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...n/java/com/opengamma/analytics/financial/interestrate/SwapCleanDiscountingCalculator.java
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| /** | ||
| * Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies | ||
| * | ||
| * Please see distribution for license. | ||
| */ | ||
| package com.opengamma.analytics.financial.interestrate; | ||
|
|
||
| import org.threeten.bp.LocalDate; | ||
| import org.threeten.bp.ZonedDateTime; | ||
|
|
||
| import com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponFixedDefinition; | ||
| import com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinition; | ||
| import com.opengamma.analytics.financial.instrument.annuity.AnnuityDefinition; | ||
| import com.opengamma.analytics.financial.instrument.payment.CouponDefinition; | ||
| import com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition; | ||
| import com.opengamma.analytics.financial.instrument.payment.CouponIborDefinition; | ||
| import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition; | ||
| import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity; | ||
| import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed; | ||
| import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon; | ||
| import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed; | ||
| import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon; | ||
| import com.opengamma.analytics.financial.interestrate.swap.provider.SwapFixedCouponDiscountingMethod; | ||
| import com.opengamma.analytics.financial.provider.calculator.discounting.ParRateDiscountingCalculator; | ||
| import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueDiscountingCalculator; | ||
| import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount; | ||
| import com.opengamma.financial.convention.calendar.Calendar; | ||
| import com.opengamma.financial.convention.daycount.DayCount; | ||
| import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries; | ||
| import com.opengamma.util.ArgumentChecker; | ||
| import com.opengamma.util.money.MultipleCurrencyAmount; | ||
|
|
||
| /** | ||
| * Computes par rate (excluding accrued interests) and accrued interest. <br> | ||
| * <b>Use {@link ParRateDiscountingCalculator} for standard definition of par rate.<b> | ||
| */ | ||
| public class SwapCleanDiscountingCalculator { | ||
| private static final PresentValueDiscountingCalculator PVDC = PresentValueDiscountingCalculator.getInstance(); | ||
| private static final SwapFixedCouponDiscountingMethod METHOD_SWAP = SwapFixedCouponDiscountingMethod.getInstance(); | ||
|
|
||
| /** | ||
| * Computes par rate excluding accrued interest. | ||
| * @param swapDefinition Fixed vs Ibor swap definition | ||
| * @param fixedLegDayCount Day count for fixed leg | ||
| * @param iborLegDayCount Day count for Ibor leg | ||
| * @param calendar The calendar | ||
| * @param valuationDate The valuation date | ||
| * @param indexTimeSeries Index fixing time series | ||
| * @param multicurves The multi-curve | ||
| * @return The par rate | ||
| */ | ||
| public Double parRate(SwapFixedIborDefinition swapDefinition, DayCount fixedLegDayCount, | ||
| DayCount iborLegDayCount, Calendar calendar, ZonedDateTime valuationDate, | ||
| ZonedDateTimeDoubleTimeSeries indexTimeSeries, MulticurveProviderDiscount multicurves) { | ||
| ArgumentChecker.notNull(swapDefinition, "swapDefinition"); | ||
| ArgumentChecker.notNull(fixedLegDayCount, "fixedLegDayCount"); | ||
| ArgumentChecker.notNull(iborLegDayCount, "iborLegDayCount"); | ||
| ArgumentChecker.notNull(calendar, "calendar"); | ||
| ArgumentChecker.notNull(valuationDate, "valuationDate"); | ||
| ArgumentChecker.notNull(indexTimeSeries, "indexTimeSeries"); | ||
| ArgumentChecker.notNull(multicurves, "multicurves"); | ||
| checkNotionalAndFixedRate(swapDefinition); | ||
|
|
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| Annuity<? extends Coupon> iborLeg = swapDefinition.getIborLeg().toDerivative(valuationDate, indexTimeSeries); | ||
| double dirtyIborLegPV = iborLeg.accept(PVDC, multicurves).getAmount(iborLeg.getCurrency()); | ||
| double iborLegAccruedInterest = getAccrued(iborLegDayCount, calendar, valuationDate, | ||
| swapDefinition.getIborLeg(), indexTimeSeries); | ||
| double cleanFloatingPV = (dirtyIborLegPV - iborLegAccruedInterest) * | ||
| Math.signum(iborLeg.getNthPayment(0).getNotional()); | ||
|
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| AnnuityCouponFixed fixedLeg = swapDefinition.getFixedLeg().toDerivative(valuationDate); | ||
| double accruedAmount = getAccrued(fixedLegDayCount, calendar, valuationDate, swapDefinition.getFixedLeg(), | ||
| indexTimeSeries) * Math.signum(fixedLeg.getNthPayment(0).getNotional()); | ||
| double dirtyAnnuity = METHOD_SWAP.presentValueBasisPoint(new SwapFixedCoupon<>(fixedLeg, iborLeg), | ||
| multicurves); | ||
| double cleanAnnuity = dirtyAnnuity - accruedAmount; | ||
|
|
