/**
* Compute the sensitivity of the spread to the curve; the spread is the number to be added to the
* market standard quote of the instrument for which the present value of the instrument is zero.
* The notion of "spread" will depend of each instrument.
*/
public final class ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator
extends InstrumentDerivativeVisitorAdapter<MulticurveProviderInterface, MulticurveSensitivity> {
/** The unique instance of the calculator. */
private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator INSTANCE =
new ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator();
/**
* Gets the calculator instance.
*
* @return The calculator.
*/
public static ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator getInstance() {
return INSTANCE;
}
/** Constructor. */
private ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator() {}
/** The methods and calculators. */
private static final PresentValueDiscountingCalculator PVMC =
PresentValueDiscountingCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingCalculator PVCSMC =
PresentValueCurveSensitivityDiscountingCalculator.getInstance();
private static final PresentValueMarketQuoteSensitivityDiscountingCalculator PVMQSMC =
PresentValueMarketQuoteSensitivityDiscountingCalculator.getInstance();
private static final PresentValueMarketQuoteSensitivityCurveSensitivityDiscountingCalculator
PVMQSCSMC =
PresentValueMarketQuoteSensitivityCurveSensitivityDiscountingCalculator.getInstance();
private static final CashDiscountingMethod METHOD_DEPOSIT = CashDiscountingMethod.getInstance();
private static final DepositIborDiscountingMethod METHOD_DEPOSIT_IBOR =
DepositIborDiscountingMethod.getInstance();
private static final ForwardRateAgreementDiscountingProviderMethod METHOD_FRA =
ForwardRateAgreementDiscountingProviderMethod.getInstance();
private static final InterestRateFutureSecurityDiscountingMethod METHOD_STIR_FUT =
InterestRateFutureSecurityDiscountingMethod.getInstance();
private static final ForexSwapDiscountingMethod METHOD_FOREX_SWAP =
ForexSwapDiscountingMethod.getInstance();
private static final ForexDiscountingMethod METHOD_FOREX = ForexDiscountingMethod.getInstance();
private static final FederalFundsFutureSecurityDiscountingMethod METHOD_FED_FUNDS =
FederalFundsFutureSecurityDiscountingMethod.getInstance();
// ----- Deposit -----
@Override
public MulticurveSensitivity visitCash(
final Cash deposit, final MulticurveProviderInterface multicurves) {
return METHOD_DEPOSIT.parSpreadCurveSensitivity(deposit, multicurves);
}
@Override
public MulticurveSensitivity visitDepositIbor(
final DepositIbor deposit, final MulticurveProviderInterface multicurves) {
return METHOD_DEPOSIT_IBOR.parSpreadCurveSensitivity(deposit, multicurves);
}
// ----- Payment/Coupon ------
@Override
public MulticurveSensitivity visitForwardRateAgreement(
final ForwardRateAgreement fra, final MulticurveProviderInterface multicurves) {
return METHOD_FRA.parSpreadCurveSensitivity(fra, multicurves);
}
// ----- Swaps -----
@Override
public MulticurveSensitivity visitSwap(
final Swap<?, ?> swap, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(multicurves, "multicurve");
ArgumentChecker.notNull(swap, "Swap");
// if the swap is an On compounded (ie Brazilian like), the parspread formula is not the same.
if (swap.getSecondLeg().getNthPayment(0) instanceof CouponONCompounded
&& swap.getFirstLeg().getNthPayment(0) instanceof CouponFixedAccruedCompounding
&& swap.getFirstLeg().getNumberOfPayments() == 1) {
// Implementation note: check if the swap is a Brazilian swap.
final MulticurveSensitivity pvcsFirstLeg =
swap.getFirstLeg()
.accept(PVCSMC, multicurves)
.getSensitivity(swap.getFirstLeg().getCurrency());
final MulticurveSensitivity pvcsSecondLeg =
swap.getSecondLeg()
.accept(PVCSMC, multicurves)
.getSensitivity(swap.getSecondLeg().getCurrency());
final CouponFixedAccruedCompounding cpnFixed =
(CouponFixedAccruedCompounding) swap.getFirstLeg().getNthPayment(0);
final double pvONCompoundedLeg =
swap.getSecondLeg()
.accept(PVMC, multicurves)
.getAmount(swap.getSecondLeg().getCurrency());
final double discountFactor =
multicurves.getDiscountFactor(
swap.getFirstLeg().getCurrency(), cpnFixed.getPaymentTime());
final double paymentYearFraction = cpnFixed.getPaymentYearFraction();
final double notional =
((CouponONCompounded) swap.getSecondLeg().getNthPayment(0)).getNotional();
final double intermediateVariable =
(1 / paymentYearFraction)
* Math.pow(pvONCompoundedLeg / discountFactor / notional, 1 / paymentYearFraction - 1)
/ (discountFactor * notional);
final MulticurveSensitivity modifiedpvcsFirstLeg =
pvcsFirstLeg.multipliedBy(pvONCompoundedLeg * intermediateVariable / discountFactor);
final MulticurveSensitivity modifiedpvcsSecondLeg =
pvcsSecondLeg.multipliedBy(-intermediateVariable);
return modifiedpvcsFirstLeg.plus(modifiedpvcsSecondLeg);
}
final Currency ccy1 = swap.getFirstLeg().getCurrency();
final MultipleCurrencyMulticurveSensitivity pvcs = swap.accept(PVCSMC, multicurves);
final MulticurveSensitivity pvcs1 =
pvcs.converted(ccy1, multicurves.getFxRates()).getSensitivity(ccy1);
final MulticurveSensitivity pvmqscs = swap.getFirstLeg().accept(PVMQSCSMC, multicurves);
final double pvmqs = swap.getFirstLeg().accept(PVMQSMC, multicurves);
final double pv =
multicurves.getFxRates().convert(swap.accept(PVMC, multicurves), ccy1).getAmount();
// Implementation note: Total pv in currency 1.
return pvcs1.multipliedBy(-1.0 / pvmqs).plus(pvmqscs.multipliedBy(pv / (pvmqs * pvmqs)));
}
@Override
public MulticurveSensitivity visitFixedCouponSwap(
final SwapFixedCoupon<?> swap, final MulticurveProviderInterface multicurve) {
return visitSwap(swap, multicurve);
}
// ----- Futures -----
@Override
public MulticurveSensitivity visitInterestRateFutureTransaction(
final InterestRateFutureTransaction futures, final MulticurveProviderInterface multicurves) {
return METHOD_STIR_FUT.priceCurveSensitivity(futures.getUnderlying(), multicurves);
}
@Override
public MulticurveSensitivity visitFederalFundsFutureTransaction(
final FederalFundsFutureTransaction future, final MulticurveProviderInterface multicurves) {
return METHOD_FED_FUNDS.priceCurveSensitivity(future.getUnderlyingFuture(), multicurves);
}
// ----- Forex -----
@Override
public MulticurveSensitivity visitForexSwap(
final ForexSwap fx, final MulticurveProviderInterface multicurves) {
return METHOD_FOREX_SWAP.parSpreadCurveSensitivity(fx, multicurves);
}
@Override
public MulticurveSensitivity visitForex(
final Forex fx, final MulticurveProviderInterface multicurves) {
return METHOD_FOREX.parSpreadCurveSensitivity(fx, multicurves);
}
}
@Override
public MulticurveSensitivity visitFederalFundsFutureTransaction(
final FederalFundsFutureTransaction future, final MulticurveProviderInterface multicurves) {
return METHOD_FED_FUNDS.priceCurveSensitivity(future.getUnderlyingFuture(), multicurves);
}