Package com.opengamma.analytics.financial.interestrate

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

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   */
  public void presentValueSABRSensitivityMethodVsCalculator() {
    final PresentValueSABRSensitivitySABRCalculator calculator = PresentValueSABRSensitivitySABRCalculator.getInstance();
    final SABRInterestRateCorrelationParameters sabrCorrelation = SABRInterestRateCorrelationParameters.from(SABR_PARAMETERS, CORRELATION_FUNCTION);
    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    final PresentValueSABRSensitivityDataBundle pvcsMethod = METHOD_CMS_SPREAD.presentValueSABRSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
    final PresentValueSABRSensitivityDataBundle pvcsCalculator = CMS_CAP_SPREAD.accept(calculator, sabrBundleCor);
    assertEquals("CMS spread: SABR sensitivity Method vs Calculator", pvcsMethod, pvcsCalculator);
    // Extrapolation
    final PresentValueSABRSensitivitySABRRightExtrapolationCalculator calculatorExtra = new PresentValueSABRSensitivitySABRRightExtrapolationCalculator(CUT_OFF_STRIKE, MU);
    final PresentValueSABRSensitivityDataBundle pvcsMethodExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValueSABRSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
    final PresentValueSABRSensitivityDataBundle pvcsCalculatorExtra = CMS_CAP_SPREAD.accept(calculatorExtra, sabrBundleCor);
    assertEquals("CMS spread: SABR sensitivity Method vs Calculator", pvcsMethodExtra, pvcsCalculatorExtra);
  }
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    final CapFloorCMSSpread cmsSpreadShort = new CapFloorCMSSpread(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE,
        IS_CAP, FUNDING_CURVE_NAME);
    final SABRInterestRateCorrelationParameters sabrCorrelation = SABRInterestRateCorrelationParameters.from(SABR_PARAMETERS, CORRELATION_FUNCTION);
    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    final PresentValueSABRSensitivityDataBundle pvssLong = METHOD_CMS_SPREAD.presentValueSABRSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
    PresentValueSABRSensitivityDataBundle pvssShort = METHOD_CMS_SPREAD.presentValueSABRSensitivity(cmsSpreadShort, sabrBundleCor);
    pvssShort = pvssShort.multiplyBy(-1);
    assertEquals("CMS spread: Long/Short parity", pvssLong, pvssShort);
  }
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  @Test
  /**
   * Tests the present value SABR parameters sensitivity: Method vs Calculator.
   */
  public void presentValueSABRSensitivityMethodVsCalculator() {
    final PresentValueSABRSensitivityDataBundle pvssMethod = METHOD_EXTRAPOLATION_CAP.presentValueSABRSensitivity(CMS_CAP_LONG, SABR_MULTICURVES);
    final PresentValueSABRSensitivityDataBundle pvssCalculator = CMS_CAP_LONG.accept(PVSSSSXC, SABR_MULTICURVES);
    assertEquals("CMS cap/floor SABR: Present value SABR sensitivity: method vs calculator", pvssMethod, pvssCalculator);
  }
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  /**
   * Test the present value sensitivity to SABR parameters for a swaption with strike above the cut-off strike.
   */
  public void presentValueSABRSensitivity() {
    // Swaption sensitivity
    final PresentValueSABRSensitivityDataBundle pvsLongPayer = METHOD_EXTRAPOLATION.presentValueSABRSensitivity(SWAPTION_LONG_PAYER_HIGH, SABR_MULTICURVES);
    PresentValueSABRSensitivityDataBundle pvsShortPayer = METHOD_EXTRAPOLATION.presentValueSABRSensitivity(SWAPTION_SHORT_PAYER_HIGH, SABR_MULTICURVES);
    // Long/short parity
    pvsShortPayer = pvsShortPayer.multiplyBy(-1.0);
    assertEquals(pvsLongPayer.getAlpha(), pvsShortPayer.getAlpha());
    // SABR sensitivity vs finite difference
    final double pvLongPayer = METHOD_EXTRAPOLATION.presentValue(SWAPTION_LONG_PAYER_HIGH, SABR_MULTICURVES).getAmount(EUR);
    final DoublesPair expectedExpiryTenor = new DoublesPair(SWAPTION_LONG_PAYER_HIGH.getTimeToExpiry(), ANNUITY_TENOR_YEAR);
    final double shift = 0.000005;
    // Alpha sensitivity vs finite difference computation
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  @Test
  /**
   * Test the present value sensitivity to SABR parameters for a swaption with strike above the cut-off strike.
   */
  public void presentValueSABRSensitivityMethodVsCalculator() {
    final PresentValueSABRSensitivityDataBundle pvssMethod = METHOD_EXTRAPOLATION.presentValueSABRSensitivity(SWAPTION_LONG_PAYER_HIGH, SABR_MULTICURVES);
    final PresentValueSABRSensitivityDataBundle pvssCalculator = SWAPTION_LONG_PAYER_HIGH.accept(PVSSSSXC, SABR_MULTICURVES);
    assertEquals("SwaptionCashFixedIborSABRExtrapolationRightMethod: presentValueCurveSensitivity ", pvssMethod, pvssCalculator);
  }
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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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  // -----     Annuity     ------

