Package com.opengamma.analytics.financial.interestrate

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

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    final double volatility = blackMulticurves.getBlackParameters().getVolatility(point);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    final Map<DoublesPair, Double> sensitivity = new HashMap<>();
    sensitivity.put(point, bsAdjoint[2] * pvbpModified * (swaption.isLong() ? 1.0 : -1.0));
    return new PresentValueBlackSwaptionSensitivity(sensitivity, blackMulticurves.getBlackParameters().getGeneratorSwap());
  }
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    final double volatility = curveBlack.getBlackParameters().getVolatility(point);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
    final Map<DoublesPair, Double> sensitivity = new HashMap<>();
    sensitivity.put(point, bsAdjoint[2] * pvbp * discountFactorSettle * (swaption.isLong() ? 1.0 : -1.0));
    return new PresentValueBlackSwaptionSensitivity(sensitivity, curveBlack.getBlackParameters().getGeneratorSwap());
  }
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    final double volatility = curveBlack.getBlackParameters().getVolatility(point);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    final Map<DoublesPair, Double> sensitivity = new HashMap<>();
    sensitivity.put(point, bsAdjoint[2] * pvbpModified * (swaption.isLong() ? 1.0 : -1.0));
    return new PresentValueBlackSwaptionSensitivity(sensitivity, curveBlack.getBlackParameters().getGeneratorSwap());
  }
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    final double volatility = curveBlack.getBlackParameters().getVolatility(point);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
    final Map<DoublesPair, Double> sensitivity = new HashMap<>();
    sensitivity.put(point, bsAdjoint[2] * pvbp * discountFactorSettle * (swaption.isLong() ? 1.0 : -1.0));
    return new PresentValueBlackSwaptionSensitivity(sensitivity, curveBlack.getBlackParameters().getGeneratorSwap());
  }
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  /**
   * Tests the Black volatility sensitivity (vega).
   */
  public void presentValueBlackSensitivity() {
    final double shift = 1.0E-6;
    final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
    final BlackFlatSwaptionParameters blackP = BlackDataSets.createBlackSwaptionEUR6Shift(shift);
    final BlackSwaptionFlatProvider curvesBlackP = new BlackSwaptionFlatProvider(MULTICURVES, blackP);
    final MultipleCurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
    final BlackFlatSwaptionParameters blackM = BlackDataSets.createBlackSwaptionEUR6Shift(-shift);
    final BlackSwaptionFlatProvider curvesBlackM = new BlackSwaptionFlatProvider(MULTICURVES, blackM);
    final MultipleCurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
    final DoublesPair point = new DoublesPair(SWAPTION_LONG_REC.getTimeToExpiry(), SWAPTION_LONG_REC.getMaturityTime());
    final Double volatilitySensitivity = pvbvs.getSensitivity().getMap().get(point);
    assertEquals("Swaption Black method: present value volatility sensitivity", (pvP.getCurrencyAmounts()[0].getAmount() - pvM.getCurrencyAmounts()[0].getAmount()) / (2 * shift),
        volatilitySensitivity, TOLERANCE_DELTA);
  }
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  @Test
  /**
   * Tests the Black volatility sensitivity (vega).
   */
  public void presentValueBlackSensitivityMethodVsCalculator() {
    final PresentValueBlackSwaptionSensitivity pvbsMethod = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
    final PresentValueBlackSwaptionSensitivity pvbsCalculator = SWAPTION_LONG_REC.accept(PVBSSBSC, BLACK_MULTICURVES);
    assertEquals("Swaption Black method: vega", pvbsMethod, pvbsCalculator);
  }
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  /**
   * Tests the Black volatility sensitivity (vega).
