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

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Here is the source code for com.opengamma.analytics.financial.interestrate.payments.provider.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.provider;

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.payments.derivative.CouponFixedAccruedCompounding;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.util.money.CurrencyAmount;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.tuple.DoublesPair;

/**
 * Method to compute present value and present value sensitivity for fixed accrued compounding coupon.
 */
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() {
    }

    /**
     * Compute the present value of a Fixed coupon by discounting.
     * @param coupon The coupon.
     * @param multicurves The multi-curve provider.
     * @return The present value.
     */
    public MultipleCurrencyAmount presentValue(final CouponFixedAccruedCompounding coupon,
            final MulticurveProviderInterface multicurves) {
        Validate.notNull(coupon, "Coupon");
        Validate.notNull(multicurves, "multicurve");
        final double df = multicurves.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime());
        final double value = coupon.getAmount() * df;
        return MultipleCurrencyAmount.of(coupon.getCurrency(), value);
    }

    /**
     * Computes the present value of the fixed coupon with positive notional (abs(notional) is used) by discounting.
     * @param coupon The coupon.
     * @param multicurves The multi-curve provider.
     * @return The present value.
     */
    public CurrencyAmount presentValuePositiveNotional(final CouponFixedAccruedCompounding coupon,
            final MulticurveProviderInterface multicurves) {
        Validate.notNull(coupon, "Coupon");
        Validate.notNull(multicurves, "multicurve");
        return CurrencyAmount.of(coupon.getCurrency(), Math.signum(coupon.getNotional())
                * presentValue(coupon, multicurves).getAmount(coupon.getCurrency()));
    }

    /**
     * Computes the present value curve sensitivity of a fixed coupon by discounting.
     * @param cpn The coupon.
     * @param multicurve The multi-curve provider.
     * @return The sensitivity.
     */
    public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(
            final CouponFixedAccruedCompounding cpn, final MulticurveProviderInterface multicurve) {
        final double time = cpn.getPaymentTime();
        final Map<String, List<DoublesPair>> mapDsc = new HashMap<>();
        final DoublesPair s = new DoublesPair(time,
                -time * cpn.getAmount() * multicurve.getDiscountFactor(cpn.getCurrency(), time));
        final List<DoublesPair> list = new ArrayList<>();
        list.add(s);
        mapDsc.put(multicurve.getName(cpn.getCurrency()), list);
        MultipleCurrencyMulticurveSensitivity result = new MultipleCurrencyMulticurveSensitivity();
        result = result.plus(cpn.getCurrency(), MulticurveSensitivity.ofYieldDiscounting(mapDsc));
        return result;
    }

}