Package com.opengamma.analytics.financial.interestrate

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

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      for (int loopimp = 0; loopimp < impactTime[loopjump].length; loopimp++) {
        listDiscounting.add(new DoublesPair(impactTime[loopjump][loopimp], -impactTime[loopjump][loopimp] * pDI[loopjump][loopimp] * pDIBar[loopjump][loopimp]));
      }
    }
    resultMap.put(dscName, listDiscounting);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    // Adding sensitivity due to cash flow equivalent sensitivity to curves.
    for (int loopjump = 0; loopjump < nbJump; loopjump++) {
      final Map<Double, InterestRateCurveSensitivity> impactAmountDerivative = decision.getImpactAmountDerivative().get(loopjump);
      for (int loopimp = 0; loopimp < impactTime[loopjump].length; loopimp++) {
        final InterestRateCurveSensitivity sensiCfe = impactAmountDerivative.get(impactTime[loopjump][loopimp]);
        if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.
          result = result.plus(sensiCfe.multipliedBy(impactAmountBar[loopjump][loopimp]));
        }
      }
    }
    result = result.cleaned();
    return result;
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  public void presentValueCurveSensitivity() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    // Swaption sensitivity
    InterestRateCurveSensitivity pvsCapLong = METHOD_EXTRAPOLATION_CAP.presentValueCurveSensitivity(CMS_CAP_LONG, sabrBundle);
    InterestRateCurveSensitivity pvsCapLongStd = METHOD_STANDARD_CAP.presentValueCurveSensitivity(CMS_CAP_LONG, sabrBundle);
    final InterestRateCurveSensitivity pvsCapShort = METHOD_EXTRAPOLATION_CAP.presentValueCurveSensitivity(CMS_CAP_SHORT, sabrBundle);
    // Long/short parity
    final InterestRateCurveSensitivity pvsCapShort_1 = pvsCapShort.multipliedBy(-1);
    assertEquals(pvsCapLong.getSensitivities(), pvsCapShort_1.getSensitivities());
    // Present value sensitivity comparison with finite difference.
    pvsCapLong = pvsCapLong.cleaned();
    pvsCapLongStd = pvsCapLongStd.cleaned();
    final double deltaTolerance = 4.0E+2;
    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move. Tolerance increased to cope with numerical imprecision of finite difference.
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  @Test
  /**
   * Test the present value rate sensitivity for a CMS cap with pricing by replication in the SABR with extrapolation framework. Method v Calculator.
   */
  public void presentValueCurveSensitivityMethodVsCalculator() {
    final InterestRateCurveSensitivity pvcsMethod = METHOD_EXTRAPOLATION_CAP.presentValueCurveSensitivity(CMS_CAP_LONG, SABR_BUNDLE);
    final InterestRateCurveSensitivity pvcsCalculator = new InterestRateCurveSensitivity(CMS_CAP_LONG.accept(PVCSC_EXTRA_SABR, SABR_BUNDLE));
    AssertSensivityObjects.assertEquals("CMS cap/floor SABR: Present value : method vs calculator", pvcsMethod, pvcsCalculator, TOLERANCE_DELTA);
  }
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  public InterestRateCurveSensitivity getSensitivity(final Currency ccy) {
    ArgumentChecker.notNull(ccy, "Currency");
    if (_sensitivity.containsKey(ccy)) {
      return _sensitivity.get(ccy);
    }
    return new InterestRateCurveSensitivity();
  }
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   * @param ccy The currency in which the sensitivities should be converted.
   * @param fx The matrix with the exchange rates.
   * @return The one currency sensitivity.
