Package com.opengamma.analytics.financial.interestrate.payments.derivative

Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorIbor

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            final double ibor = prc.visitCouponIborSpread(cpn, curves);
            final double cpnMain = cpn.getMainCoefficients()[0] * cpnRate[loopcpn - 1] + cpn.getMainCoefficients()[1] * ibor + cpn.getMainCoefficients()[2];
            final double cpnFloor = cpn.getFloorCoefficients()[0] * cpnRate[loopcpn - 1] + cpn.getFloorCoefficients()[1] * ibor + cpn.getFloorCoefficients()[2];
            final double cpnCap = cpn.getCapCoefficients()[0] * cpnRate[loopcpn - 1] + cpn.getCapCoefficients()[1] * ibor + cpn.getCapCoefficients()[2];
            cpnRate[loopcpn] = Math.min(Math.max(cpnFloor, cpnMain), cpnCap);
            calibration.add(new CapFloorIbor(cpn.getCurrency(), cpn.getPaymentTime(), cpn.getFundingCurveName(), cpn.getPaymentYearFraction(), cpn.getNotional(), cpn.getFixingTime(), cpn.getIndex(),
                cpn.getFixingPeriodStartTime(), cpn.getFixingPeriodEndTime(), cpn.getFixingAccrualFactor(), cpn.getForwardCurveName(), cpnRate[loopcpn], true));
          } else {
            if (getNthPayment(loopcpn) instanceof CouponFixed) {
              final CouponFixed cpn = (CouponFixed) getNthPayment(loopcpn);
              cpnRate[loopcpn] = cpn.getFixedRate();
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   * @return The present value.
   */
  public CurrencyAmount presentValue(final CapFloorIbor cap, final SABRInterestRateDataBundle sabrData) {
    Validate.notNull(cap);
    Validate.notNull(sabrData);
    final CapFloorIbor capStandard = new CapFloorIbor(cap.getCurrency(), cap.getFixingPeriodEndTime(), cap.getFundingCurveName(), cap.getPaymentYearFraction(), cap.getNotional(), cap.getFixingTime(),
        cap.getIndex(), cap.getFixingPeriodStartTime(), cap.getFixingPeriodEndTime(), cap.getFixingAccrualFactor(), cap.getForwardCurveName(), cap.getStrike(), cap.isCap());
    final double beta = sabrData.getCurve(cap.getForwardCurveName()).getDiscountFactor(cap.getFixingPeriodStartTime())
        / sabrData.getCurve(cap.getForwardCurveName()).getDiscountFactor(cap.getFixingPeriodEndTime()) * sabrData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getFixingPeriodEndTime())
        / sabrData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getFixingPeriodStartTime());
    final double strikePart = (1.0 + cap.getFixingAccrualFactor() * cap.getStrike()) * _baseMethod.presentValue(capStandard, sabrData).getAmount();
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      this._sabrData = sabrData;
    }

