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

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

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

com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface
Interface of a multi-curves framework providing discounting factors, forward rate (linked to Ibor index), issuer/currency specific curves and currency exchange rates.

  @Test
  public void presentValueFixedMiddle() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_1);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_1);
    coupon = coupon.trimBefore(REFERENCE_TIME_1);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, ISSUER);
    final MultipleCurrencyAmount pvNominal = nominal.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = coupon.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR), pv.getAmount(CUR), TOLERANCE_PV);
  }

View Full Code Here

  @Test
  public void presentValueFixedOnCoupon() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_2);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_2);
    coupon = coupon.trimBefore(REFERENCE_TIME_2);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, ISSUER);
    final MultipleCurrencyAmount pvNominal = nominal.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = coupon.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_2, ISSUER_MULTICURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR), pv.getAmount(CUR), TOLERANCE_PV);
  }

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    final BondFixedSecurityDefinition bondNoExDefinition = BondFixedSecurityDefinition.from(GBP, MATURITY_DATE_UK, START_ACCRUAL_DATE_UK, PAYMENT_TENOR_UK, RATE_UK, SETTLEMENT_DAYS_UK, NOTIONAL_UK,
        0, CALENDAR_UK, DAY_COUNT_UK, BUSINESS_DAY_UK, YIELD_CONVENTION_UK, IS_EOM_UK, ISSUER_UK, "RepoType");
    final BondFixedSecurity BondNoEx = bondNoExDefinition.toDerivative(REFERENCE_DATE_3);
    final MultipleCurrencyAmount pvNoEx = METHOD_BOND_SECURITY.presentValue(BondNoEx, ISSUER_MULTICURVES);
    final CouponFixedDefinition couponDefinitionEx = BOND_FIXED_SECURITY_DEFINITION_UK.getCoupons().getNthPayment(17);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, GBP, ISSUER_UK);
    final MultipleCurrencyAmount pvCpn = couponDefinitionEx.toDerivative(REFERENCE_DATE_3).accept(PVDC, multicurvesDecorated);
    assertEquals("Fixed coupon bond security: present value ex dividend", pvNoEx.getAmount(GBP) - pvCpn.getAmount(GBP), pv.getAmount(GBP), TOLERANCE_PV);
  }

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  public MultipleCurrencyAmount presentValue(final SwaptionCashFixedIbor swaption, final HullWhiteOneFactorProviderInterface hullWhite) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(hullWhite, "Hull-White provider");
    final Currency ccy = swaption.getCurrency();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = hullWhite.getHullWhiteParameters();
    final MulticurveProviderInterface multicurves = hullWhite.getMulticurveProvider();
    final double expiryTime = swaption.getTimeToExpiry();
    final int nbFixed = swaption.getUnderlyingSwap().getFixedLeg().getNumberOfPayments();
    final double[] alphaFixed = new double[nbFixed];
    final double[] dfFixed = new double[nbFixed];
    final double[] discountedCashFlowFixed = new double[nbFixed];
    for (int loopcf = 0; loopcf < nbFixed; loopcf++) {
      alphaFixed[loopcf] = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      dfFixed[loopcf] = multicurves.getDiscountFactor(ccy, swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowFixed[loopcf] = dfFixed[loopcf] * swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction()
          * swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getNotional();
    }
    final AnnuityPaymentFixed cfeIbor = swaption.getUnderlyingSwap().getSecondLeg().accept(CFEC, multicurves);
    final double[] alphaIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] dfIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] discountedCashFlowIbor = new double[cfeIbor.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfeIbor.getNumberOfPayments(); loopcf++) {
      alphaIbor[loopcf] = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      dfIbor[loopcf] = multicurves.getDiscountFactor(ccy, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowIbor[loopcf] = dfIbor[loopcf] * cfeIbor.getNthPayment(loopcf).getAmount();
    }
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, multicurves);
    final double[] alpha = new double[cfe.getNumberOfPayments()];
    final double[] df = new double[cfe.getNumberOfPayments()];
    final double[] discountedCashFlow = new double[cfe.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      alpha[loopcf] = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, cfe.getNthPayment(loopcf).getPaymentTime());
      df[loopcf] = multicurves.getDiscountFactor(ccy, cfe.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlow[loopcf] = df[loopcf] * cfe.getNthPayment(loopcf).getAmount();
    }
    final double kappa = MODEL.kappa(discountedCashFlow, alpha);
    final int nbFixedPaymentYear = (int) Math.round(1.0 / swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(0).getPaymentYearFraction());
    final double[] derivativesRate = new double[3];

