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

Examples of com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionPhysicalFixedIbor

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  @Override
  public void addInstrument(final InstrumentDerivative instrument, final PricingMethod method) {
    ArgumentChecker.notNull(instrument, "Instrument");
    ArgumentChecker.notNull(method, "Method");
    ArgumentChecker.isTrue(instrument instanceof SwaptionPhysicalFixedIbor, "Calibration instruments should be swaptions");
    final SwaptionPhysicalFixedIbor swaption = (SwaptionPhysicalFixedIbor) instrument;
    getBasket().add(instrument);
    getMethod().add(method);
    getCalibrationPrice().add(0.0);
    _instrumentIndex.add(Arrays.binarySearch(((SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective) getCalibrationObjective()).getLMMParameters().getIborTime(), swaption
        .getUnderlyingSwap().getSecondLeg().getNthPayment(swaption.getUnderlyingSwap().getSecondLeg().getNumberOfPayments() - 1).getPaymentTime()));
  }
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    ArgumentChecker.isTrue((instrument instanceof SwaptionPhysicalFixedIbor), "Instrument should be cap or swaption.");
    getBasket().add(instrument);
    getMethod().add(calculator);
    getCalibrationPrices().add(0.0);
    if (instrument instanceof SwaptionPhysicalFixedIbor) {
      final SwaptionPhysicalFixedIbor swaption = (SwaptionPhysicalFixedIbor) instrument;
      _instrumentIndex.add(Arrays.binarySearch(((SuccessiveRootFinderLMMDDCalibrationObjective) _calibrationObjective).getLMMParameters().getIborTime(), swaption.getUnderlyingSwap()
          .getSecondLeg().getNthPayment(swaption.getUnderlyingSwap().getSecondLeg().getNumberOfPayments() - 1).getPaymentTime()));
    }
  }
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  }

  @Override
  public void addInstrument(final InstrumentDerivative instrument, final InstrumentDerivativeVisitor<DATA_TYPE, MultipleCurrencyAmount> calculator) {
    ArgumentChecker.isTrue(instrument instanceof SwaptionPhysicalFixedIbor, "Calibration instruments should be swaptions");
    final SwaptionPhysicalFixedIbor swaption = (SwaptionPhysicalFixedIbor) instrument;
    getBasket().add(instrument);
    getMethod().add(calculator);
    getCalibrationPrices().add(0.0);
    _instrumentIndex.add(Arrays.binarySearch(((SuccessiveLeastSquareLMMDDCalibrationObjective) _calibrationObjective).getLMMParameters().getIborTime(), swaption.getUnderlyingSwap().getSecondLeg()
        .getNthPayment(swaption.getUnderlyingSwap().getSecondLeg().getNumberOfPayments() - 1).getPaymentTime()));
  }
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  }

