuityPaymentFixed cfe = futures.getUnderlyingSwap().accept(CFEC, multicurves);
final int nbCf = cfe.getNumberOfPayments();
final double[] adjustments = new double[nbCf];
final double[] df = new double[nbCf];
for (int loopcf = 0; loopcf < nbCf; loopcf++) {
adjustments[loopcf] = MODEL.futuresConvexityFactor(parameters, futures.getLastTradingTime(), cfe.getNthPayment(loopcf).getPaymentTime(), futures.getDeliveryTime());
df[loopcf] = multicurves.getDiscountFactor(ccy, cfe.getNthPayment(loopcf).getPaymentTime());
}
double price = 1.0;
for (int loopcf = 0; loopcf < nbCf; loopcf++) {
price += (cfe.getNthPayment(loopcf).getAmount() * df[loopcf] * adjustments[loopcf]) / df[0];
}
// Backward sweep
final double priceBar = 1.0;
final double[] dfBar = new double[nbCf];
dfBar[0] = -(price - cfe.getNthPayment(0).getAmount() * adjustments[0]) / df[0] * priceBar;
for (int loopcf = 1; loopcf < nbCf; loopcf++) {
dfBar[loopcf] = (cfe.getNthPayment(loopcf).getAmount() * adjustments[loopcf]) / df[0] * priceBar;
}
final double[] cfeAmountBar = new double[nbCf];
for (int loopcf = 0; loopcf < nbCf; loopcf++) {
cfeAmountBar[loopcf] = (df[loopcf] * adjustments[loopcf]) / df[0] * priceBar;
}
final List<DoublesPair> listDfSensi = new ArrayList<>();
for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
final DoublesPair dfSensi = new DoublesPair(cfe.getNthPayment(loopcf).getPaymentTime(), -cfe.getNthPayment(loopcf).getPaymentTime() * df[loopcf] * dfBar[loopcf]);
listDfSensi.add(dfSensi);
}
final Map<String, List<DoublesPair>> pvsDF = new HashMap<>();
pvsDF.put(multicurves.getName(ccy), listDfSensi);
MulticurveSensitivity sensitivity = MulticurveSensitivity.ofYieldDiscounting(pvsDF);
final Map<Double, MulticurveSensitivity> cfeCurveSensi = futures.getUnderlyingSwap().accept(CFECSC, multicurves);
for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
final MulticurveSensitivity sensiCfe = cfeCurveSensi.get(cfe.getNthPayment(loopcf).getPaymentTime());
if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.
sensitivity = sensitivity.plus(sensiCfe.multipliedBy(cfeAmountBar[loopcf]));
}
}
return sensitivity;
}
}