/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.swap.provider;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborSpread;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.interestrate.payments.provider.CouponIborSpreadDiscountingMethod;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.CurrencyAmount;
/**
* Class to compute the quantities related to swaps fixed / Ibor with spread (annuity, PVBP, coupon equivalent).
* Both legs should be in the same currency.
* The methods check that the coupons on the non-fixed leg are of the type CouponIborSpread.
*/
public final class SwapFixedIborSpreadDiscountingMethod extends SwapFixedCouponDiscountingMethod {
/**
* The method unique instance.
*/
private static final SwapFixedIborSpreadDiscountingMethod INSTANCE = new SwapFixedIborSpreadDiscountingMethod();
/**
* Return the unique instance of the class.
* @return The instance.
*/
public static SwapFixedIborSpreadDiscountingMethod getInstance() {
return INSTANCE;
}
/**
* Private constructor.
*/
private SwapFixedIborSpreadDiscountingMethod() {
}
/**
* The methods.
*/
private static final CouponIborSpreadDiscountingMethod METHOD_CPN_IBOR_SPREAD = CouponIborSpreadDiscountingMethod.getInstance();
/**
* Computes the coupon equivalent of a swap with margins (all coupons on the non-fixed leg should be CouponIborSpread).
* @param fixedCouponSwap The underlying swap.
* @param pvbp The swap PVBP.
* @param multicurves The multi-curves provider.
* @return The coupon equivalent.
*/
public double couponEquivalentSpreadModified(final SwapFixedCoupon<? extends Payment> fixedCouponSwap, final double pvbp, final MulticurveProviderInterface multicurves) {
ArgumentChecker.isTrue(fixedCouponSwap.getFirstLeg().getCurrency() == fixedCouponSwap.getSecondLeg().getCurrency(), "Both legs should be in the same currency");
final double pvFixed = METHOD_ANNUITY.presentValuePositiveNotional(fixedCouponSwap.getFixedLeg(), multicurves).getAmount();
final double pvSpread = presentValueSpreadPositiveNotional(fixedCouponSwap.getSecondLeg(), multicurves).getAmount();
return (pvFixed - pvSpread) / pvbp;
}
/**
* Computes the spread-modified swap forward rate, i.e. the pv of the floating leg without spread divided by the convention-modified PVBP.
* <p> Reference: Swaption pricing, OG-Notes, version 1.4, August 2012.
* @param fixedCouponSwap The underlying swap.
* @param pvbp The swap PVBP.
* @param multicurves The multi-curves provider.
* @return The spread-modified forward.
*/
public double forwardSwapSpreadModified(final SwapFixedCoupon<? extends Payment> fixedCouponSwap, final double pvbp, final MulticurveProviderInterface multicurves) {
final double pvFloatNoSpread = presentValueIborNoSpreadPositiveNotional(fixedCouponSwap.getSecondLeg(), multicurves).getAmount();
return pvFloatNoSpread / pvbp;
}
/**
* Computes the present value of the spreads in a leg made of CouponIborSpread. The absolute value of the notional is used.
* @param leg The leg (or annuity).
* @param multicurves The multi-curves provider.
* @return The present value.
*/
public CurrencyAmount presentValueSpreadPositiveNotional(final Annuity<? extends Payment> leg, final MulticurveProviderInterface multicurves) {
Currency ccy = leg.getCurrency();
double pv = 0.0;
for (int loopcpn = 0; loopcpn < leg.getNumberOfPayments(); loopcpn++) {
ArgumentChecker.isTrue(leg.getNthPayment(loopcpn) instanceof CouponIborSpread, "Coupon should be Ibor with spread");
final CouponIborSpread cpn = (CouponIborSpread) leg.getNthPayment(loopcpn);
pv += Math.abs(cpn.getNotional()) * cpn.getSpread() * cpn.getPaymentYearFraction() * multicurves.getDiscountFactor(ccy, cpn.getPaymentTime());
}
return CurrencyAmount.of(leg.getCurrency(), pv);
}
/**
* Computes the present value of the Ibor leg made of CouponIborSpread without the spread (only the Ibor is valued). The absolute value of the notional is used.
* @param leg The leg (or annuity).
* @param multicurves The multi-curves provider.
* @return The present value.
*/
public CurrencyAmount presentValueIborNoSpreadPositiveNotional(final Annuity<? extends Payment> leg, final MulticurveProviderInterface multicurves) {
Currency ccy = leg.getCurrency();
double pv = 0.0;
for (int loopcpn = 0; loopcpn < leg.getNumberOfPayments(); loopcpn++) {
ArgumentChecker.isTrue(leg.getNthPayment(loopcpn) instanceof CouponIborSpread, "Coupon should be Ibor with spread");
pv += METHOD_CPN_IBOR_SPREAD.presentValueNoSpreadPositiveNotional((CouponIborSpread) leg.getNthPayment(loopcpn), multicurves).getAmount(ccy);
}
return CurrencyAmount.of(leg.getCurrency(), pv);
}
}