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

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

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  }

  @Override
  public CurrencyAmount presentValue(final InstrumentDerivative instrument, final YieldCurveBundle curves) {
    Validate.isTrue(instrument instanceof CouponCMS, "CMS coupon");
    final CouponCMS coupon = (CouponCMS) instrument;
    final CapFloorCMS cap0 = CapFloorCMS.from(coupon, 0.0, true);
    return _methodCap.presentValue(cap0, curves);
  }
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   * @return The present value.
   */
  public CurrencyAmount presentValue(final CapFloorCMSSpread cmsSpread, final SABRInterestRateDataBundle sabrData) {
    final double forward1 = cmsSpread.getUnderlyingSwap1().accept(PRC, sabrData);
    final double forward2 = cmsSpread.getUnderlyingSwap2().accept(PRC, sabrData);
    CouponCMS cmsCoupon1 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap1(), cmsSpread.getSettlementTime());
    cmsCoupon1 = cmsCoupon1.withNotional(Math.abs(cmsCoupon1.getNotional()));
    CouponCMS cmsCoupon2 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap2(), cmsSpread.getSettlementTime());
    cmsCoupon2 = cmsCoupon2.withNotional(Math.abs(cmsCoupon2.getNotional()));
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, forward1, true);
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, forward2, true);
    final double cmsCoupon1Price = _methodCmsCoupon.presentValue(cmsCoupon1, sabrData).getAmount();
    final double cmsCoupon2Price = _methodCmsCoupon.presentValue(cmsCoupon2, sabrData).getAmount();
    final double cmsCap1Price = _methodCmsCap.presentValue(cmsCap1, sabrData).getAmount();
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   */
  public InterestRateCurveSensitivity presentValueCurveSensitivity(final CapFloorCMSSpread cmsSpread, final SABRInterestRateDataBundle sabrData) {
    // Forward sweep
    final double strike1 = cmsSpread.getUnderlyingSwap1().accept(PRC, sabrData);
    final double strike2 = cmsSpread.getUnderlyingSwap2().accept(PRC, sabrData);
    CouponCMS cmsCoupon1 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap1(), cmsSpread.getSettlementTime());
    cmsCoupon1 = cmsCoupon1.withNotional(Math.abs(cmsCoupon1.getNotional()));
    CouponCMS cmsCoupon2 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap2(), cmsSpread.getSettlementTime());
    cmsCoupon2 = cmsCoupon2.withNotional(Math.abs(cmsCoupon2.getNotional()));
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, strike1, true); // ATM forward cap CMS
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, strike2, true); // ATM forward cap CMS
    final double cmsCoupon1Pv = _methodCmsCoupon.presentValue(cmsCoupon1, sabrData).getAmount();
    final double cmsCoupon2Pv = _methodCmsCoupon.presentValue(cmsCoupon2, sabrData).getAmount();
    final double cmsCap1Pv = _methodCmsCap.presentValue(cmsCap1, sabrData).getAmount();
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   */
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final CapFloorCMSSpread cmsSpread, final SABRInterestRateDataBundle sabrData) {
    // Forward sweep
    final double forward1 = cmsSpread.getUnderlyingSwap1().accept(PRC, sabrData);
    final double forward2 = cmsSpread.getUnderlyingSwap2().accept(PRC, sabrData);
    CouponCMS cmsCoupon1 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap1(), cmsSpread.getSettlementTime());
    cmsCoupon1 = cmsCoupon1.withNotional(Math.abs(cmsCoupon1.getNotional()));
    CouponCMS cmsCoupon2 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap2(), cmsSpread.getSettlementTime());
    cmsCoupon2 = cmsCoupon2.withNotional(Math.abs(cmsCoupon2.getNotional()));
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, forward1, true);
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, forward2, true);
    final double cmsCoupon1Price = _methodCmsCoupon.presentValue(cmsCoupon1, sabrData).getAmount();
    final double cmsCoupon2Price = _methodCmsCoupon.presentValue(cmsCoupon2, sabrData).getAmount();
    final double cmsCap1Price = _methodCmsCap.presentValue(cmsCap1, sabrData).getAmount();
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    final CouponCMSSABRReplicationMethod methodCms = CouponCMSSABRReplicationMethod.getInstance();
    final CapFloorCMSSABRReplicationMethod methodCmsCap = CapFloorCMSSABRReplicationMethod.getDefaultInstance();
