/**
* Compute the spread to be added to the rate of the instrument for which the present value of the
* instrument is zero. The "rate" can be a "rate" or a "yield" and will depend of each instrument.
*
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public final class ParSpreadRateCalculator
extends InstrumentDerivativeVisitorAdapter<YieldCurveBundle, Double> {
/** The unique instance of the calculator. */
private static final ParSpreadRateCalculator INSTANCE = new ParSpreadRateCalculator();
/**
* Gets the calculator instance.
*
* @return The calculator.
*/
public static ParSpreadRateCalculator getInstance() {
return INSTANCE;
}
/** Constructor. */
private ParSpreadRateCalculator() {}
/** The methods and calculators. */
private static final PresentValueMCACalculator PVMCC = PresentValueMCACalculator.getInstance();
private static final PresentValueBasisPointCalculator PVBPC =
PresentValueBasisPointCalculator.getInstance();
private static final CashDiscountingMethod METHOD_DEPOSIT = CashDiscountingMethod.getInstance();
private static final DepositZeroDiscountingMethod METHOD_DEPOSIT_ZERO =
DepositZeroDiscountingMethod.getInstance();
private static final ForwardRateAgreementDiscountingMethod METHOD_FRA =
ForwardRateAgreementDiscountingMethod.getInstance();
// private static final InterestRateFutureTransactionDiscountingMethod
// METHOD_IR_FUTURES_TRANSACTION = InterestRateFutureTransactionDiscountingMethod.getInstance();
private static final InterestRateFutureSecurityDiscountingMethod METHOD_IR_FUTURES_SECURITY =
InterestRateFutureSecurityDiscountingMethod.getInstance();
@Override
public Double visitCash(final Cash deposit, final YieldCurveBundle curves) {
return METHOD_DEPOSIT.parSpread(deposit, curves);
}
@Override
public Double visitDepositZero(final DepositZero deposit, final YieldCurveBundle curves) {
return METHOD_DEPOSIT_ZERO.parSpread(deposit, curves);
}
/**
* 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);
}
@Override
public Double visitFixedCouponSwap(final SwapFixedCoupon<?> swap, final YieldCurveBundle curves) {
return visitSwap(swap, curves);
}
/**
* For ForwardRateAgreement the ParSpread is the spread to be added to the fixed rate to obtain a
* present value of zero.
*
* @param fra The forward rate agreement.
* @param curves The yield curve bundle.
* @return The par spread.
*/
@Override
public Double visitForwardRateAgreement(
final ForwardRateAgreement fra, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(fra);
return METHOD_FRA.parSpread(fra, curves);
}
/**
* For InterestRateFutures the ParSpread is the spread to be added to the reference price to
* obtain a present value of zero.
*
* @param future The futures.
* @param curves The yield curve bundle.
* @return The par spread.
*/
@Override
public Double visitInterestRateFutureTransaction(
final InterestRateFutureTransaction future, final YieldCurveBundle curves) {
return -(METHOD_IR_FUTURES_SECURITY.price(future.getUnderlying(), curves)
- future.getReferencePrice());
}
// /**
// * For InterestRateFutures the ParSpread is the spread to be added to the reference price to
// obtain a present value of zero.
// * @param future The futures.
// * @param curves The yield curve bundle.
// * @return The par spread.
// */
// @Override
// public Double visitInterestRateFutureSecurity(final InterestRateFutureSecurity future, final
// YieldCurveBundle curves) {
// return -(METHOD_IR_FUTURES_SECURITY.presentValue(future, curves).getAmount());
// }
}
/**
* Get the single fixed rate that makes the PV of the instrument zero. For fixed-float swaps this is
* the swap rate, for FRAs it is the forward etc. For instruments that cannot PV to zero, e.g.
* bonds, a single payment of -1.0 is assumed at zero (i.e. the bond must PV to 1.0)
*
* @deprecated Use the par rate calculators that reference {@link ParameterProviderInterface}
*/
@Deprecated
public final class ParRateCalculator
extends InstrumentDerivativeVisitorAdapter<YieldCurveBundle, Double> {
/** The unique instance of the calculator. */
private static final ParRateCalculator INSTANCE = new ParRateCalculator();
/**
* Gets the calculator instance.
*
* @return The calculator.
