Package com.opengamma.analytics.financial.interestrate

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

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      final double nu = sabrData.getSABRParameter().getNu(expiryMaturity);
      final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
      final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, _cutOffStrike, cap.getFixingTime(), _mu);
      sabrExtrapolation.priceAdjointSABR(option, bsDsabr);
    }
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    final DoublesPair expiryMaturity = new DoublesPair(cap.getFixingTime(), maturity);
    sensi.addAlpha(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsDsabr[0]);
    sensi.addBeta(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsDsabr[1]);
    sensi.addRho(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsDsabr[2]);
    sensi.addNu(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsDsabr[3]);
    return sensi;
  }
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      } catch (final Exception e) {
        throw new RuntimeException(e);
      }
      totalSensi[loopparameter] = (strikePartPrice[loopparameter] + integralPart[loopparameter]) * cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction();
    }
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    sensi.addAlpha(expiryMaturity, totalSensi[0]);
    sensi.addBeta(expiryMaturity, totalSensi[1]);
    sensi.addRho(expiryMaturity, totalSensi[2]);
    sensi.addNu(expiryMaturity, totalSensi[3]);
    return sensi;
  }
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   * @param transaction The future option transaction.
   * @param sabrData The SABR data bundle.
   * @return The present value curve sensitivity.
   */
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final InterestRateFutureOptionMarginTransaction transaction, final SABRInterestRateDataBundle sabrData) {
    PresentValueSABRSensitivityDataBundle securitySensitivity = ((InterestRateFutureOptionMarginSecuritySABRMethod) getSecurityMethod()).priceSABRSensitivity(transaction.getUnderlyingOption(),
        sabrData);
    securitySensitivity = securitySensitivity.multiplyBy(transaction.getQuantity() * transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()
        * transaction.getUnderlyingOption().getUnderlyingFuture().getPaymentAccrualFactor());
    return securitySensitivity;
  }
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    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 DoublesPair expiryMaturity = new DoublesPair(cap.getFixingTime(), maturity);
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    sensi.addAlpha(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsAdjoint[2] * volatilityAdjoint[3]);
    sensi.addBeta(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsAdjoint[2] * volatilityAdjoint[4]);
    sensi.addRho(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsAdjoint[2] * volatilityAdjoint[5]);
    sensi.addNu(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsAdjoint[2] * volatilityAdjoint[6]);
    return sensi;
  }
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   * @param transaction The future option transaction.
   * @param sabrData The SABR and multi-curves provider.
   * @return The present value curve sensitivity.
   */
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final InterestRateFutureOptionMarginTransaction transaction, final SABRSTIRFuturesProviderInterface sabrData) {
    PresentValueSABRSensitivityDataBundle securitySensitivity = getSecurityMethod().priceSABRSensitivity(transaction.getUnderlyingOption(), sabrData);
    securitySensitivity = securitySensitivity.multiplyBy(transaction.getQuantity() * transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()
        * transaction.getUnderlyingOption().getUnderlyingFuture().getPaymentAccrualFactor());
    return securitySensitivity;
  }
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   * @param security The future option security.
   * @param sabrData The SABR data bundle.
   * @return The security price curve sensitivity.
   */
  public PresentValueSABRSensitivityDataBundle priceSABRSensitivity(final InterestRateFutureOptionMarginSecurity security, final SABRSTIRFuturesProviderInterface sabrData) {
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    // Forward sweep
    final double priceFuture = METHOD_FUTURE.price(security.getUnderlyingFuture(), sabrData.getMulticurveProvider());
    final double rateStrike = 1.0 - security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(rateStrike, security.getExpirationTime(), !security.isCall());
    final double forward = 1 - priceFuture;
    final double delay = security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
    final double[] volatilityAdjoint = sabrData.getSABRParameters().getVolatilityAdjoint(security.getExpirationTime(), delay, rateStrike, forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double priceBar = 1.0;
    final double volatilityBar = priceAdjoint[2] * priceBar;
    final DoublesPair expiryDelay = new DoublesPair(security.getExpirationTime(), delay);
    sensi.addAlpha(expiryDelay, volatilityAdjoint[3] * volatilityBar);
    sensi.addBeta(expiryDelay, volatilityAdjoint[4] * volatilityBar);
    sensi.addRho(expiryDelay, volatilityAdjoint[5] * volatilityBar);
    sensi.addNu(expiryDelay, volatilityAdjoint[6] * volatilityBar);
    return sensi;
  }
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      } catch (final Exception e) {
        throw new RuntimeException(e);
      }
      totalSensi[loopparameter] = (strikePartPrice[loopparameter] + integralPart[loopparameter]) * cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction();
    }
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    sensi.addAlpha(expiryMaturity, totalSensi[0]);
    sensi.addBeta(expiryMaturity, totalSensi[1]);
    sensi.addRho(expiryMaturity, totalSensi[2]);
    sensi.addNu(expiryMaturity, totalSensi[3]);
    return sensi;
  }
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  // -----     Annuity     ------