    final NormalImpliedVolatilityFormula impliedVolatility = new NormalImpliedVolatilityFormula();
    final NormalPriceFunction normalPrice = new NormalPriceFunction();
    final ParRateCalculator parRate = ParRateCalculator.getInstance();
    final CouponCMS cmsCoupon1 = CouponCMS.from(CMS_CAP_SPREAD, SWAP_1, SETTLEMENT_TIME);
    final CouponCMS cmsCoupon2 = CouponCMS.from(CMS_CAP_SPREAD, SWAP_2, SETTLEMENT_TIME);
    final double cmsCoupon1Price = methodCms.presentValue(cmsCoupon1, SABR_BUNDLE).getAmount();
    final double cmsCoupon2Price = methodCms.presentValue(cmsCoupon2, SABR_BUNDLE).getAmount();
    final double expectedRate1 = cmsCoupon1Price / discountFactorPayment / cmsCoupon1.getNotional() / cmsCoupon1.getPaymentYearFraction();
    final double expectedRate2 = cmsCoupon2Price / discountFactorPayment / cmsCoupon2.getNotional() / cmsCoupon2.getPaymentYearFraction();
    final double forward1 = SWAP_1.accept(parRate, CURVES);
    final double forward2 = SWAP_2.accept(parRate, CURVES);
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, forward1, true);
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, forward2, true);
    final double cmsCap1Price = methodCmsCap.presentValue(cmsCap1, SABR_BUNDLE).getAmount();
    final double cmsCap2Price = methodCmsCap.presentValue(cmsCap2, SABR_BUNDLE).getAmount();
    final EuropeanVanillaOption optionCap1 = new EuropeanVanillaOption(forward1, FIXING_TIME, true);
    final NormalFunctionData dataCap1 = new NormalFunctionData(expectedRate1, 1.0, 0.0);
    final double cmsCap1IV = impliedVolatility.getImpliedVolatility(dataCap1, optionCap1, cmsCap1Price / discountFactorPayment / cmsCoupon1.getNotional() / cmsCoupon1.getPaymentYearFraction());
    final EuropeanVanillaOption optionCap2 = new EuropeanVanillaOption(forward2, FIXING_TIME, true);
    final NormalFunctionData dataCap2 = new NormalFunctionData(expectedRate2, 1.0, 0.0);
    final double cmsCap2IV = impliedVolatility.getImpliedVolatility(dataCap2, optionCap2, cmsCap2Price / discountFactorPayment / cmsCoupon2.getNotional() / cmsCoupon2.getPaymentYearFraction());
    double spreadVol = cmsCap1IV * cmsCap1IV - 2 * correlation * cmsCap1IV * cmsCap2IV + cmsCap2IV * cmsCap2IV;
    spreadVol = Math.sqrt(spreadVol);
    final EuropeanVanillaOption optionSpread = new EuropeanVanillaOption(STRIKE, FIXING_TIME, IS_CAP);
    final NormalFunctionData dataSpread = new NormalFunctionData(expectedRate1 - expectedRate2, 1.0, spreadVol);
    final Function1D<NormalFunctionData, Double> priceFunction = normalPrice.getPriceFunction(optionSpread);
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  @Test
  /**
   * Tests the present value cap/floor parity (Cap - Floor = (cms1 - cms2) - strike).
   */
  public void presentValueCapFloorParity() {
    final CouponCMS cms1 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_1, SETTLEMENT_TIME);
    final CouponCMS cms2 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_2, SETTLEMENT_TIME);
    final CouponFixed cpnStrike = new CouponFixed(CUR, PAYMENT_TIME, FUNDING_CURVE_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);
    // No extrapolation
    final CurrencyAmount pvCapLong = METHOD_CMS_SPREAD.presentValue(CMS_CAP_SPREAD, SABR_BUNDLE);
    final CurrencyAmount pvFloorLong = METHOD_CMS_SPREAD.presentValue(CMS_FLOOR_SPREAD, SABR_BUNDLE);
    final Double pvCMS1 = cms1.accept(PVC_SABR, SABR_BUNDLE);
    final Double pvCMS2 = cms2.accept(PVC_SABR, SABR_BUNDLE);
    final Double pvStrike = cpnStrike.accept(PVC_SABR, SABR_BUNDLE);
    assertEquals("CMS spread: Cap/Floor parity", pvCMS1 - pvCMS2 - pvStrike, pvCapLong.getAmount() - pvFloorLong.getAmount(), TOLERANCE_PRICE);
    // Extrapolation
    final CurrencyAmount pvCapLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, SABR_BUNDLE);
    final CurrencyAmount pvFloorLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_FLOOR_SPREAD, SABR_BUNDLE);
    final Double pvCMS1Extra = cms1.accept(PVC_SABR_EXTRA, SABR_BUNDLE);
    final Double pvCMS2Extra = cms2.accept(PVC_SABR_EXTRA, SABR_BUNDLE);
    assertEquals("CMS spread: Cap/Floor parity", pvCMS1Extra - pvCMS2Extra - pvStrike, pvCapLongExtra.getAmount() - pvFloorLongExtra.getAmount(), TOLERANCE_PRICE);
  }
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    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    InterestRateCurveSensitivity pvcsCapLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
