Package com.opengamma.analytics.financial.provider.description.interestrate

Examples of com.opengamma.analytics.financial.provider.description.interestrate.BlackSTIRFuturesSmileProviderDiscount

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      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackSTIRFuturesSmileProviderDiscount marketDscBumpedPlus = new BlackSTIRFuturesSmileProviderDiscount(black.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedPlus),
            black.getBlackParameters(), black.getFuturesIndex());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketDscBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackSTIRFuturesSmileProviderDiscount marketDscBumpedMinus = new BlackSTIRFuturesSmileProviderDiscount(black.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedMinus),
            black.getBlackParameters(), black.getFuturesIndex());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketDscBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = black.getMulticurveProvider().getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = black.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = black.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackSTIRFuturesSmileProviderDiscount marketFwdBumpedPlus = new BlackSTIRFuturesSmileProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedPlus),
            black.getBlackParameters(), black.getFuturesIndex());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackSTIRFuturesSmileProviderDiscount marketFwdBumpedMinus = new BlackSTIRFuturesSmileProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedMinus),
            black.getBlackParameters(), black.getFuturesIndex());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = black.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = black.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = black.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackSTIRFuturesSmileProviderDiscount marketFwdBumpedPlus = new BlackSTIRFuturesSmileProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedPlus),
            black.getBlackParameters(), black.getFuturesIndex());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackSTIRFuturesSmileProviderDiscount marketFwdBumpedMinus = new BlackSTIRFuturesSmileProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedMinus),
            black.getBlackParameters(), black.getFuturesIndex());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
 
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   * Test the option price Black sensitivity
   */
  public void priceBlackSensitivity() {
    final InterpolatedDoublesSurface blackParameterPlus = BlackDataSets.createBlackSurfaceExpiryTenorShift(VOL_SHIFT);
    final InterpolatedDoublesSurface blackParameterMinus = BlackDataSets.createBlackSurfaceExpiryTenorShift(-VOL_SHIFT);
    final BlackSTIRFuturesSmileProviderDiscount blackPlus = new BlackSTIRFuturesSmileProviderDiscount(MULTICURVES, blackParameterPlus, EURIBOR3M);
    final BlackSTIRFuturesSmileProviderDiscount blackMinus = new BlackSTIRFuturesSmileProviderDiscount(MULTICURVES, blackParameterMinus, EURIBOR3M);
    final double pricePlus = METHOD_SECURITY_OPTION_BLACK.price(OPTION_ERU2, blackPlus);
    final double priceMinus = METHOD_SECURITY_OPTION_BLACK.price(OPTION_ERU2, blackMinus);
    final double priceSensiExpected = (pricePlus - priceMinus) / (2 * VOL_SHIFT);
    final SurfaceValue priceSensiComputed = METHOD_SECURITY_OPTION_BLACK.priceBlackSensitivity(OPTION_ERU2, BLACK_MULTICURVES);
    final DoublesPair point = new DoublesPair(OPTION_ERU2.getExpirationTime(), STRIKE);
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Related Classes of com.opengamma.analytics.financial.provider.description.interestrate.BlackSTIRFuturesSmileProviderDiscount

  • com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginBlackSmileMethodTest
  • com.opengamma.analytics.financial.provider.sensitivity.blackstirfutures.ParameterSensitivityBlackSTIRFuturesDiscountInterpolatedFDCalculator
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