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  public double[] presentValueHullWhiteSensitivity(final SwaptionCashFixedIbor swaption, final HullWhiteOneFactorProviderInterface hullWhite) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(hullWhite, "Hull-White provider");
    final Currency ccy = swaption.getCurrency();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = hullWhite.getHullWhiteParameters();
    final MulticurveProviderInterface multicurves = hullWhite.getMulticurveProvider();
    // Forward sweep
    final double expiryTime = swaption.getTimeToExpiry();
    final int nbFixed = swaption.getUnderlyingSwap().getFixedLeg().getNumberOfPayments();
    final double[] alphaFixed = new double[nbFixed];
    final double[] dfFixed = new double[nbFixed];
    final double[] discountedCashFlowFixed = new double[nbFixed];
    for (int loopcf = 0; loopcf < nbFixed; loopcf++) {
      alphaFixed[loopcf] = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      dfFixed[loopcf] = multicurves.getDiscountFactor(ccy, swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowFixed[loopcf] = dfFixed[loopcf] * swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction()
          * swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getNotional();
    }
    final AnnuityPaymentFixed cfeIbor = swaption.getUnderlyingSwap().getSecondLeg().accept(CFEC, multicurves);
    final double[] alphaIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] dfIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] discountedCashFlowIbor = new double[cfeIbor.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfeIbor.getNumberOfPayments(); loopcf++) {
      alphaIbor[loopcf] = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      dfIbor[loopcf] = multicurves.getDiscountFactor(ccy, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowIbor[loopcf] = dfIbor[loopcf] * cfeIbor.getNthPayment(loopcf).getAmount();
    }
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, multicurves);
    final double[] alpha = new double[cfe.getNumberOfPayments()];
    final double[] df = new double[cfe.getNumberOfPayments()];
    final double[] discountedCashFlow = new double[cfe.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      alpha[loopcf] = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, cfe.getNthPayment(loopcf).getPaymentTime());
      df[loopcf] = multicurves.getDiscountFactor(ccy, cfe.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlow[loopcf] = df[loopcf] * cfe.getNthPayment(loopcf).getAmount();
    }
    final double kappa = MODEL.kappa(discountedCashFlow, alpha);
    final int nbFixedPaymentYear = (int) Math.round(1.0 / swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(0).getPaymentYearFraction());
    final double[] derivativesRate = new double[3];

