/**
* Compute the present value sensitivity to rates of a bond future by discounting.
*
* @param future The future.
* @param issuerMulticurves The issuer and multi-curves provider.
* @return The present value rate sensitivity.
*/
public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(
final BondFuture future, final IssuerProviderInterface issuerMulticurves) {
Currency ccy = future.getCurrency();
final MulticurveSensitivity priceSensitivity = priceCurveSensitivity(future, issuerMulticurves);
final MultipleCurrencyMulticurveSensitivity transactionSensitivity =
MultipleCurrencyMulticurveSensitivity.of(
ccy, priceSensitivity.multipliedBy(future.getNotional()));
return transactionSensitivity;
}
/**
* Compute the present value sensitivity to rates of a Ibor compounded coupon by discounting.
*
* @param coupon The coupon.
* @param multicurve The multi-curve provider.
* @return The present value sensitivity.
*/
public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(
final CouponIborCompounding coupon, final MulticurveProviderInterface multicurve) {
ArgumentChecker.notNull(coupon, "Coupon");
ArgumentChecker.notNull(multicurve, "Multi-curves provider");
final int nbSubPeriod = coupon.getFixingTimes().length;
double notionalAccrued = coupon.getNotionalAccrued();
final double[] forward = new double[nbSubPeriod];
final double[] ratioForward = new double[nbSubPeriod];
for (int loopsub = 0; loopsub < nbSubPeriod; loopsub++) {
forward[loopsub] =
multicurve.getForwardRate(
coupon.getIndex(),
coupon.getFixingPeriodStartTimes()[loopsub],
coupon.getFixingPeriodEndTimes()[loopsub],
coupon.getFixingPeriodAccrualFactors()[loopsub]);
ratioForward[loopsub] = 1.0 + coupon.getPaymentAccrualFactors()[loopsub] * forward[loopsub];
notionalAccrued *= ratioForward[loopsub];
}
final double dfPayment =
multicurve.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime());
// Backward sweep
final double pvBar = 1.0;
final double dfPaymentBar = (notionalAccrued - coupon.getNotional()) * pvBar;
final double notionalAccruedBar = dfPayment * pvBar;
final double[] ratioForwardBar = new double[nbSubPeriod];
final double[] forwardBar = new double[nbSubPeriod];
for (int loopsub = 0; loopsub < nbSubPeriod; loopsub++) {
ratioForwardBar[loopsub] = notionalAccrued / ratioForward[loopsub] * notionalAccruedBar;
forwardBar[loopsub] = coupon.getPaymentAccrualFactors()[loopsub] * ratioForwardBar[loopsub];
}
final Map<String, List<DoublesPair>> mapDsc = new HashMap<>();
final List<DoublesPair> listDiscounting = new ArrayList<>();
listDiscounting.add(
new DoublesPair(
coupon.getPaymentTime(), -coupon.getPaymentTime() * dfPayment * dfPaymentBar));
mapDsc.put(multicurve.getName(coupon.getCurrency()), listDiscounting);
final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
final List<ForwardSensitivity> listForward = new ArrayList<>();
for (int loopsub = 0; loopsub < nbSubPeriod; loopsub++) {
listForward.add(
new ForwardSensitivity(
coupon.getFixingPeriodStartTimes()[loopsub],
coupon.getFixingPeriodEndTimes()[loopsub],
coupon.getFixingPeriodAccrualFactors()[loopsub],
forwardBar[loopsub]));
}
mapFwd.put(multicurve.getName(coupon.getIndex()), listForward);
return MultipleCurrencyMulticurveSensitivity.of(
coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
}
/**
* Computes the present value curve sensitivity of a fixed payment by discounting.
*
* @param payment The fixed payment.
* @param multicurves The multi-curve provider.
* @return The sensitivity.
*/
public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(
final PaymentFixed payment, final MulticurveProviderInterface multicurves) {
final double time = payment.getPaymentTime();
final DoublesPair s =
DoublesPair.of(
time,
-time
* payment.getAmount()
* multicurves.getDiscountFactor(payment.getCurrency(), time));
final List<DoublesPair> list = new ArrayList<>();
list.add(s);
final Map<String, List<DoublesPair>> result = new HashMap<>();
result.put(multicurves.getName(payment.getCurrency()), list);
return MultipleCurrencyMulticurveSensitivity.of(
payment.getCurrency(), MulticurveSensitivity.ofYieldDiscounting(result));
}
/**
* Computes the pv sensitivity of an Ibor cap/floor in arrears
*
* @param cap The cap/floor
* @param curves The curves
* @return The sensitivity
*/
public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(
final CapFloorIbor cap, final MulticurveProviderInterface curves) {
ArgumentChecker.notNull(cap, "The cap/floor shoud not be null");
ArgumentChecker.notNull(curves, "curves");
final Currency ccy = cap.getCurrency();
// Construct a "standard" CapFloorIbor whose paymentTime is set to be fixingPeriodEndTime
CapFloorIbor capStandard =
new CapFloorIbor(
cap.getCurrency(),
cap.getFixingPeriodEndTime(),
