Package com.opengamma.analytics.financial.instrument.payment

Examples of com.opengamma.analytics.financial.instrument.payment.CapFloorCMSDefinition

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    CapFloorCMSDefinition.from(null, STRIKE, IS_CAP);
  }

  @Test
  public void testFrom() {
    final CapFloorCMSDefinition capConstructor = new CapFloorCMSDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, SWAP_DEFINITION, CMS_INDEX,
        STRIKE, IS_CAP);
    final CapFloorCMSDefinition capFrom = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, STRIKE, IS_CAP);
    assertEquals(capConstructor, capFrom);
  }
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    CapFloorCMSDefinition.from(null, STRIKE, IS_CAP);
  }

  @Test
  public void testFrom() {
    final CapFloorCMSDefinition capConstructor = new CapFloorCMSDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, SWAP_DEFINITION, CMS_INDEX,
        STRIKE, IS_CAP);
    final CapFloorCMSDefinition capFrom = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, STRIKE, IS_CAP);
    assertEquals(capConstructor, capFrom);
  }
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    final double[] strikes = new double[] {0.0001, 0.0010, 0.0050, 0.0100, 0.0200, 0.0400, 0.0500};
    final int nbStrikes = strikes.length;
    final double shift = 1.0E-5;
    final double[] errorRelative = new double[nbStrikes];
    for (int loopstrike = 0; loopstrike < nbStrikes; loopstrike++) {
      final CapFloorCMSDefinition cmsCapDefinition = CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike], IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike] + shift, IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike] - shift, IS_CAP);
      final CapFloorCMS cmsCap = (CapFloorCMS) cmsCapDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsCapShiftUp = (CapFloorCMS) cmsCapShiftUpDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsCapShiftDo = (CapFloorCMS) cmsCapShiftDoDefinition.toDerivative(REFERENCE_DATE);
      final double pvShiftUp = METHOD_EXTRAPOLATION_CAP.presentValue(cmsCapShiftUp, SABR_MULTICURVES).getAmount(EUR);
      final double pvShiftDo = METHOD_EXTRAPOLATION_CAP.presentValue(cmsCapShiftDo, SABR_MULTICURVES).getAmount(EUR);
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD_EXTRAPOLATION_CAP.presentValueStrikeSensitivity(cmsCap, SABR_MULTICURVES);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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    final double[] strikes = new double[] {0.0001, 0.0010, 0.0050, 0.0100, 0.0200, 0.0400, 0.0500 };
    final int nbStrikes = strikes.length;
    final double shift = 1.0E-5;
    final double[] errorRelative = new double[nbStrikes];
    for (int loopstrike = 0; loopstrike < nbStrikes; loopstrike++) {
      final CapFloorCMSDefinition cmsCapDefinition = CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike], IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike] + shift, IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike] - shift, IS_CAP);
      final CapFloorCMS cmsCap = (CapFloorCMS) cmsCapDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final CapFloorCMS cmsCapShiftUp = (CapFloorCMS) cmsCapShiftUpDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final CapFloorCMS cmsCapShiftDo = (CapFloorCMS) cmsCapShiftDoDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final double pvShiftUp = METHOD_EXTRAPOLATION_CAP.presentValue(cmsCapShiftUp, SABR_BUNDLE).getAmount();
      final double pvShiftDo = METHOD_EXTRAPOLATION_CAP.presentValue(cmsCapShiftDo, SABR_BUNDLE).getAmount();
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD_EXTRAPOLATION_CAP.presentValueStrikeSensitivity(cmsCap, SABR_BUNDLE);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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    final double[] strikes = new double[] {0.0001, 0.0010, 0.0050, 0.0100, 0.0200, 0.0400, 0.0500};
    final int nbStrikes = strikes.length;
    final double shift = 1.0E-5;
    final double[] errorRelative = new double[nbStrikes];
    for (int loopstrike = 0; loopstrike < nbStrikes; loopstrike++) {
      final CapFloorCMSDefinition cmsCapDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike], IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] + shift, IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] - shift, IS_CAP);
      final CapFloorCMS cmsCap = (CapFloorCMS) cmsCapDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsCapShiftUp = (CapFloorCMS) cmsCapShiftUpDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsCapShiftDo = (CapFloorCMS) cmsCapShiftDoDefinition.toDerivative(REFERENCE_DATE);
