/// <summary>
/// Calculates the par rate of the Ibor future product.
/// <para>
/// The par rate is given by ({@code 1 - price}).
/// The par rate of the product is the value on the valuation date.
///
/// </para>
/// </summary>
/// <param name="future"> the future </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <returns> the par rate of the product, in decimal form </returns>
public virtual double parRate(ResolvedIborFuture future, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
IborIndexObservation obs = future.IborRate.Observation;
double forward = ratesProvider.iborIndexRates(future.Index).rate(obs);
LocalDate fixingStartDate = obs.EffectiveDate;
LocalDate fixingEndDate = obs.MaturityDate;
double fixingYearFraction = obs.YearFraction;
double convexity = hwProvider.futuresConvexityFactor(future.LastTradeDate, fixingStartDate, fixingEndDate);
return(convexity * forward - (1d - convexity) / fixingYearFraction);
}
/// <summary>
/// Calculates the price sensitivity of the Ibor future product.
/// <para>
/// The price sensitivity of the product is the sensitivity of the price to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="future"> the future </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <returns> the price curve sensitivity of the product </returns>
public virtual PointSensitivities priceSensitivityRates(ResolvedIborFuture future, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
IborIndexObservation obs = future.IborRate.Observation;
LocalDate fixingStartDate = obs.EffectiveDate;
LocalDate fixingEndDate = obs.MaturityDate;
double convexity = hwProvider.futuresConvexityFactor(future.LastTradeDate, fixingStartDate, fixingEndDate);
IborRateSensitivity sensi = IborRateSensitivity.of(obs, -convexity);
// The sensitivity should be to no currency or currency XXX. To avoid useless conversion, the dimension-less
// price sensitivity is reported in the future currency.
return(PointSensitivities.of(sensi));
}
public virtual void test_price()
{
double computed = PRICER.price(FUTURE, RATE_PROVIDER, HW_PROVIDER);
LocalDate start = FUTURE.IborRate.Observation.EffectiveDate;
LocalDate end = FUTURE.IborRate.Observation.MaturityDate;
double fixingYearFraction = FUTURE.IborRate.Observation.YearFraction;
double convexity = HW_PROVIDER.futuresConvexityFactor(FUTURE.LastTradeDate, start, end);
double forward = RATE_PROVIDER.iborIndexRates(EUR_EURIBOR_3M).rate(FUTURE.IborRate.Observation);
double expected = 1d - convexity * forward + (1d - convexity) / fixingYearFraction;
assertEquals(computed, expected, TOL);
}