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  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final SwaptionCashFixedIbor swaption, final HullWhiteOneFactorProviderInterface hullWhite) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(hullWhite, "Hull-White provider");
    final Currency ccy = swaption.getCurrency();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = hullWhite.getHullWhiteParameters();
    final MulticurveProviderInterface multicurves = hullWhite.getMulticurveProvider();
    // Forward sweep
    final double expiryTime = swaption.getTimeToExpiry();
    final int nbFixed = swaption.getUnderlyingSwap().getFixedLeg().getNumberOfPayments();
    final double[] alphaFixed = new double[nbFixed];
    final double[] dfFixed = new double[nbFixed];
    final double[] discountedCashFlowFixed = new double[nbFixed];
    final double[] testdiscountedCashFlowFixed = new double[nbFixed];
    for (int loopcf = 0; loopcf < nbFixed; loopcf++) {
      alphaFixed[loopcf] = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      dfFixed[loopcf] = multicurves.getDiscountFactor(ccy, swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowFixed[loopcf] = dfFixed[loopcf] * swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction()
          * swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getNotional();
      testdiscountedCashFlowFixed[loopcf] = discountedCashFlowFixed[loopcf];
    }
    testdiscountedCashFlowFixed[0] += 1.0;
    final AnnuityPaymentFixed cfeIbor = swaption.getUnderlyingSwap().getSecondLeg().accept(CFEC, multicurves);
    final double[] alphaIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] dfIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] discountedCashFlowIbor = new double[cfeIbor.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfeIbor.getNumberOfPayments(); loopcf++) {
      alphaIbor[loopcf] = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      dfIbor[loopcf] = multicurves.getDiscountFactor(ccy, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowIbor[loopcf] = dfIbor[loopcf] * cfeIbor.getNthPayment(loopcf).getAmount();
    }
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, multicurves);
    final double[] alpha = new double[cfe.getNumberOfPayments()];
    final double[] df = new double[cfe.getNumberOfPayments()];
    final double[] discountedCashFlow = new double[cfe.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      alpha[loopcf] = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, cfe.getNthPayment(loopcf).getPaymentTime());
      df[loopcf] = multicurves.getDiscountFactor(ccy, cfe.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlow[loopcf] = df[loopcf] * cfe.getNthPayment(loopcf).getAmount();
    }
    final double kappa = MODEL.kappa(discountedCashFlow, alpha);
    final int nbFixedPaymentYear = (int) Math.round(1.0 / swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(0).getPaymentYearFraction());
    final double[] derivativesRate = new double[3];
    final double[] derivativesAnnuity = new double[3];
    final double x0 = 0.0; //    (swaption.getUnderlyingSwap().getFixedLeg().isPayer()) ? Math.max(kappa, 0) : Math.min(kappa, 0);
    final double rate = swapRate(x0, discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor, derivativesRate);
    final double annuity = annuityCash(rate, nbFixedPaymentYear, swaption.getUnderlyingSwap().getFixedLeg().getNumberOfPayments(), derivativesAnnuity);
    final double[] u = new double[4];
    u[0] = annuity * (swaption.getStrike() - rate);
    u[1] = (swaption.getStrike() - rate) * derivativesAnnuity[0] * derivativesRate[0] - derivativesRate[0] * annuity;
    u[2] = (swaption.getStrike() - rate) * (derivativesAnnuity[0] * derivativesRate[1] + derivativesAnnuity[1] * derivativesRate[0] * derivativesRate[0]) - 2 * derivativesAnnuity[0]
        * derivativesRate[0] * derivativesRate[0] - annuity * derivativesRate[1];
