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

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

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    final double maturity2 = CMS_CAP_SPREAD.getUnderlyingSwap2().getFixedLeg().getNthPayment(CMS_CAP_SPREAD.getUnderlyingSwap2().getFixedLeg().getNumberOfPayments() - 1).getPaymentTime()
        - CMS_CAP_SPREAD.getSettlementTime();
    final DoublesPair expectedExpiryTenor2 = new DoublesPair(CMS_CAP_SPREAD.getFixingTime(), maturity2);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
    final SABRSwaptionProviderDiscount sabrBundleAlphaBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
    final double pvLongPayerAlphaBumped = METHOD_CMS_SPREAD.presentValue(CMS_CAP_SPREAD, sabrBundleAlphaBumped).getAmount(EUR);
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 2);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor1), true);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor2), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor1) + pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor2), 5.0E+3);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped();
    final SABRSwaptionProviderDiscount sabrBundleRhoBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
    final double pvLongPayerRhoBumped = METHOD_CMS_SPREAD.presentValue(CMS_CAP_SPREAD, sabrBundleRhoBumped).getAmount(EUR);
    final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
    assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 2);
    assertEquals("Rho sensitivity expiry/tenor", pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor1), true);
    assertEquals("Rho sensitivity expiry/tenor", pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor2), true);
    assertEquals("Rho sensitivity value", expectedRhoSensi, pvsCapLong.getRho().getMap().get(expectedExpiryTenor1) + pvsCapLong.getRho().getMap().get(expectedExpiryTenor2), 5.0E+1);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped();
    final SABRSwaptionProviderDiscount sabrBundleNuBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
    final double pvLongPayerNuBumped = METHOD_CMS_SPREAD.presentValue(CMS_CAP_SPREAD, sabrBundleNuBumped).getAmount(EUR);
    final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
    assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 2);
    assertTrue("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor1));
    assertTrue("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor2));
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    final double maturity2 = CMS_CAP_SPREAD.getUnderlyingSwap2().getFixedLeg().getNthPayment(CMS_CAP_SPREAD.getUnderlyingSwap2().getFixedLeg().getNumberOfPayments() - 1).getPaymentTime()
        - CMS_CAP_SPREAD.getSettlementTime();
    final DoublesPair expectedExpiryTenor2 = new DoublesPair(CMS_CAP_SPREAD.getFixingTime(), maturity2);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
    final SABRSwaptionProviderDiscount sabrBundleAlphaBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
    final double pvLongPayerAlphaBumped = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, sabrBundleAlphaBumped).getAmount(EUR);
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 2);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor1), true);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor2), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor1) + pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor2), 5.0E+3);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped();
    final SABRSwaptionProviderDiscount sabrBundleRhoBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
    final double pvLongPayerRhoBumped = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, sabrBundleRhoBumped).getAmount(EUR);
    final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
    assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 2);
    assertEquals("Rho sensitivity expiry/tenor", pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor1), true);
    assertEquals("Rho sensitivity expiry/tenor", pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor2), true);
    assertEquals("Rho sensitivity value", expectedRhoSensi, pvsCapLong.getRho().getMap().get(expectedExpiryTenor1) + pvsCapLong.getRho().getMap().get(expectedExpiryTenor2), 5.0E+1);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped();
    final SABRSwaptionProviderDiscount sabrBundleNuBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
    final double pvLongPayerNuBumped = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, sabrBundleNuBumped).getAmount(EUR);
    final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
    assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 2);
    assertTrue("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor1));
    assertTrue("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor2));
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    final double shiftAlpha = 0.00001;
    final double maturity = CMS_CAP.getUnderlyingSwap().getFixedLeg().getNthPayment(CMS_CAP.getUnderlyingSwap().getFixedLeg().getNumberOfPayments() - 1).getPaymentTime() - CMS_CAP.getSettlementTime();
    final DoublesPair expectedExpiryTenor = new DoublesPair(CMS_CAP.getFixingTime(), maturity);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
    final SABRSwaptionProviderDiscount sabrBundleAlphaBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
    final double pvLongPayerAlphaBumped = METHOD_CAP_CMS_SABR.presentValue(CMS_CAP, sabrBundleAlphaBumped).getAmount(EUR);
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 1);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor), 3.0E+1);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped();
    final SABRSwaptionProviderDiscount sabrBundleRhoBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
    final double pvLongPayerRhoBumped = METHOD_CAP_CMS_SABR.presentValue(CMS_CAP, sabrBundleRhoBumped).getAmount(EUR);
    final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
    assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 1);
    assertEquals("Rho sensitivity expiry/tenor", pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Rho sensitivity value", expectedRhoSensi, pvsCapLong.getRho().getMap().get(expectedExpiryTenor), 1.0E+0);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped();
    final SABRSwaptionProviderDiscount sabrBundleNuBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
    final double pvLongPayerNuBumped = METHOD_CAP_CMS_SABR.presentValue(CMS_CAP, sabrBundleNuBumped).getAmount(EUR);
    final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
    assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 1);
    assertTrue("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor));
    assertEquals("Nu sensitivity value", expectedNuSensi, pvsCapLong.getNu().getMap().get(expectedExpiryTenor), 2.0E+0);
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      final MulticurveProviderDiscount curves = getMergedProviders(inputs, fxMatrix);
      final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = SwaptionUtils.getSwapGenerator(security, definition, securitySource);
      if (!(generatorSwap instanceof GeneratorSwapFixedIbor)) {
        throw new OpenGammaRuntimeException("Cannot handle swap generators of type " + generatorSwap.getClass());
      }
      return new SABRSwaptionProviderDiscount(curves, modelParameters, (GeneratorSwapFixedIbor) generatorSwap);
    }
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