Package com.opengamma.analytics.financial.provider.sensitivity.multicurve

Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity

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    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double priceBar = 1.0;
    final double forwardBar = priceAdjoint[1] * priceBar;
    final double priceFutureBar = -forwardBar;
    final MulticurveSensitivity priceFutureDerivative = METHOD_FUTURE.priceCurveSensitivity(security.getUnderlyingFuture(), blackData.getMulticurveProvider());
    return priceFutureDerivative.multipliedBy(priceFutureBar);
  }
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    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, calendar, 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();
    // Derivative of the forward and pvbp with respect to the rates.
    final MulticurveSensitivity pvbpModifiedDr = METHOD_SWAP.presentValueBasisPointCurveSensitivity(swaption.getUnderlyingSwap(), dayCountModification,
        calendar, multicurves);
    final MulticurveSensitivity forwardModifiedDr = PRCSDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, multicurves);
    // Implementation note: strictly speaking, the strike equivalent is curve dependent; that dependency is ignored.
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = blackMulticurves.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), maturity);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    MulticurveSensitivity result = pvbpModifiedDr.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * bsAdjoint[1]));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
  }
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    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, calendar, 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();
    final MulticurveSensitivity pvbpModifiedDr = METHOD_SWAP.presentValueBasisPointCurveSensitivity(swaption.getUnderlyingSwap(), dayCountModification,
        calendar, multicurves);
    final MulticurveSensitivity forwardModifiedDr = PRCSDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, multicurves);
    final MulticurveSensitivity pvbpModifiedDr2 = METHOD_SWAP.presentValueBasisPointSecondOrderCurveSensitivity(swaption.getUnderlyingSwap(), dayCountModification,
        calendar, multicurves);
    final MulticurveSensitivity forwardModifiedDr2 = PRCSDC.visitFixedCouponSwapDerivative(swaption.getUnderlyingSwap(), dayCountModification, multicurves);

    final double volatility = blackMulticurves.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), maturity);

    final double price = BlackFormulaRepository.price(forwardModified, strikeModified, volatility, swaption.getTimeToExpiry(), swaption.isCall());
    final double delta = BlackFormulaRepository.delta(forwardModified, strikeModified, volatility, swaption.getTimeToExpiry(), swaption.isCall());
    final double gamma = BlackFormulaRepository.gamma(forwardModified, strikeModified, volatility, swaption.getTimeToExpiry());

    MulticurveSensitivity result = pvbpModifiedDr2.multipliedBy(price);
    result = result.plus(pvbpModifiedDr.productOf(forwardModifiedDr.multipliedBy(2. * pvbpModified * delta)));
    result = result.plus(forwardModifiedDr2.multipliedBy(pvbpModified * delta));
    result = result.plus(forwardModifiedDr.productOf(forwardModifiedDr.multipliedBy(pvbpModified * gamma)));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
  }
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      final DoublesPair dfSensi = new DoublesPair(cft[loopcf], -cft[loopcf] * dfLMM[loopcf] * dfLMMBar[loopcf]);
      listDfSensi.add(dfSensi);
    }
    final Map<String, List<DoublesPair>> pvsDF = new HashMap<>();
    pvsDF.put(multicurves.getName(ccy), listDfSensi);
    MulticurveSensitivity sensitivity = MulticurveSensitivity.ofYieldDiscounting(pvsDF);

    final Map<Double, MulticurveSensitivity> cfeCurveSensi = swaption.getUnderlyingSwap().accept(CFECSC, multicurves);
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      final MulticurveSensitivity sensiCfe = cfeCurveSensi.get(cfe.getNthPayment(loopcf).getPaymentTime());
      if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.
        sensitivity = sensitivity.plus(sensiCfe.multipliedBy(-multFact * cfaInitBar[loopcf]));
      }
    }
    return MultipleCurrencyMulticurveSensitivity.of(ccy, sensitivity);
  }
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    ArgumentChecker.notNull(inflation, "Market");
    ArgumentChecker.notNull(swap, "Swap");
    if (swap.getFirstLeg().getNumberOfPayments() == 1 && swap.getFirstLeg().getNthPayment(0) instanceof CouponFixedCompounding) {
      // Implementation note: check if the swap is an inflation swap.
      final InflationSensitivity pvcis = swap.getSecondLeg().accept(PVISC, inflation).getSensitivity(swap.getSecondLeg().getCurrency());
      final MulticurveSensitivity pvcs = swap.getFirstLeg().accept(PVSC, inflation.getMulticurveProvider()).getSensitivity(swap.getFirstLeg().getCurrency());