  @Override
  public PresentValueSABRSensitivityDataBundle visitGenericAnnuity(final Annuity<? extends Payment> annuity, final SABRSwaptionProviderInterface sabr) {
    ArgumentChecker.notNull(annuity, "Annuity");
    PresentValueSABRSensitivityDataBundle cs = visit(annuity.getNthPayment(0), sabr);
    for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
      cs = cs.plus(visit(annuity.getNthPayment(loopp), sabr));
    }
    return cs;
  }
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  /**
   * Test the present value SABR parameters sensitivity against a finite difference computation; strike below the cut-off strike.
   */
  public void testPresentValueSABRSensitivityBelowCutOff() {
    final MultipleCurrencyAmount pv = METHOD_CAP_X.presentValue(CAP_LONG, SABR_MULTICURVES);
    final PresentValueSABRSensitivityDataBundle pvsCapLong = METHOD_CAP_X.presentValueSABRSensitivity(CAP_LONG, SABR_MULTICURVES);
    PresentValueSABRSensitivityDataBundle pvsCapShort = METHOD_CAP_X.presentValueSABRSensitivity(CAP_SHORT, SABR_MULTICURVES);
    // Long/short parity
    pvsCapShort = pvsCapShort.multiplyBy(-1.0);
    assertEquals(pvsCapShort.getAlpha(), pvsCapLong.getAlpha());
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(CAP_LONG.getFixingTime(), CAP_LONG.getFixingPeriodEndTime() - CAP_LONG.getFixingPeriodStartTime());
    // Alpha sensitivity vs finite difference computation
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  /**
   * Test the present value SABR parameters sensitivity against a finite difference computation; strike above the cut-off strike.
   */
  public void testPresentValueSABRSensitivityAboveCutOff() {
    final MultipleCurrencyAmount pv = METHOD_CAP_X.presentValue(CAP_HIGH_LONG, SABR_MULTICURVES);
    final PresentValueSABRSensitivityDataBundle pvsCapLong = METHOD_CAP_X.presentValueSABRSensitivity(CAP_HIGH_LONG, SABR_MULTICURVES);
    PresentValueSABRSensitivityDataBundle pvsCapShort = METHOD_CAP_X.presentValueSABRSensitivity(CAP_HIGH_SHORT, SABR_MULTICURVES);
    // Long/short parity
    pvsCapShort = pvsCapShort.multiplyBy(-1.0);
    assertEquals(pvsCapShort.getAlpha(), pvsCapLong.getAlpha());
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(CAP_HIGH_LONG.getFixingTime(), CAP_HIGH_LONG.getFixingPeriodEndTime() - CAP_HIGH_LONG.getFixingPeriodStartTime());
    // Alpha sensitivity vs finite difference computation
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  }

  @Test
  public void presentValueSABRSensitivity() {
    // Swaption sensitivity
    final PresentValueSABRSensitivityDataBundle pvsLongPayer = METHOD_SWPT_CASH.presentValueSABRSensitivity(SWAPTION_LONG_PAYER, SABR_MULTICURVES);
    PresentValueSABRSensitivityDataBundle pvsShortPayer = METHOD_SWPT_CASH.presentValueSABRSensitivity(SWAPTION_SHORT_PAYER, SABR_MULTICURVES);
    // Long/short parity
    pvsShortPayer = pvsShortPayer.multiplyBy(-1.0);
    assertEquals(pvsLongPayer.getAlpha(), pvsShortPayer.getAlpha());
    // SABR sensitivity vs finite difference
    final double pvLongPayer = METHOD_SWPT_CASH.presentValue(SWAPTION_LONG_PAYER, SABR_MULTICURVES).getAmount(EUR);
    final double shift = 0.00001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(SWAPTION_LONG_PAYER.getTimeToExpiry(), ANNUITY_TENOR_YEAR);
    // Alpha sensitivity vs finite difference computation
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