Package com.opengamma.analytics.financial.interestrate

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

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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 5, 11);
    final MultipleCurrencyAmount theta = THETAC.getTheta(SWAP_FIXED_IBOR_DEFINITION, referenceDate, CURVE_NAMES, CURVES, FIXING_TS_3_6, 1);
    final SwapFixedCoupon<Coupon> swapToday = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS_3_6, CURVE_NAMES);
    final SwapFixedCoupon<Coupon> swapTomorrow = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate.plusDays(1), FIXING_TS_3_6, CURVE_NAMES);
    final double pvToday = swapToday.accept(PVC, CURVES);
    final YieldCurveBundle tomorrowData = CURVE_ROLLDOWN.rollDown(CURVES, TimeCalculator.getTimeBetween(referenceDate, referenceDate.plusDays(1)));
    final double pvTomorrow = swapTomorrow.accept(PVC, tomorrowData);
    assertEquals("ThetaCalculator: fixed-coupon swap", pvTomorrow - pvToday, theta.getAmount(USDLIBOR3M.getCurrency()), TOLERANCE_PV);
    assertEquals("ThetaCalculator: fixed-coupon swap", 1, theta.getCurrencyAmounts().length);
  }
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        new ZonedDateTime[] {DateUtils.getUTCDate(2012, 5, 14), DateUtils.getUTCDate(2012, 5, 15) },
        new double[] {0.0090, 0.0090 }, ZoneOffset.UTC);
    final ZonedDateTimeDoubleTimeSeries[] fixing36 = new ZonedDateTimeDoubleTimeSeries[] {fixing3extended, FIXING_TS_6 };
    final SwapFixedCoupon<Coupon> swapTomorrow = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate.plusDays(1), fixing36, CURVE_NAMES);
    final double pvToday = swapToday.accept(PVC, CURVES);
    final YieldCurveBundle tomorrowData = CURVE_ROLLDOWN.rollDown(CURVES, TimeCalculator.getTimeBetween(referenceDate, referenceDate.plusDays(1)));
    final double pvTomorrow = swapTomorrow.accept(PVC, tomorrowData);
    assertEquals("ThetaCalculator: fixed-coupon swap", pvTomorrow - pvToday, theta.getAmount(USDLIBOR3M.getCurrency()), TOLERANCE_PV);
    assertEquals("ThetaCalculator: fixed-coupon swap", 1, theta.getCurrencyAmounts().length);
  }
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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 8, 17);
    final MultipleCurrencyAmount theta = THETAC.getTheta(SWAP_FIXED_IBOR_DEFINITION, referenceDate, CURVE_NAMES, CURVES, FIXING_TS_3_6, 1);
    final SwapFixedCoupon<Coupon> swapToday = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS_3_6, CURVE_NAMES);
    final SwapFixedCoupon<Coupon> swapTomorrow = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate.plusDays(1), FIXING_TS_3_6, CURVE_NAMES);
    final double pvToday = swapToday.accept(PVC, CURVES);
    final YieldCurveBundle tomorrowData = CURVE_ROLLDOWN.rollDown(CURVES, TimeCalculator.getTimeBetween(referenceDate, referenceDate.plusDays(1)));
    final double pvTomorrow = swapTomorrow.accept(PVC, tomorrowData);
    final double todayCash = ((CouponFixed) swapToday.getSecondLeg().getNthPayment(0)).getAmount();
    assertEquals("ThetaCalculator: fixed-coupon swap", pvTomorrow - (pvToday - todayCash), theta.getAmount(USDLIBOR3M.getCurrency()), TOLERANCE_PV);
    assertEquals("ThetaCalculator: fixed-coupon swap", 1, theta.getCurrencyAmounts().length);
  }
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    for (int i = 0; i < nbPayDate; i++) {
      nodeTimes[i + 1] = SWAP_PAYER.getFixedLeg().getNthPayment(i).getPaymentTime();
      yieldsFunding[i + 1] = curveFunding.getInterestRate(nodeTimes[i + 1]);
    }
    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimes, yieldsFunding, new LinearInterpolator1D()));
    final YieldCurveBundle curvesNotBumped = new YieldCurveBundle();
    curvesNotBumped.addAll(CURVES);
    curvesNotBumped.setCurve("Bumped Curve", tempCurveFunding);
    final double pvbp = METHOD_SWAP.presentValueBasisPoint(SWAP_PAYER, curvesNotBumped);
    final InterestRateCurveSensitivity pvbpDr = METHOD_SWAP.presentValueBasisPointCurveSensitivity(SWAP_PAYER, curvesNotBumped);

    final List<DoublesPair> tempFunding = pvbpDr.getSensitivities().get(CURVES_NAME[0]);
    for (int i = 0; i < nbPayDate; i++) {
      final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimes[i + 1], eps);
      final YieldCurveBundle curvesBumped = new YieldCurveBundle();
      curvesBumped.addAll(CURVES);
      curvesBumped.setCurve("Bumped Curve", bumpedCurve);
      final double bumpedpvbp = METHOD_SWAP.presentValueBasisPoint(swapBumpedFunding, curvesBumped);
      final double res = (bumpedpvbp - pvbp) / eps;
      final DoublesPair pair = tempFunding.get(i);
      assertEquals("Node " + i, nodeTimes[i + 1], pair.getFirst(), 1E-8);
      assertEquals("Node " + i, res, pair.getSecond(), 5.0);
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  @Test
  /**
   * Tests the present value versus an hard-coded value.
