Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity

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  }

  @Test
  public void dirtyPriceCurveSensitivity() {
    InterestRateCurveSensitivity sensi = METHOD.dirtyPriceCurveSensitivity(BOND_FIXED_SECURITY_1, CURVES);
    sensi = sensi.cleaned();
    final double pv = METHOD.presentValue(BOND_FIXED_SECURITY_1, CURVES);
    final double dfSettle = CURVES.getCurve(REPO_CURVE_NAME).getDiscountFactor(BOND_FIXED_SECURITY_1.getSettlementTime());
    assertEquals("Fixed coupon bond security: dirty price curve sensitivity: repo curve", BOND_FIXED_SECURITY_1.getSettlementTime(), sensi.getSensitivities().get(REPO_CURVE_NAME).get(0).first, 1E-8);
    assertEquals("Fixed coupon bond security: dirty price curve sensitivity: repo curve", BOND_FIXED_SECURITY_1.getSettlementTime() / dfSettle * pv / NOTIONAL,
        sensi.getSensitivities().get(REPO_CURVE_NAME).get(0).second, 1E-8);
    final double dfCpn0 = CURVES.getCurve(CREDIT_CURVE_NAME).getDiscountFactor(BOND_FIXED_SECURITY_1.getCoupon().getNthPayment(0).getPaymentTime());
    assertEquals("Fixed coupon bond security: dirty price curve sensitivity: repo curve", BOND_FIXED_SECURITY_1.getCoupon().getNthPayment(0).getPaymentTime(),
        sensi.getSensitivities().get(CREDIT_CURVE_NAME).get(0).first, 1E-8);
    assertEquals("Fixed coupon bond security: dirty price curve sensitivity: repo curve", -BOND_FIXED_SECURITY_1.getCoupon().getNthPayment(0).getPaymentTime()
        * BOND_FIXED_SECURITY_1.getCoupon().getNthPayment(0).getAmount() * dfCpn0 / dfSettle / NOTIONAL, sensi.getSensitivities().get(CREDIT_CURVE_NAME).get(0).second, 1E-8);
  }
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    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(sabrData, "SARB data");
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRC, sabrData);
    // Derivative of the forward with respect to the rates.
    final InterestRateCurveSensitivity forwardDr = new InterestRateCurveSensitivity(swaption.getUnderlyingSwap().accept(PRSC, sabrData));
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // Derivative of the cash annuity with respect to the forward.
    final double pvbpDf = METHOD_SWAP.getAnnuityCashDerivative(swaption.getUnderlyingSwap(), forward);
    // Implementation note: strictly speaking, the strike equivalent is curve dependent; that dependency is ignored.
    final double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, swaption.getStrike(), forward);
    final double discountFactorSettle = sabrData.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
    final double sensiDF = -swaption.getSettlementTime() * discountFactorSettle * pvbp * bsAdjoint[0];
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(swaption.getSettlementTime(), sensiDF));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(annuityFixed.getNthPayment(0).getFundingCurveName(), list);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    result = result.plus(forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * bsAdjoint[0] + pvbp * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1]))));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return result;
  }
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    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, sabrData);
    final double forwardModified = PRC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, sabrData);
    final double maturity = swaption.getMaturityTime();
    // Derivative of the forward and pvbp with respect to the rates.
    final InterestRateCurveSensitivity pvbpModifiedDr = METHOD_SWAP.presentValueBasisPointCurveSensitivity(swaption.getUnderlyingSwap(), dayCountModification, sabrData);
    final InterestRateCurveSensitivity forwardModifiedDr = new InterestRateCurveSensitivity(PRSC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData));
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final double alpha = sabrData.getSABRParameter().getAlpha(expiryMaturity);
    final double beta = sabrData.getSABRParameter().getBeta(expiryMaturity);
    final double rho = sabrData.getSABRParameter().getRho(expiryMaturity);
    final double nu = sabrData.getSABRParameter().getNu(expiryMaturity);
    final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forwardModified, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    InterestRateCurveSensitivity result = pvbpModifiedDr.multipliedBy(sabrExtrapolation.price(option));
    final double priceDF = sabrExtrapolation.priceDerivativeForward(option);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * priceDF));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return result;
  }
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      final DoublesPair dfSensi = new DoublesPair(cfe.getNthPayment(loopcf).getPaymentTime(), -cfe.getNthPayment(loopcf).getPaymentTime() * df[loopcf] * dfBar[loopcf]);
      listDfSensi.add(dfSensi);
    }
    final Map<String, List<DoublesPair>> pvsDF = new HashMap<>();
    pvsDF.put(cfe.getDiscountCurve(), listDfSensi);
    InterestRateCurveSensitivity sensitivity = new InterestRateCurveSensitivity(pvsDF);
    final Map<Double, InterestRateCurveSensitivity> cfeCurveSensi = swaption.getUnderlyingSwap().accept(CFECSC, hwData);
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      final InterestRateCurveSensitivity sensiCfe = cfeCurveSensi.get(cfe.getNthPayment(loopcf).getPaymentTime());
      if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.
        sensitivity = sensitivity.plus(sensiCfe.multipliedBy(cfeAmountBar[loopcf]));
      }
    }
    return sensitivity;
  }
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    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double tenor = swaption.getMaturityTime();
    final double forward = swaption.getUnderlyingSwap().accept(PRC, curveBlack);
    // Derivative of the forward with respect to the rates.
    final InterestRateCurveSensitivity forwardDr = new InterestRateCurveSensitivity(swaption.getUnderlyingSwap().accept(PRSC, curveBlack));
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // Derivative of the cash annuity with respect to the forward.
    final double pvbpDf = METHOD_SWAP.getAnnuityCashDerivative(swaption.getUnderlyingSwap(), forward);
    // Implementation note: strictly speaking, the strike equivalent is curve dependent; that dependency is ignored.
