com.opengamma.analytics.financial.interestrate.payments.method.CouponFixedAccruedCompoundingDiscountingMethod.java Source code

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Here is the source code for com.opengamma.analytics.financial.interestrate.payments.method.CouponFixedAccruedCompoundingDiscountingMethod.java

Source

/**
 * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.interestrate.payments.method;

import java.util.ArrayList;
import java.util.HashMap;
import java.util.List;
import java.util.Map;

import org.apache.commons.lang.Validate;

import com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixedAccruedCompounding;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.util.amount.StringAmount;
import com.opengamma.util.money.CurrencyAmount;
import com.opengamma.util.tuple.DoublesPair;

/**
 * Methods related to fixed accrued compounding coupons.
 * @deprecated Use {@link com.opengamma.analytics.financial.interestrate.payments.provider.CouponFixedAccruedCompoundingDiscountingMethod}
 */
@Deprecated
public final class CouponFixedAccruedCompoundingDiscountingMethod {

    /**
     * The method unique instance.
     */
    private static final CouponFixedAccruedCompoundingDiscountingMethod INSTANCE = new CouponFixedAccruedCompoundingDiscountingMethod();

    /**
     * Return the unique instance of the class.
     * @return The instance.
     */
    public static CouponFixedAccruedCompoundingDiscountingMethod getInstance() {
        return INSTANCE;
    }

    /**
     * Private constructor.
     */
    private CouponFixedAccruedCompoundingDiscountingMethod() {
    }

    /**
     * Computes the present value of a fixed coupon by discounting.
     * @param cpn The coupon.
     * @param curves The curve bundle.
     * @return The present value.
     */
    public CurrencyAmount presentValue(final CouponFixedAccruedCompounding cpn, final YieldCurveBundle curves) {
        Validate.notNull(curves);
        Validate.notNull(cpn);
        final YieldAndDiscountCurve fundingCurve = curves.getCurve(cpn.getFundingCurveName());
        final double pv = cpn.getAmount() * fundingCurve.getDiscountFactor(cpn.getPaymentTime());
        return CurrencyAmount.of(cpn.getCurrency(), pv);
    }

    /**
     * Computes the present value of the fixed coupon with positive notional (abs(notional) is used) by discounting.
     * @param cpn The coupon.
     * @param curves The curve bundle.
     * @return The present value.
     */
    public CurrencyAmount presentValuePositiveNotional(final CouponFixedAccruedCompounding cpn,
            final YieldCurveBundle curves) {
        Validate.notNull(curves);
        Validate.notNull(cpn);
        return CurrencyAmount.of(cpn.getCurrency(),
                Math.signum(cpn.getNotional()) * presentValue(cpn, curves).getAmount());
    }

    /**
     * Computes the present value curve sensitivity of a fixed coupon by discounting.
     * @param cpn The coupon.
     * @param curves The curve bundle.
     * @return The sensitivity.
     */
    public InterestRateCurveSensitivity presentValueCurveSensitivity(final CouponFixedAccruedCompounding cpn,
            final YieldCurveBundle curves) {
        final String curveName = cpn.getFundingCurveName();
        final YieldAndDiscountCurve discountingCurve = curves.getCurve(curveName);
        final double time = cpn.getPaymentTime();
        final DoublesPair s = new DoublesPair(time,
                -time * cpn.getAmount() * discountingCurve.getDiscountFactor(time));
        final List<DoublesPair> list = new ArrayList<>();
        list.add(s);
        final Map<String, List<DoublesPair>> result = new HashMap<>();
        result.put(curveName, list);
        return new InterestRateCurveSensitivity(result);
    }

    /**
     * Compute the the present value curve sensitivity of a fixed coupon by discounting to a parallel curve movement.
     * @param cpn The coupon.
     * @param curves The curve bundle.
     * @return The sensitivity.
     */
    public StringAmount presentValueParallelCurveSensitivity(final CouponFixedAccruedCompounding cpn,
            final YieldCurveBundle curves) {
        final String curveName = cpn.getFundingCurveName();
        final YieldAndDiscountCurve discountingCurve = curves.getCurve(curveName);
        final double time = cpn.getPaymentTime();
        final double sensitivity = -time * cpn.getAmount() * discountingCurve.getDiscountFactor(time);
        return StringAmount.from(curveName, sensitivity);
    }

}