    u[3] = (-3 * derivativesRate[0] * (derivativesAnnuity[0] * derivativesRate[1] + derivativesAnnuity[1] * derivativesRate[0] * derivativesRate[0]))
        - (2 * derivativesAnnuity[0] * derivativesRate[0] * derivativesRate[1])
        + ((swaption.getStrike() - rate) * (derivativesAnnuity[0] * derivativesRate[2] + 3 * derivativesAnnuity[1] * derivativesRate[0] * derivativesRate[1] + derivativesAnnuity[2]
            * derivativesRate[0] * derivativesRate[0] * derivativesRate[0])) - (rate * derivativesRate[2]);
    final double kappatilde = kappa + alphaIbor[0];
    final double alpha0tilde = alphaIbor[0] + x0;
    double ncdf;
    final double npdf = NORMAL.getPDF(kappatilde);
    double pv;
    if (!swaption.getUnderlyingSwap().getFixedLeg().isPayer()) {
      ncdf = NORMAL.getCDF(kappatilde);
      pv = (u[0] - u[1] * alpha0tilde + u[2] * (1 + alpha[0] * alpha[0]) / 2.0 - u[3] * (alpha0tilde * alpha0tilde * alpha0tilde + 3.0 * alpha0tilde) / 6.0) * ncdf
          + (-u[1] - u[2] * (-2.0 * alpha0tilde + kappatilde) / 2.0 + u[3] * (-3 * alpha0tilde * alpha0tilde + 3.0 * kappatilde * alpha0tilde - kappatilde * kappatilde - 2.0) / 6.0) * npdf;
    } else {
      ncdf = NORMAL.getCDF(-kappatilde);
      pv = -(u[0] - u[1] * alpha0tilde + u[2] * (1 + alpha[0] * alpha[0]) / 2.0 - u[3] * (alpha0tilde * alpha0tilde * alpha0tilde + 3.0 * alpha0tilde) / 6.0) * ncdf
          + (-u[1] - u[2] * (-2.0 * alpha0tilde + kappatilde) / 2.0 + u[3] * (-3 * alpha0tilde * alpha0tilde + 3.0 * kappatilde * alpha0tilde - kappatilde * kappatilde - 2.0) / 6.0) * npdf;
    }
    final double notional = Math.abs(swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(0).getNotional());
    // Backward sweep
    final double pvTotalBar = 1.0;
    final double pvBar = notional * dfIbor[0] * (swaption.isLong() ? 1.0 : -1.0) * pvTotalBar;
    final double[] uBar = new double[4];
    if (!swaption.getUnderlyingSwap().getFixedLeg().isPayer()) {
      uBar[0] = ncdf * pvBar;
      uBar[1] = (-alpha0tilde * ncdf - npdf) * pvBar;
      uBar[2] = ((1 + alpha[0] * alpha[0]) / 2.0 * ncdf - (-2.0 * alpha0tilde + kappatilde) / 2.0 * npdf) * pvBar;
      uBar[3] = (-(alpha0tilde * alpha0tilde * alpha0tilde + 3.0 * alpha0tilde) / 6.0 * ncdf + (-3 * alpha0tilde * alpha0tilde + 3.0 * kappatilde * alpha0tilde - kappatilde * kappatilde - 2.0) / 6.0
          * npdf)
          * pvBar;
    } else {
      uBar[0] = -ncdf * pvBar;
      uBar[1] = (+alpha0tilde * ncdf - npdf) * pvBar;
      uBar[2] = (-(1 + alpha[0] * alpha[0]) / 2.0 * ncdf - (-2.0 * alpha0tilde + kappatilde) / 2.0 * npdf) * pvBar;
      uBar[3] = ((alpha0tilde * alpha0tilde * alpha0tilde + 3.0 * alpha0tilde) / 6.0 * ncdf + (-3 * alpha0tilde * alpha0tilde + 3.0 * kappatilde * alpha0tilde - kappatilde * kappatilde - 2.0) / 6.0
          * npdf)
          * pvBar;
    }
    final double annuityBar = (swaption.getStrike() - rate) * uBar[0] - derivativesRate[0] * uBar[1] + -derivativesRate[1] * uBar[2];
    final double[] derivativesAnnuityBar = new double[3];
    derivativesAnnuityBar[0] = (swaption.getStrike() - rate) * derivativesRate[0] * uBar[1] + ((swaption.getStrike() - rate) * derivativesRate[1] - 2.0 * derivativesRate[0] * derivativesRate[0])
        * uBar[2] + (-3 * derivativesRate[0] * derivativesRate[1] - 2 * derivativesRate[0] * derivativesRate[1] + (swaption.getStrike() - rate) * derivativesRate[2]) * uBar[3];
    derivativesAnnuityBar[1] = (swaption.getStrike() - rate) * derivativesRate[0] * derivativesRate[0] * uBar[2]
        + (-3 * derivativesRate[0] * derivativesRate[0] * derivativesRate[0] + (swaption.getStrike() - rate) * 3 * derivativesRate[0] * derivativesRate[1]) * uBar[3];
    derivativesAnnuityBar[2] = (swaption.getStrike() - rate) * derivativesRate[0] * derivativesRate[0] * derivativesRate[0] * uBar[3];
    final double rateBar = (derivativesAnnuity[1] * derivativesAnnuityBar[0])
        + (derivativesAnnuity[2] * derivativesAnnuityBar[1])
        + (derivativesAnnuity[0] * annuityBar)
