com.opengamma.strata.pricer.impl.rate.ForwardInflationInterpolatedRateComputationFn 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.impl.rate;
import java.time.LocalDate;
import com.opengamma.strata.market.explain.ExplainKey;
import com.opengamma.strata.market.explain.ExplainMapBuilder;
import com.opengamma.strata.market.sensitivity.PointSensitivityBuilder;
import com.opengamma.strata.pricer.rate.PriceIndexValues;
import com.opengamma.strata.pricer.rate.RateComputationFn;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.rate.InflationInterpolatedRateComputation;
/**
* Rate computation implementation for rate based on the weighted average of fixings
* of a single price index.
*
* The rate computed by this instance is based on four observations of the index,
* two relative to the accrual start date and two relative to the accrual end date.
* The start index is the weighted average of the index values associated with the first two reference dates,
* and the end index is derived from the index values on the last two reference dates.
* Then the pay-off for a unit notional is {@code (IndexEnd / IndexStart - 1)}.
*/
public class ForwardInflationInterpolatedRateComputationFn
implements RateComputationFn {
/**
* Default instance.
*/
public static final ForwardInflationInterpolatedRateComputationFn DEFAULT =
new ForwardInflationInterpolatedRateComputationFn();
/**
* Creates an instance.
*/
public ForwardInflationInterpolatedRateComputationFn() {
}
//-------------------------------------------------------------------------
@Override
public double rate(
InflationInterpolatedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) {
PriceIndexValues values = provider.priceIndexValues(computation.getIndex());
double indexStart = interpolateStart(computation, values);
double indexEnd = interpolateEnd(computation, values);
return indexEnd / indexStart - 1d;
}
// interpolate the computations at the start
private double interpolateStart(InflationInterpolatedRateComputation computation, PriceIndexValues values) {
double weight = computation.getWeight();
double indexValue1 = values.value(computation.getStartObservation());
double indexValue2 = values.value(computation.getStartSecondObservation());
return weight * indexValue1 + (1d - weight) * indexValue2;
}
// interpolate the observations at the end
private double interpolateEnd(InflationInterpolatedRateComputation computation, PriceIndexValues values) {
double weight = computation.getWeight();
double indexValue1 = values.value(computation.getEndObservation());
double indexValue2 = values.value(computation.getEndSecondObservation());
return weight * indexValue1 + (1d - weight) * indexValue2;
}
@Override
public PointSensitivityBuilder rateSensitivity(
InflationInterpolatedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) {
PriceIndexValues values = provider.priceIndexValues(computation.getIndex());
double indexStart = interpolateStart(computation, values);
double indexEnd = interpolateEnd(computation, values);
double indexStartInv = 1d / indexStart;
PointSensitivityBuilder sensi1 = startSensitivity(computation, values)
.multipliedBy(-indexEnd * indexStartInv * indexStartInv);
PointSensitivityBuilder sensi2 = endSensitivity(computation, values)
.multipliedBy(indexStartInv);
return sensi1.combinedWith(sensi2);
}
// interpolate the observations at the start
private PointSensitivityBuilder startSensitivity(InflationInterpolatedRateComputation computation, PriceIndexValues values) {
double weight = computation.getWeight();
PointSensitivityBuilder sensi1 = values.valuePointSensitivity(computation.getStartObservation())
.multipliedBy(weight);
PointSensitivityBuilder sensi2 = values.valuePointSensitivity(computation.getStartSecondObservation())
.multipliedBy(1d - weight);
return sensi1.combinedWith(sensi2);
}
// interpolate the observations at the end
private PointSensitivityBuilder endSensitivity(InflationInterpolatedRateComputation computation, PriceIndexValues values) {
double weight = computation.getWeight();
PointSensitivityBuilder sensi1 = values.valuePointSensitivity(computation.getEndObservation())
.multipliedBy(weight);
PointSensitivityBuilder sensi2 = values.valuePointSensitivity(computation.getEndSecondObservation())
.multipliedBy(1d - weight);
return sensi1.combinedWith(sensi2);
}
@Override
public double explainRate(
InflationInterpolatedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider,
ExplainMapBuilder builder) {
PriceIndexValues values = provider.priceIndexValues(computation.getIndex());
double w1 = computation.getWeight();
double w2 = 1d - w1;
builder.addListEntry(ExplainKey.OBSERVATIONS, child -> child
.put(ExplainKey.ENTRY_TYPE, "InflationObservation")
.put(ExplainKey.FIXING_DATE, computation.getStartObservation().getFixingMonth().atEndOfMonth())
.put(ExplainKey.INDEX, computation.getIndex())
.put(ExplainKey.INDEX_VALUE, values.value(computation.getStartObservation()))
.put(ExplainKey.WEIGHT, w1));
builder.addListEntry(ExplainKey.OBSERVATIONS, child -> child
.put(ExplainKey.ENTRY_TYPE, "InflationObservation")
.put(ExplainKey.FIXING_DATE, computation.getStartSecondObservation().getFixingMonth().atEndOfMonth())
.put(ExplainKey.INDEX, computation.getIndex())
.put(ExplainKey.INDEX_VALUE, values.value(computation.getStartSecondObservation()))
.put(ExplainKey.WEIGHT, w2));
builder.addListEntry(ExplainKey.OBSERVATIONS, child -> child
.put(ExplainKey.ENTRY_TYPE, "InflationObservation")
.put(ExplainKey.FIXING_DATE, computation.getEndObservation().getFixingMonth().atEndOfMonth())
.put(ExplainKey.INDEX, computation.getIndex())
.put(ExplainKey.INDEX_VALUE, values.value(computation.getEndObservation()))
.put(ExplainKey.WEIGHT, w1));
builder.addListEntry(ExplainKey.OBSERVATIONS, child -> child
.put(ExplainKey.ENTRY_TYPE, "InflationObservation")
.put(ExplainKey.FIXING_DATE, computation.getEndSecondObservation().getFixingMonth().atEndOfMonth())
.put(ExplainKey.INDEX, computation.getIndex())
.put(ExplainKey.INDEX_VALUE, values.value(computation.getEndSecondObservation()))
.put(ExplainKey.WEIGHT, w2));
double rate = rate(computation, startDate, endDate, provider);
builder.put(ExplainKey.COMBINED_RATE, rate);
return rate;
}
}