/**
* Computes the present value of the Physical delivery swaption.
*
* @param swaption The swaption.
* @param hwData The Hull-White parameters and the curves.
* @return The present value.
*/
public CurrencyAmount presentValue(
final SwaptionPhysicalFixedIbor swaption,
final HullWhiteOneFactorPiecewiseConstantDataBundle hwData) {
Validate.notNull(swaption);
Validate.notNull(hwData);
final double expiryTime = swaption.getTimeToExpiry();
final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, hwData);
final double[] alpha = new double[cfe.getNumberOfPayments()];
final double[] df = new double[cfe.getNumberOfPayments()];
final double[] discountedCashFlow = new double[cfe.getNumberOfPayments()];
for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
alpha[loopcf] =
MODEL.alpha(
hwData.getHullWhiteParameter(),
0.0,
expiryTime,
expiryTime,
cfe.getNthPayment(loopcf).getPaymentTime());
df[loopcf] =
hwData
.getCurve(cfe.getDiscountCurve())
.getDiscountFactor(cfe.getNthPayment(loopcf).getPaymentTime());
discountedCashFlow[loopcf] = df[loopcf] * cfe.getNthPayment(loopcf).getAmount();
}
// Integration
final SwaptionIntegrant integrant = new SwaptionIntegrant(discountedCashFlow, alpha);
final double limit = 10.0;
final double absoluteTolerance = 1.0E-2;
final double relativeTolerance = 1.0E-6;
final RungeKuttaIntegrator1D integrator =
new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
double pv = 0.0;
try {
pv =
1.0
/ Math.sqrt(2.0 * Math.PI)
* integrator.integrate(integrant, -limit, limit)
* (swaption.isLong() ? 1.0 : -1.0);
} catch (final Exception e) {
throw new RuntimeException(e);
}
return CurrencyAmount.of(swaption.getCurrency(), pv);
}
/**
* Computes the price of a future from the curves using an estimation of the future rate without
* convexity adjustment.
*
* @param future The future.
* @param curves The Hull-White parameters and the curves.
* @return The price.
*/
public double price(
final InterestRateFutureSecurity future,
final HullWhiteOneFactorPiecewiseConstantDataBundle curves) {
Validate.notNull(future, "Future");
Validate.notNull(curves, "Curves");
final YieldAndDiscountCurve forwardCurve = curves.getCurve(future.getForwardCurveName());
final double dfForwardStart = forwardCurve.getDiscountFactor(future.getFixingPeriodStartTime());
final double dfForwardEnd = forwardCurve.getDiscountFactor(future.getFixingPeriodEndTime());
final double forward =
(dfForwardStart / dfForwardEnd - 1) / future.getFixingPeriodAccrualFactor();
final double futureConvexityFactor =
MODEL.futuresConvexityFactor(
curves.getHullWhiteParameter(),
future.getTradingLastTime(),
future.getFixingPeriodStartTime(),
future.getFixingPeriodEndTime());
final double price =
1.0
- futureConvexityFactor * forward
+ (1 - futureConvexityFactor) / future.getFixingPeriodAccrualFactor();
return price;
}
/**
* Compute the price sensitivity to rates of a interest rate future by discounting.
*
* @param future The future.
* @param curves The Hull-White parameters and the curves.
* @return The price rate sensitivity.
*/
public InterestRateCurveSensitivity priceCurveSensitivity(
final InterestRateFutureSecurity future,
final HullWhiteOneFactorPiecewiseConstantDataBundle curves) {
ArgumentChecker.notNull(future, "Future");
ArgumentChecker.notNull(curves, "Curves");
final YieldAndDiscountCurve forwardCurve = curves.getCurve(future.getForwardCurveName());
final double dfForwardStart = forwardCurve.getDiscountFactor(future.getFixingPeriodStartTime());
final double dfForwardEnd = forwardCurve.getDiscountFactor(future.getFixingPeriodEndTime());
final double futureConvexityFactor =
MODEL.futuresConvexityFactor(
curves.getHullWhiteParameter(),
future.getTradingLastTime(),
future.getFixingPeriodStartTime(),
future.getFixingPeriodEndTime());
// Backward sweep
final double priceBar = 1.0;
final double forwardBar = -futureConvexityFactor * priceBar;
final double dfForwardEndBar =
-dfForwardStart
/ (dfForwardEnd * dfForwardEnd)
/ future.getFixingPeriodAccrualFactor()
* forwardBar;
final double dfForwardStartBar =
1.0 / (future.getFixingPeriodAccrualFactor() * dfForwardEnd) * forwardBar;
final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
final List<DoublesPair> listForward = new ArrayList<>();
listForward.add(
DoublesPair.of(
future.getFixingPeriodStartTime(),
-future.getFixingPeriodStartTime() * dfForwardStart * dfForwardStartBar));
listForward.add(
DoublesPair.of(
future.getFixingPeriodEndTime(),
-future.getFixingPeriodEndTime() * dfForwardEnd * dfForwardEndBar));
resultMap.put(future.getForwardCurveName(), listForward);
final InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
return result;
}
