Package com.opengamma.analytics.financial.interestrate

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

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    }
  }

  @Test
  public void presentValueSABRSensitivity() {
    final PresentValueSABRSensitivityDataBundle pvcs = METHOD.presentValueSABRSensitivity(TRANSACTION, SABR_BUNDLE);
    // SABR sensitivity vs finite difference
    final double pv = METHOD.presentValue(TRANSACTION, SABR_BUNDLE).getAmount();
    final double shift = 0.000001;
    final double delay = EDU2.getLastTradingTime() - OPTION_EDU2.getExpirationTime();
    final DoublesPair expectedExpiryDelay = new DoublesPair(OPTION_EDU2.getExpirationTime(), delay);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = TestsDataSetsSABR.createSABR1AlphaBumped(shift);
    final SABRInterestRateDataBundle sabrBundleAlphaBumped = new SABRInterestRateDataBundle(sabrParameterAlphaBumped, CURVES_BUNDLE);
    final double pvAlphaBumped = METHOD.presentValue(TRANSACTION, sabrBundleAlphaBumped).getAmount();
    final double expectedAlphaSensi = (pvAlphaBumped - pv) / shift;
    assertEquals("Number of alpha sensitivity", pvcs.getAlpha().getMap().keySet().size(), 1);
    assertEquals("Alpha sensitivity expiry/tenor", pvcs.getAlpha().getMap().keySet().contains(expectedExpiryDelay), true);
    assertEquals("Alpha sensitivity value", pvcs.getAlpha().getMap().get(expectedExpiryDelay), expectedAlphaSensi, 1.0E+1);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = TestsDataSetsSABR.createSABR1RhoBumped(shift);
    final SABRInterestRateDataBundle sabrBundleRhoBumped = new SABRInterestRateDataBundle(sabrParameterRhoBumped, CURVES_BUNDLE);
    final double pvRhoBumped = METHOD.presentValue(TRANSACTION, sabrBundleRhoBumped).getAmount();
    final double expectedRhoSensi = (pvRhoBumped - pv) / shift;
    assertEquals("Number of rho sensitivity", pvcs.getRho().getMap().keySet().size(), 1);
    assertEquals("Rho sensitivity expiry/tenor", pvcs.getRho().getMap().keySet().contains(expectedExpiryDelay), true);
    assertEquals("Rho sensitivity value", pvcs.getRho().getMap().get(expectedExpiryDelay), expectedRhoSensi, 1.0E+0);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = TestsDataSetsSABR.createSABR1NuBumped(shift);
    final SABRInterestRateDataBundle sabrBundleNuBumped = new SABRInterestRateDataBundle(sabrParameterNuBumped, CURVES_BUNDLE);
    final double pvNuBumped = METHOD.presentValue(TRANSACTION, sabrBundleNuBumped).getAmount();
    final double expectedNuSensi = (pvNuBumped - pv) / shift;
    assertEquals("Number of nu sensitivity", pvcs.getNu().getMap().keySet().size(), 1);
    assertEquals("Nu sensitivity expiry/tenor", pvcs.getNu().getMap().keySet().contains(expectedExpiryDelay), true);
    assertEquals("Nu sensitivity value", pvcs.getNu().getMap().get(expectedExpiryDelay), expectedNuSensi, 1.0E+0);
  }
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  /**
   * Tests that the method return the same result as the calculator.
   */
  public void presentValueSABRSensitivityMethodVsCalculator() {
    final PresentValueSABRSensitivitySABRCalculator calculator = PresentValueSABRSensitivitySABRCalculator.getInstance();
    final PresentValueSABRSensitivityDataBundle sensiCalculator = TRANSACTION.accept(calculator, SABR_BUNDLE);
    final PresentValueSABRSensitivityDataBundle sensiMethod = METHOD.presentValueSABRSensitivity(TRANSACTION, SABR_BUNDLE);
    assertEquals("Future option curve sensitivity: method comparison with present value calculator", sensiCalculator, sensiMethod);
    final InterestRateFutureOptionMarginSecuritySABRMethod methodSecurity = InterestRateFutureOptionMarginSecuritySABRMethod.getInstance();
    PresentValueSABRSensitivityDataBundle sensiSecurity = methodSecurity.priceSABRSensitivity(OPTION_EDU2, SABR_BUNDLE);
    sensiSecurity = sensiSecurity.multiplyBy(QUANTITY * NOTIONAL * FUTURE_FACTOR);
    assertEquals("Future discounting curve sensitivity: security price vs transaction sensitivity", sensiMethod.getAlpha(), sensiSecurity.getAlpha());
    assertEquals("Future discounting curve sensitivity: security price vs transaction sensitivity", sensiMethod.getRho(), sensiSecurity.getRho());
    assertEquals("Future discounting curve sensitivity: security price vs transaction sensitivity", sensiMethod.getNu(), sensiSecurity.getNu());
  }
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    final SwaptionCashFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, !IS_LONG);
    final SwaptionCashFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionCashFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    //    SwaptionCashFixedIborSABRExtrapolationRightMethod methodExtra = new SwaptionCashFixedIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
    // Swaption sensitivity
    final PresentValueSABRSensitivityDataBundle pvsLongPayer = METHOD_EXTRAPOLATION.presentValueSABRSensitivity(swaptionLongPayerHighStrike, sabrBundle);
    PresentValueSABRSensitivityDataBundle pvsShortPayer = METHOD_EXTRAPOLATION.presentValueSABRSensitivity(swaptionShortPayerHighStrike, sabrBundle);
    // Long/short parity
    pvsShortPayer = pvsShortPayer.multiplyBy(-1.0);
    assertEquals(pvsLongPayer.getAlpha(), pvsShortPayer.getAlpha());
    // SABR sensitivity vs finite difference
    final double pvLongPayer = METHOD_EXTRAPOLATION.presentValue(swaptionLongPayerHighStrike, sabrBundle);
    final DoublesPair expectedExpiryTenor = new DoublesPair(swaptionLongPayerHighStrike.getTimeToExpiry(), ANNUITY_TENOR_YEAR);
    final double shift = 0.000005;
    // Alpha sensitivity vs finite difference computation
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  }

