/**
* For an instrument, this calculates the sensitivity of the present value (PV) to points on the
* yield curve(s) (i.e. dPV/dR at every point the instrument has sensitivity). The return format is
* a map with curve names (String) as keys and List of DoublesPair as the values; each list holds
* set of time (corresponding to point of the yield curve) and sensitivity pairs (i.e. dPV/dR at
* that time). <b>Note:</b> The length of the list is instrument dependent and may have repeated
* times (with the understanding the sensitivities should be summed).
*/
public class PresentValueCurveSensitivityCalculator
extends AbstractInstrumentDerivativeVisitor<YieldCurveBundle, Map<String, List<DoublesPair>>> {
// TODO: Change the output format from Map to InterestRateCurveSensitivity, which wraps the map
// and adds common functionality.
/** The method unique instance. */
private static final PresentValueCurveSensitivityCalculator INSTANCE =
new PresentValueCurveSensitivityCalculator();
/**
* Return the unique instance of the class.
*
* @return The instance.
*/
public static PresentValueCurveSensitivityCalculator getInstance() {
return INSTANCE;
}
/** Constructor. */
PresentValueCurveSensitivityCalculator() {}
/** The method used for OIS coupons. */
private static final CouponOISDiscountingMethod METHOD_OIS =
CouponOISDiscountingMethod.getInstance();
private static final CouponIborDiscountingMethod METHOD_IBOR =
CouponIborDiscountingMethod.getInstance();
private static final CouponIborGearingDiscountingMethod METHOD_IBOR_GEARING =
CouponIborGearingDiscountingMethod.getInstance();
private static final CashDiscountingMethod METHOD_DEPOSIT = CashDiscountingMethod.getInstance();
private static final DepositZeroDiscountingMethod METHOD_DEPOSIT_ZERO =
DepositZeroDiscountingMethod.getInstance();
private static final BillSecurityDiscountingMethod METHOD_BILL_SECURITY =
BillSecurityDiscountingMethod.getInstance();
private static final BillTransactionDiscountingMethod METHOD_BILL_TRANSACTION =
BillTransactionDiscountingMethod.getInstance();
@Override
public Map<String, List<DoublesPair>> visit(
final InstrumentDerivative instrument, final YieldCurveBundle curves) {
return instrument.accept(this, curves);
}
@Override
public Map<String, List<DoublesPair>> visitCash(final Cash cash, final YieldCurveBundle curves) {
return METHOD_DEPOSIT.presentValueCurveSensitivity(cash, curves).getSensitivities();
}
@Override
public Map<String, List<DoublesPair>> visitDepositZero(
final DepositZero deposit, final YieldCurveBundle curves) {
return METHOD_DEPOSIT_ZERO.presentValueCurveSensitivity(deposit, curves).getSensitivities();
}
@Override
public Map<String, List<DoublesPair>> visitForwardRateAgreement(
final ForwardRateAgreement fra, final YieldCurveBundle curves) {
final ForwardRateAgreementDiscountingMethod method =
ForwardRateAgreementDiscountingMethod.getInstance();
return method.presentValueCurveSensitivity(fra, curves).getSensitivities();
}
/** {@inheritDoc} Future transaction pricing without convexity adjustment. */
@Override
public Map<String, List<DoublesPair>> visitInterestRateFuture(
final InterestRateFuture future, final YieldCurveBundle curves) {
final InterestRateFutureDiscountingMethod method =
InterestRateFutureDiscountingMethod.getInstance();
return method.presentValueCurveSensitivity(future, curves).getSensitivities();
}
@Override
public Map<String, List<DoublesPair>> visitBondFixedSecurity(
final BondFixedSecurity bond, final YieldCurveBundle curves) {
final BondSecurityDiscountingMethod method = BondSecurityDiscountingMethod.getInstance();
return method.presentValueCurveSensitivity(bond, curves).getSensitivities();
}
@Override
public Map<String, List<DoublesPair>> visitBondFixedTransaction(
final BondFixedTransaction bond, final YieldCurveBundle curves) {
final BondTransactionDiscountingMethod method = BondTransactionDiscountingMethod.getInstance();
return method.presentValueSensitivity(bond, curves).getSensitivities();
}
@Override
public Map<String, List<DoublesPair>> visitBondIborTransaction(
final BondIborTransaction bond, final YieldCurveBundle curves) {
final BondTransactionDiscountingMethod method = BondTransactionDiscountingMethod.getInstance();
