com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors Maven / Gradle / Ivy
/*
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer;
import java.io.Serializable;
import java.time.LocalDate;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Optional;
import java.util.OptionalInt;
import org.joda.beans.Bean;
import org.joda.beans.BeanBuilder;
import org.joda.beans.ImmutableBean;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaBean;
import org.joda.beans.MetaProperty;
import org.joda.beans.gen.BeanDefinition;
import org.joda.beans.gen.ImmutableConstructor;
import org.joda.beans.gen.PropertyDefinition;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import org.joda.beans.impl.direct.DirectPrivateBeanBuilder;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.data.MarketDataName;
import com.opengamma.strata.market.ValueType;
import com.opengamma.strata.market.curve.Curve;
import com.opengamma.strata.market.curve.CurveInfoType;
import com.opengamma.strata.market.curve.InterpolatedNodalCurve;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.market.param.CurrencyParameterSensitivity;
import com.opengamma.strata.market.param.ParameterMetadata;
import com.opengamma.strata.market.param.ParameterPerturbation;
import com.opengamma.strata.market.param.UnitParameterSensitivity;
/**
* Provides access to discount factors for a currency based on a zero rate periodically-compounded curve.
*
* This provides discount factors for a single currency.
*
* This implementation is based on an underlying curve that is stored with maturities
* and zero-coupon periodically-compounded rates.
*/
@BeanDefinition(builderScope = "private")
public final class ZeroRatePeriodicDiscountFactors
implements DiscountFactors, ImmutableBean, Serializable {
/**
* Year fraction used as an effective zero.
*/
static final double EFFECTIVE_ZERO = 1e-10;
/**
* The currency that the discount factors are for.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final Currency currency;
/**
* The valuation date.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final LocalDate valuationDate;
/**
* The underlying curve.
* The metadata of the curve must define a day count.
*/
@PropertyDefinition(validate = "notNull")
private final Curve curve;
/**
* The number of compounding periods per year of the zero-coupon rate.
*/
private final transient int frequency; // cached, not a property
/**
* The day count convention of the curve.
*/
private final transient DayCount dayCount; // cached, not a property
//-------------------------------------------------------------------------
/**
* Obtains an instance based on a zero-rates curve.
*
* The curve is specified by an instance of {@link Curve}, such as {@link InterpolatedNodalCurve}.
* The curve must contain {@linkplain ValueType#YEAR_FRACTION year fractions}
* against {@linkplain ValueType#ZERO_RATE zero rates}.
* The day count and compounding periods per year must be present in the metadata.
*
* @param currency the currency
* @param valuationDate the valuation date for which the curve is valid
* @param underlyingCurve the underlying curve
* @return the curve
*/
public static ZeroRatePeriodicDiscountFactors of(Currency currency, LocalDate valuationDate, Curve underlyingCurve) {
return new ZeroRatePeriodicDiscountFactors(currency, valuationDate, underlyingCurve);
}
@ImmutableConstructor
private ZeroRatePeriodicDiscountFactors(
Currency currency,
LocalDate valuationDate,
Curve curve) {
ArgChecker.notNull(currency, "currency");
ArgChecker.notNull(valuationDate, "valuationDate");
ArgChecker.notNull(curve, "curve");
Optional frequencyOpt = curve.getMetadata().findInfo(CurveInfoType.COMPOUNDING_PER_YEAR);
ArgChecker.isTrue(frequencyOpt.isPresent(), "Compounding per year must be present for periodicaly compounded curve ");
ArgChecker.isTrue(frequencyOpt.get() > 0, "Compounding per year must be positive");
curve.getMetadata().getXValueType().checkEquals(
ValueType.YEAR_FRACTION, "Incorrect x-value type for zero-rate discount curve");
curve.getMetadata().getYValueType().checkEquals(
ValueType.ZERO_RATE, "Incorrect y-value type for zero-rate discount curve");
DayCount dayCount = curve.getMetadata().findInfo(CurveInfoType.DAY_COUNT)
.orElseThrow(() -> new IllegalArgumentException("Incorrect curve metadata, missing DayCount"));
this.currency = currency;
this.valuationDate = valuationDate;
this.curve = curve;
this.dayCount = dayCount;
this.frequency = frequencyOpt.get();
}
// ensure standard constructor is invoked
private Object readResolve() {
return new ZeroRatePeriodicDiscountFactors(currency, valuationDate, curve);
}
//-------------------------------------------------------------------------
