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

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

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  @Test(enabled = false)
  //FIXME change the test and the pv method with correct accrual interests mechanism.
  public void testPVIborBond() {
    final MultipleCurrencyAmount pv = METHOD_BOND_TR.presentValue(BOND_TRANSACTION_FRN, ISSUER_MULTICURVES);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, BOND_TRANSACTION_FIXED_1.getBondTransaction().getIssuer());
    final MultipleCurrencyAmount pvNominal = NOMINAL_TR_1_FRN.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = COUPON_TR_1_FRN.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvSettlement = BOND_SETTLEMENT_FRN.accept(PVDC, multicurvesDecorated);
    assertEquals("FRN present value", (pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR)) * QUANTITY_FRN + pvSettlement.getAmount(CUR), pv.getAmount(CUR));
  }
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      calendar = fixedCompoundedON.getOvernightCalendar();
      dayCountModification = fixedCompoundedON.getFixedLegDayCount();
    } else {
      throw new IllegalArgumentException("Cannot handle swap with underlying generator of type " + generatorSwap.getClass());
    }
    final MulticurveProviderInterface multicurves = blackMulticurves.getMulticurveProvider();
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, calendar, multicurves);
    final double forwardModified = METHOD_SWAP.forwardSwapSpreadModified(swaption.getUnderlyingSwap(), pvbpModified, multicurves);
    final double strikeModified = METHOD_SWAP.couponEquivalentSpreadModified(swaption.getUnderlyingSwap(), pvbpModified, multicurves);
    final double maturity = swaption.getMaturityTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
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   * @param g2Data The G2++ parameters and the curves.
   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final G2ppProviderInterface g2Data) {
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = g2Data.getMulticurveProvider();
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, g2Data.getMulticurveProvider());
    final double theta = swaption.getTimeToExpiry();
    final int nbCf = cfe.getNumberOfPayments();
    final double[] t = new double[nbCf];
    final double[] df = new double[nbCf];
    final double[] discountedCashFlow = new double[nbCf];
    for (int loopcf = 0; loopcf < nbCf; loopcf++) {
      t[loopcf] = cfe.getNthPayment(loopcf).getPaymentTime();
      df[loopcf] = multicurves.getDiscountFactor(ccy, cfe.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlow[loopcf] = df[loopcf] * cfe.getNthPayment(loopcf).getAmount();
    }

    final double rhog2pp = g2Data.getG2ppParameters().getCorrelation();
    final double[][] htheta = MODEL_G2PP.volatilityMaturityPart(g2Data.getG2ppParameters(), theta, t);
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   */
  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    //TODO: Create a way to chose the LMM base parameters (displacement, mean reversion, volatility).
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = LiborMarketModelDisplacedDiffusionParameters.from(swaption, DEFAULT_DISPLACEMENT, DEFAULT_MEAN_REVERSION, new VolatilityLMMAngle(
        DEFAULT_ANGLE, DEFAULT_DISPLACEMENT));
    final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveRootFinderLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objective);
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   */
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    //TODO: Create a way to chose the LMM base parameters (displacement, mean reversion, volatility).
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = LiborMarketModelDisplacedDiffusionParameters.from(swaption, DEFAULT_DISPLACEMENT, DEFAULT_MEAN_REVERSION, new VolatilityLMMAngle(
        DEFAULT_ANGLE, DEFAULT_DISPLACEMENT));
    final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveRootFinderLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objective);
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   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    //TODO: Create a way to chose the LMM base parameters (displacement, mean reversion, volatility).
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = LiborMarketModelDisplacedDiffusionParameters.from(swaption, DEFAULT_DISPLACEMENT, DEFAULT_MEAN_REVERSION, new VolatilityLMMAngle(
        DEFAULT_ANGLE, DEFAULT_DISPLACEMENT));
    final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveRootFinderLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objective);
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   */
  public List<Object> presentValueCurveSABRSensitivity(final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    //TODO: Create a way to chose the LMM base parameters (displacement, mean reversion, volatility).
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = LiborMarketModelDisplacedDiffusionParameters.from(swaption, DEFAULT_DISPLACEMENT, DEFAULT_MEAN_REVERSION, new VolatilityLMMAngle(
        DEFAULT_ANGLE, DEFAULT_DISPLACEMENT));
    final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveRootFinderLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objective);
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   * @param g2Data The G2++ parameters and the curves.
   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final AnnuityPaymentFixed cfe, final G2ppProviderInterface g2Data) {
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = g2Data.getMulticurveProvider();
    final int nbCf = cfe.getNumberOfPayments();
    final double[] cfa = new double[nbCf];
    final double[] t = new double[nbCf];
    for (int loopcf = 0; loopcf < nbCf; loopcf++) {
      cfa[loopcf] = -Math.signum(cfe.getNthPayment(0).getAmount()) * cfe.getNthPayment(loopcf).getAmount();
      t[loopcf] = cfe.getNthPayment(loopcf).getPaymentTime();
    }
    final double rhog2pp = g2Data.getG2ppParameters().getCorrelation();
    final double[][] ht0 = MODEL_G2PP.volatilityMaturityPart(g2Data.getG2ppParameters(), t[0], t);
    final double[] dfswap = new double[nbCf];
    final double[] p0 = new double[nbCf];
    final double[] cP = new double[nbCf];
    for (int loopcf = 0; loopcf < nbCf; loopcf++) {
      dfswap[loopcf] = multicurves.getDiscountFactor(ccy, t[loopcf]);
      p0[loopcf] = dfswap[loopcf] / dfswap[0];
      cP[loopcf] = cfa[loopcf] * p0[loopcf];
    }
    final double k = -cfa[0];
    double b0 = 0.0;
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   */
  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final DayCount dayCountModification = sabrData.getSABRGenerator().getFixedLegDayCount();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final Currency ccy = swaption.getCurrency();
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, multicurves);
    final double forwardModified = PRDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, multicurves);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, multicurves);
    final double maturity = swaption.getMaturityTime();
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   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final DayCount dayCountModification = sabrData.getSABRGenerator().getFixedLegDayCount();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final Currency ccy = swaption.getCurrency();
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, multicurves);
    final double forwardModified = PRDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, multicurves);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, multicurves);
    final double maturity = swaption.getMaturityTime();
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