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| return cleanFloatingPV / cleanAnnuity; | ||
| } | ||
|
|
||
| /** | ||
| * Computes accrued interest | ||
| * @param swapDefinition Fixed vs Ibor swap definition | ||
| * @param fixedLegDayCount Day count for fixed leg | ||
| * @param iborLegDayCount Day count for Ibor leg | ||
| * @param calendar The calendar | ||
| * @param valuationDate The valuation date | ||
| * @param indexTimeSeries Index fixing time series | ||
| * @param multicurves The multi-curve | ||
| * @return The accrued interest | ||
| */ | ||
| public MultipleCurrencyAmount accruedInterest(SwapFixedIborDefinition swapDefinition, DayCount fixedLegDayCount, | ||
| DayCount iborLegDayCount, Calendar calendar, ZonedDateTime valuationDate, | ||
| ZonedDateTimeDoubleTimeSeries indexTimeSeries, MulticurveProviderDiscount multicurves) { | ||
| ArgumentChecker.notNull(swapDefinition, "swapDefinition"); | ||
| ArgumentChecker.notNull(fixedLegDayCount, "fixedLegDayCount"); | ||
| ArgumentChecker.notNull(iborLegDayCount, "iborLegDayCount"); | ||
| ArgumentChecker.notNull(calendar, "calendar"); | ||
| ArgumentChecker.notNull(valuationDate, "valuationDate"); | ||
| ArgumentChecker.notNull(indexTimeSeries, "indexTimeSeries"); | ||
| ArgumentChecker.notNull(multicurves, "multicurves"); | ||
| checkNotionalAndFixedRate(swapDefinition); | ||
|
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| double iborLegAccruedInterest = getAccrued(iborLegDayCount, calendar, valuationDate, swapDefinition.getIborLeg(), | ||
| indexTimeSeries); | ||
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| CouponFixedDefinition refFixed = swapDefinition.getFixedLeg().getNthPayment(0); | ||
| double fixedLegAccruedInterest = getAccrued(fixedLegDayCount, calendar, valuationDate, | ||
| swapDefinition.getFixedLeg(), indexTimeSeries) * refFixed.getRate(); | ||
|
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| return MultipleCurrencyAmount.of(swapDefinition.getCurrency(), iborLegAccruedInterest + fixedLegAccruedInterest); | ||
| } | ||
|
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| private double getAccrued(DayCount dayCount, Calendar calendar, ZonedDateTime valuationDate, | ||
| AnnuityDefinition<? extends CouponDefinition> annuity, ZonedDateTimeDoubleTimeSeries indexTimeSeries) { | ||
| LocalDate date = valuationDate.toLocalDate(); | ||
| double res = 0.0; | ||
| CouponDefinition[] payments = annuity.getPayments(); | ||
| for (CouponDefinition payment : payments) { | ||
| if (payment.getAccrualStartDate().toLocalDate().isBefore(date) && | ||
| !payment.getPaymentDate().toLocalDate().isBefore(date)) { | ||
| double rate; | ||
| if (payment instanceof CouponIborDefinition) { | ||
| CouponIborDefinition casted = (CouponIborDefinition) payment; | ||
| Coupon coupon = casted.toDerivative(valuationDate, indexTimeSeries); | ||
| ArgumentChecker.isTrue(coupon instanceof CouponFixed, | ||
| "index should be fixed before accrual starts for standard vanilla swap"); | ||
| CouponFixed couponFixed = (CouponFixed) coupon; | ||
| rate = couponFixed.getFixedRate(); | ||
| } else if (payment instanceof CouponFixedDefinition) { | ||
| rate = 1.0; | ||
| } else { | ||
| throw new IllegalArgumentException("This annuity type is not supported"); | ||
| } | ||
| res += getAccrued(dayCount, calendar, valuationDate, payment) * rate; | ||
| } | ||
| } | ||
| return res; | ||
| } | ||
|
|
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| private double getAccrued(DayCount dayCount, Calendar calendar, ZonedDateTime valuationDate, CouponDefinition coupon) { | ||
| double accruedYearFraction = dayCount.getDayCountFraction(coupon.getAccrualStartDate(), valuationDate, calendar); | ||
| return accruedYearFraction * coupon.getNotional(); | ||
| } | ||
|
|
||
| private void checkNotionalAndFixedRate(SwapFixedIborDefinition swapDefinition) { | ||
| AnnuityCouponIborDefinition iborLeg = swapDefinition.getIborLeg(); | ||
| int nIbor = iborLeg.getNumberOfPayments(); | ||
| double notioanl = iborLeg.getNthPayment(0).getNotional(); | ||
| for (int i = 1; i < nIbor; ++i) { | ||
| ArgumentChecker.isTrue(notioanl == iborLeg.getNthPayment(i).getNotional(), | ||
| "Notional should be constant in both the legs"); | ||
| } | ||
| AnnuityCouponFixedDefinition fixedLeg = swapDefinition.getFixedLeg(); | ||
| int nFixed = fixedLeg.getNumberOfPayments(); | ||
| double rate = fixedLeg.getNthPayment(0).getRate(); | ||
| notioanl *= -1.0; // payer/receiver conversion | ||
| ArgumentChecker.isTrue(notioanl == fixedLeg.getNthPayment(0).getNotional(), | ||
| "Notional should be constant in both the legs"); | ||
| for (int i = 1; i < nFixed; ++i) { | ||
| ArgumentChecker.isTrue(rate == fixedLeg.getNthPayment(i).getRate(), "Fixed rate should be constant"); | ||
| ArgumentChecker.isTrue(notioanl == fixedLeg.getNthPayment(i).getNotional(), | ||
| "Notional should be constant in both the legs"); | ||
| } | ||
| } | ||
| } |
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