/**
* Computes the interest rate sensitivity of future price.
*
* @param future The future security.
* @param curves The curves.
* @return The curve sensitivity.
*/
@Override
public InterestRateCurveSensitivity priceCurveSensitivity(
final FederalFundsFutureSecurity future, final YieldCurveBundle curves) {
Validate.notNull(future, "Future");
Validate.notNull(curves, "Curves");
int nbFixing = future.getFixingPeriodAccrualFactor().length;
YieldAndDiscountCurve ois = curves.getCurve(future.getOISCurveName());
double[] df = new double[nbFixing + 1];
for (int loopfix = 0; loopfix < nbFixing + 1; loopfix++) {
df[loopfix] = ois.getDiscountFactor(future.getFixingPeriodTime()[loopfix]);
}
// Backward sweep
double priceBar = 1.0;
double interestBar = -1.0 / future.getFixingTotalAccrualFactor() * priceBar;
double[] dfBar = new double[nbFixing + 1];
for (int loopfix = 0; loopfix < nbFixing; loopfix++) {
dfBar[loopfix] += 1.0 / df[loopfix + 1] * interestBar;
dfBar[loopfix + 1] += -df[loopfix] / (df[loopfix + 1] * df[loopfix + 1]) * interestBar;
}
Map<String, List<DoublesPair>> resultMap = new HashMap<String, List<DoublesPair>>();
List<DoublesPair> listOIS = new ArrayList<DoublesPair>();
for (int loopfix = 0; loopfix < nbFixing + 1; loopfix++) {
listOIS.add(
new DoublesPair(
future.getFixingPeriodTime()[loopfix],
-future.getFixingPeriodTime()[loopfix] * df[loopfix] * dfBar[loopfix]));
}
resultMap.put(future.getOISCurveName(), listOIS);
InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
return result;
}
@Override
/**
* Computes the Federal Funds future price using average of forward rates (not convexity
* adjustment).
*
* @param future The future security.
* @param curves The curves.
* @return The price.
*/
public double price(final FederalFundsFutureSecurity future, final YieldCurveBundle curves) {
Validate.notNull(future, "Future");
Validate.notNull(curves, "Curves");
int nbFixing = future.getFixingPeriodAccrualFactor().length;
YieldAndDiscountCurve ois = curves.getCurve(future.getOISCurveName());
double[] df = new double[nbFixing + 1];
for (int loopfix = 0; loopfix < nbFixing + 1; loopfix++) {
df[loopfix] = ois.getDiscountFactor(future.getFixingPeriodTime()[loopfix]);
}
double interest = future.getAccruedInterest();
for (int loopfix = 0; loopfix < nbFixing; loopfix++) {
interest += df[loopfix] / df[loopfix + 1] - 1.0;
}
return 1.0 - interest / future.getFixingTotalAccrualFactor();
}
/**
* Computes the present value of the future security as the value of one future with a price of 0.
*
* @param future The future security.
* @param curves The curves.
* @return The present value.
*/
public CurrencyAmount presentValue(
final FederalFundsFutureSecurity future, final YieldCurveBundle curves) {
double price = price(future, curves);
double pv = price * future.getPaymentAccrualFactor() * future.getNotional();
return CurrencyAmount.of(future.getCurrency(), pv);
}