    @Override
    public Double evaluate(final Double x) {
      final CapFloorIbor capStrike = _capStandard.withStrike(x);
      return _basePricingMethod.presentValue(capStrike, _sabrData).getAmount();
    }
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   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final CouponIbor coupon, final SABRCapProviderInterface sabr) {
    ArgumentChecker.notNull(coupon, "The coupon shoud not be null");
    ArgumentChecker.notNull(sabr, "SABR cap provider");
    CapFloorIbor cap0 = CapFloorIbor.from(coupon, 0.0, true);
    return _capMethod.presentValue(cap0, sabr);
  }
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   * @return The present value.
   */
  public CurrencyAmount presentValue(final CouponIbor coupon, final SABRInterestRateDataBundle sabrData) {
    Validate.notNull(coupon);
    Validate.notNull(sabrData);
    final CapFloorIbor cap0 = CapFloorIbor.from(coupon, 0.0, true);
    final CapFloorIborInArrearsGenericReplicationMethod method = new CapFloorIborInArrearsGenericReplicationMethod(_baseMethod);
    return method.presentValue(cap0, sabrData);
  }
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  public MultipleCurrencyAmount presentValue(final CapFloorIbor cap, final SABRCapProviderInterface sabr) {
    ArgumentChecker.notNull(cap, "The cap/floor shoud not be null");
    ArgumentChecker.notNull(sabr, "SABR cap provider");
    final Currency ccy = cap.getCurrency();
    final MulticurveProviderInterface multicurves = sabr.getMulticurveProvider();
    final CapFloorIbor capStandard = new CapFloorIbor(cap.getCurrency(), cap.getFixingPeriodEndTime(), cap.getPaymentYearFraction(), cap.getNotional(), cap.getFixingTime(),
        cap.getIndex(), cap.getFixingPeriodStartTime(), cap.getFixingPeriodEndTime(), cap.getFixingAccrualFactor(), cap.getStrike(), cap.isCap());
    final double forward = multicurves.getForwardRate(cap.getIndex(), cap.getFixingPeriodStartTime(), cap.getFixingPeriodEndTime(), cap.getFixingAccrualFactor());
    final double beta = (1.0 + cap.getFixingAccrualFactor() * forward) * multicurves.getDiscountFactor(ccy, cap.getFixingPeriodEndTime())
        / multicurves.getDiscountFactor(ccy, cap.getFixingPeriodStartTime());
    final double strikePart = (1.0 + cap.getFixingAccrualFactor() * cap.getStrike()) * _baseMethod.presentValue(capStandard, sabr).getAmount(ccy);
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      _sabrData = sabr;
    }

