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

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

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  @Test
  public void testPresentValueConventionArbitrage() {
    final double rate360 = 0.0360;
    final IndexSwap index360 = new IndexSwap(EUR1YEURIBOR6M.getFixedLegPeriod(), DayCountFactory.INSTANCE.getDayCount("Actual/360"), EURIBOR6M, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition swap360 = SwapFixedIborDefinition.from(SETTLEMENT_DATE, index360, NOTIONAL, rate360, true, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaption360Definition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap360, IS_LONG);
    final SwaptionPhysicalFixedIbor swaption360 = swaption360Definition.toDerivative(REFERENCE_DATE);
    final double rate365 = 0.0365;
    final IndexSwap index365 = new IndexSwap(EUR1YEURIBOR6M.getFixedLegPeriod(), DayCountFactory.INSTANCE.getDayCount("Actual/365"), EURIBOR6M, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition swap365 = SwapFixedIborDefinition.from(SETTLEMENT_DATE, index365, NOTIONAL, rate365, true, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaption365Definition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap365, IS_LONG);
    final SwaptionPhysicalFixedIbor swaption365 = swaption365Definition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount price360 = METHOD_SWPT_SABR.presentValue(swaption360, SABR_MULTICURVES);
    final MultipleCurrencyAmount price365 = METHOD_SWPT_SABR.presentValue(swaption365, SABR_MULTICURVES);
    assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValue", price360.getAmount(EUR), price365.getAmount(EUR), TOLERANCE_PV);
  }
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          .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, TARGET), new AnnuityCouponIborDefinition(cpnIbor, EURIBOR6M, TARGET));
    final SwaptionPhysicalFixedIborDefinition swaptionAmortizedDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapAmortizedDefinition, IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionAmortized = swaptionAmortizedDefinition.toDerivative(REFERENCE_DATE);

