Package com.opengamma.analytics.financial.instrument.swap

Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition

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    int vect = 0;
    final HashMap<DoublesPair, DoubleMatrix2D> inverseJacobianMap = new HashMap<>();
    for (int loopexpiry = 0; loopexpiry < NB_EXPIRY; loopexpiry++) {
      final ZonedDateTime settleDate = ScheduleCalculator.getAdjustedDate(EXPIRY_DATE[loopexpiry], USD6MLIBOR3M.getSpotLag(), NYC);
      for (int loopmat = 0; loopmat < NB_MATURITY; loopmat++) {
        final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(settleDate, MATURITY_TENOR[loopmat], USD6MLIBOR3M, 1.0, 0.0, true); // used to compute atm
        final SwapFixedCoupon<Coupon> swap = swapDefinition.toDerivative(REFERENCE_DATE, CURVE_NAMES);
        final double atm = swap.accept(PRC, CURVES);
        final double[] strikeAbs = new double[NB_STRIKE];
        final double[] errors = new double[NB_STRIKE];
        for (int loopstr = 0; loopstr < NB_STRIKE; loopstr++) {
          strikeAbs[loopstr] = atm + STRIKE_RELATIVE[loopstr];
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    final SwaptionPhysicalFixedIbor[] swaptions = new SwaptionPhysicalFixedIbor[nbStrikeSwapt + 1];
    final double[] pv = new double[nbStrikeSwapt + 1];
    final double[][][][] blackSensi1 = new double[2][2][NB_STRIKE][nbStrikeSwapt + 1];
    for (int loopswpt = 0; loopswpt <= nbStrikeSwapt; loopswpt++) {
      strikes[loopswpt] = strikeStart + loopswpt * strikeRange / nbStrikeSwapt;
      final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(SETTLE_1_SWPT_DATE, MATURITY_1_SWPT, USD6MLIBOR3M, NOTIONAL, strikes[loopswpt], true);
      final SwaptionPhysicalFixedIborDefinition swaptionDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_1_SWPT_DATE, swapDefinition, true);
      swaptions[loopswpt] = swaptionDefinition.toDerivative(REFERENCE_DATE, CURVE_NAMES);
      pv[loopswpt] = METHOD_SWAPTION_SABR.presentValue(swaptions[loopswpt], sabrBundle).getAmount();
      final PresentValueSABRSensitivityDataBundle sensiPoint = swaptions[loopswpt].accept(PVSSC_SABR, sabrBundle);
      final PresentValueSABRSensitivityDataBundle sensiNode = SABRSensitivityNodeCalculator.calculateNodeSensitivities(sensiPoint, sabrParameters);
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  public void testPresentValueLimit() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double highStrike = 0.0801;
    final SwapFixedIborDefinition swapPayerHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, FIXED_IS_PAYER, CALENDAR);
    final SwapFixedIborDefinition swapReceiverHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, !FIXED_IS_PAYER, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapPayerHighStrike, IS_LONG);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapPayerHighStrike, !IS_LONG);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionLongReceiverHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapReceiverHighStrike, IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionPhysicalFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
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  public void testPresentValueExtra() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double highStrike = 0.10;
    final SwapFixedIborDefinition swapDefinitionPayerHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, FIXED_IS_PAYER, CALENDAR);
    final SwapFixedIborDefinition swapDefinitionReceiverHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, !FIXED_IS_PAYER, CALENDAR);
    final SwapFixedCoupon<Coupon> swapPayerHighStrike = swapDefinitionPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, IS_LONG);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, !IS_LONG);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionLongReceiverHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionReceiverHighStrike, IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
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  public void presentValueCurveSensitivityExtra() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double highStrike = 0.10;
    final SwapFixedIborDefinition swapDefinitionPayerHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, FIXED_IS_PAYER, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, IS_LONG);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, !IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionPhysicalFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    // Swaption sensitivity
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  public void testPresentValueSABRSensitivity() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double highStrike = 0.10;