   */
  public void persentValueHardCoded() {
    final YieldCurveBundle curves = TestsDataSetsForex.createCurvesForexXXXYYY(USD, KRW, SPOT_USD_KRW);
    final SmileDeltaTermStructureDataBundle curvesVol = new SmileDeltaTermStructureDataBundle(curves, SMILE_TERM_FLAT_USD_KRW, Pair.of(USD, KRW));
    final MultipleCurrencyAmount pvComputed = METHOD_BLACK_DIGITAL.presentValue(FOREX_DIGITAL_USD_KRW_PUT_FOR, curvesVol);
    final double pvHardCoded = 43312.895;
    assertEquals("Forex Digital option: present value", pvHardCoded, pvComputed.getAmount(USD), TOLERANCE_PV);
  }
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    final double[] spot = new double[nbSpot + 1];
    final double[] pv = new double[nbSpot + 1];
    for (int loopspot = 0; loopspot <= nbSpot; loopspot++) {
      spot[loopspot] = strike - range + 2.0d * range * loopspot / nbSpot;
      final FXMatrix fxMatrix = new FXMatrix(EUR, USD, spot[loopspot]);
      final YieldCurveBundle curves = new YieldCurveBundle(fxMatrix, CURVE_CURRENCY, CURVES.getCurvesMap());
      final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curves, SMILE_TERM, Pair.of(EUR, USD));
      pv[loopspot] = METHOD_BLACK_DIGITAL.presentValue(forexOption, smileBundle).getAmount(USD);
    }
  }
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    final double[] spot = new double[nbSpot + 1];
    final double[] pv = new double[nbSpot + 1];
    for (int loopspot = 0; loopspot <= nbSpot; loopspot++) {
      spot[loopspot] = strike - range + 2.0d * range * loopspot / nbSpot;
      final FXMatrix fxMatrix = new FXMatrix(EUR, USD, spot[loopspot]);
      final YieldCurveBundle curves = new YieldCurveBundle(fxMatrix, CURVE_CURRENCY, CURVES.getCurvesMap());
      final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curves, SMILE_TERM, Pair.of(EUR, USD));
      pv[loopspot] = METHOD_BLACK_DIGITAL.presentValue(forexOption, smileBundle).getAmount(EUR);
    }
  }
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   */
  public void currencyExposureForeign2() {
    final double shift = 0.000005;
    final FXMatrix fxMatrix = new FXMatrix(EUR, USD, SPOT);
    final FXMatrix fxMatrixP = new FXMatrix(EUR, USD, SPOT + shift);
    final YieldCurveBundle curves = new YieldCurveBundle(fxMatrix, CURVE_CURRENCY, CURVES.getCurvesMap());
    final YieldCurveBundle curvesP = new YieldCurveBundle(fxMatrixP, CURVE_CURRENCY, CURVES.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curves, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final SmileDeltaTermStructureDataBundle smileBundleP = new SmileDeltaTermStructureDataBundle(curvesP, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final MultipleCurrencyAmount ce = METHOD_BLACK_DIGITAL.currencyExposure(FOREX_DIGITAL_CALL_FOR, smileBundle);
    final MultipleCurrencyAmount pv = METHOD_BLACK_DIGITAL.presentValue(FOREX_DIGITAL_CALL_FOR, smileBundle);
    final MultipleCurrencyAmount pvP = METHOD_BLACK_DIGITAL.presentValue(FOREX_DIGITAL_CALL_FOR, smileBundleP);
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    yields[0] = curveForeign.getInterestRate(nodeTimes[0]);
    yields[1] = curveForeign.getInterestRate(nodeTimes[1]);
    curveNode = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimes, yields, new LinearInterpolator1D()));
    curveBumpedPlus = curveNode.withSingleShift(nodeTimes[1], deltaShift);
    curveBumpedMinus = curveNode.withSingleShift(nodeTimes[1], -deltaShift);
    final YieldCurveBundle curvesForeign = new YieldCurveBundle();
    curvesForeign.setCurve(bumpedCurveName, curveBumpedPlus);