    // 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, SABR_MULTICURVES);
    final double[] shift = new double[] {0.0001, 0.0001, 0.0001 };
    final double[] toleranceSABRSensi = new double[] {5.0E+4, 5.0E+3, 1.0E+4 };
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  @Test
  public void presentValueLimit() {
    final double highStrike = 0.0801;
    final SwapFixedIborDefinition swapPayerHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, EUR1YEURIBOR6M, NOTIONAL, highStrike, FIXED_IS_PAYER);
    final SwapFixedIborDefinition swapReceiverHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, EUR1YEURIBOR6M, NOTIONAL, highStrike, !FIXED_IS_PAYER);
    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);
    final SwaptionPhysicalFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE);
    final SwaptionPhysicalFixedIbor swaptionLongReceiverHighStrike = swaptionDefinitionLongReceiverHighStrike.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount priceLongPayer = METHOD_SABR_EXTRAPOLATION.presentValue(swaptionLongPayerHighStrike, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceShortPayer = METHOD_SABR_EXTRAPOLATION.presentValue(swaptionShortPayerHighStrike, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceLongReceiver = METHOD_SABR_EXTRAPOLATION.presentValue(swaptionLongReceiverHighStrike, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceLongPayerSABR = swaptionLongPayerHighStrike.accept(PVSSXC, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceLongReceiverSABR = swaptionLongReceiverHighStrike.accept(PVSSXC, SABR_MULTICURVES);
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      expiryDate[loopexp] = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, expiry[loopexp], generator.getIborIndex(), CALENDAR);
      settleDate[loopexp] = ScheduleCalculator.getAdjustedDate(expiryDate[loopexp], generator.getSpotLag(), CALENDAR);
      for (int loopten = 0; loopten < nbTenor; loopten++) {
        for (int loopstrike = 0; loopstrike < nbStrike; loopstrike++) {
          final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(settleDate[loopexp], tenor[loopten], generator, 10000.0, fixedRate[loopstrike], true);
          final SwaptionPhysicalFixedIborDefinition swaptionDefinition = SwaptionPhysicalFixedIborDefinition.from(expiryDate[loopexp], swapDefinition, true);
          swaption[loopexp][loopten][loopstrike] = swaptionDefinition.toDerivative(REFERENCE_DATE);
        }
      }
    }
    final double[][][] pvApprox = new double[nbExpiry][nbTenor][nbStrike];
    final double[][][] volApprox = new double[nbExpiry][nbTenor][nbStrike];
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    final double forward = swap.accept(PRDC, MULTICURVES);
    final double pvbp = METHOD_SWAP.presentValueBasisPoint(swap, MULTICURVES);
    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, SWAP_TENOR, EUR1YEURIBOR6M, NOTIONAL, strike[loopstrike], FIXED_IS_PAYER);
      final SwaptionPhysicalFixedIborDefinition swaptionDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinition, IS_LONG);
      final SwaptionPhysicalFixedIbor swaption = swaptionDefinition.toDerivative(REFERENCE_DATE);
      pvExplicit[loopstrike] = METHOD_HW.presentValue(swaption, HW_MULTICURVES).getAmount(EUR);
      pvApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaption, HW_MULTICURVES).getAmount(EUR);
      final NormalFunctionData data = new NormalFunctionData(forward, pvbp, 0.01);
      volExplicit[loopstrike] = implied.getImpliedVolatility(data, swaption, pvExplicit[loopstrike]);
      volApprox[loopstrike] = implied.getImpliedVolatility(data, swaption, pvApproximation[loopstrike]);
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    final Period expirationPeriod = Period.ofDays(1); // Period.ofDays(1); Period.ofDays(7); Period.ofMonths(1); Period.ofYears(1); Period.ofYears(10);
    final ZonedDateTime expiryDateExp = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, expirationPeriod, EURIBOR6M, CALENDAR);
    final ZonedDateTime settlementDateExp = ScheduleCalculator.getAdjustedDate(expiryDateExp, SPOT_LAG, CALENDAR);
    final double ATM = 0.0151; //  1W: 1.52% - 1M: 1.52% - 1Y: 1.51% - 10Y: 1.51%
    final SwapFixedIborDefinition swapExpx5YDefinition = SwapFixedIborDefinition.from(settlementDateExp, SWAP_TENOR, EUR1YEURIBOR6M, NOTIONAL, ATM, !FIXED_IS_PAYER);
    final SwaptionPhysicalFixedIborDefinition swaptionExpx5YDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapExpx5YDefinition, !IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionExpx5Y = swaptionExpx5YDefinition.toDerivative(REFERENCE_DATE);
    //    final double forward = swaptionExpx5Y.getUnderlyingSwap().accept(PRDC, MULTICURVES);
    final MultipleCurrencyParameterSensitivity pvpsExactExp = PS_HW_C.calculateSensitivity(swaptionExpx5Y, HW_MULTICURVES, HW_MULTICURVES.getMulticurveProvider().getAllNames());
    final double derivativeExactExp = pvpsExactExp.totalSensitivity(MULTICURVES.getFxRates(), EUR);
    final double[] derivative_FDExp = new double[nbShift];
    final double[] diffExp = new double[nbShift];
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  /**
   * Tests the payer/receiver parity for swaptions present value.
   */
  public void presentValuePayerReceiverParity() {
    final SwapFixedIborDefinition swapDefinitionPay = SwapFixedIborDefinition.from(SETTLE_DATE, SWAP_TENOR, GENERATOR_EUR1YEURIBOR6M, NOTIONAL, RATE, true);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayer = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPay, false);
    final SwaptionPhysicalFixedIbor swaptionShortPayer = swaptionDefinitionShortPayer.toDerivative(REFERENCE_DATE);
    final InstrumentDerivative swapRec = SWAP_DEFINITION_REC.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvLR = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, BLACK_MULTICURVES);
    final MultipleCurrencyAmount pvSP = METHOD_BLACK.presentValue(swaptionShortPayer, BLACK_MULTICURVES);
    final MultipleCurrencyAmount pvSwap = swapRec.accept(PVDC, MULTICURVES);
    assertEquals("Swaption Black method: present value", pvSwap.getAmount(EUR), pvLR.getAmount(EUR) + pvSP.getAmount(EUR), TOLERANCE_PV);
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  /**
   * Tests the payer/receiver parity for swaptions present value.
   */
  public void presentValuePayerReceiverParity() {
    final SwapFixedIborDefinition swapDefinitionPay = SwapFixedIborDefinition.from(SETTLE_DATE, SWAP_TENOR, GENERATOR_EUR1YEURIBOR6M, NOTIONAL, RATE, true);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayer = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPay, false);
    final SwaptionPhysicalFixedIbor swaptionShortPayer = swaptionDefinitionShortPayer.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[0], CURVES_NAME[2] });
    final InstrumentDerivative swapRec = SWAP_DEFINITION_REC.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[0], CURVES_NAME[2] });
    final CurrencyAmount pvLR = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, CURVES_BLACK);
    final CurrencyAmount pvSP = METHOD_BLACK.presentValue(swaptionShortPayer, CURVES_BLACK);
    final double pvSwap = swapRec.accept(PVC_BLACK, CURVES);
    assertEquals("Swaption Black method: present value", pvSwap, pvLR.getAmount() + pvSP.getAmount(), TOLERANCE_PV);
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    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);
      final Map<DoublesPair, DoubleMatrix1D> sensiBlack = BlackSensitivityFromSABRSensitivityCalculator.blackSensitivity(sensiNode, inverseJacobianMap);
      for (int loopexpiry = 0; loopexpiry < 2; loopexpiry++) {
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    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);
    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 priceLongPayerSABR = swaptionLongPayerHighStrike.accept(PVC_NO_EXTRA, sabrBundle);
    final double priceLongReceiverSABR = swaptionLongReceiverHighStrike.accept(PVC_NO_EXTRA, sabrBundle);
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