    pvcsCapLong = pvcsCapLong.cleaned();
    InterestRateCurveSensitivity pvcsFloorLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_FLOOR_SPREAD, sabrBundleCor);
    pvcsFloorLong = pvcsFloorLong.cleaned();
    final CouponCMS cms1 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_1, SETTLEMENT_TIME);
    final CouponCMS cms2 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_2, SETTLEMENT_TIME);
    final CouponFixed cpnStrike = new CouponFixed(CUR, PAYMENT_TIME, FUNDING_CURVE_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);
    InterestRateCurveSensitivity pvcsCMS1 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms1, sabrBundleCor);
    pvcsCMS1 = pvcsCMS1.cleaned();
    InterestRateCurveSensitivity pvcsCMS2 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms2, sabrBundleCor);
    pvcsCMS2 = pvcsCMS2.cleaned();
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    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = cmsSpread.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final double forward1 = cmsSpread.getUnderlyingSwap1().accept(PRDC, multicurves);
    final double forward2 = cmsSpread.getUnderlyingSwap2().accept(PRDC, multicurves);
    CouponCMS cmsCoupon1 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap1(), cmsSpread.getSettlementTime());
    cmsCoupon1 = cmsCoupon1.withNotional(Math.abs(cmsCoupon1.getNotional()));
    CouponCMS cmsCoupon2 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap2(), cmsSpread.getSettlementTime());
    cmsCoupon2 = cmsCoupon2.withNotional(Math.abs(cmsCoupon2.getNotional()));
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, forward1, true);
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, forward2, true);
    final double cmsCoupon1Price = _methodCmsCoupon.presentValue(cmsCoupon1, sabrData).getAmount(ccy);
    final double cmsCoupon2Price = _methodCmsCoupon.presentValue(cmsCoupon2, sabrData).getAmount(ccy);
    final double cmsCap1Price = _methodCmsCap.presentValue(cmsCap1, sabrData).getAmount(ccy);
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    final Currency ccy = cmsSpread.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    // Forward sweep
    final double strike1 = cmsSpread.getUnderlyingSwap1().accept(PRDC, multicurves);
    final double strike2 = cmsSpread.getUnderlyingSwap2().accept(PRDC, multicurves);
    CouponCMS cmsCoupon1 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap1(), cmsSpread.getSettlementTime());
    cmsCoupon1 = cmsCoupon1.withNotional(Math.abs(cmsCoupon1.getNotional()));
    CouponCMS cmsCoupon2 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap2(), cmsSpread.getSettlementTime());
    cmsCoupon2 = cmsCoupon2.withNotional(Math.abs(cmsCoupon2.getNotional()));
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, strike1, true); // ATM forward cap CMS
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, strike2, true); // ATM forward cap CMS
    final double cmsCoupon1Pv = _methodCmsCoupon.presentValue(cmsCoupon1, sabrData).getAmount(ccy);
    final double cmsCoupon2Pv = _methodCmsCoupon.presentValue(cmsCoupon2, sabrData).getAmount(ccy);
    final double cmsCap1Pv = _methodCmsCap.presentValue(cmsCap1, sabrData).getAmount(ccy);
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    final Currency ccy = cmsSpread.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    // Forward sweep
    final double forward1 = cmsSpread.getUnderlyingSwap1().accept(PRDC, multicurves);
    final double forward2 = cmsSpread.getUnderlyingSwap2().accept(PRDC, multicurves);
    CouponCMS cmsCoupon1 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap1(), cmsSpread.getSettlementTime());
    cmsCoupon1 = cmsCoupon1.withNotional(Math.abs(cmsCoupon1.getNotional()));
    CouponCMS cmsCoupon2 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap2(), cmsSpread.getSettlementTime());
    cmsCoupon2 = cmsCoupon2.withNotional(Math.abs(cmsCoupon2.getNotional()));
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, forward1, true);
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, forward2, true);
    final double cmsCoupon1Price = _methodCmsCoupon.presentValue(cmsCoupon1, sabrData).getAmount(ccy);
    final double cmsCoupon2Price = _methodCmsCoupon.presentValue(cmsCoupon2, sabrData).getAmount(ccy);
    final double cmsCap1Price = _methodCmsCap.presentValue(cmsCap1, sabrData).getAmount(ccy);
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