  @Test
  public void testPresentValueSABRSensitivitySABRParameters() {
    // Swaption sensitivity
    final PresentValueSABRSensitivityDataBundle pvsLongPayer = METHOD.presentValueSABRSensitivity(SWAPTION_LONG_PAYER, SABR_BUNDLE);
    PresentValueSABRSensitivityDataBundle pvsShortPayer = METHOD.presentValueSABRSensitivity(SWAPTION_SHORT_PAYER, SABR_BUNDLE);
    // Long/short parity
    pvsShortPayer = pvsShortPayer.multiplyBy(-1.0);
    assertEquals(pvsLongPayer.getAlpha(), pvsShortPayer.getAlpha());
    // SABR sensitivity vs finite difference
    final double pvLongPayer = METHOD.presentValue(SWAPTION_LONG_PAYER, SABR_BUNDLE).getAmount();
    final double shift = 0.0001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(SWAPTION_LONG_PAYER.getTimeToExpiry(), ANNUITY_TENOR_YEAR);
    // Alpha sensitivity vs finite difference computation
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  @Test
  /**
   * Tests the present value SABR parameters sensitivity: Method vs Calculator.
   */
  public void presentValueSABRSensitivityMethodVsCalculator() {
    final PresentValueSABRSensitivityDataBundle pvssMethod = METHOD.presentValueSABRSensitivity(SWAPTION_LONG_PAYER, SABR_BUNDLE);
    final PresentValueSABRSensitivityDataBundle pvssCalculator = SWAPTION_LONG_PAYER.accept(PVSSC_SABR, SABR_BUNDLE);
    assertEquals("Swaption Cash SABR: Present value SABR sensitivity: method vs calculator", pvssMethod, pvssCalculator);
  }
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  }

  @Override
  protected Set<ComputedValue> getResult(final FunctionExecutionContext context, final Set<ValueRequirement> desiredValues, final FunctionInputs inputs,
      final ComputationTarget target, final InstrumentDerivative irFutureOption, final SABRInterestRateDataBundle data) {
    final PresentValueSABRSensitivityDataBundle sensitivities = irFutureOption.accept(CALCULATOR, data);
    final SurfaceValue alphaSurface = sensitivities.getAlpha();
    final SurfaceValue betaSurface = sensitivities.getBeta();
    final SurfaceValue rhoSurface = sensitivities.getRho();
    final SurfaceValue nuSurface = sensitivities.getNu();
    final ValueProperties properties = desiredValues.iterator().next().getConstraints().copy()
        .withoutAny(ValuePropertyNames.FUNCTION)
        .with(ValuePropertyNames.FUNCTION, getUniqueId())
        .get();
    final Set<ComputedValue> results = Sets.newHashSetWithExpectedSize(4);
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  @Override
  protected Object getResult(final InstrumentDerivative derivative, final SABRInterestRateDataBundle data, final ValueRequirement desiredValue) {
    final Double cutoff = Double.parseDouble(desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE));
    final Double mu = Double.parseDouble(desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER));
    final PresentValueSABRSensitivitySABRRightExtrapolationCalculator calculator = new PresentValueSABRSensitivitySABRRightExtrapolationCalculator(cutoff, mu);
    final PresentValueSABRSensitivityDataBundle result = derivative.accept(calculator, data);
    return getResultAsMatrix(SABRSensitivityNodeCalculator.calculateNodeSensitivities(result, data.getSABRParameter()));
  }
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  @Override
  protected Object getResult(final InstrumentDerivative derivative, final SABRInterestRateDataBundle data, final ValueRequirement desiredValue) {
    final Double cutoff = Double.parseDouble(desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE));
    final Double mu = Double.parseDouble(desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER));
    final PresentValueSABRSensitivitySABRRightExtrapolationCalculator calculator = new PresentValueSABRSensitivitySABRRightExtrapolationCalculator(cutoff, mu);
    final PresentValueSABRSensitivityDataBundle result = derivative.accept(calculator, data);
    return getResultAsMatrix(SABRSensitivityNodeCalculator.calculateNodeSensitivities(result, data.getSABRParameter()));
  }
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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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