*/
public static ParRateCalculator getInstance() {
return INSTANCE;
}
/** Constructor. */
private ParRateCalculator() {}
/** The methods and calculators. */
private static final PresentValueCalculator PVC = PresentValueCalculator.getInstance();
private static final CouponONDiscountingMethod METHOD_OIS =
CouponONDiscountingMethod.getInstance();
private static final CouponIborDiscountingMethod METHOD_IBOR =
CouponIborDiscountingMethod.getInstance();
private static final DepositZeroDiscountingMethod METHOD_DEPOSIT_ZERO =
DepositZeroDiscountingMethod.getInstance();
private static final ForwardRateAgreementDiscountingBundleMethod METHOD_FRA =
ForwardRateAgreementDiscountingBundleMethod.getInstance();
private static final SwapFixedCouponDiscountingMethod METHOD_SWAP =
SwapFixedCouponDiscountingMethod.getInstance();
private static final InterestRateFutureTransactionDiscountingMethod METHOD_IRFUT_TRANSACTION =
InterestRateFutureTransactionDiscountingMethod.getInstance();
private static final InterestRateFutureSecurityDiscountingMethod METHOD_IRFUT_SECURITY =
InterestRateFutureSecurityDiscountingMethod.getInstance();
// ----- Deposit -----
// TODO: review
@Override
public Double visitCash(final Cash cash, final YieldCurveBundle curves) {
final YieldAndDiscountCurve curve = curves.getCurve(cash.getYieldCurveName());
final double ta = cash.getStartTime();
final double tb = cash.getEndTime();
final double yearFrac = cash.getAccrualFactor();
// TODO need a getForwardRate method on YieldAndDiscountCurve
if (yearFrac == 0.0) {
if (!CompareUtils.closeEquals(ta, tb, 1e-16)) {
throw new IllegalArgumentException(
"Year fraction is zero, but payment time greater than trade time");
}
final double eps = 1e-8;
final double rate = curve.getInterestRate(ta);
final double dRate = curve.getInterestRate(ta + eps);
return rate + ta * (dRate - rate) / eps;
}
return (curve.getDiscountFactor(ta) / curve.getDiscountFactor(tb) - 1) / yearFrac;
}
@Override
public Double visitDepositZero(final DepositZero deposit, final YieldCurveBundle curves) {
return METHOD_DEPOSIT_ZERO.parRate(deposit, curves);
}
// ----- Payment/Coupon ------
@Override
public Double visitForwardRateAgreement(
final ForwardRateAgreement fra, final YieldCurveBundle curves) {
return METHOD_FRA.parRate(fra, curves);
}
@Override
public Double visitCouponIbor(final CouponIbor payment, final YieldCurveBundle data) {
return METHOD_IBOR.parRate(payment, data);
}
@Override
public Double visitCouponIborSpread(final CouponIborSpread payment, final YieldCurveBundle data) {
final YieldAndDiscountCurve curve = data.getCurve(payment.getForwardCurveName());
return (curve.getDiscountFactor(payment.getFixingPeriodStartTime())
/ curve.getDiscountFactor(payment.getFixingPeriodEndTime())
- 1.0)
/ payment.getFixingAccrualFactor();
}
@Override
public Double visitCouponIborGearing(
final CouponIborGearing payment, final YieldCurveBundle data) {
final YieldAndDiscountCurve curve = data.getCurve(payment.getForwardCurveName());
return (curve.getDiscountFactor(payment.getFixingPeriodStartTime())
/ curve.getDiscountFactor(payment.getFixingPeriodEndTime())
- 1.0)
/ payment.getFixingAccrualFactor();
}
@Override
public Double visitCouponOIS(final CouponON payment, final YieldCurveBundle data) {
return METHOD_OIS.parRate(payment, data);
}
@Override
public Double visitCapFloorIbor(final CapFloorIbor payment, final YieldCurveBundle data) {
return visitCouponIborSpread(payment.toCoupon(), data);
}
// ----- Swap -----
/**
* Computes the par rate of a swap with one fixed leg.
*
* @param swap The Fixed coupon swap.
* @param curves The curves.
* @return The par swap rate. If the fixed leg has been set up with some fixed payments these are
* ignored for the purposes of finding the swap rate
*/
@Override
public Double visitFixedCouponSwap(final SwapFixedCoupon<?> swap, final YieldCurveBundle curves) {
final double pvSecond = swap.getSecondLeg().accept(PVC, curves);
final double pvbp = swap.getFixedLeg().withUnitCoupon().accept(PVC, curves);
return -pvSecond / pvbp;
}
/**
* Computes the swap convention-modified par rate for a fixed coupon swap.
*
* <p>Reference: Swaption pricing - v 1.3, OpenGamma Quantitative Research, June 2012.
*
* @param swap The swap.
* @param dayCount The day count convention to modify the swap rate.
* @param curves The curves.
* @return The modified rate.
