@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)));
}
/**
* For swaps the ParSpread is the spread to be added on each coupon of the first leg to obtain a
* present value of zero. It is computed as the opposite of the present value of the swap divided
* by the present value of a basis point of the first leg (as computed by the
* PresentValueBasisPointCalculator).
*
* @param swap The swap.
* @param curves The yield curve bundle.
* @return The par spread.
*/
@Override
public Double visitSwap(final Swap<?, ?> swap, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(swap);
return -curves
.getFxRates()
.convert(swap.accept(PVMCC, curves), swap.getFirstLeg().getCurrency())
.getAmount()
/ swap.getFirstLeg().accept(PVBPC, curves);
}