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

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

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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 SwaptionCashFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, IS_LONG);
    final SwaptionCashFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, !IS_LONG);
    final SwaptionCashFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionCashFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionCashFixedIborSABRExtrapolationRightMethod methodExtra = new SwaptionCashFixedIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
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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 SwaptionCashFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, IS_LONG);
    final SwaptionCashFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, !IS_LONG);
    final SwaptionCashFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionCashFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    //    SwaptionCashFixedIborSABRExtrapolationRightMethod methodExtra = new SwaptionCashFixedIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
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   */
  public void constructorPerformance() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    SwapFixedIborDefinition swap = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    SwaptionPhysicalFixedIborDefinition swaptionDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap, IS_LONG);
    SwaptionPhysicalFixedIbor swaption = swaptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    long startTime, endTime;
    final int nbTest = 1000;
    startTime = System.currentTimeMillis();
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    final SwapFixedCoupon<Coupon> swap = SWAP_PAYER_DEFINITION.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double forward = swap.accept(ParRateCalculator.getInstance(), CURVES);
    final double pvbp = METHOD_SWAP.presentValueBasisPoint(swap, CURVES);
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strike[loopstrike] = forward - strikeRange + 3 * strikeRange * loopstrike / nbStrike; // From forward-strikeRange to forward+2*strikeRange
      final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, strike[loopstrike], FIXED_IS_PAYER, CALENDAR);
      final SwaptionPhysicalFixedIborDefinition swaptionDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinition, IS_LONG);
      final SwaptionPhysicalFixedIbor swaption = swaptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      pvExplicit[loopstrike] = METHOD_HW.presentValue(swaption, BUNDLE_HW).getAmount();
      pvApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaption, BUNDLE_HW).getAmount();
      final BlackFunctionData data = new BlackFunctionData(forward, pvbp, 0.20);
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    long startTime, endTime;
    final int nbTest = 10000;
    CurrencyAmount totalPv = CurrencyAmount.of(CUR, 0.0);

    // Creates swaption
    final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    final SwapFixedIborDefinition[] swapExpiryDefinition = new SwapFixedIborDefinition[NB_EXPIRY];
    for (int loopexp = 0; loopexp < NB_EXPIRY; loopexp++) {
      swapExpiryDefinition[loopexp] = swapDefinition.trimStart(EXPIRY_DATE[loopexp]);
    }
    final SwaptionBermudaFixedIborDefinition swaptionBermudaDefinition = new SwaptionBermudaFixedIborDefinition(swapExpiryDefinition, IS_LONG, EXPIRY_DATE);
    final SwaptionBermudaFixedIbor swaptionBermuda = swaptionBermudaDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);

    // Loop for pricing
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  public void calibrateAtBestPriceAmortized() {
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, CURVES);
    final double[] amortization = new double[] {1.00, 0.80, 0.60, 0.40, 0.20 }; // For 5Y amortization
    final int nbPeriods = amortization.length;
    final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, Period.ofYears(nbPeriods), EUR1YEURIBOR6M, NOTIONAL, RATE, FIXED_IS_PAYER);
    //    SwapFixedCoupon<Coupon> swap = swapDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final CouponFixedDefinition[] cpnFixed = new CouponFixedDefinition[nbPeriods];
    final AnnuityCouponFixedDefinition legFixed = swapDefinition.getFixedLeg();
    final CouponIborDefinition[] cpnIbor = new CouponIborDefinition[2 * nbPeriods];
    final AnnuityDefinition<? extends PaymentDefinition> legIbor = swapDefinition.getSecondLeg();
    for (int loopexp = 0; loopexp < nbPeriods; loopexp++) {
      cpnFixed[loopexp] = legFixed.getNthPayment(loopexp).withNotional(legFixed.getNthPayment(loopexp).getNotional() * amortization[loopexp]);
      cpnIbor[2 * loopexp] = ((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp))
          .withNotional(((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp)).getNotional() * amortization[loopexp]);
      cpnIbor[2 * loopexp + 1] = ((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp + 1)).withNotional(((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp + 1)).getNotional()
          * amortization[loopexp]);
    }
    final SwapFixedIborDefinition swapAmortizedDefinition = new SwapFixedIborDefinition(new AnnuityCouponFixedDefinition(cpnFixed, CALENDAR), new AnnuityCouponIborDefinition(cpnIbor, EURIBOR6M, TARGET));
    final SwaptionPhysicalFixedIborDefinition swaptionAmortizedDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapAmortizedDefinition, IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionAmortized = swaptionAmortizedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);

