com.opengamma.analytics.financial.equity.future.pricing.EquityFutureDividendYield.java Source code

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Here is the source code for com.opengamma.analytics.financial.equity.future.pricing.EquityFutureDividendYield.java

Source

/**
 * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.equity.future.pricing;

import org.apache.commons.lang.Validate;

import com.opengamma.analytics.financial.equity.future.EquityFutureDataBundle;
import com.opengamma.analytics.financial.equity.future.derivative.EquityFuture;

/**
 * Method to compute a future's present value given the current value of its underlying,
 * an estimate of its deterministic continuous dividend yield, and a funding curve   
 */
public final class EquityFutureDividendYield implements EquityFuturesPricer {

    private static final EquityFutureDividendYield INSTANCE = new EquityFutureDividendYield();

    /**
     * @return singleton instance of this pricing method
     */
    public static EquityFutureDividendYield getInstance() {
        return INSTANCE;
    }

    private EquityFutureDividendYield() {
    }

    /**
     * @param future EquityFuture derivative
     * @param dataBundle Contains funding curve, spot value and continuous dividend yield 
     * @return Present value of the derivative
     */
    @Override
    public double presentValue(final EquityFuture future, final EquityFutureDataBundle dataBundle) {
        Validate.notNull(future, "Future");
        Validate.notNull(dataBundle);
        Validate.notNull(dataBundle.getFundingCurve());
        Validate.notNull(dataBundle.getSpotValue());
        Validate.notNull(dataBundle.getDividendYield());

        double timeToExpiry = future.getTimeToSettlement();
        double discountRate = dataBundle.getFundingCurve().getInterestRate(timeToExpiry);
        double costOfCarry = Math.exp(timeToExpiry * (discountRate - dataBundle.getDividendYield()));
        double fwdPrice = dataBundle.getSpotValue() * costOfCarry;
        return (fwdPrice - future.getStrike()) * future.getUnitAmount();
    }

    /**
     * @param future EquityFuture derivative
     * @param dataBundle Contains funding curve, spot value and continuous dividend yield 
     * @return The change in the present value given a unit value change in the underlying's spot value
     */
    @Override
    public double spotDelta(final EquityFuture future, final EquityFutureDataBundle dataBundle) {
        Validate.notNull(future, "Future");
        Validate.notNull(dataBundle);
        Validate.notNull(dataBundle.getFundingCurve());
        Validate.notNull(dataBundle.getDividendYield());

        double timeToExpiry = future.getTimeToSettlement();
        double discountRate = dataBundle.getFundingCurve().getInterestRate(timeToExpiry);
        double costOfCarry = Math.exp(timeToExpiry * (discountRate - dataBundle.getDividendYield()));
        return costOfCarry * future.getUnitAmount();
    }

    /**
     * @param future EquityFuture derivative
     * @param dataBundle Contains funding curve, spot value and continuous dividend yield 
     * @return The change in the present value given a unit value change in the discount rate
     */
    @Override
    public double ratesDelta(final EquityFuture future, final EquityFutureDataBundle dataBundle) {
        Validate.notNull(future, "Future");
        Validate.notNull(dataBundle);
        Validate.notNull(dataBundle.getFundingCurve());
        Validate.notNull(dataBundle.getSpotValue());
        Validate.notNull(dataBundle.getDividendYield());

        double timeToExpiry = future.getTimeToSettlement();
        double discountRate = dataBundle.getFundingCurve().getInterestRate(timeToExpiry);
        double costOfCarry = Math.exp(timeToExpiry * (discountRate - dataBundle.getDividendYield()));
        double fwdPrice = dataBundle.getSpotValue() * costOfCarry;
        return timeToExpiry * fwdPrice * future.getUnitAmount();
    }

    /**
     * @param future EquityFuture derivative
     * @param dataBundle Contains funding curve, spot value and continuous dividend yield 
     * @return The change in the present value given a basis point change in the discount rate
     */
    @Override
    public double pv01(final EquityFuture future, final EquityFutureDataBundle dataBundle) {
        return ratesDelta(future, dataBundle) / 10000;
    }
}