net.finmath.singleswaprate.annuitymapping.AnnuityMappingFactory Maven / Gradle / Ivy

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package net.finmath.singleswaprate.annuitymapping;

import net.finmath.marketdata.model.curves.ForwardCurve;
import net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve;
import net.finmath.marketdata.products.Swap;
import net.finmath.singleswaprate.annuitymapping.AnnuityMapping.AnnuityMappingType;
import net.finmath.singleswaprate.model.VolatilityCubeModel;
import net.finmath.time.Schedule;
import net.finmath.time.SchedulePrototype;

/**
 * Provides factories to build annuity mappings from uniform input.
 *
 * @author Christian Fries
 * @author Roland Bachl
 *
 */
public class AnnuityMappingFactory {

	private final Schedule fixSchedule;
	private final Schedule floatSchedule;

	private final String discountCurveName;
	private final String forwardCurveName;
	private final String volatilityCubeName;

	private final double strike;

	private final double lowerBound;
	private final double upperBound;
	private final int numberOfEvaluationPoints;

	/**
	 * Build an annuity mapping.
	 *
	 * @param strike The strike to get the proper volatilities from the cube.
	 * @param fixSchedule Fix leg schedule of the swap.
	 * @param floatSchedule Float leg schedule of the swap.
	 * @param discountCurveName The name of the discount curve.
	 * @param forwardCurveName The name of the forward curve.
	 * @param volatilityCubeName The name of the volatility cube.
	 * @param type The desired type of annuity mapping.
	 * @param model The model containing curves and cube.
	 * @return The annuity mapping.
	 */
	public static AnnuityMapping buildAnnuityMapping(double strike, Schedule fixSchedule, Schedule floatSchedule,
			String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMappingType type, VolatilityCubeModel model) {
		AnnuityMappingFactory factory = new AnnuityMappingFactory(fixSchedule, floatSchedule, discountCurveName, forwardCurveName, volatilityCubeName,
				strike, 0, 0, -1);
		return factory.build(type, model);
	}

	/**
	 * Build an annuity mapping.
	 *
	 * @param strike The strike to get the proper volatilities from the cube.
	 * @param fixSchedule Fix leg schedule of the swap.
	 * @param floatSchedule Float leg schedule of the swap.
	 * @param discountCurveName The name of the discount curve.
	 * @param forwardCurveName The name of the forward curve.
	 * @param volatilityCubeName The name of the volatility cube.
	 * @param type The desired type of annuity mapping.
	 * @param model The model containing curves and cube.
	 * @param lowerBound The lowest strike the Piterbarg annuity mapping may use during replication, when normalizing.
	 * @param upperBound The maximum strike the Piterbarg annuity mapping may use during replication, when normalizing.
	 * @param numberOfEvaluationPoints The number of points the replication may evaluate Piterbarg annuity mapping is normalizing.
	 * @return The annuity mapping.
	 */
	public static AnnuityMapping buildAnnuityMapping(double strike, Schedule fixSchedule, Schedule floatSchedule,
			String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMappingType type, VolatilityCubeModel model,
			double lowerBound, double upperBound, int numberOfEvaluationPoints) {
		AnnuityMappingFactory factory = new AnnuityMappingFactory(fixSchedule, floatSchedule, discountCurveName, forwardCurveName, volatilityCubeName,
				strike, lowerBound, upperBound, numberOfEvaluationPoints);
		return factory.build(type, model);
	}


	/**
	 * Create the factory.
	 *
	 * @param fixSchedule Fix leg schedule of the swap.
	 * @param floatSchedule Float leg schedule of the swap.
	 * @param discountCurveName The name of the discount curve.
	 * @param forwardCurveName The name of the forward curve.
	 * @param volatilityCubeName The name of the volatility cube.
	 */
	public AnnuityMappingFactory(Schedule fixSchedule, Schedule floatSchedule,
			String discountCurveName, String forwardCurveName, String volatilityCubeName) {
		this(fixSchedule, floatSchedule, discountCurveName, forwardCurveName, volatilityCubeName, Double.NaN, 0, 0, -1);
	}

	/**
	 * Create the factory.
	 *
	 * @param fixSchedule Fix leg schedule of the swap.
	 * @param floatSchedule Float leg schedule of the swap.
	 * @param discountCurveName The name of the discount curve.
	 * @param forwardCurveName The name of the forward curve.
	 * @param volatilityCubeName The name of the volatility cube.
	 * @param strike The strike to get the proper volatilities from the cube.
	 * @param lowerBound The lowest strike the Piterbarg annuity mapping may use during replication, when normalizing.
	 * @param upperBound The maximum strike the Piterbarg annuity mapping may use during replication, when normalizing.
	 * @param numberOfEvaluationPoints The number of points the replication may evaluate Piterbarg annuity mapping is normalizing.
	 */
	public AnnuityMappingFactory(Schedule fixSchedule, Schedule floatSchedule,
			String discountCurveName, String forwardCurveName, String volatilityCubeName, double strike,
			double lowerBound, double upperBound, int numberOfEvaluationPoints) {
		super();
		this.fixSchedule = fixSchedule;
		this.floatSchedule = floatSchedule;
		this.discountCurveName = discountCurveName;
		this.forwardCurveName = forwardCurveName;
		this.volatilityCubeName = volatilityCubeName;
		this.strike = strike;
		this.lowerBound = lowerBound;
		this.upperBound = upperBound;
		this.numberOfEvaluationPoints = numberOfEvaluationPoints;
	}


	/**
	 * Build the annuity mapping.
	 *
	 * @param type The desired type of annuity mapping.
	 * @param model The model containing curves and cube.
	 * @return The annuity mapping.
	 */
	public AnnuityMapping build(AnnuityMappingType type, VolatilityCubeModel model) {

		double strike = this.strike;
		ForwardCurve forwardCurve;
		if(Double.isNaN(strike)) {
			if(forwardCurveName == null || forwardCurveName.isEmpty()) {
				forwardCurve = new ForwardCurveFromDiscountCurve(discountCurveName, fixSchedule.getReferenceDate(),
						SchedulePrototype.getOffsetCodeFromSchedule(fixSchedule));
			} else {
				forwardCurve = model.getForwardCurve(forwardCurveName);
			}
			strike = Swap.getForwardSwapRate(fixSchedule, floatSchedule, forwardCurve, model);
		}

		AnnuityMapping annuityMapping;
		switch(type) {
		case MULTIPITERBARG: annuityMapping = new MultiPiterbargAnnuityMapping(fixSchedule, floatSchedule, strike,
				model, discountCurveName, forwardCurveName, volatilityCubeName, lowerBound, upperBound, numberOfEvaluationPoints); break;
		case BASICPITERBARG: annuityMapping = new BasicPiterbargAnnuityMapping(fixSchedule, floatSchedule, strike, model, discountCurveName,
				volatilityCubeName, lowerBound, upperBound, numberOfEvaluationPoints); break;
		case SIMPLIFIEDLINEAR: annuityMapping = new SimplifiedLinearAnnuityMapping(fixSchedule, floatSchedule, model, discountCurveName); break;
		default: annuityMapping = new BasicPiterbargAnnuityMapping(fixSchedule, floatSchedule, strike, model, discountCurveName, volatilityCubeName,
				0, 0, -1); break;
		}

		return annuityMapping;
	}
}