      final CouponFixedCompounding cpn = (CouponFixedCompounding) swap.getFirstLeg().getNthPayment(0);
      final double pvInflationLeg = swap.getSecondLeg().accept(PVIC, inflation).getAmount(swap.getSecondLeg().getCurrency());
      final double discountFactor = inflation.getDiscountFactor(swap.getFirstLeg().getCurrency(), cpn.getPaymentTime());
      final double tenor = cpn.getPaymentAccrualFactors().length;

      final double notional = ((CouponInflation) swap.getSecondLeg().getNthPayment(0)).getNotional();
      final double intermediateVariable = (1 / tenor) * Math.pow(pvInflationLeg / discountFactor / notional + 1, 1 / tenor - 1) / (discountFactor * notional);
      final MulticurveSensitivity modifiedpvcs = pvcs.multipliedBy(-pvInflationLeg * intermediateVariable / discountFactor);
      final InflationSensitivity modifiedpvcis = pvcis.multipliedBy(intermediateVariable);

      return InflationSensitivity.of(modifiedpvcs.plus(modifiedpvcis.getMulticurveSensitivity()), modifiedpvcis.getPriceCurveSensitivities());
    }
    final Currency ccy1 = swap.getFirstLeg().getCurrency();
    final MultipleCurrencyMulticurveSensitivity pvcs = swap.accept(PVCSMC, inflation.getMulticurveProvider());
    final MulticurveSensitivity pvcs1 = pvcs.converted(ccy1, inflation.getFxRates()).getSensitivity(ccy1);
    final MulticurveSensitivity pvmqscs = swap.getFirstLeg().accept(PVMQSCSMC, inflation.getMulticurveProvider());
    final double pvmqs = swap.getFirstLeg().accept(PVMQSMC, inflation.getMulticurveProvider());
    final double pv = inflation.getFxRates().convert(swap.accept(PVMC, inflation.getMulticurveProvider()), ccy1).getAmount();
    // Implementation note: Total pv in currency 1.

    final Map<String, List<DoublesPair>> sensitivityPriceCurve = new HashMap<>();
    return InflationSensitivity.of(pvcs1.multipliedBy(-1.0 / pvmqs).plus(pvmqscs.multipliedBy(pv / (pvmqs * pvmqs))), sensitivityPriceCurve);
  }
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      listDfSensi.add(dfSensi);
    }
    final Map<String, List<DoublesPair>> pvsDF = new HashMap<>();
    pvsDF.put(hullWhite.getMulticurveProvider().getName(ccy), listDfSensi);

    MulticurveSensitivity sensitivity = MulticurveSensitivity.ofYieldDiscounting(pvsDF);
    final Map<Double, MulticurveSensitivity> cfeCurveSensi = swaption.getUnderlyingSwap().accept(CFECSC, hullWhite.getMulticurveProvider());
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      final MulticurveSensitivity sensiCfe = cfeCurveSensi.get(cfe.getNthPayment(loopcf).getPaymentTime());
      if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.
        sensitivity = sensitivity.plus(sensiCfe.multipliedBy(cfeAmountBar[loopcf]));
      }
    }
    if (!swaption.isLong()) {
      return MultipleCurrencyMulticurveSensitivity.of(ccy, sensitivity.multipliedBy(-1.0));
    }
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    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final double tenor = swaption.getMaturityTime();
    final double forward = swaption.getUnderlyingSwap().accept(PRDC, curveBlack.getMulticurveProvider());
    // Derivative of the forward with respect to the rates.
    final MulticurveSensitivity forwardDr = swaption.getUnderlyingSwap().accept(PRCS, curveBlack.getMulticurveProvider());
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // Derivative of the cash annuity with respect to the forward.
    final double pvbpDf = METHOD_SWAP.getAnnuityCashDerivative(swaption.getUnderlyingSwap(), forward);
    // Implementation note: strictly speaking, the strike equivalent is curve dependent; that dependency is ignored.
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
    final double discountFactorSettle = curveBlack.getMulticurveProvider().getDiscountFactor(swaption.getCurrency(), swaption.getSettlementTime());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
    final double sensiDF = -swaption.getSettlementTime() * discountFactorSettle * pvbp * bsAdjoint[0];
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(swaption.getSettlementTime(), sensiDF));
    MulticurveSensitivity result = forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * bsAdjoint[0] + pvbp * bsAdjoint[1]));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
  }
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    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final double tenor = swaption.getMaturityTime();
    final double forward = swaption.getUnderlyingSwap().accept(PRDC, curveBlack.getMulticurveProvider());
    // Derivative of the forward with respect to the rates.
    final MulticurveSensitivity forwardDr = swaption.getUnderlyingSwap().accept(PRCS, curveBlack.getMulticurveProvider());
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // Derivative of the cash annuity with respect to the forward.
    final double pvbpDf = METHOD_SWAP.getAnnuityCashDerivative(swaption.getUnderlyingSwap(), forward);
    final double pvbpDff = METHOD_SWAP.getAnnuityCashSecondDerivative(swaption.getUnderlyingSwap(), forward);
    // Implementation note: strictly speaking, the strike equivalent is curve dependent; that dependency is ignored.
    final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
    final double discountFactorSettle = curveBlack.getMulticurveProvider().getDiscountFactor(swaption.getCurrency(), swaption.getSettlementTime());