  public MultipleCurrencyAmount getTheta(final SwaptionPhysicalFixedIborDefinition definition, final ZonedDateTime date, final String[] yieldCurveNames,
      final YieldCurveWithBlackSwaptionBundle data, final int daysForward) {
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1");
    final SwaptionPhysicalFixedIbor swaptionToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final SwaptionPhysicalFixedIbor swaptionTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = swaptionToday.accept(paymentCalculator);
    if (paymentToday.size() != 1 || !paymentToday.getCurrencyAmounts()[0].getCurrency().equals(definition.getCurrency())) {
      throw new IllegalStateException("Expecting a single payment in the currency of the swaption");
    }
    final Currency currency = definition.getCurrency();
    final PresentValueBlackCalculator pvCalculator = PresentValueBlackCalculator.getInstance();
    final YieldCurveWithBlackSwaptionBundle tomorrowData = SWAPTION_ROLLDOWN.rollDown(data, shiftTime);
    final double result = swaptionTomorrow.accept(pvCalculator, tomorrowData) - swaptionToday.accept(pvCalculator, data) + paymentToday.getAmount(currency);
    return MultipleCurrencyAmount.of(CurrencyAmount.of(currency, result));
  }
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  public void testPresentValueConventionArbitrage() {
    final double rate360 = 0.0360;
    final IndexSwap index360 = new IndexSwap(EUR1YEURIBOR6M.getFixedLegPeriod(), DayCountFactory.INSTANCE.getDayCount("Actual/360"), EURIBOR6M, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition swap360 = SwapFixedIborDefinition.from(SETTLEMENT_DATE, index360, NOTIONAL, rate360, true, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaption360Definition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap360, IS_LONG);
    final SwaptionPhysicalFixedIbor swaption360 = swaption360Definition.toDerivative(REFERENCE_DATE);
    final double rate365 = 0.0365;
    final IndexSwap index365 = new IndexSwap(EUR1YEURIBOR6M.getFixedLegPeriod(), DayCountFactory.INSTANCE.getDayCount("Actual/365"), EURIBOR6M, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition swap365 = SwapFixedIborDefinition.from(SETTLEMENT_DATE, index365, NOTIONAL, rate365, true, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaption365Definition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap365, IS_LONG);
    final SwaptionPhysicalFixedIbor swaption365 = swaption365Definition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount price360 = METHOD_SWPT_SABR.presentValue(swaption360, SABR_MULTICURVES);
    final MultipleCurrencyAmount price365 = METHOD_SWPT_SABR.presentValue(swaption365, SABR_MULTICURVES);
    assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValue", price360.getAmount(EUR), price365.getAmount(EUR), TOLERANCE_PV);
  }
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    final double pvbp = METHOD_SWAP.presentValueBasisPoint(swap, MULTICURVES);
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strike[loopstrike] = forward - strikeRange + 3 * strikeRange * loopstrike / nbStrike; // From forward-strikeRange to forward+2*strikeRange
      final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, EUR1YEURIBOR6M, NOTIONAL, strike[loopstrike], FIXED_IS_PAYER);
      final SwaptionPhysicalFixedIborDefinition swaptionDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinition, IS_LONG);
      final SwaptionPhysicalFixedIbor swaption = swaptionDefinition.toDerivative(REFERENCE_DATE);
      pvExplicit[loopstrike] = METHOD_HW.presentValue(swaption, HW_MULTICURVES).getAmount(EUR);
      pvApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaption, HW_MULTICURVES).getAmount(EUR);
      final NormalFunctionData data = new NormalFunctionData(forward, pvbp, 0.01);
      volExplicit[loopstrike] = implied.getImpliedVolatility(data, swaption, pvExplicit[loopstrike]);
      volApprox[loopstrike] = implied.getImpliedVolatility(data, swaption, pvApproximation[loopstrike]);
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    final ZonedDateTime expiryDateExp = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, expirationPeriod, EURIBOR6M, CALENDAR);
    final ZonedDateTime settlementDateExp = ScheduleCalculator.getAdjustedDate(expiryDateExp, SPOT_LAG, CALENDAR);
    final double ATM = 0.0151; //  1W: 1.52% - 1M: 1.52% - 1Y: 1.51% - 10Y: 1.51%
    final SwapFixedIborDefinition swapExpx5YDefinition = SwapFixedIborDefinition.from(settlementDateExp, SWAP_TENOR, EUR1YEURIBOR6M, NOTIONAL, ATM, !FIXED_IS_PAYER);
    final SwaptionPhysicalFixedIborDefinition swaptionExpx5YDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapExpx5YDefinition, !IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionExpx5Y = swaptionExpx5YDefinition.toDerivative(REFERENCE_DATE);
    //    final double forward = swaptionExpx5Y.getUnderlyingSwap().accept(PRDC, MULTICURVES);
    final MultipleCurrencyParameterSensitivity pvpsExactExp = PS_HW_C.calculateSensitivity(swaptionExpx5Y, HW_MULTICURVES, HW_MULTICURVES.getMulticurveProvider().getAllNames());
    final double derivativeExactExp = pvpsExactExp.totalSensitivity(MULTICURVES.getFxRates(), EUR);
    final double[] derivative_FDExp = new double[nbShift];
    final double[] diffExp = new double[nbShift];
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    final SwapFixedIborDefinition swapPayerHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, EUR1YEURIBOR6M, NOTIONAL, highStrike, FIXED_IS_PAYER);
    final SwapFixedIborDefinition swapReceiverHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, EUR1YEURIBOR6M, NOTIONAL, highStrike, !FIXED_IS_PAYER);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapPayerHighStrike, IS_LONG);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapPayerHighStrike, !IS_LONG);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionLongReceiverHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapReceiverHighStrike, IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE);
    final SwaptionPhysicalFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE);
    final SwaptionPhysicalFixedIbor swaptionLongReceiverHighStrike = swaptionDefinitionLongReceiverHighStrike.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount priceLongPayer = METHOD_SABR_EXTRAPOLATION.presentValue(swaptionLongPayerHighStrike, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceShortPayer = METHOD_SABR_EXTRAPOLATION.presentValue(swaptionShortPayerHighStrike, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceLongReceiver = METHOD_SABR_EXTRAPOLATION.presentValue(swaptionLongReceiverHighStrike, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceLongPayerSABR = swaptionLongPayerHighStrike.accept(PVSSXC, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceLongReceiverSABR = swaptionLongReceiverHighStrike.accept(PVSSXC, SABR_MULTICURVES);
    assertEquals("Swaption SABR extrapolation: extrapolation limit", priceLongPayerSABR.getAmount(EUR), priceLongPayer.getAmount(EUR), TOLERANCE_PV);
    assertEquals("Swaption SABR extrapolation: extrapolation limit", priceLongReceiverSABR.getAmount(EUR), priceLongReceiver.getAmount(EUR), TOLERANCE_PV);
    assertEquals("Swaption SABR extrapolation: long/short parity", priceLongPayer.getAmount(EUR), -priceShortPayer.getAmount(EUR), TOLERANCE_PV);
  }
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      cpnIbor[2 * loopexp] = ((CouponIbor) legIbor.getNthPayment(2 * loopexp)).withNotional(((CouponIbor) legIbor.getNthPayment(2 * loopexp)).getNotional() * amortization[loopexp]);
      cpnIbor[2 * loopexp + 1] = ((CouponIbor) legIbor.getNthPayment(2 * loopexp + 1)).withNotional(((CouponIbor) legIbor.getNthPayment(2 * loopexp + 1)).getNotional() * amortization[loopexp]);
    }