        - (annuity * uBar[0])
        - (derivativesAnnuity[0] * derivativesRate[0] * uBar[1])
        - ((derivativesAnnuity[0] * derivativesRate[1] + derivativesAnnuity[1] * derivativesRate[0] * derivativesRate[0]) * uBar[2])
        - (((derivativesAnnuity[0] * derivativesRate[2] + 3 * derivativesAnnuity[1] * derivativesRate[0] * derivativesRate[1] + derivativesAnnuity[2] * derivativesRate[0] * derivativesRate[0]
            * derivativesRate[0]) + derivativesRate[2]) * uBar[3]);
    final double[] derivativesRateBar = new double[3];
    derivativesRateBar[0] = ((swaption.getStrike() - rate) * derivativesAnnuity[0] - annuity)
        * uBar[1]
        + ((swaption.getStrike() - rate) * (2.0 * derivativesAnnuity[1] * derivativesRate[0]) - 4 * derivativesAnnuity[0] * derivativesRate[0])
        * uBar[2]
        + (-3 * (derivativesAnnuity[0] * derivativesRate[1] + 3.0 * derivativesAnnuity[1] * derivativesRate[0] * derivativesRate[0]) - 2 * derivativesAnnuity[0] * derivativesRate[1] + (swaption
            .getStrike() - rate) * (3 * derivativesAnnuity[1] * derivativesRate[1] + derivativesAnnuity[2] * 3.0 * derivativesRate[0] * derivativesRate[0])) * uBar[3];
    derivativesRateBar[1] = ((swaption.getStrike() - rate) * (derivativesAnnuity[0]) - annuity) * uBar[2]
        + (-3 * derivativesRate[0] * (derivativesAnnuity[0]) - 2 * derivativesAnnuity[0] * derivativesRate[0] + (swaption.getStrike() - rate) * (3 * derivativesAnnuity[1] * derivativesRate[0]))
        * uBar[3];
    derivativesRateBar[2] = ((swaption.getStrike() - rate) * derivativesAnnuity[0] - rate) * uBar[3];
    //    double kappaBar = 0.0;
    final double[] discountedCashFlowFixedBar = new double[nbFixed];
    final double[] discountedCashFlowIborBar = new double[cfeIbor.getNumberOfPayments()];
    swapRateAdjointDiscountedCF(x0, discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor, rateBar, derivativesRateBar, derivativesRate, discountedCashFlowFixedBar,
        discountedCashFlowIborBar);
    final double[] dfFixedBar = new double[nbFixed];
    final List<DoublesPair> listDf = new ArrayList<>();
    for (int loopcf = 0; loopcf < nbFixed; loopcf++) {
      dfFixedBar[loopcf] = swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction() * swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getNotional()
          * discountedCashFlowFixedBar[loopcf];
      final DoublesPair dfSensi = new DoublesPair(swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentTime(), -swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf)
          .getPaymentTime()
          * dfFixed[loopcf] * dfFixedBar[loopcf]);
      listDf.add(dfSensi);
    }
    final double[] dfIborBar = new double[cfeIbor.getNumberOfPayments()];
    final double[] cfeAmountIborBar = new double[cfeIbor.getNumberOfPayments()];
    dfIborBar[0] = pv * notional * (swaption.isLong() ? 1.0 : -1.0);
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      dfIborBar[loopcf] += cfeIbor.getNthPayment(loopcf).getAmount() * discountedCashFlowIborBar[loopcf];
      final DoublesPair dfSensi = new DoublesPair(cfeIbor.getNthPayment(loopcf).getPaymentTime(), -cfeIbor.getNthPayment(loopcf).getPaymentTime() * dfIbor[loopcf] * dfIborBar[loopcf]);
      listDf.add(dfSensi);
      cfeAmountIborBar[loopcf] = dfIbor[loopcf] * discountedCashFlowIborBar[loopcf];
    }
    final Map<String, List<DoublesPair>> pvsDF = new HashMap<>();
    pvsDF.put(multicurves.getName(ccy), listDf);
    MulticurveSensitivity sensitivity = MulticurveSensitivity.ofYieldDiscounting(pvsDF);
    final Map<Double, MulticurveSensitivity> cfeIborCurveSensi = swaption.getUnderlyingSwap().getSecondLeg().accept(CFECSC, multicurves);
    for (int loopcf = 0; loopcf < cfeIbor.getNumberOfPayments(); loopcf++) {
      final MulticurveSensitivity sensiCfe = cfeIborCurveSensi.get(cfeIbor.getNthPayment(loopcf).getPaymentTime());
      if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.

