Package com.opengamma.analytics.financial.provider.method

Examples of com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderLMMDDCalibrationObjective

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    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);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption);
    calibrationEngine.addInstrument(swaptionCalibration, PVSSC);
    calibrationEngine.calibrate(sabrData);
    final LiborMarketModelDisplacedDiffusionProviderInterface lmm = new LiborMarketModelDisplacedDiffusionProvider(multicurves, lmmParameters, ccy);
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    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);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption);
    calibrationEngine.addInstrument(swaptionCalibration, PVSSC);
    calibrationEngine.calibrate(sabrData);
    final LiborMarketModelDisplacedDiffusionProviderInterface lmm = new LiborMarketModelDisplacedDiffusionProvider(multicurves, lmmParameters, ccy);
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    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);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption);
    calibrationEngine.addInstrument(swaptionCalibration, PVSSC);
    calibrationEngine.calibrate(sabrData);
    final LiborMarketModelDisplacedDiffusionProviderInterface lmm = new LiborMarketModelDisplacedDiffusionProvider(multicurves, lmmParameters, ccy);
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    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);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption);
    calibrationEngine.addInstrument(swaptionCalibration, PVSSC);
    calibrationEngine.calibrate(sabrData);
    final LiborMarketModelDisplacedDiffusionProviderInterface lmm = new LiborMarketModelDisplacedDiffusionProvider(multicurves, lmmParameters, ccy);
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    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      final LiborMarketModelDisplacedDiffusionParameters lmmParameters = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(REFERENCE_DATE,
          SWAP_PAYER_DEFINITION[SWAP_TENOR_YEAR.length - 1].getIborLeg());
      final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, EUR);
      final CalibrationEngineWithCalculators<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objective);
      for (int loopexp = 0; loopexp < SWAP_TENOR_YEAR.length; loopexp++) {
        calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], PVSSC);
      }
      calibrationEngine.calibrate(SABR_MULTICURVES);
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   * Tests the correctness of Hull-White one factor calibration to swaptions with SABR price.
   */
  public void calibration() {
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(REFERENCE_DATE,
        SWAP_PAYER_DEFINITION[SWAP_TENOR_YEAR.length - 1].getIborLeg());
    final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, EUR);
    final CalibrationEngineWithCalculators<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objective);
    for (int loopexp = 0; loopexp < SWAP_TENOR_YEAR.length; loopexp++) {
      calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], PVSSC);
    }
    calibrationEngine.calibrate(SABR_MULTICURVES);
    final MultipleCurrencyAmount[] pvSabr = new MultipleCurrencyAmount[SWAP_TENOR_YEAR.length];
    final MultipleCurrencyAmount[] pvLmm = new MultipleCurrencyAmount[SWAP_TENOR_YEAR.length];
    for (int loopexp = 0; loopexp < SWAP_TENOR_YEAR.length; loopexp++) {
      pvSabr[loopexp] = SWAPTION_LONG_PAYER[loopexp].accept(PVSSC, SABR_MULTICURVES);
      pvLmm[loopexp] = METHOD_LMM.presentValue(SWAPTION_LONG_PAYER[loopexp], objective.getLMMProvider());
      assertEquals("Hull-White calibration: swaption " + loopexp, pvSabr[loopexp].getAmount(EUR), pvLmm[loopexp].getAmount(EUR), TOLERANCE_PV);
    }
  }
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          METHOD_SABR.presentValue(swaptionCalibration2[loopcal], SABR_MULTICURVES).getAmount(EUR), TOLERANCE_PV);
    }
    // Calibration and price
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParametersDisplacementAngle(REFERENCE_DATE,
        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;
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Related Classes of com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderLMMDDCalibrationObjective

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