    @Override
    public Double evaluate(final Double x) {
      final CapFloorIbor capStrike = _capStandard.withStrike(x);
      return _basePricingMethod.presentValue(capStrike, _sabrData).getAmount(_capStandard.getCurrency());
    }
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    final double deltaShift = 1.0E-7;
    pvsCapLong = pvsCapLong.cleaned();
    final String bumpedCurveName = "Bumped Curve";
    // 1. Forward curve sensitivity
    final String[] CurveNameBumpedForward = {FUNDING_CURVE_NAME, bumpedCurveName };
    final CapFloorIbor capBumpedForward = (CapFloorIbor) CAP_LONG_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedForward);
    final double[] nodeTimesForward = new double[] {capBumpedForward.getFixingPeriodStartTime(), capBumpedForward.getFixingPeriodEndTime() };
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedForward, SABR_BUNDLE, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForward, deltaShift, METHOD);
    assertEquals("Sensitivity finite difference method: number of node", 2, sensiForwardMethod.length);
    final List<DoublesPair> sensiPvForward = pvsCapLong.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals("Sensitivity cap/floor pv to forward curve: Node " + loopnode, nodeTimesForward[loopnode], pairPv.getFirst(), 1E-8);
      assertEquals("Sensitivity finite difference method: node sensitivity", pairPv.second, sensiForwardMethod[loopnode], deltaTolerancePrice);
    }
    // 2. Discounting curve sensitivity
    final String[] CurveNameBumpedDisc = {bumpedCurveName, FORWARD_CURVE_NAME };
    final CapFloorIbor capBumpedDisc = (CapFloorIbor) CAP_LONG_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedDisc);
    final double[] nodeTimesDisc = new double[] {capBumpedDisc.getPaymentTime() };
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedDisc, SABR_BUNDLE, FUNDING_CURVE_NAME, bumpedCurveName, nodeTimesDisc, deltaShift, METHOD);
    assertEquals("Sensitivity finite difference method: number of node", 1, sensiDiscMethod.length);
    final List<DoublesPair> sensiPvDisc = pvsCapLong.getSensitivities().get(FUNDING_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
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    final double deltaShift = 1.0E-7;
    pvsCapLong = pvsCapLong.cleaned();
    final String bumpedCurveName = "Bumped Curve";
    // 1. Forward curve sensitivity
    final String[] CurveNameBumpedForward = {FUNDING_CURVE_NAME, bumpedCurveName };
    final CapFloorIbor capBumpedForward = (CapFloorIbor) CAP_HIGH_LONG_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedForward);
    final double[] nodeTimesForward = new double[] {capBumpedForward.getFixingPeriodStartTime(), capBumpedForward.getFixingPeriodEndTime() };
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedForward, SABR_BUNDLE, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForward, deltaShift, METHOD);
    assertEquals("Sensitivity finite difference method: number of node", 2, sensiForwardMethod.length);
    final List<DoublesPair> sensiPvForward = pvsCapLong.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals("Sensitivity cap/floor pv to forward curve: Node " + loopnode, nodeTimesForward[loopnode], pairPv.getFirst(), 1E-8);
      //      assertEquals("Sensitivity finite difference method: node sensitivity: Node " + loopnode, pairPv.second, sensiForwardMethod[loopnode], deltaTolerancePrice);
    }
    // 2. Discounting curve sensitivity
    final String[] CurveNameBumpedDisc = {bumpedCurveName, FORWARD_CURVE_NAME };
    final CapFloorIbor capBumpedDisc = (CapFloorIbor) CAP_HIGH_LONG_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedDisc);
    final double[] nodeTimesDisc = new double[] {capBumpedDisc.getPaymentTime() };
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedDisc, SABR_BUNDLE, FUNDING_CURVE_NAME, bumpedCurveName, nodeTimesDisc, deltaShift, METHOD);
    assertEquals("Sensitivity finite difference method: number of node", 1, sensiDiscMethod.length);
    final List<DoublesPair> sensiPvDisc = pvsCapLong.getSensitivities().get(FUNDING_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
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    pvcsCap = pvcsCap.cleaned();
    final double deltaShift = 1.0E-6;
    final String bumpedCurveName = "Bumped Curve";
    // 1. Forward curve sensitivity
    final String[] CurveNameBumpedForward = {CURVES_NAME[0], bumpedCurveName};
    final CapFloorIbor capBumpedForward = (CapFloorIbor) CAP_LONG_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedForward);
    final double[] nodeTimesForward = new double[] {CAP_LONG.getFixingPeriodStartTime(), CAP_LONG.getFixingPeriodEndTime()};
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedForward, BUNDLE_HW, CURVES_NAME[1], bumpedCurveName, nodeTimesForward, deltaShift, METHOD_HW);
    final List<DoublesPair> sensiPvForward = pvcsCap.getSensitivities().get(CURVES_NAME[1]);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals("Sensitivity cap/floor Ibor pv to forward curve with HW: Node " + loopnode, nodeTimesForward[loopnode], pairPv.getFirst(), 1E-8);
      assertEquals("Sensitivity finite difference method: node sensitivity " + loopnode + " - Difference " + (sensiForwardMethod[loopnode] - pairPv.second), sensiForwardMethod[loopnode],
          pairPv.second, TOLERANCE_DELTA);
    }
    // 2. Discounting curve sensitivity
    final String[] CurveNameBumpedDisc = {bumpedCurveName, CURVES_NAME[1]};
    final CapFloorIbor capBumpedDisc = (CapFloorIbor) CAP_LONG_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedDisc);
    final double[] nodeTimesDisc = new double[] {CAP_LONG.getPaymentTime()};
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedDisc, BUNDLE_HW, CURVES_NAME[0], bumpedCurveName, nodeTimesDisc, deltaShift, METHOD_HW);
    final List<DoublesPair> sensiPvDisc = pvcsCap.getSensitivities().get(CURVES_NAME[0]);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
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Related Classes of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorIbor

  • com.opengamma.analytics.financial.instrument.payment.CapFloorIborDefinition
  • com.opengamma.analytics.financial.instrument.payment.CapFloorIborDefinitionTest
  • com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponIborRatchet
  • com.opengamma.analytics.financial.interestrate.capletstripping.SimpleCapFloorMaker
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborInArrearsGenericReplicationMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborInArrearsGenericReplicationMethod$InArrearsIntegrant
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborInArrearsReplicationMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborInArrearsReplicationMethodTest$InArrearsIntegrant
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRExtrapolationRightMethodTest
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