return method.presentValueSensitivity(bond, curves).getSensitivities();
}
@Override
public Map<String, List<DoublesPair>> visitBillSecurity(
final BillSecurity bill, final YieldCurveBundle curves) {
return METHOD_BILL_SECURITY.presentValueCurveSensitivity(bill, curves).getSensitivities();
}
@Override
public Map<String, List<DoublesPair>> visitBillTransaction(
final BillTransaction bill, final YieldCurveBundle curves) {
return METHOD_BILL_TRANSACTION.presentValueCurveSensitivity(bill, curves).getSensitivities();
}
@Override
public Map<String, List<DoublesPair>> visitBondFuture(
final BondFuture bondFuture, final YieldCurveBundle curves) {
Validate.notNull(curves);
Validate.notNull(bondFuture);
final BondFutureDiscountingMethod method = BondFutureDiscountingMethod.getInstance();
return method.presentValueCurveSensitivity(bondFuture, curves).getSensitivities();
}
@Override
public Map<String, List<DoublesPair>> visitSwap(
final Swap<?, ?> swap, final YieldCurveBundle curves) {
final Map<String, List<DoublesPair>> senseR = visit(swap.getSecondLeg(), curves);
final Map<String, List<DoublesPair>> senseP = visit(swap.getFirstLeg(), curves);
return addSensitivity(senseR, senseP);
}
@Override
public Map<String, List<DoublesPair>> visitFixedCouponSwap(
final SwapFixedCoupon<?> swap, final YieldCurveBundle curves) {
return visitSwap(swap, curves);
}
@Override
public Map<String, List<DoublesPair>> visitTenorSwap(
final TenorSwap<? extends Payment> swap, final YieldCurveBundle curves) {
return visitSwap(swap, curves);
}
@Override
public Map<String, List<DoublesPair>> visitFloatingRateNote(
final FloatingRateNote frn, final YieldCurveBundle curves) {
return visitSwap(frn, curves);
}
@Override
public Map<String, List<DoublesPair>> visitCrossCurrencySwap(
final CrossCurrencySwap ccs, final YieldCurveBundle curves) {
final Map<String, List<DoublesPair>> senseD = visit(ccs.getDomesticLeg(), curves);
final Map<String, List<DoublesPair>> senseF = visit(ccs.getForeignLeg(), curves);
// Note the sensitivities subtract rather than add here because the CCS is set up as domestic
// FRN minus a foreign FRN
return addSensitivity(senseD, multiplySensitivity(senseF, -ccs.getSpotFX()));
}
@Override
public Map<String, List<DoublesPair>> visitForexForward(
final ForexForward fx, final YieldCurveBundle curves) {
final Map<String, List<DoublesPair>> senseP1 = visit(fx.getPaymentCurrency1(), curves);
final Map<String, List<DoublesPair>> senseP2 = visit(fx.getPaymentCurrency2(), curves);
// Note the sensitivities add rather than subtract here because the FX Forward is set up as a
// notional in one currency PLUS a notional in another with the opposite sign
return InterestRateCurveSensitivityUtils.addSensitivity(
senseP1, multiplySensitivity(senseP2, fx.getSpotForexRate()));
}
@Override
public Map<String, List<DoublesPair>> visitGenericAnnuity(
final Annuity<? extends Payment> annuity, final YieldCurveBundle data) {
final Map<String, List<DoublesPair>> map = new HashMap<String, List<DoublesPair>>();
for (final Payment p : annuity.getPayments()) {
final Map<String, List<DoublesPair>> tempMap = visit(p, data);
for (final String name : tempMap.keySet()) {
if (!map.containsKey(name)) {
map.put(name, tempMap.get(name));
} else {
final List<DoublesPair> tempList = map.get(name);
tempList.addAll(tempMap.get(name));
map.put(name, tempList);
}
}
}
return map;
}
@Override
public Map<String, List<DoublesPair>> visitFixedPayment(
final PaymentFixed payment, final YieldCurveBundle data) {
final String curveName = payment.getFundingCurveName();
final YieldAndDiscountCurve curve = data.getCurve(curveName);
final double t = payment.getPaymentTime();
final DoublesPair s = new DoublesPair(t, -t * payment.getAmount() * curve.getDiscountFactor(t));
final List<DoublesPair> list = new ArrayList<DoublesPair>();
list.add(s);
final Map<String, List<DoublesPair>> result = new HashMap<String, List<DoublesPair>>();
result.put(curveName, list);
return result;
}
@Override
public Map<String, List<DoublesPair>> visitCouponIborSpread(
final CouponIborSpread payment, final YieldCurveBundle data) {
final String fundingCurveName = payment.getFundingCurveName();