    final double price = BlackFormulaRepository.price(forward, swaption.getStrike(), volatility, swaption.getTimeToExpiry(), swaption.isCall());
    final double delta = BlackFormulaRepository.delta(forward, swaption.getStrike(), volatility, swaption.getTimeToExpiry(), swaption.isCall());
    final double gamma = BlackFormulaRepository.gamma(forward, swaption.getStrike(), volatility, swaption.getTimeToExpiry());

    MulticurveSensitivity result = forwardDr.multipliedBy(discountFactorSettle * (pvbpDff * price + 2. * pvbpDf * delta + pvbp * gamma));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
  }
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    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final Currency ccy = swaption.getCurrency();
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRDC, multicurves);
    // Derivative of the forward with respect to the rates.
    final MulticurveSensitivity forwardDr = swaption.getUnderlyingSwap().accept(PRCSDC, multicurves);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // Derivative of the cash annuity with respect to the forward.
    final double pvbpDf = METHOD_SWAP.getAnnuityCashDerivative(swaption.getUnderlyingSwap(), forward);
    // Implementation note: strictly speaking, the strike equivalent is curve dependent; that dependency is ignored.
    final double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, swaption.getStrike(), forward);
    final double discountFactorSettle = multicurves.getDiscountFactor(ccy, swaption.getSettlementTime());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
    final double sensiDF = -swaption.getSettlementTime() * discountFactorSettle * pvbp * bsAdjoint[0];
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(swaption.getSettlementTime(), sensiDF));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(multicurves.getName(ccy), list);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    result = result.plus(forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * bsAdjoint[0] + pvbp * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1]))));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(ccy, result);
  }
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    assertEquals("Fixed coupon bond security: convexity from curves US Street", convexityExpected, convexity, 1E-8);
  }

  @Test
  public void dirtyPriceCurveSensitivity() {
    MulticurveSensitivity sensi = METHOD_BOND_SECURITY.dirtyPriceCurveSensitivity(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES).cleaned();
    sensi = sensi.cleaned();
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES);
    final double dfSettle = ISSUER_MULTICURVES.getMulticurveProvider().getDiscountFactor(CUR, BOND_FIXED_SECURITY_1.getSettlementTime());
    final String DSC_CURVE_NAME = ISSUER_MULTICURVES.getMulticurveProvider().getName(CUR);
    final String ISS_CURVE_NAME = ISSUER_MULTICURVES.getName(BOND_FIXED_SECURITY_1.getIssuerCcy());
    assertEquals("Fixed coupon bond security: dirty price curve sensitivity: risk-less curve", BOND_FIXED_SECURITY_1.getSettlementTime(), sensi.getYieldDiscountingSensitivities().get(DSC_CURVE_NAME)
        .get(0).first, TOLERANCE_PV_DELTA);
    assertEquals("Fixed coupon bond security: dirty price curve sensitivity: risk-less curve", BOND_FIXED_SECURITY_1.getSettlementTime() / dfSettle * pv.getAmount(CUR) / NOTIONAL, sensi
        .getYieldDiscountingSensitivities().get(DSC_CURVE_NAME).get(0).second, TOLERANCE_PV_DELTA);
    final double dfCpn0 = ISSUER_MULTICURVES.getMulticurveProvider().getDiscountFactor(BOND_FIXED_SECURITY_1.getCurrency(), BOND_FIXED_SECURITY_1.getCoupon().getNthPayment(0).getPaymentTime());
    assertEquals("Fixed coupon bond security: dirty price curve sensitivity: repo curve", BOND_FIXED_SECURITY_1.getCoupon().getNthPayment(0).getPaymentTime(), sensi.getYieldDiscountingSensitivities()
        .get(ISS_CURVE_NAME).get(0).first, TOLERANCE_PV_DELTA);
    assertEquals("Fixed coupon bond security: dirty price curve sensitivity: repo curve", -BOND_FIXED_SECURITY_1.getCoupon().getNthPayment(0).getPaymentTime()
        * BOND_FIXED_SECURITY_1.getCoupon().getNthPayment(0).getAmount() * dfCpn0 / dfSettle / NOTIONAL, sensi.getYieldDiscountingSensitivities().get(ISS_CURVE_NAME).get(0).second, TOLERANCE_PV_DELTA);
  }
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