  @Override
  public PresentValueSABRSensitivityDataBundle visitGenericAnnuity(final Annuity<? extends Payment> annuity, final SABRSwaptionProviderInterface sabr) {
    ArgumentChecker.notNull(annuity, "Annuity");
    PresentValueSABRSensitivityDataBundle pvss = visit(annuity.getNthPayment(0), sabr);
    for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
      pvss = pvss.plus(visit(annuity.getNthPayment(loopp), sabr));
    }
    return pvss;
  }
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    final double expectation1Bar = cmsSpreadPriceDerivative[0] * cmsSpreadPriceBar + -cmsCap1PriceNormalDerivative[0] / cmsCap1PriceNormalDerivative[1] * cmsCap1ImpliedVolatilityBar;
    final double cmsCap2PriceBar = 1.0 / cmsCap2PriceNormalDerivative[1] * cmsCap2ImpliedVolatilityBar;
    final double cmsCap1PriceBar = 1.0 / cmsCap1PriceNormalDerivative[1] * cmsCap1ImpliedVolatilityBar;
    final double cmsCoupon2PriceBar = expectation2Bar / factor;
    final double cmsCoupon1PriceBar = expectation1Bar / factor;
    PresentValueSABRSensitivityDataBundle cmsCoupon1SABRSensitivity = _methodCmsCoupon.presentValueSABRSensitivity(cmsCoupon1, sabrData);
    PresentValueSABRSensitivityDataBundle cmsCoupon2SABRSensitivity = _methodCmsCoupon.presentValueSABRSensitivity(cmsCoupon2, sabrData);
    PresentValueSABRSensitivityDataBundle cmsCap1SABRSensitivity = _methodCmsCap.presentValueSABRSensitivity(cmsCap1, sabrData);
    PresentValueSABRSensitivityDataBundle cmsCap2SABRSensitivity = _methodCmsCap.presentValueSABRSensitivity(cmsCap2, sabrData);
    cmsCoupon1SABRSensitivity = cmsCoupon1SABRSensitivity.multiplyBy(cmsCoupon1PriceBar);
    cmsCoupon2SABRSensitivity = cmsCoupon2SABRSensitivity.multiplyBy(cmsCoupon2PriceBar);
    cmsCap1SABRSensitivity = cmsCap1SABRSensitivity.multiplyBy(cmsCap1PriceBar);
    cmsCap2SABRSensitivity = cmsCap2SABRSensitivity.multiplyBy(cmsCap2PriceBar);
    PresentValueSABRSensitivityDataBundle result = cmsCoupon1SABRSensitivity;
    result = result.plus(cmsCoupon2SABRSensitivity);
    result = result.plus(cmsCap1SABRSensitivity);
    result = result.plus(cmsCap2SABRSensitivity);
    return result;
  }
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      } catch (final Exception e) {
        throw new RuntimeException(e);
      }
      totalSensi[loopparameter] = (strikePartPrice[loopparameter] + integralPart[loopparameter]) * cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction();
    }
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    final DoublesPair expiryMaturity = new DoublesPair(cmsCapFloor.getFixingTime(), maturity);
    sensi.addAlpha(expiryMaturity, totalSensi[0]);
    sensi.addBeta(expiryMaturity, totalSensi[1]);
    sensi.addRho(expiryMaturity, totalSensi[2]);
    sensi.addNu(expiryMaturity, totalSensi[3]);
    return sensi;
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle

  • com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginSecuritySABRMethod
  • com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginTransactionSABRMethod
  • com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginTransactionSABRMethodTest
  • com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginSecuritySABRMethod
  • com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginTransactionSABRMethod
  • com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginTransactionSABRMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRExtrapolationRightReplicationMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRExtrapolationRightReplicationMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethodTest
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