Package com.opengamma.analytics.financial.interestrate

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

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  public InterestRateCurveSensitivity presentValueSensitivity(final CapFloorIbor cap, final SABRInterestRateDataBundle sabrData) {
    Validate.notNull(cap);
    Validate.notNull(sabrData);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(cap.getStrike(), cap.getFixingTime(), cap.isCap());
    final double forward = cap.accept(PRC, sabrData);
    final InterestRateCurveSensitivity forwardDr = new InterestRateCurveSensitivity(cap.accept(PRSC, sabrData));
    final double df = sabrData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getPaymentTime());
    final double dfDr = -cap.getPaymentTime() * df;
    final double maturity = cap.getFixingPeriodEndTime() - cap.getFixingPeriodStartTime();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(cap.getFixingTime(), maturity, cap.getStrike(), forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(cap.getFundingCurveName(), list);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    result = result.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardDr.multipliedBy(df * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1])));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return result;
  }
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    // Sensitivity object
    final List<DoublesPair> listForeign = new ArrayList<>();
    listForeign.add(new DoublesPair(payTime, rForeignBar));
    final Map<String, List<DoublesPair>> resultForeignMap = new HashMap<>();
    resultForeignMap.put(foreignCurveName, listForeign);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultForeignMap);
    final List<DoublesPair> listDomestic = new ArrayList<>();
    listDomestic.add(new DoublesPair(payTime, rDomesticBar));
    final Map<String, List<DoublesPair>> resultDomesticMap = new HashMap<>();
    resultDomesticMap.put(domesticCurveName, listDomestic);
    result = result.plus(new InterestRateCurveSensitivity(resultDomesticMap));
    return MultipleCurrencyInterestRateCurveSensitivity.of(domesticCcy, result);
  }
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    final DoublesPair s = new DoublesPair(time, -time * cpn.getAmount() * discountingCurve.getDiscountFactor(time));
    final List<DoublesPair> list = new ArrayList<>();
    list.add(s);
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    result.put(curveName, list);
    return new InterestRateCurveSensitivity(result);
  }
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    resultMap.put(coupon.getFundingCurveName(), listDiscounting);
    final List<DoublesPair> listForward = new ArrayList<>();
    listForward.add(new DoublesPair(coupon.getFixingPeriodStartTime(), -coupon.getFixingPeriodStartTime() * dfForwardStart * dfForwardStartBar));
    listForward.add(new DoublesPair(coupon.getFixingPeriodEndTime(), -coupon.getFixingPeriodEndTime() * dfForwardEnd * dfForwardEndBar));
    resultMap.put(coupon.getForwardCurveName(), listForward);
    final InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    return result;
  }
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    final double dfEndBar = bill.getNotional() * pvBar;
    final Map<String, List<DoublesPair>> resultMapCredit = new HashMap<>();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(bill.getEndTime(), -bill.getEndTime() * dfEnd * dfEndBar));
    resultMapCredit.put(bill.getCreditCurveName(), listDiscounting);
    return new InterestRateCurveSensitivity(resultMapCredit);
  }
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    final double dfBar = fra.getPaymentYearFraction() * fra.getNotional() * (forward - fra.getRate()) / (1 + fra.getFixingYearFraction() * forward) * pvBar;
    final Map<String, List<DoublesPair>> resultMapDiscouting = new HashMap<>();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(fra.getPaymentTime(), -fra.getPaymentTime() * df * dfBar));
    resultMapDiscouting.put(fra.getFundingCurveName(), listDiscounting);
    final InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMapDiscouting);
    final Map<String, List<DoublesPair>> resultMapForward = new HashMap<>();
    final List<DoublesPair> listForward = new ArrayList<>();
    listForward.add(new DoublesPair(fra.getFixingPeriodStartTime(), -fra.getFixingPeriodStartTime() * dfForwardStart * dfForwardStartBar));
    listForward.add(new DoublesPair(fra.getFixingPeriodEndTime(), -fra.getFixingPeriodEndTime() * dfForwardEnd * dfForwardEndBar));
    resultMapForward.put(fra.getForwardCurveName(), listForward);
    return result.plus(new InterestRateCurveSensitivity(resultMapForward));
  }
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    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    final List<DoublesPair> listForward = new ArrayList<>();
    listForward.add(new DoublesPair(fra.getFixingPeriodStartTime(), -fra.getFixingPeriodStartTime() * dfForwardStart * dfForwardStartBar));
    listForward.add(new DoublesPair(fra.getFixingPeriodEndTime(), -fra.getFixingPeriodEndTime() * dfForwardEnd * dfForwardEndBar));
    resultMap.put(fra.getForwardCurveName(), listForward);
    final InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    return result;
  }
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    final Map<String, List<DoublesPair>> resultMapDsc = new HashMap<>();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(fra.getFixingPeriodStartTime(), -fra.getFixingPeriodStartTime() * dfStart * dfStartBar));
    listDiscounting.add(new DoublesPair(fra.getFixingPeriodEndTime(), -fra.getFixingPeriodEndTime() * dfEnd * dfEndBar));
    resultMapDsc.put(fra.getForwardCurveName(), listDiscounting);
    return new InterestRateCurveSensitivity(resultMapDsc);
  }
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    final double pvBar = 1.0;
    //    double kappaBar = 0.0; // kappa is the optimal exercise boundary
    final double dfForwardT1Bar = -deltaP / deltaF * dfPay * omega * dfForwardT0 / (dfForwardT1 * dfForwardT1) * n0 * cap.getNotional() * pvBar;
    final double dfForwardT0Bar = deltaP / deltaF * dfPay * omega / dfForwardT1 * n0 * cap.getNotional() * pvBar;
    final double dfPayBar = deltaP / deltaF * omega * (dfForwardT0 / dfForwardT1 * n0 - (1.0 + deltaF * k) * n1) * cap.getNotional() * pvBar;
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(cap.getPaymentTime(), -cap.getPaymentTime() * dfPay * dfPayBar));
    result = result.plus(cap.getFundingCurveName(), listDiscounting);
    final List<DoublesPair> listForward = new ArrayList<>();
    listForward.add(new DoublesPair(cap.getFixingPeriodStartTime(), -cap.getFixingPeriodStartTime() * dfForwardT0 * dfForwardT0Bar));
    listForward.add(new DoublesPair(cap.getFixingPeriodEndTime(), -cap.getFixingPeriodEndTime() * dfForwardT1 * dfForwardT1Bar));
    result = result.plus(cap.getForwardCurveName(), listForward);
    return result;
  }
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    final double dfBar = (coupon.getNotionalAccrued() * ratio - coupon.getNotional()) * pvBar;
    final Map<String, List<DoublesPair>> resultMapDsc = new HashMap<>();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
    resultMapDsc.put(coupon.getFundingCurveName(), listDiscounting);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMapDsc);
    final Map<String, List<DoublesPair>> resultMapFwd = new HashMap<>();
    final List<DoublesPair> listForward = new ArrayList<>();
    listForward.add(new DoublesPair(coupon.getFixingPeriodStartTime(), -coupon.getFixingPeriodStartTime() * dfRatioStart * dfRatioStartBar));
    listForward.add(new DoublesPair(coupon.getFixingPeriodEndTime(), -coupon.getFixingPeriodEndTime() * dfRatioEnd * dfRatioEndBar));
    resultMapFwd.put(coupon.getForwardCurveName(), listForward);
    result = result.plus(new InterestRateCurveSensitivity(resultMapFwd));
    return result;
  }
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