cap.getPaymentYearFraction(),
cap.getNotional(),
cap.getFixingTime(),
cap.getIndex(),
cap.getFixingPeriodStartTime(),
cap.getFixingPeriodEndTime(),
cap.getFixingAccrualFactor(),
cap.getStrike(),
cap.isCap());
final double forward =
curves.getSimplyCompoundForwardRate(
cap.getIndex(),
cap.getFixingPeriodStartTime(),
cap.getFixingPeriodEndTime(),
cap.getFixingAccrualFactor());
final double beta =
(1.0 + cap.getFixingAccrualFactor() * forward)
* curves.getDiscountFactor(ccy, cap.getFixingPeriodEndTime())
/ curves.getDiscountFactor(ccy, cap.getFixingPeriodStartTime());
double df = curves.getDiscountFactor(capStandard.getCurrency(), capStandard.getPaymentTime());
double strikePart =
(1.0 + cap.getFixingAccrualFactor() * capStandard.getStrike())
* presentValueStandard(
forward,
capStandard.getStrike(),
capStandard.getFixingTime(),
capStandard.isCap(),
df,
capStandard.getNotional(),
capStandard.getPaymentYearFraction());
double strikePartDelta =
(1.0 + cap.getFixingAccrualFactor() * capStandard.getStrike())
* presentValueDeltaStandard(
forward,
capStandard.getStrike(),
capStandard.getFixingTime(),
capStandard.isCap(),
df,
capStandard.getNotional(),
capStandard.getPaymentYearFraction());
final InArrearsIntegrant integrant = new InArrearsIntegrant(capStandard, curves);
double integralPart;
double upper = 0.0;
try {
if (cap.isCap()) {
double atmVol = _smileFunction.getVolatility(forward);
upper = forward * Math.exp(6.0 * atmVol * Math.sqrt(cap.getFixingTime()));
double strike = cap.getStrike();
integralPart = INTEGRATOR.integrate(integrant, strike, upper);
double reminder = integrant.evaluate(upper) * upper;
double error = reminder / integralPart;
int count = 0;
while (Math.abs(error) > REL_ERROR && count < MAX_COUNT) {
integralPart += INTEGRATOR.integrate(integrant, upper, 2.0 * upper);
upper *= 2.0;
// The increase of integralPart in the next loop is bounded by reminder
reminder = integrant.evaluate(upper) * upper;
error = reminder / integralPart;
++count;
if (count == MAX_COUNT) {
LOGGER.info(
"Maximum iteration count, "
+ MAX_COUNT
+ ", has been reached. Relative error is greater than "
+ REL_ERROR);
}
}
} else {
double strike = cap.getStrike();
integralPart = INTEGRATOR.integrate(integrant, REL_TOL * strike, strike);
}
} catch (final Exception e) {
throw new MathException(e);
}
integralPart *= 2.0 * cap.getFixingAccrualFactor();
double pv = (strikePart + integralPart) / beta;
double betaFwd =
cap.getFixingAccrualFactor()
* curves.getDiscountFactor(ccy, cap.getFixingPeriodEndTime())
/ curves.getDiscountFactor(ccy, cap.getFixingPeriodStartTime());
double betaDscStart =
(1.0 + cap.getFixingAccrualFactor() * forward)
* curves.getDiscountFactor(ccy, cap.getFixingPeriodEndTime())
* cap.getFixingPeriodStartTime()
/ curves.getDiscountFactor(ccy, cap.getFixingPeriodStartTime());
double betaDscEnd =
-(1.0 + cap.getFixingAccrualFactor() * forward)
* curves.getDiscountFactor(ccy, cap.getFixingPeriodEndTime())
* cap.getFixingPeriodEndTime()
/ curves.getDiscountFactor(ccy, cap.getFixingPeriodStartTime());
List<DoublesPair> listDiscounting = new ArrayList<>();
double strikePartDsc = -capStandard.getPaymentTime() * strikePart;
double integralPartDsc = -capStandard.getPaymentTime() * integralPart;
listDiscounting.add(
DoublesPair.of(capStandard.getPaymentTime(), (strikePartDsc + integralPartDsc) / beta));
listDiscounting.add(DoublesPair.of(cap.getFixingPeriodStartTime(), -pv * betaDscStart / beta));
listDiscounting.add(DoublesPair.of(cap.getFixingPeriodEndTime(), -pv * betaDscEnd / beta));
Map<String, List<DoublesPair>> mapDsc = new HashMap<>();
mapDsc.put(curves.getName(capStandard.getCurrency()), listDiscounting);
final List<ForwardSensitivity> listForward = new ArrayList<>();
double strikePartFwd = strikePartDelta;
double integralPartFwd = 0.0;
final InArrearsDeltaIntegrant integrantFwd = new InArrearsDeltaIntegrant(capStandard, curves);
try {
if (cap.isCap()) {
double strike = cap.getStrike();
integralPartFwd = INTEGRATOR.integrate(integrantFwd, strike, upper);
} else {
double strike = cap.getStrike();
integralPartFwd = INTEGRATOR.integrate(integrantFwd, REL_TOL * strike, strike);
}
} catch (final Exception e) {
throw new MathException(e);
}
integralPartFwd *= 2.0 * cap.getFixingAccrualFactor();
listForward.add(
new SimplyCompoundedForwardSensitivity(
capStandard.getFixingPeriodStartTime(),
capStandard.getFixingPeriodEndTime(),
capStandard.getFixingAccrualFactor(),
(strikePartFwd + integralPartFwd - pv * betaFwd) / beta));
Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
mapFwd.put(curves.getName(capStandard.getIndex()), listForward);
return MultipleCurrencyMulticurveSensitivity.of(
cap.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
}
