public MultipleCurrencyCommoditySensitivity presentValueSecondOrderCurveSensitivity(
final ForwardCommodityCashSettle forward, final CommodityProviderInterface multicurve) {
ArgumentChecker.notNull(forward, "Coupon");
ArgumentChecker.notNull(multicurve, "Curves");
final double fwd =
multicurve.getForwardValue(forward.getUnderlying(), forward.getSettlementTime());
final double df = multicurve.getDiscountFactor(forward.getCurrency(), forward.getPaymentTime());
// Backward sweep
final double pvBar = 1.0;
final double forwardBar = forward.getNotional() * df * pvBar;
final double dfBar = forward.getNotional() * (fwd - forward.getRate()) * pvBar;
final Map<String, List<DoublesPair>> mapDsc = new HashMap<>();
final List<DoublesPair> listDiscounting = new ArrayList<>();
listDiscounting.add(
DoublesPair.of(
forward.getPaymentTime(),
forward.getPaymentTime() * forward.getPaymentTime() * df * dfBar));
mapDsc.put(multicurve.getName(forward.getCurrency()), listDiscounting);
final Map<String, List<DoublesPair>> mapFwd = new HashMap<>();
final List<DoublesPair> listForward = new ArrayList<>();
listForward.add(
DoublesPair.of(forward.getPaymentTime(), -2. * forward.getPaymentTime() * forwardBar));
mapFwd.put(multicurve.getName(forward.getUnderlying()), listForward);
return MultipleCurrencyCommoditySensitivity.of(
forward.getCurrency(), CommoditySensitivity.of(mapDsc, mapFwd));
}
/**
* Compute the present value of a commodity cash settle forward by discounting.
*
* @param forward The forward.
* @param multicurve The commodity multi-curve provider.
* @return The present value.
*/
public MultipleCurrencyAmount presentValue(
final ForwardCommodityCashSettle forward, final CommodityProviderInterface multicurve) {
ArgumentChecker.notNull(forward, "Forward");
ArgumentChecker.notNull(multicurve, "Multi-curves provider");
final double fwd =
multicurve.getForwardValue(forward.getUnderlying(), forward.getSettlementTime());
final double df = multicurve.getDiscountFactor(forward.getCurrency(), forward.getPaymentTime());
final double pv = forward.getNotional() * (fwd - forward.getRate()) * df;
return MultipleCurrencyAmount.of(forward.getCurrency(), pv);
}
/**
* Computes the par spread (spread to be added to the fixed rate to have a present value of 0).
*
* @param forward The forward.
* @param multicurve The multi-curve provider.
* @return The par spread.
*/
public double parSpread(
final ForwardCommodityCashSettle forward, final CommodityProviderInterface multicurve) {
ArgumentChecker.notNull(forward, "forward");
ArgumentChecker.notNull(multicurve, "Multiurves");
final double fwd =
multicurve.getForwardValue(forward.getUnderlying(), forward.getSettlementTime());
return fwd - forward.getRate();
}