   */
  public MultipleCurrencyInterestRateCurveSensitivity converted(final Currency ccy, final FXMatrix fx) {
    InterestRateCurveSensitivity sensi = new InterestRateCurveSensitivity();
    for (final Currency c : _sensitivity.keySet()) {
      final double rate = fx.getFxRate(c, ccy);
      sensi = sensi.plus(_sensitivity.get(c).multipliedBy(rate));
    }
    return of(ccy, sensi);
  }
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    for (int loopsub = 0; loopsub < nbSubPeriod; loopsub++) {
      ratioForwardBar[loopsub] = notionalAccrued / ratioForward[loopsub] * notionalAccruedBar;
      dfEndBar[loopsub] = -dfStart[loopsub] / (dfEnd[loopsub] * dfEnd[loopsub]) * ratioForwardBar[loopsub];
      dfStartBar[loopsub] = ratioForwardBar[loopsub] / dfEnd[loopsub];
    }
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * dfPayment * dfPaymentBar));
    result = result.plus(coupon.getFundingCurveName(), listDiscounting);
    final List<DoublesPair> listForward = new ArrayList<>();
    for (int loopsub = 0; loopsub < nbSubPeriod; loopsub++) {
      listForward.add(new DoublesPair(coupon.getFixingPeriodStartTimes()[loopsub], -coupon.getFixingPeriodStartTimes()[loopsub] * dfStart[loopsub] * dfStartBar[loopsub]));
      listForward.add(new DoublesPair(coupon.getFixingPeriodEndTimes()[loopsub], -coupon.getFixingPeriodEndTimes()[loopsub] * dfEnd[loopsub] * dfEndBar[loopsub]));
    }
    result = result.plus(coupon.getForwardCurveName(), listForward);
    return result;
  }
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    final double pvBar = 1.0;
    final double forwardBar = coupon.getNotional() * coupon.getPaymentYearFraction() * df * pvBar;
    final double dfForwardEndBar = -dfForwardStart / (dfForwardEnd * dfForwardEnd) / coupon.getFixingAccrualFactor() * forwardBar;
    final double dfForwardStartBar = 1.0 / (coupon.getFixingAccrualFactor() * dfForwardEnd) * forwardBar;
    final double dfBar = (coupon.getNotional() * coupon.getPaymentYearFraction() * forward + coupon.getSpreadAmount()) * pvBar;
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
    result = result.plus(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));
    result = result.plus(coupon.getForwardCurveName(), listForward);
    return result;
  }
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    final double dfForwardEndBar = -dfForwardStart / (dfForwardEnd * dfForwardEnd) / coupon.getFixingAccrualFactor() * parRateBar;
    final double dfForwardStartBar = 1.0 / (coupon.getFixingAccrualFactor() * dfForwardEnd) * parRateBar;
    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));
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity();
    result = result.plus(coupon.getForwardCurveName(), listForward);
    return result;
  }
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    // Sensitivity object
    final List<DoublesPair> listNonDelivery = new ArrayList<>();
    listNonDelivery.add(new DoublesPair(paymentTime, rNonDeliveryBar * Math.abs(optionForex.getUnderlyingNDF().getNotionalCurrency1())));
    final Map<String, List<DoublesPair>> resultNonDeliveryMap = new HashMap<>();
    resultNonDeliveryMap.put(nonDeliveryCurveName, listNonDelivery);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultNonDeliveryMap);
    final List<DoublesPair> listDelivery = new ArrayList<>();
    listDelivery.add(new DoublesPair(paymentTime, rDeliveryBar * Math.abs(optionForex.getUnderlyingNDF().getNotionalCurrency1())));
    final Map<String, List<DoublesPair>> resultDeliveryMap = new HashMap<>();
    resultDeliveryMap.put(deliveryCurveName, listDelivery);
    result = result.plus(new InterestRateCurveSensitivity(resultDeliveryMap));
    return MultipleCurrencyInterestRateCurveSensitivity.of(optionForex.getCurrency2(), result);
  }
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    final double pvBar = 1.0;
    final double forwardBar = coupon.getNotional() * coupon.getPaymentYearFraction() * df * pvBar;
    final double dfForwardEndBar = -dfForwardStart / (dfForwardEnd * dfForwardEnd) / coupon.getFixingAccrualFactor() * forwardBar;
    final double dfForwardStartBar = 1.0 / (coupon.getFixingAccrualFactor() * dfForwardEnd) * forwardBar;
    final double dfBar = (coupon.getNotional() * coupon.getPaymentYearFraction() * forward) * pvBar;
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
    result = result.plus(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));
    result = result.plus(coupon.getForwardCurveName(), listForward);
    return result;
  }
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