    final SwapFixedIborDefinition swapDefinitionPayerHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, FIXED_IS_PAYER, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, IS_LONG);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, !IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionPhysicalFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    //    SwaptionCashFixedIborSABRExtrapolationRightMethod methodExtra = new SwaptionCashFixedIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
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    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double cutOffStrike = 0.08;
    final double mu = 10.0;
    final double highStrike = 0.10;
    final SwapFixedIborDefinition swapDefinitionPayerHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, FIXED_IS_PAYER, CALENDAR);
    final SwapFixedIborDefinition swapDefinitionReceiverHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, !FIXED_IS_PAYER, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, IS_LONG);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionLongReceiverHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionReceiverHighStrike, IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionPhysicalFixedIbor swaptionLongReceiverHighStrike = swaptionDefinitionLongReceiverHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionPhysicalFixedIborSABRExtrapolationRightMethod methodExtrapolation = new SwaptionPhysicalFixedIborSABRExtrapolationRightMethod(cutOffStrike, mu);
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  @Test
  public void parSpreadFixedIborBeforeFirstFixing() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 5, 14);
    final SwapFixedCoupon<Coupon> swap = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate);
    final double parSpread = swap.accept(PSMQDC, MULTICURVES);
    final SwapFixedIborDefinition swap0Definition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, USD6MLIBOR3M, NOTIONAL, RATE_FIXED + parSpread, true);
    final SwapFixedCoupon<Coupon> swap0 = swap0Definition.toDerivative(referenceDate);
    final MultipleCurrencyAmount pv = swap0.accept(PVDC, MULTICURVES);
    assertEquals("ParSpreadCalculator: fixed-coupon swap", pv.getAmount(swap.getFirstLeg().getCurrency()), 0, TOLERANCE_PV);
  }
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  @Test
  public void parSpreadFixedIborAfterFirstFixing() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 5, 16);
    final SwapFixedCoupon<Coupon> swap = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS_3_6);
    final double parSpread = swap.accept(PSMQDC, MULTICURVES);
    final SwapFixedIborDefinition swap0Definition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, USD6MLIBOR3M, NOTIONAL, RATE_FIXED + parSpread, true);
    final SwapFixedCoupon<Coupon> swap0 = swap0Definition.toDerivative(referenceDate, FIXING_TS_3_6);
    final MultipleCurrencyAmount pv = swap0.accept(PVDC, MULTICURVES);
    assertEquals("ParSpreadCalculator: fixed-coupon swap", pv.getAmount(swap.getFirstLeg().getCurrency()), 0, TOLERANCE_PV);
  }
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    ArgumentChecker.notNull(accrualStartDate, "Accrual start date.");
    ArgumentChecker.notNull(cmsIndex1, "CMS index");
    ArgumentChecker.notNull(cmsIndex2, "CMS index");
    final ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(accrualStartDate, -cmsIndex1.getIborIndex().getSpotLag(), calendar1);
    // Implementation comment: the underlying swap is used for forward. The notional, rate and payer flag are irrelevant.
    final SwapFixedIborDefinition underlyingSwap1 = SwapFixedIborDefinition.from(accrualStartDate, cmsIndex1, 1.0, 1.0, true, calendar1);
    final SwapFixedIborDefinition underlyingSwap2 = SwapFixedIborDefinition.from(accrualStartDate, cmsIndex2, 1.0, 1.0, true, calendar2);
    return new CapFloorCMSSpreadDefinition(cmsIndex1.getIborIndex().getCurrency(), paymentDate, accrualStartDate, accrualEndDate, accrualFactor, notional, fixingDate, underlyingSwap1, cmsIndex1,
        underlyingSwap2, cmsIndex2, strike, isCap, calendar1, calendar2);
  }
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Related Classes of com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition

  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponFixedDefinition
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinition
  • com.opengamma.analytics.financial.instrument.future.SwapFuturesPriceDeliverableSecurityDefinition
  • com.opengamma.analytics.financial.instrument.payment.CapFloorCMSDefinition
  • com.opengamma.analytics.financial.instrument.payment.CapFloorCMSSpreadDefinition
  • com.opengamma.analytics.financial.instrument.payment.CouponCMSDefinition
  • com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedIborDefinitionTest
  • com.opengamma.analytics.financial.instrument.swaption.SwaptionPhysicalFixedIborDefinitionTest
  • com.opengamma.analytics.financial.interestrate.BlackSensitivityFromSABRSensitivityCalculatorTest
  • com.opengamma.analytics.financial.interestrate.swap.method.SwapCalculatorTest
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