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

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

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    final SuccessiveLeastSquareLMMDDCalibrationObjective objective = new SuccessiveLeastSquareLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveLeastSquareLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveLeastSquareLMMDDCalibrationEngine<>(objective, nbStrikes);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption, _strikeMoneyness);
    calibrationEngine.addInstrument(swaptionCalibration, PVSSC);
    calibrationEngine.calibrate(sabrData);
    final LiborMarketModelDisplacedDiffusionProvider lmm = new LiborMarketModelDisplacedDiffusionProvider(multicurves, lmmParameters, ccy);
    final MultipleCurrencyAmount pv = METHOD_SWAPTION_LMM.presentValue(swaption, lmm);
    return pv;
  }
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    final SuccessiveLeastSquareLMMDDCalibrationObjective objective = new SuccessiveLeastSquareLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveLeastSquareLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveLeastSquareLMMDDCalibrationEngine<>(objective, nbStrikes);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption, _strikeMoneyness);
    calibrationEngine.addInstrument(swaptionCalibration, PVSSC);
    calibrationEngine.calibrate(sabrData);
    final LiborMarketModelDisplacedDiffusionProvider lmm = new LiborMarketModelDisplacedDiffusionProvider(multicurves, lmmParameters, ccy);

    final int nbCalibrations = swaptionCalibration.length;
    final int nbPeriods = nbCalibrations / nbStrikes;
    final int nbFact = lmmParameters.getNbFactor();
    final List<Integer> instrumentIndex = calibrationEngine.getInstrumentIndex();
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    final SuccessiveLeastSquareLMMDDCalibrationObjective objective = new SuccessiveLeastSquareLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveLeastSquareLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveLeastSquareLMMDDCalibrationEngine<>(objective, nbStrikes);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption, _strikeMoneyness);
    calibrationEngine.addInstrument(swaptionCalibration, PVSSC);
    calibrationEngine.calibrate(sabrData);
    final LiborMarketModelDisplacedDiffusionProvider lmm = new LiborMarketModelDisplacedDiffusionProvider(multicurves, lmmParameters, ccy);

    // 1. PV

    final MultipleCurrencyAmount pv = METHOD_SWAPTION_LMM.presentValue(swaption, lmm);
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    final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveRootFinderLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objective);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption);
    calibrationEngine.addInstrument(swaptionCalibration, PVSSC);
    calibrationEngine.calibrate(sabrData);
    final LiborMarketModelDisplacedDiffusionProviderInterface lmm = new LiborMarketModelDisplacedDiffusionProvider(multicurves, lmmParameters, ccy);
    return MultipleCurrencyAmount.of(swaption.getCurrency(), METHOD_SWAPTION_LMM.presentValue(swaption, lmm).getAmount(ccy));
  }
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    final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveRootFinderLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objective);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption);
    calibrationEngine.addInstrument(swaptionCalibration, PVSSC);
    calibrationEngine.calibrate(sabrData);
    final LiborMarketModelDisplacedDiffusionProviderInterface lmm = new LiborMarketModelDisplacedDiffusionProvider(multicurves, lmmParameters, ccy);
    // Risks
    final int nbCal = swaptionCalibration.length;
    final int nbFact = lmmParameters.getNbFactor();
    final List<Integer> instrumentIndex = calibrationEngine.getInstrumentIndex();
    final double[] dPvAmdLambda = new double[nbCal];
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    final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveRootFinderLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objective);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption);
    calibrationEngine.addInstrument(swaptionCalibration, PVSSC);
    calibrationEngine.calibrate(sabrData);
    final LiborMarketModelDisplacedDiffusionProviderInterface lmm = new LiborMarketModelDisplacedDiffusionProvider(multicurves, lmmParameters, ccy);
    // Risks
    final int nbCal = swaptionCalibration.length;
    final int nbFact = lmmParameters.getNbFactor();
    final List<Integer> instrumentIndex = calibrationEngine.getInstrumentIndex();
    final double[] dPvAmdLambda = new double[nbCal];
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    final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveRootFinderLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objective);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption);
    calibrationEngine.addInstrument(swaptionCalibration, PVSSC);
    calibrationEngine.calibrate(sabrData);
    final LiborMarketModelDisplacedDiffusionProviderInterface lmm = new LiborMarketModelDisplacedDiffusionProvider(multicurves, lmmParameters, ccy);
    // Risks
    final int nbCal = swaptionCalibration.length;
    final int nbFact = lmmParameters.getNbFactor();
    final List<Integer> instrumentIndex = calibrationEngine.getInstrumentIndex();
    final double[] dPvAmdLambda = new double[nbCal];
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    }
  }