    final SwapFixedCoupon<Coupon> swapAmortized = new SwapFixedCoupon<>(new AnnuityCouponFixed(cpnFixed), new Annuity<Coupon>(cpnIbor));
    final SwaptionPhysicalFixedIbor swaptionAmortized = SwaptionPhysicalFixedIbor.from(swaptionCalibration[0].getTimeToExpiry(), swapAmortized, swaptionCalibration[0].getSettlementTime(), IS_LONG);

    final SwaptionPhysicalFixedIbor[] swaptionCalibration2 = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaptionAmortized);

    assertEquals("Calibration basket", swaptionCalibration.length, swaptionCalibration2.length);
    for (int loopcal = 0; loopcal < swaptionCalibration.length; loopcal++) {
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      cpnIbor[2 * loopexp + 1] = ((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp + 1)).withNotional(((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp + 1)).getNotional()
          * amortization[loopexp]);
    }
    final SwapFixedIborDefinition swapAmortizedDefinition = new SwapFixedIborDefinition(new AnnuityCouponFixedDefinition(cpnFixed, TARGET), new AnnuityCouponIborDefinition(cpnIbor, EURIBOR6M, TARGET));
    final SwaptionPhysicalFixedIborDefinition swaptionAmortizedDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapAmortizedDefinition, IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionAmortized = swaptionAmortizedDefinition.toDerivative(REFERENCE_DATE);

    // SABR parameters sensitivity (parallel shift check). The sensitivities are not exact; in the approximation a small "second order" term is ignored
    final PresentValueSABRSensitivityDataBundle pvss = METHOD_SABR_LMM_ATBEST.presentValueSABRSensitivity(swaptionAmortized, SABR_MULTICURVES);
    final double[] shift = new double[] {0.0001, 0.0001, 0.0001 };
    final double[] toleranceSABRSensi = new double[] {5.0E+4, 5.0E+3, 1.0E+4 };
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