View Full Code Here

  private static final double TOLERANCE_PV_DELTA = 1.0E-2;


  @Test
  public void testPVFixedBondSettlePast() {
    final MultipleCurrencyAmount pv = METHOD_BOND_TR.presentValue(BOND_TRANSACTION_FIXED_1, ISSUER_MULTICURVES);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, BOND_TRANSACTION_FIXED_1.getBondTransaction().getIssuer());
    final MultipleCurrencyAmount pvNominal = NOMINAL_TR_FIXED_1.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = COUPON_TR_FIXED_1.accept(PVDC, multicurvesDecorated);
    assertEquals("Fixed bond present value", (pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR)) * QUANTITY_FIXED, pv.getAmount(CUR));
  }

View Full Code Here

  }


  @Test
  public void testPVFixedBondSettleToday() {
    final MultipleCurrencyAmount pv = METHOD_BOND_TR.presentValue(BOND_TRANSACTION_FIXED_2, ISSUER_MULTICURVES);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, BOND_TRANSACTION_FIXED_1.getBondTransaction().getIssuer());
    final MultipleCurrencyAmount pvNominal = NOMINAL_TR_FIXED_2.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = COUPON_TR_FIXED_2.accept(PVDC, multicurvesDecorated);
    final double pvSettlement = BOND_SETTLEMENT_FIXED_2.getAmount();
    assertEquals("Fixed bond present value", (pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR)) * QUANTITY_FIXED + pvSettlement, pv.getAmount(CUR));
  }

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  }


  @Test
  public void testPVFixedBondSettleFuture() {
    final MultipleCurrencyAmount pv = METHOD_BOND_TR.presentValue(BOND_TRANSACTION_FIXED_3, ISSUER_MULTICURVES);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, BOND_TRANSACTION_FIXED_1.getBondTransaction().getIssuer());
    final MultipleCurrencyAmount pvNominal = NOMINAL_TR_FIXED_3.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = COUPON_TR_FIXED_3.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvSettlement = BOND_SETTLEMENT_FIXED_3.accept(PVDC, ISSUER_MULTICURVES.getMulticurveProvider());
    assertEquals("Fixed bond present value", (pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR)) * QUANTITY_FIXED + pvSettlement.getAmount(CUR), pv.getAmount(CUR));
  }

View Full Code Here

  }


  @Test
  public void testPVSFixedBond() {
    final MultipleCurrencyMulticurveSensitivity pvs = METHOD_BOND_TR.presentValueSensitivity(BOND_TRANSACTION_FIXED_3, ISSUER_MULTICURVES);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, BOND_TRANSACTION_FIXED_1.getBondTransaction().getIssuer());
    final MultipleCurrencyMulticurveSensitivity pvsNominal = NOMINAL_TR_FIXED_3.accept(PVCSDC, multicurvesDecorated);
    final MultipleCurrencyMulticurveSensitivity pvsCoupon = COUPON_TR_FIXED_3.accept(PVCSDC, multicurvesDecorated);
    final MultipleCurrencyMulticurveSensitivity pvsSettlement = BOND_SETTLEMENT_FIXED_3.accept(PVCSDC, ISSUER_MULTICURVES.getMulticurveProvider());
    final MultipleCurrencyMulticurveSensitivity expectedPvs = pvsNominal.plus(pvsCoupon).multipliedBy(QUANTITY_FRN).plus(pvsSettlement).cleaned();
    assertEquals("Fixed bond present value sensitivity", expectedPvs, pvs.cleaned());

View Full Code Here

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