  @Override
  public void setMulticurves(MulticurveProviderInterface multicurves) {
    _lmmProvider = new LiborMarketModelDisplacedDiffusionProvider(multicurves, _lmmParameters, _ccyLMM);
  }
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   * Sets the Hull-White curve bundle using the Hull-White parameters and a given set of curves.
   * @param multicurves The multi-curves provider.
   */
  @Override
  public void setMulticurves(MulticurveProviderInterface multicurves) {
    _lmmProvider = new LiborMarketModelDisplacedDiffusionProvider(multicurves, _lmmParameters, _ccyLMM);
  }
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        swapCalibrationDefinition[swapTenorYear.length - 1].getIborLeg(), 0.10, Math.PI / 2);
    final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, EUR);
    final CalibrationEngineWithCalculators<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objective);
    calibrationEngine.addInstrument(swaptionCalibration2, PVSSC);
    calibrationEngine.calibrate(SABR_MULTICURVES);
    final LiborMarketModelDisplacedDiffusionProviderInterface lmm = new LiborMarketModelDisplacedDiffusionProvider(MULTICURVES, lmmParameters, EUR);
    final MultipleCurrencyAmount pvAmortized = METHOD_LMM.presentValue(swaptionAmortized, lmm);
    final double pvAmortizedPrevious = 1125007.920;
    assertEquals("LMM Amortized pricing", pvAmortizedPrevious, pvAmortized.getAmount(EUR), TOLERANCE_PV);
    // Method
    final SwaptionPhysicalFixedIborSABRLMMExactMethod method = new SwaptionPhysicalFixedIborSABRLMMExactMethod();
    final MultipleCurrencyAmount pvAmortizedMethod = method.presentValue(swaptionAmortized, SABR_MULTICURVES);
    assertEquals("LMM Amortized pricing", pvAmortized.getAmount(EUR), pvAmortizedMethod.getAmount(EUR), TOLERANCE_PV);

    // SABR parameters sensitivity in all-in-one method.
    final List<Object> results = method.presentValueCurveSABRSensitivity(swaptionAmortized, SABR_MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvcs1 = (MultipleCurrencyMulticurveSensitivity) results.get(1);
    final PresentValueSABRSensitivityDataBundle pvss1 = (PresentValueSABRSensitivityDataBundle) results.get(2);

    // SABR parameters sensitivity
    final PresentValueSABRSensitivityDataBundle pvss = method.presentValueSABRSensitivity(swaptionAmortized, SABR_MULTICURVES);

    // SABR parameters sensitivity (all-in-one)
    for (final SwaptionPhysicalFixedIbor element : swaptionCalibration) {
      final DoublesPair expiryMaturity = new DoublesPair(element.getTimeToExpiry(), element.getMaturityTime());
      assertEquals("Sensitivity swaption pv to alpha", pvss1.getAlpha().getMap().get(expiryMaturity), pvss.getAlpha().getMap().get(expiryMaturity), 1E-2);
      assertEquals("Sensitivity swaption pv to rho", pvss1.getRho().getMap().get(expiryMaturity), pvss.getRho().getMap().get(expiryMaturity), 1E-2);
      assertEquals("Sensitivity swaption pv to nu", pvss1.getNu().getMap().get(expiryMaturity), pvss.getNu().getMap().get(expiryMaturity), 1E-2);
    }
    // SABR parameters sensitivity (parallel shift check)
    SABRInterestRateParameters sabrParameterShift;
    SABRSwaptionProviderDiscount sabrBundleShift;
    final LiborMarketModelDisplacedDiffusionParameters lmmParametersShift = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParametersDisplacementAngle(REFERENCE_DATE,
        swapCalibrationDefinition[swapTenorYear.length - 1].getIborLeg(), 0.10, Math.PI / 2);
    final SuccessiveRootFinderLMMDDCalibrationObjective objectiveShift = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParametersShift, EUR);
    final CalibrationEngineWithCalculators<SABRSwaptionProviderInterface> calibrationEngineShift = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objectiveShift);
    calibrationEngineShift.addInstrument(swaptionCalibration2, PVSSC);
    final LiborMarketModelDisplacedDiffusionProvider lmmBundleShift = new LiborMarketModelDisplacedDiffusionProvider(MULTICURVES, lmmParametersShift, EUR);

    double alphaVegaTotalComputed = 0.0;
    assertEquals("Number of alpha sensitivity", pvss.getAlpha().getMap().keySet().size(), swaptionCalibration.length);
    for (final SwaptionPhysicalFixedIbor element : swaptionCalibration) {
      final DoublesPair expiryMaturity = new DoublesPair(element.getTimeToExpiry(), element.getMaturityTime());
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Related Classes of com.opengamma.analytics.financial.provider.description.interestrate.LiborMarketModelDisplacedDiffusionProvider

  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionPhysicalFixedIborLMMDDMethodTest
  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionPhysicalFixedIborSABRLMMExactMethod
  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionPhysicalFixedIborSABRLMMLeastSquareMethod
  • com.opengamma.analytics.financial.provider.method.SuccessiveLeastSquareLMMDDCalibrationObjective
  • com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderLMMDDCalibrationObjective
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