@Override
public Optional findData(MarketDataName name) {
if (curve.getName().equals(name)) {
return Optional.of(name.getMarketDataType().cast(curve));
}
return Optional.empty();
}
@Override
public int getParameterCount() {
return curve.getParameterCount();
}
@Override
public double getParameter(int parameterIndex) {
return curve.getParameter(parameterIndex);
}
@Override
public ParameterMetadata getParameterMetadata(int parameterIndex) {
return curve.getParameterMetadata(parameterIndex);
}
@Override
public OptionalInt findParameterIndex(ParameterMetadata metadata) {
return curve.findParameterIndex(metadata);
}
@Override
public ZeroRatePeriodicDiscountFactors withParameter(int parameterIndex, double newValue) {
return withCurve(curve.withParameter(parameterIndex, newValue));
}
@Override
public ZeroRatePeriodicDiscountFactors withPerturbation(ParameterPerturbation perturbation) {
return withCurve(curve.withPerturbation(perturbation));
}
//-------------------------------------------------------------------------
@Override
public double relativeYearFraction(LocalDate date) {
return dayCount.relativeYearFraction(valuationDate, date);
}
@Override
public double discountFactor(double relativeYearFraction) {
if (relativeYearFraction <= EFFECTIVE_ZERO) {
return 1d;
}
// convert zero rate periodically compounded to discount factor
return Math.pow(1d + curve.yValue(relativeYearFraction) / frequency, -relativeYearFraction * frequency);
}
@Override
public double discountFactorTimeDerivative(double yearFraction) {
if (yearFraction <= EFFECTIVE_ZERO) {
return 0d;
}
double zr = curve.yValue(yearFraction);
double periodIF = 1d + zr / frequency;
double df = Math.pow(periodIF, -yearFraction * frequency);
return -frequency * df *
(Math.log(periodIF) + yearFraction / periodIF * curve.firstDerivative(yearFraction) / frequency);
}
@Override
public double zeroRate(double yearFraction) {
if (yearFraction <= EFFECTIVE_ZERO) {
return 0d;
}
double ratePeriod = curve.yValue(yearFraction);
return frequency * Math.log(1d + ratePeriod / frequency);
}
//-------------------------------------------------------------------------
@Override
public ZeroRateSensitivity zeroRatePointSensitivity(double yearFraction, Currency sensitivityCurrency) {
double discountFactor = discountFactor(yearFraction);
if (yearFraction <= EFFECTIVE_ZERO) {
return ZeroRateSensitivity.of(currency, yearFraction, sensitivityCurrency, 0d);
}
return ZeroRateSensitivity.of(currency, yearFraction, sensitivityCurrency, -discountFactor * yearFraction);
}
@Override
public ZeroRateSensitivity zeroRatePointSensitivityWithSpread(
double yearFraction,
Currency sensitivityCurrency,
double zSpread,
CompoundedRateType compoundedRateType,
int periodPerYear) {
if (yearFraction < EFFECTIVE_ZERO) {
return ZeroRateSensitivity.of(currency, yearFraction, sensitivityCurrency, 0);
}
if (compoundedRateType.equals(CompoundedRateType.CONTINUOUS)) {
double discountFactor = discountFactorWithSpread(yearFraction, zSpread, compoundedRateType, periodPerYear);
return ZeroRateSensitivity.of(currency, yearFraction, sensitivityCurrency, -discountFactor * yearFraction);
}
double df = discountFactor(yearFraction);
double df2 = Math.pow(df, -1.0 / (yearFraction * periodPerYear));
double df3 = df2 + zSpread / periodPerYear;
double ddfSdz = -yearFraction * Math.pow(df3, -yearFraction * periodPerYear - 1) * df2;
return ZeroRateSensitivity.of(currency, yearFraction, sensitivityCurrency, ddfSdz);
}
//-------------------------------------------------------------------------
@Override
public CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSens) {
double yearFraction = pointSens.getYearFraction();
UnitParameterSensitivity curveSens = curve.yValueParameterSensitivity(yearFraction);
if (yearFraction <= EFFECTIVE_ZERO) {
return CurrencyParameterSensitivities.of(curveSens.multipliedBy(pointSens.getCurrency(), 0d));
// Discount factor in 0 is always 1, no sensitivity.
}
double rp = curve.yValue(yearFraction);
double rcBar = 1.0;
double rpBar = 1.0 / (1 + rp / frequency) * rcBar;
UnitParameterSensitivity unitSens = curveSens.multipliedBy(rpBar);
CurrencyParameterSensitivity curSens = unitSens.multipliedBy(pointSens.getCurrency(), pointSens.getSensitivity());
return CurrencyParameterSensitivities.of(curSens);
}
@Override
public CurrencyParameterSensitivities createParameterSensitivity(Currency currency, DoubleArray sensitivities) {
return CurrencyParameterSensitivities.of(curve.createParameterSensitivity(currency, sensitivities));
}
//-------------------------------------------------------------------------
/**
* Returns a new instance with a different curve.