    curvesForeign.setCurve(CURVES_NAME[1], CURVES.getCurve(CURVES_NAME[1]));
    dfForeignBumped = curveBumpedPlus.getDiscountFactor(forexForward.getPaymentTime());
    forwardBumped = SPOT * dfForeignBumped / dfDomestic;
    dMBumped = Math.log(forwardBumped / strike) / sigmaRootT - 0.5 * sigmaRootT;
    final double bumpedPvForeignPlus = Math.abs(forexOptionCall.getUnderlyingForex().getPaymentCurrency2().getAmount()) * dfDomestic * NORMAL.getCDF(omega * dMBumped) * (isLong ? 1.0 : -1.0);
    dfForeignBumped = curveBumpedMinus.getDiscountFactor(forexForward.getPaymentTime());
    forwardBumped = SPOT * dfForeignBumped / dfDomestic;
    dMBumped = Math.log(forwardBumped / strike) / sigmaRootT - 0.5 * sigmaRootT;
    final double bumpedPvForeignMinus = Math.abs(forexOptionCall.getUnderlyingForex().getPaymentCurrency2().getAmount()) * dfDomestic * NORMAL.getCDF(omega * dMBumped) * (isLong ? 1.0 : -1.0);
    final double resultForeign = (bumpedPvForeignPlus - bumpedPvForeignMinus) / (2 * deltaShift);
    assertEquals("Forex Digital option: curve sensitivity", forexForward.getPaymentTime(), sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[0]).get(0).first, TOLERANCE_TIME);
    assertEquals("Forex Digital option: curve sensitivity", resultForeign, sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[0]).get(0).second, TOLERANCE_DELTA);
    //Domestic
    yields[0] = curveDomestic.getInterestRate(nodeTimes[0]);
    yields[1] = curveDomestic.getInterestRate(nodeTimes[1]);
    curveNode = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimes, yields, new LinearInterpolator1D()));
    curveBumpedPlus = curveNode.withSingleShift(nodeTimes[1], deltaShift);
    curveBumpedMinus = curveNode.withSingleShift(nodeTimes[1], -deltaShift);
    final YieldCurveBundle curvesDomestic = new YieldCurveBundle();
    curvesDomestic.setCurve(CURVES_NAME[0], CURVES.getCurve(CURVES_NAME[0]));
    curvesDomestic.setCurve(bumpedCurveName, curveBumpedPlus);
    dfDomesticBumped = curveBumpedPlus.getDiscountFactor(forexForward.getPaymentTime());
    forwardBumped = SPOT * dfForeign / dfDomesticBumped;
    dMBumped = Math.log(forwardBumped / strike) / sigmaRootT - 0.5 * sigmaRootT;
    final double bumpedPvDomesticPlus = Math.abs(forexOptionCall.getUnderlyingForex().getPaymentCurrency2().getAmount()) * dfDomesticBumped * NORMAL.getCDF(omega * dMBumped) * (isLong ? 1.0 : -1.0);
    curvesForeign.replaceCurve(bumpedCurveName, curveBumpedMinus);
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  public void thetaBeforeExpiration() {
    final MultipleCurrencyAmount theta = THETAC.getTheta(SWAPTION_DEFINITION_LONG_REC, REFERENCE_DATE, CURVES_NAME, CURVES_BLACK, 1);
    final SwaptionPhysicalFixedIbor swaptionToday = SWAPTION_DEFINITION_LONG_REC.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionPhysicalFixedIbor swaptionTomorrow = SWAPTION_DEFINITION_LONG_REC.toDerivative(REFERENCE_DATE.plusDays(1), CURVES_NAME);
    final double pvToday = swaptionToday.accept(PVC_BLACK, CURVES_BLACK);
    final YieldCurveBundle tomorrowData = SWAPTION_ROLLDOWN.rollDown(CURVES_BLACK, TimeCalculator.getTimeBetween(REFERENCE_DATE, REFERENCE_DATE.plusDays(1)));
    final double pvTomorrow = swaptionTomorrow.accept(PVC_BLACK, tomorrowData);
    assertEquals("ThetaCalculator: fixed-coupon swap", pvTomorrow - pvToday, theta.getAmount(SWAPTION_DEFINITION_LONG_REC.getCurrency()), TOLERANCE_PV);
    assertEquals("ThetaCalculator: fixed-coupon swap", 1, theta.getCurrencyAmounts().length);
  }
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