*/
public Double visitFixedCouponSwap(
final SwapFixedCoupon<?> swap, final DayCount dayCount, final YieldCurveBundle curves) {
final double pvbp = METHOD_SWAP.presentValueBasisPoint(swap, dayCount, curves);
return visitFixedCouponSwap(swap, pvbp, curves);
}
/**
* Computes the swap convention-modified par rate for a fixed coupon swap.
*
* <p>Reference: Swaption pricing - v 1.3, OpenGamma Quantitative Research, June 2012.
*
* @param swap The swap.
* @param dayCount The day count convention to modify the swap rate.
* @param curves The curves.
* @param calendar The calendar
* @return The modified rate.
*/
public Double visitFixedCouponSwap(
final SwapFixedCoupon<?> swap,
final DayCount dayCount,
final YieldCurveBundle curves,
final Calendar calendar) {
final double pvbp = METHOD_SWAP.presentValueBasisPoint(swap, dayCount, calendar, curves);
return visitFixedCouponSwap(swap, pvbp, curves);
}
/**
* Computes the swap convention-modified par rate for a fixed coupon swap with a PVBP externally
* provided.
*
* <p>Reference: Swaption pricing - v 1.3, OpenGamma Quantitative Research, June 2012.
*
* @param swap The swap.
* @param pvbp The present value of a basis point.
* @param curves The curves.
* @return The modified rate.
*/
public Double visitFixedCouponSwap(
final SwapFixedCoupon<?> swap, final double pvbp, final YieldCurveBundle curves) {
final double pvSecond =
-swap.getSecondLeg().accept(PVC, curves)
* Math.signum(swap.getSecondLeg().getNthPayment(0).getNotional());
return -pvSecond / pvbp;
}
// ----- Futures -----
/** {@inheritDoc} Compute the future rate (1-price) without convexity adjustment. */
@Override
public Double visitInterestRateFutureTransaction(
final InterestRateFutureTransaction future, final YieldCurveBundle curves) {
return METHOD_IRFUT_TRANSACTION.parRate(future, curves);
}
/** {@inheritDoc} Compute the future rate (1-price) without convexity adjustment. */
@Override
public Double visitInterestRateFutureSecurity(
final InterestRateFutureSecurity future, final YieldCurveBundle curves) {
return METHOD_IRFUT_SECURITY.parRate(future, curves);
}
// TODO: review
@Override
public Double visitForexForward(final ForexForward fx, final YieldCurveBundle curves) {
// TODO this is not a par rate, it is a forward FX rate
final YieldAndDiscountCurve curve1 =
curves.getCurve(fx.getPaymentCurrency1().getFundingCurveName());
final YieldAndDiscountCurve curve2 =
curves.getCurve(fx.getPaymentCurrency2().getFundingCurveName());
final double t = fx.getPaymentTime();
return fx.getSpotForexRate() * curve2.getDiscountFactor(t) / curve1.getDiscountFactor(t);
}
// ----- Forex ------: see ForwardRateForexCalculator
// ----- Bond -----
// TODO: review
/**
* This gives you the bond coupon, for a given yield curve, that renders the bond par (present
* value of all cash flows equal to 1.0)
*
* @param bond the bond
* @param curves the input curves
* @return the par rate
*/
@Override
public Double visitBondFixedSecurity(
final BondFixedSecurity bond, final YieldCurveBundle curves) {
final Annuity<CouponFixed> coupons = bond.getCoupon();
final int n = coupons.getNumberOfPayments();
final CouponFixed[] unitCoupons = new CouponFixed[n];
for (int i = 0; i < n; i++) {
unitCoupons[i] = coupons.getNthPayment(i).withUnitCoupon();
}
final Annuity<CouponFixed> unitCouponAnnuity = new Annuity<>(unitCoupons);
final double pvann = unitCouponAnnuity.accept(PVC, curves);
final double matPV = bond.getNominal().accept(PVC, curves);
return (1 - matPV) / pvann;
}
}
/**
* For InterestRateFutures the ParSpread is the spread to be added to the reference price to
* obtain a present value of zero.
*
* @param future The futures.
* @param curves The yield curve bundle.
* @return The par spread.
*/
@Override
public Double visitInterestRateFutureTransaction(
final InterestRateFutureTransaction future, final YieldCurveBundle curves) {
return -(METHOD_IR_FUTURES_SECURITY.price(future.getUnderlying(), curves)
- future.getReferencePrice());
}
/** {@inheritDoc} Compute the future rate (1-price) without convexity adjustment. */
@Override
public Double visitInterestRateFutureSecurity(
final InterestRateFutureSecurity future, final YieldCurveBundle curves) {
return METHOD_IRFUT_SECURITY.parRate(future, curves);
}