   */
  public void presentValueBlackNodeSensitivity() {
    final double shift = 1.0E-6;
    final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
    final PresentValueBlackSwaptionSensitivity pvbns = BSSNC.calculateNodeSensitivities(pvbvs, BLACK);
    final double[] x = ((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getXDataAsPrimitive();
    final double[] y = ((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getYDataAsPrimitive();
    for (int loopindex = 0; loopindex < x.length; loopindex++) {
      final BlackFlatSwaptionParameters blackP = BlackDataSets.createBlackSwaptionEUR6Shift(loopindex, shift);
      final BlackSwaptionFlatProvider curvesBlackP = new BlackSwaptionFlatProvider(MULTICURVES, blackP);
      final MultipleCurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
      final BlackFlatSwaptionParameters blackM = BlackDataSets.createBlackSwaptionEUR6Shift(loopindex, -shift);
      final BlackSwaptionFlatProvider curvesBlackM = new BlackSwaptionFlatProvider(MULTICURVES, blackM);
      final MultipleCurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
      assertEquals("Swaption Black method: present value volatility sensitivity", (pvP.getCurrencyAmounts()[0].getAmount() - pvM.getCurrencyAmounts()[0].getAmount()) / (2 * shift), pvbns
          .getSensitivity().getMap().get(new DoublesPair(x[loopindex], y[loopindex])), TOLERANCE_DELTA);
    }
  }
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  /**
   * Tests the Black volatility sensitivity (vega).
   */
  public void presentValueBlackSensitivity() {
    final double shift = 1.0E-6;
    final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
    final BlackFlatSwaptionParameters BlackP = BlackDataSets.createBlackSwaptionEUR6Shift(shift);
    final BlackSwaptionFlatProviderDiscount curvesBlackP = new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackP);
    final MultipleCurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
    final BlackFlatSwaptionParameters BlackM = BlackDataSets.createBlackSwaptionEUR6Shift(-shift);
    final BlackSwaptionFlatProviderDiscount curvesBlackM = new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackM);
    final MultipleCurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
    final DoublesPair point = new DoublesPair(SWAPTION_LONG_REC.getTimeToExpiry(), SWAPTION_LONG_REC.getMaturityTime());
    assertEquals("Swaption Black method: present value volatility sensitivity", (pvP.getAmount(EUR) - pvM.getAmount(EUR)) / (2 * shift), pvbvs.getSensitivity().getMap().get(point), TOLERANCE_PV_DELTA);
  }
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  @Test
  /**
   * Tests the Black volatility sensitivity (vega).
   */
  public void presentValueBlackSensitivityMethodVsCalculator() {
    final PresentValueBlackSwaptionSensitivity pvbsMethod = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
    final PresentValueBlackSwaptionSensitivity pvbsCalculator = SWAPTION_LONG_REC.accept(PVBSSBSC, BLACK_MULTICURVES);
    assertEquals("Swaption Black method: present value", pvbsMethod, pvbsCalculator);
  }
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  /**
   * Tests the Black volatility sensitivity (vega).
   */
  public void presentValueBlackNodeSensitivity() {
    final double shift = 1.0E-6;
    final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
    final PresentValueBlackSwaptionSensitivity pvbns = BSSNC.calculateNodeSensitivities(pvbvs, BLACK);
    final double[] x = ((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getXDataAsPrimitive();
    final double[] y = ((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getYDataAsPrimitive();
    for (int loopindex = 0; loopindex < x.length; loopindex++) {
      final BlackFlatSwaptionParameters BlackP = BlackDataSets.createBlackSwaptionEUR6Shift(loopindex, shift);
      final BlackSwaptionFlatProviderDiscount curvesBlackP = new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackP);
      final MultipleCurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
      final BlackFlatSwaptionParameters BlackM = BlackDataSets.createBlackSwaptionEUR6Shift(loopindex, -shift);
      final BlackSwaptionFlatProviderDiscount curvesBlackM = new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackM);
      final MultipleCurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
      assertEquals("Swaption Black method: present value volatility sensitivity", (pvP.getAmount(EUR) - pvM.getAmount(EUR)) / (2 * shift),
          pvbns.getSensitivity().getMap().get(new DoublesPair(x[loopindex], y[loopindex])), TOLERANCE_PV_DELTA);
    }
  }
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