final String liborCurveName = payment.getForwardCurveName();
final YieldAndDiscountCurve fundCurve = data.getCurve(fundingCurveName);
final YieldAndDiscountCurve liborCurve = data.getCurve(liborCurveName);
final double tPay = payment.getPaymentTime();
final double tStart = payment.getFixingPeriodStartTime();
final double tEnd = payment.getFixingPeriodEndTime();
final double dfPay = fundCurve.getDiscountFactor(tPay);
final double dfStart = liborCurve.getDiscountFactor(tStart);
final double dfEnd = liborCurve.getDiscountFactor(tEnd);
final double forward = (dfStart / dfEnd - 1) / payment.getFixingYearFraction();
final double notional = payment.getNotional();
final Map<String, List<DoublesPair>> result = new HashMap<String, List<DoublesPair>>();
List<DoublesPair> temp = new ArrayList<DoublesPair>();
DoublesPair s;
s =
new DoublesPair(
tPay,
-tPay
* dfPay
* notional
* (forward + payment.getSpread())
* payment.getPaymentYearFraction());
temp.add(s);
if (!liborCurveName.equals(fundingCurveName)) {
result.put(fundingCurveName, temp);
temp = new ArrayList<DoublesPair>();
}
final double ratio =
notional
* dfPay
* dfStart
/ dfEnd
* payment.getPaymentYearFraction()
/ payment.getFixingYearFraction();
s = new DoublesPair(tStart, -tStart * ratio);
temp.add(s);
s = new DoublesPair(tEnd, tEnd * ratio);
temp.add(s);
result.put(liborCurveName, temp);
return result;
}
@Override
public Map<String, List<DoublesPair>> visitCouponOIS(
final CouponOIS payment, final YieldCurveBundle data) {
final Map<String, List<DoublesPair>> result =
METHOD_OIS.presentValueCurveSensitivity(payment, data).getSensitivities();
return result;
}
@Override
public Map<String, List<DoublesPair>> visitFixedCouponAnnuity(
final AnnuityCouponFixed annuity, final YieldCurveBundle data) {
return visitGenericAnnuity(annuity, data);
}
@Override
public Map<String, List<DoublesPair>> visitCouponFixed(
final CouponFixed payment, final YieldCurveBundle data) {
return visitFixedPayment(payment.toPaymentFixed(), data);
}
@Override
public Map<String, List<DoublesPair>> visitForwardLiborAnnuity(
final AnnuityCouponIbor annuity, final YieldCurveBundle data) {
return visitGenericAnnuity(annuity, data);
}
@Override
public Map<String, List<DoublesPair>> visitFixedFloatSwap(
final FixedFloatSwap swap, final YieldCurveBundle data) {
return visitFixedCouponSwap(swap, data);
}
@Override
public Map<String, List<DoublesPair>> visitCouponCMS(
final CouponCMS payment, final YieldCurveBundle data) {
final CouponCMSDiscountingMethod method = CouponCMSDiscountingMethod.getInstance();
return method.presentValueSensitivity(payment, data).getSensitivities();
}
@Override
public Map<String, List<DoublesPair>> visitCouponIbor(
final CouponIbor coupon, final YieldCurveBundle curves) {
return METHOD_IBOR.presentValueCurveSensitivity(coupon, curves).getSensitivities();
}
@Override
public Map<String, List<DoublesPair>> visitCouponIborGearing(
final CouponIborGearing coupon, final YieldCurveBundle curves) {
return METHOD_IBOR_GEARING.presentValueCurveSensitivity(coupon, curves).getSensitivities();
}
/**
* Compute the sensitivity of the discount factor at a given time.
*
* @param curveName The curve name associated to the discount factor.
* @param curve The curve from which the discount factor should be computed.
* @param time The time
* @return The sensitivity.
*/
public static Map<String, List<DoublesPair>> discountFactorSensitivity(
final String curveName, final YieldAndDiscountCurve curve, final double time) {
final DoublesPair s = new DoublesPair(time, -time * curve.getDiscountFactor(time));
final List<DoublesPair> list = new ArrayList<DoublesPair>();
list.add(s);
final Map<String, List<DoublesPair>> result = new HashMap<String, List<DoublesPair>>();
result.put(curveName, list);
return result;
}
}
/**
* 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;
}
}
@Override
public Map<String, List<DoublesPair>> visitCouponIbor(
final CouponIbor coupon, final YieldCurveBundle curves) {
return METHOD_IBOR.presentValueCurveSensitivity(coupon, curves).getSensitivities();
}
@Override
public Double visitCouponIbor(final CouponIbor payment, final YieldCurveBundle data) {
return METHOD_IBOR.parRate(payment, data);
}