    // SABR parameters sensitivity (parallel shift check). The sensitivities are not exact; in the approximation a small "second order" term is ignored
    final PresentValueSABRSensitivityDataBundle pvss = METHOD_SABR_LMM_ATBEST.presentValueSABRSensitivity(swaptionAmortized, sabrBundle);
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    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double rate360 = 0.0360;
    final IndexSwap index360 = new IndexSwap(FIXED_PAYMENT_PERIOD, DayCountFactory.INSTANCE.getDayCount("Actual/360"), IBOR_INDEX, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition swap360 = SwapFixedIborDefinition.from(SETTLEMENT_DATE, index360, NOTIONAL, rate360, FIXED_IS_PAYER, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaption360Definition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap360, IS_LONG);
    final SwaptionPhysicalFixedIbor swaption360 = swaption360Definition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double rate365 = 0.0365;
    final IndexSwap index365 = new IndexSwap(FIXED_PAYMENT_PERIOD, DayCountFactory.INSTANCE.getDayCount("Actual/365"), IBOR_INDEX, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition swap365 = SwapFixedIborDefinition.from(SETTLEMENT_DATE, index365, NOTIONAL, rate365, FIXED_IS_PAYER, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaption365Definition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap365, IS_LONG);
    final SwaptionPhysicalFixedIbor swaption365 = swaption365Definition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double price360 = swaption360.accept(PVC, sabrBundle);
    final double price365 = swaption365.accept(PVC, sabrBundle);
    assertEquals(price360, price365, 1E-2);
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    final double[] alphaSensi = new double[nbStrike + 1];
    final double[] rhoSensi = new double[nbStrike + 1];
    final double[] nuSensi = new double[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strikes[loopstrike] = strikeStart + loopstrike * strikeRange / nbStrike;
      final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(settleDate, underlyingTenor, USD6MLIBOR3M, notional, strikes[loopstrike], true);
      final SwaptionPhysicalFixedIborDefinition swaptionDefinition = SwaptionPhysicalFixedIborDefinition.from(expiryDate, swapDefinition, true);
      swaptions[loopstrike] = swaptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      pv[loopstrike] = METHOD.presentValue(swaptions[loopstrike], SABR_BUNDLE).getAmount();
      final PresentValueSABRSensitivityDataBundle sabrSensi = METHOD.presentValueSABRSensitivity(swaptions[loopstrike], SABR_BUNDLE);
      final Map<String, Double> pv01 = PV01C.visit(swaptions[loopstrike], SABR_BUNDLE);
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        SwaptionPhysicalFixedCompoundedONCompoundedDefinition.from(expiry, (SwapFixedCompoundedONCompoundedDefinition) swapDefinition, isLong);
    }
    if (!(underlyingSwap instanceof SwapFixedIborDefinition)) {
      throw new OpenGammaRuntimeException("Underlying swap of a swaption must be a fixed / ibor swap");
    }
    final SwapFixedIborDefinition fixedIbor = (SwapFixedIborDefinition) swapDefinition;
    return isCashSettled ? SwaptionCashFixedIborDefinition.from(expiry, fixedIbor, isLong)
        : SwaptionPhysicalFixedIborDefinition.from(expiry, fixedIbor, isLong);
  }
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    if (hasSpread) {
      final double spread = ((FloatingSpreadIRLeg) iborLeg).getSpread();
      return SwapFixedIborSpreadDefinition.from(effectiveDate, maturityDate, tenorFixed, fixedLeg.getDayCount(), fixedLeg.getBusinessDayConvention(), fixedLeg.isEom(), fixedLegNotional,
          fixedLeg.getRate(), tenorIbor, iborLeg.getDayCount(), iborLeg.getBusinessDayConvention(), iborLeg.isEom(), iborLegNotional, indexIbor, spread, payFixed, calendar);
    }
    final SwapFixedIborDefinition swap = SwapFixedIborDefinition.from(effectiveDate, maturityDate, tenorFixed, fixedLeg.getDayCount(), fixedLeg.getBusinessDayConvention(), fixedLeg.isEom(),
        fixedLegNotional, fixedLeg.getRate(), tenorIbor, iborLeg.getDayCount(), iborLeg.getBusinessDayConvention(), iborLeg.isEom(), iborLegNotional, indexIbor, payFixed, calendar);
    return swap;
  }
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Related Classes of com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition

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  • com.opengamma.analytics.financial.instrument.payment.CapFloorCMSDefinition
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  • 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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