Package com.opengamma.analytics.financial.instrument.swaption

Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionPhysicalFixedIborDefinition

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    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);
    final SwaptionPhysicalFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionPhysicalFixedIbor swaptionLongReceiverHighStrike = swaptionDefinitionLongReceiverHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double priceLongPayer = METHOD_EXTRAPOLATION.presentValue(swaptionLongPayerHighStrike, sabrBundle);
    final double priceShortPayer = METHOD_EXTRAPOLATION.presentValue(swaptionShortPayerHighStrike, sabrBundle);
    final double priceLongReceiver = METHOD_EXTRAPOLATION.presentValue(swaptionLongReceiverHighStrike, sabrBundle);
    final double pricePayer = swapPayerHighStrike.accept(PVC, curves);
    final double priceLongPayerExpected = 543216.124; // Value from previous run
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    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
    InterestRateCurveSensitivity pvsLongPayerExtra = METHOD_EXTRAPOLATION.presentValueCurveSensitivity(swaptionLongPayerHighStrike, sabrBundle);
    final InterestRateCurveSensitivity pvsShortPayerExtra = METHOD_EXTRAPOLATION.presentValueCurveSensitivity(swaptionShortPayerHighStrike, sabrBundle);
    // Long/short parity
    final InterestRateCurveSensitivity pvsShortPayer_1 = pvsShortPayerExtra.multipliedBy(-1);
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    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);
    // Swaption sensitivity
    final PresentValueSABRSensitivityDataBundle pvsLongPayer = METHOD_EXTRAPOLATION.presentValueSABRSensitivity(swaptionLongPayerHighStrike, sabrBundle);
    PresentValueSABRSensitivityDataBundle pvsShortPayer = METHOD_EXTRAPOLATION.presentValueSABRSensitivity(swaptionShortPayerHighStrike, sabrBundle);
    // Long/short parity
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    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);
    final SwaptionPhysicalFixedIborSABRMethod methodNoExtrapolation = SwaptionPhysicalFixedIborSABRMethod.getInstance();

    long startTime, endTime;
    final int nbTest = 1000;
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    if (security.isCashSettled()) {
      final SwaptionCashFixedIborDefinition cashSettled = (SwaptionCashFixedIborDefinition) definition;
      final MultipleCurrencyAmount theta = calculator.getTheta(cashSettled, now, curveNames, blackData, Integer.parseInt(daysForward));
      return Collections.singleton(new ComputedValue(getResultSpec(target, curveCalculationConfigName, surfaceName, currency.getCode(), daysForward), theta));
    }
    final SwaptionPhysicalFixedIborDefinition physicallySettled = (SwaptionPhysicalFixedIborDefinition) definition;
    final MultipleCurrencyAmount theta = calculator.getTheta(physicallySettled, now, curveNames, blackData, Integer.parseInt(daysForward));
    return Collections.singleton(new ComputedValue(getResultSpec(target, curveCalculationConfigName, surfaceName, currency.getCode(), daysForward), theta));
  }
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   * Tests the present value node sensitivity for a swaption.
   */
  public void presentValueSwaption() {
    final String[] curveNames = TestsDataSetsSABR.curves2Names();
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2009, 3, 28);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinition = SwaptionInstrumentsDescriptionDataSet.createSwaptionPhysicalFixedIborDefinition(); // USD - Expiry date: 2011-Mar-28
    final SwaptionPhysicalFixedIbor swaption = swaptionDefinition.toDerivative(referenceDate, curveNames);
    final PresentValueSABRCalculator pvc = PresentValueSABRCalculator.getInstance();
    final PresentValueCurveSensitivitySABRCalculator pvcsc = PresentValueCurveSensitivitySABRCalculator.getInstance();
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves2();
    final SABRInterestRateParameters sabrParam = TestsDataSetsSABR.createSABR2();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParam, curves);
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    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[] 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);
      alphaSensi[loopstrike] = sabrSensi.getAlpha().toSingleValue();
      rhoSensi[loopstrike] = sabrSensi.getRho().toSingleValue();
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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();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      swap = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
      swaptionDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap, IS_LONG);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " physical swaptions SABR (definition construction): " + (endTime - startTime) + " ms");
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      swaption = swaptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " physical swaptions SABR (to derivatives): " + (endTime - startTime) + " ms");
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
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    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);
      volExplicit[loopstrike] = implied.getImpliedVolatility(data, swaption, pvExplicit[loopstrike]);
      volApprox[loopstrike] = implied.getImpliedVolatility(data, swaption, pvApproximation[loopstrike]);
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