      final double pvShiftUp = METHOD_CAP_CMS_SABR.presentValue(cmsCapShiftUp, SABR_MULTICURVES).getAmount(EUR);
      final double pvShiftDo = METHOD_CAP_CMS_SABR.presentValue(cmsCapShiftDo, SABR_MULTICURVES).getAmount(EUR);
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD_CAP_CMS_SABR.presentValueStrikeSensitivity(cmsCap, SABR_MULTICURVES);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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    final double[] strikes = new double[] {0.0001, 0.0010, 0.0050, 0.0100, 0.0200, 0.0400};
    final int nbStrikes = strikes.length;
    final double shift = 1.0E-5;
    final double[] errorRelative = new double[nbStrikes];
    for (int loopstrike = 0; loopstrike < nbStrikes; loopstrike++) {
      final CapFloorCMSDefinition cmsFloorDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike], !IS_CAP);
      final CapFloorCMSDefinition cmsFloorShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] + shift, !IS_CAP);
      final CapFloorCMSDefinition cmsFloorShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] - shift, !IS_CAP);
      final CapFloorCMS cmsFloor = (CapFloorCMS) cmsFloorDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsFloorShiftUp = (CapFloorCMS) cmsFloorShiftUpDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsFloorShiftDo = (CapFloorCMS) cmsFloorShiftDoDefinition.toDerivative(REFERENCE_DATE);
      final double pvShiftUp = METHOD_CAP_CMS_SABR.presentValue(cmsFloorShiftUp, SABR_MULTICURVES).getAmount(EUR);
      final double pvShiftDo = METHOD_CAP_CMS_SABR.presentValue(cmsFloorShiftDo, SABR_MULTICURVES).getAmount(EUR);
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD_CAP_CMS_SABR.presentValueStrikeSensitivity(cmsFloor, SABR_MULTICURVES);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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    final double[] strikes = new double[] {0.0001, 0.0010, 0.0050, 0.0100, 0.0200, 0.0400, 0.0500 };
    final int nbStrikes = strikes.length;
    final double shift = 1.0E-5;
    final double[] errorRelative = new double[nbStrikes];
    for (int loopstrike = 0; loopstrike < nbStrikes; loopstrike++) {
      final CapFloorCMSDefinition cmsCapDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike], IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] + shift, IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] - shift, IS_CAP);
      final CapFloorCMS cmsCap = (CapFloorCMS) cmsCapDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final CapFloorCMS cmsCapShiftUp = (CapFloorCMS) cmsCapShiftUpDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final CapFloorCMS cmsCapShiftDo = (CapFloorCMS) cmsCapShiftDoDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final double pvShiftUp = METHOD.presentValue(cmsCapShiftUp, SABR_BUNDLE).getAmount();
      final double pvShiftDo = METHOD.presentValue(cmsCapShiftDo, SABR_BUNDLE).getAmount();
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD.presentValueStrikeSensitivity(cmsCap, SABR_BUNDLE);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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    final double[] strikes = new double[] {0.0001, 0.0010, 0.0050, 0.0100, 0.0200, 0.0400 };
    final int nbStrikes = strikes.length;
    final double shift = 1.0E-5;
    final double[] errorRelative = new double[nbStrikes];
    for (int loopstrike = 0; loopstrike < nbStrikes; loopstrike++) {
      final CapFloorCMSDefinition cmsFloorDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike], !IS_CAP);
      final CapFloorCMSDefinition cmsFloorShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] + shift, !IS_CAP);
      final CapFloorCMSDefinition cmsFloorShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] - shift, !IS_CAP);
      final CapFloorCMS cmsFloor = (CapFloorCMS) cmsFloorDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final CapFloorCMS cmsFloorShiftUp = (CapFloorCMS) cmsFloorShiftUpDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final CapFloorCMS cmsFloorShiftDo = (CapFloorCMS) cmsFloorShiftDoDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final double pvShiftUp = METHOD.presentValue(cmsFloorShiftUp, SABR_BUNDLE).getAmount();
      final double pvShiftDo = METHOD.presentValue(cmsFloorShiftDo, SABR_BUNDLE).getAmount();
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD.presentValueStrikeSensitivity(cmsFloor, SABR_BUNDLE);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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