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
    final double discountFactorSettle = curveBlack.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
    final double sensiDF = -swaption.getSettlementTime() * discountFactorSettle * pvbp * bsAdjoint[0];
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(swaption.getSettlementTime(), sensiDF));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(annuityFixed.getNthPayment(0).getFundingCurveName(), list);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    result = result.plus(forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * bsAdjoint[0] + pvbp * bsAdjoint[1])));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return result;
  }
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   * @return The price curve sensitivity.
   */
  public InterestRateCurveSensitivity dirtyPriceCurveSensitivity(final BondFixedSecurity bond, final YieldCurveBundle curves) {
    final double notional = bond.getCoupon().getNthPayment(0).getNotional();
    final double pv = presentValue(bond, curves);
    final InterestRateCurveSensitivity sensiPv = presentValueCurveSensitivity(bond, curves);
    final double df = curves.getCurve(bond.getRepoCurveName()).getDiscountFactor(bond.getSettlementTime());
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    final List<DoublesPair> listDf = new ArrayList<>();
    listDf.add(new DoublesPair(bond.getSettlementTime(), bond.getSettlementTime() / df));
    resultMap.put(bond.getRepoCurveName(), listDf);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    result = result.multipliedBy(pv / notional);
    result = result.plus(sensiPv.multipliedBy(1 / (df * notional)));
    return result;
  }
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   * @param bond The bond security.
   * @param curves The curve bundle.
   * @return The present value curve sensitivity.
   */
  public InterestRateCurveSensitivity presentValueCurveSensitivity(final BondSecurity<? extends Payment, ? extends Coupon> bond, final YieldCurveBundle curves) {
    final InterestRateCurveSensitivity pvcsNominal = new InterestRateCurveSensitivity(bond.getNominal().accept(PVCSC, curves));
    final InterestRateCurveSensitivity pvcsCoupon = new InterestRateCurveSensitivity(bond.getCoupon().accept(PVCSC, curves));
    return pvcsNominal.plus(pvcsCoupon);
  }
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    final double dfDscSettleBar = bill.getSettlementAmount() * pvBar;
    final Map<String, List<DoublesPair>> resultMapCredit = new HashMap<>();
    final List<DoublesPair> listCredit = new ArrayList<>();
    listCredit.add(new DoublesPair(bill.getBillPurchased().getEndTime(), -bill.getBillPurchased().getEndTime() * dfCreditEnd * dfCreditEndBar));
    resultMapCredit.put(bill.getBillPurchased().getCreditCurveName(), listCredit);
    final InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMapCredit);
    final Map<String, List<DoublesPair>> resultMapDsc = new HashMap<>();
    final List<DoublesPair> listDsc = new ArrayList<>();
    listDsc.add(new DoublesPair(bill.getBillPurchased().getSettlementTime(), -bill.getBillPurchased().getSettlementTime() * dfDscSettle * dfDscSettleBar));
    resultMapDsc.put(bill.getBillPurchased().getDiscountingCurveName(), listDsc);
    return result.plus(new InterestRateCurveSensitivity(resultMapDsc));
  }
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    final double dfCreditEndBar = priceParBar / dfDscSettle;
    final Map<String, List<DoublesPair>> resultMapCredit = new HashMap<>();
    final List<DoublesPair> listCredit = new ArrayList<>();
    listCredit.add(new DoublesPair(bill.getBillPurchased().getEndTime(), -bill.getBillPurchased().getEndTime() * dfCreditEnd * dfCreditEndBar));
    resultMapCredit.put(bill.getBillPurchased().getCreditCurveName(), listCredit);
    final InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMapCredit);
    final Map<String, List<DoublesPair>> resultMapDsc = new HashMap<>();
    final List<DoublesPair> listDsc = new ArrayList<>();
    listDsc.add(new DoublesPair(bill.getBillPurchased().getSettlementTime(), -bill.getBillPurchased().getSettlementTime() * dfDscSettle * dfDscSettleBar));
    resultMapDsc.put(bill.getBillPurchased().getDiscountingCurveName(), listDsc);
    return result.plus(new InterestRateCurveSensitivity(resultMapDsc));
  }
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   * @param bond The bond transaction.
   * @param curves The curve bundle.
   * @return The present value sensitivity.
   */
  public InterestRateCurveSensitivity presentValueSensitivity(final BondFixedTransaction bond, final YieldCurveBundle curves) {
    final InterestRateCurveSensitivity pvsNominal = new InterestRateCurveSensitivity(bond.getBondTransaction().getNominal().accept(PVSC, curves));
    final InterestRateCurveSensitivity pvsCoupon = new InterestRateCurveSensitivity(bond.getBondTransaction().getCoupon().accept(PVSC, curves));
    final double settlementAmount = -(bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional() + bond.getBondTransaction().getAccruedInterest())
        * bond.getQuantity();
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount, bond.getBondTransaction()
        .getRepoCurveName());
    final InterestRateCurveSensitivity pvsSettlement = new InterestRateCurveSensitivity(settlement.accept(PVSC, curves));
    return pvsNominal.plus(pvsCoupon).multipliedBy(bond.getQuantity()).plus(pvsSettlement);
  }
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