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

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

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

com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteIssuerProviderDiscount
Class describing a provider with discounting, forward, credit curves and Hull-White parameters on one issuer curve. The forward rate are computed as the ratio of discount factors stored in YieldAndDiscountCurve.

      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final HullWhiteIssuerProviderDiscount marketDscBumped = new HullWhiteIssuerProviderDiscount(new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withDiscountFactor(ccy, dscBumped),
            issuercurves.getIssuerProvider().getIssuerCurves()), issuercurves.getHullWhiteParameters(), issuercurves.getHullWhiteIssuerCurrency());
        final Double valueBumped = instrument.accept(_valueCalculator, marketDscBumped);
        final Double valueDiff = valueBumped + valueInitMinus;
        sensitivity[loopnode] = valueDiff / _shift;
      }
      final String name = issuercurves.getMulticurveProvider().getName(ccy);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward ON
    final Set<IndexON> indexON = issuercurves.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = issuercurves.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[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final HullWhiteIssuerProviderDiscount marketFwdBumped = new HullWhiteIssuerProviderDiscount(new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withForward(index, fwdBumped),
            issuercurves.getIssuerProvider().getIssuerCurves()), issuercurves.getHullWhiteParameters(), issuercurves.getHullWhiteIssuerCurrency());
        final Double valueBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final Double valueDiff = valueBumped + valueInitMinus;
        sensitivity[loopnode] = valueDiff / _shift;
      }
      final String name = issuercurves.getMulticurveProvider().getName(index);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward Ibor - symmetrical
    final Set<IborIndex> indexForward = issuercurves.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = issuercurves.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[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final HullWhiteIssuerProviderDiscount marketFwdBumpedPlus = new HullWhiteIssuerProviderDiscount(new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withForward(index,
            fwdBumpedPlus),
            issuercurves.getIssuerProvider().getIssuerCurves()), issuercurves.getHullWhiteParameters(), issuercurves.getHullWhiteIssuerCurrency());
        final Double valueBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve fwdBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final HullWhiteIssuerProviderDiscount marketFwdBumpedMinus = new HullWhiteIssuerProviderDiscount(new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withForward(index,
            fwdBumpedMinus),
            issuercurves.getIssuerProvider().getIssuerCurves()), issuercurves.getHullWhiteParameters(), issuercurves.getHullWhiteIssuerCurrency());
        final Double valueBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final Double valueDiff = valueBumpedPlus - valueBumpedMinus;
        sensitivity[loopnode] = valueDiff / (2 * _shift);
      }
      final String name = issuercurves.getMulticurveProvider().getName(index);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Discounting issuer
    final Set<Pair<String, Currency>> issuerCcies = issuercurves.getIssuerProvider().getIssuersCurrencies();
    for (final Pair<String, Currency> ic : issuerCcies) {
      final YieldAndDiscountCurve curve = issuercurves.getIssuerProvider().getCurve(ic);
      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[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve icBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final HullWhiteIssuerProviderDiscount providerIcBumped = new HullWhiteIssuerProviderDiscount(issuercurves.getIssuerProvider().withIssuerCurrency(ic, icBumped),
            issuercurves.getHullWhiteParameters(), issuercurves.getHullWhiteIssuerCurrency());
        final Double valueBumped = instrument.accept(_valueCalculator, providerIcBumped);
        final Double valueDiff = valueBumped + valueInitMinus;
        sensitivity[loopnode] = valueDiff / _shift;
      }

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  private static final double TOLERANCE_PV = 1.0E-2;
  private static final double TOLERANCE_PV_DELTA = 1.0E-0;


  @Test
  public void price() {
    final HullWhiteIssuerProviderDiscount hwIssuer6 = new HullWhiteIssuerProviderDiscount(IssuerProviderDiscountDataSets.createIssuerProvider6(), PARAMETERS_HW, ISSUER_CCY);
    final double priceComputed = METHOD_HW.price(BOND_FUTURE_DERIV, hwIssuer6);
    final double priceExpected = 1.00; // Rates are at 6%
    assertEquals("Bond future security Discounting Method: price from curves", priceExpected, priceComputed, 5.0E-3);
  }

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    // TODO
  }


  @Test
  public void price6() {
    final HullWhiteIssuerProviderDiscount hwIssuer6 = new HullWhiteIssuerProviderDiscount(IssuerProviderDiscountDataSets.createIssuerProvider6(), PARAMETERS_HW, ISSUER_CCY);
    final double priceMethod = METHOD_FUT_SEC_HW.price(BOND_FUTURE_SEC, hwIssuer6);
    final double priceExpected = 1.00; // Rates are at 6%
    assertEquals("Bond future security Discounting Method: price from curves", priceExpected, priceMethod, 5.0E-3);
  }

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com.opengamma.analytics.financial.interestrate.future.provider.BondFuturesSecurityHullWhiteMethodTest

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