*
* @param curve the new curve
* @return the new instance
*/
public ZeroRatePeriodicDiscountFactors withCurve(Curve curve) {
return new ZeroRatePeriodicDiscountFactors(currency, valuationDate, curve);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code ZeroRatePeriodicDiscountFactors}.
* @return the meta-bean, not null
*/
public static ZeroRatePeriodicDiscountFactors.Meta meta() {
return ZeroRatePeriodicDiscountFactors.Meta.INSTANCE;
}
static {
MetaBean.register(ZeroRatePeriodicDiscountFactors.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
@Override
public ZeroRatePeriodicDiscountFactors.Meta metaBean() {
return ZeroRatePeriodicDiscountFactors.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the currency that the discount factors are for.
* @return the value of the property, not null
*/
@Override
public Currency getCurrency() {
return currency;
}
//-----------------------------------------------------------------------
/**
* Gets the valuation date.
* @return the value of the property, not null
*/
@Override
public LocalDate getValuationDate() {
return valuationDate;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying curve.
* The metadata of the curve must define a day count.
* @return the value of the property, not null
*/
public Curve getCurve() {
return curve;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
ZeroRatePeriodicDiscountFactors other = (ZeroRatePeriodicDiscountFactors) obj;
return JodaBeanUtils.equal(currency, other.currency) &&
JodaBeanUtils.equal(valuationDate, other.valuationDate) &&
JodaBeanUtils.equal(curve, other.curve);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(currency);
hash = hash * 31 + JodaBeanUtils.hashCode(valuationDate);
hash = hash * 31 + JodaBeanUtils.hashCode(curve);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("ZeroRatePeriodicDiscountFactors{");
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("valuationDate").append('=').append(JodaBeanUtils.toString(valuationDate)).append(',').append(' ');
buf.append("curve").append('=').append(JodaBeanUtils.toString(curve));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code ZeroRatePeriodicDiscountFactors}.
*/
public static final class Meta extends DirectMetaBean {
/**
* The singleton instance of the meta-bean.
*/
static final Meta INSTANCE = new Meta();
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty currency = DirectMetaProperty.ofImmutable(
this, "currency", ZeroRatePeriodicDiscountFactors.class, Currency.class);
/**
* The meta-property for the {@code valuationDate} property.
*/
private final MetaProperty valuationDate = DirectMetaProperty.ofImmutable(
this, "valuationDate", ZeroRatePeriodicDiscountFactors.class, LocalDate.class);
/**
* The meta-property for the {@code curve} property.
*/
private final MetaProperty curve = DirectMetaProperty.ofImmutable(
this, "curve", ZeroRatePeriodicDiscountFactors.class, Curve.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"currency",
"valuationDate",
"curve");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 575402001: // currency
return currency;
case 113107279: // valuationDate
return valuationDate;
case 95027439: // curve
return curve;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new ZeroRatePeriodicDiscountFactors.Builder();
}
@Override
public Class beanType() {
return ZeroRatePeriodicDiscountFactors.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code currency} property.
* @return the meta-property, not null
*/
public MetaProperty currency() {
return currency;
}
/**
* The meta-property for the {@code valuationDate} property.
* @return the meta-property, not null
*/
public MetaProperty valuationDate() {
return valuationDate;
}
/**
* The meta-property for the {@code curve} property.
* @return the meta-property, not null
*/
public MetaProperty curve() {
return curve;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 575402001: // currency
return ((ZeroRatePeriodicDiscountFactors) bean).getCurrency();
case 113107279: // valuationDate
return ((ZeroRatePeriodicDiscountFactors) bean).getValuationDate();
case 95027439: // curve
return ((ZeroRatePeriodicDiscountFactors) bean).getCurve();
}
return super.propertyGet(bean, propertyName, quiet);
}
@Override
protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) {
metaProperty(propertyName);
if (quiet) {
return;
}
throw new UnsupportedOperationException("Property cannot be written: " + propertyName);
}
}
//-----------------------------------------------------------------------
/**
* The bean-builder for {@code ZeroRatePeriodicDiscountFactors}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private Currency currency;
private LocalDate valuationDate;
private Curve curve;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 575402001: // currency
return currency;
case 113107279: // valuationDate
return valuationDate;
case 95027439: // curve
return curve;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 575402001: // currency
this.currency = (Currency) newValue;
break;
case 113107279: // valuationDate
this.valuationDate = (LocalDate) newValue;
break;
case 95027439: // curve
this.curve = (Curve) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public ZeroRatePeriodicDiscountFactors build() {
return new ZeroRatePeriodicDiscountFactors(
currency,
valuationDate,
curve);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("ZeroRatePeriodicDiscountFactors.Builder{");
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("valuationDate").append('=').append(JodaBeanUtils.toString(valuationDate)).append(',').append(' ');
buf.append("curve").append('=').append(JodaBeanUtils.toString(curve));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}