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

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

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  //FIXME change the test and the pv method with correct accrual interests mechanism.
  public void testFixedBondMethodCalculator() {
    final MultipleCurrencyAmount pvMethod = METHOD_BOND_TR.presentValue(BOND_TRANSACTION_FIXED_3, ISSUER_MULTICURVES);
    final MultipleCurrencyAmount pvCalculator =BOND_TRANSACTION_FIXED_3.accept(PVIC, ISSUER_MULTICURVES);
    assertEquals("Fixed bond present value: Method vs Calculator", pvMethod, pvCalculator);
    final MultipleCurrencyMulticurveSensitivity pvsMethod = METHOD_BOND_TR.presentValueSensitivity(BOND_TRANSACTION_FIXED_3, ISSUER_MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvsCalculator = BOND_TRANSACTION_FIXED_3.accept(PVCSIC, ISSUER_MULTICURVES);
    AssertSensivityObjects.assertEquals("Fixed bond present value sensitivity: Method vs Calculator", pvsMethod, pvsCalculator, TOLERANCE_PV_DELTA);
  }
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  }

  @Test(enabled = false)
  //FIXME change the test and the pv method with correct accrual interests mechanism.
  public void testPVSIborBond() {
    final MultipleCurrencyMulticurveSensitivity pvs = METHOD_BOND_TR.presentValueSensitivity(BOND_TRANSACTION_FRN, ISSUER_MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvsNominal = NOMINAL_TR_1_FRN.accept(PVCSIC, ISSUER_MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvsCoupon = COUPON_TR_1_FRN.accept(PVCSIC, ISSUER_MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvsSettlement = BOND_SETTLEMENT_FRN.accept(PVCSIC, ISSUER_MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity expectedPvs = pvsNominal.plus(pvsCoupon).multipliedBy(QUANTITY_FRN).plus(pvsSettlement).cleaned();
    assertEquals("FRN present value sensitivity", expectedPvs, pvs.cleaned());
  }
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    AssertSensivityObjects.assertEquals("DepositCounterpartDiscountingMethod: presentValueCurveSensitivity ", pvpsDepositExact, pvpsDepositFD, TOLERANCE_PV_DELTA);
  }

  @Test
  public void presentValueCurveSensitivityMethodVsCalculator() {
    final MultipleCurrencyMulticurveSensitivity pvcsMethod = METHOD_TRANSACTION.presentValueCurveSensitivity(BILL_TRA, ISSUER_MULTICURVE);
    final MultipleCurrencyMulticurveSensitivity pvcsCalculator = BILL_TRA.accept(PVCSIC, ISSUER_MULTICURVE);
    AssertSensivityObjects.assertEquals("Bill Security: discounting method - curve sensitivity", pvcsMethod, pvcsCalculator, TOLERANCE_PV_DELTA);
  }
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    AssertSensivityObjects.assertEquals("DepositCounterpartDiscountingMethod: presentValueCurveSensitivity ", pvpsDepositExact, pvpsDepositFD, TOLERANCE_PV_DELTA);
  }

  @Test
  public void presentValueCurveSensitivityMethodVsCalculator() {
    final MultipleCurrencyMulticurveSensitivity pvcsMethod = METHOD_SECURITY.presentValueCurveSensitivity(BILL_BEL_IAM_SEC, ISSUER_MULTICURVE);
    final MultipleCurrencyMulticurveSensitivity pvcsCalculator = BILL_BEL_IAM_SEC.accept(PVCSIC, ISSUER_MULTICURVE);
    AssertSensivityObjects.assertEquals("Bill Security: discounting method - curve sensitivity", pvcsMethod, pvcsCalculator, TOLERANCE_PV);
  }
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   * @return The present value rate sensitivity.
   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final BondFuture future, final IssuerProviderInterface issuerMulticurves) {
    Currency ccy = future.getCurrency();
    final MulticurveSensitivity priceSensitivity = priceCurveSensitivity(future, issuerMulticurves);
    final MultipleCurrencyMulticurveSensitivity transactionSensitivity = MultipleCurrencyMulticurveSensitivity.of(ccy, priceSensitivity.multipliedBy(future.getNotional()));
    return transactionSensitivity;
  }
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    mapDsc.put(multicurve.getName(fra.getCurrency()), listDiscounting);
    final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
    final List<ForwardSensitivity> listForward = new ArrayList<>();
    listForward.add(new ForwardSensitivity(fra.getFixingPeriodStartTime(), fra.getFixingPeriodEndTime(), fra.getFixingYearFraction(), forwardBar));
    mapFwd.put(multicurve.getName(fra.getIndex()), listForward);
    final MultipleCurrencyMulticurveSensitivity result = MultipleCurrencyMulticurveSensitivity.of(fra.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
    return result;
  }
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   */
  public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final IssuerProviderInterface multicurves, final Set<String> curvesSet) {
    Validate.notNull(instrument, "null InterestRateDerivative");
    Validate.notNull(multicurves, "null multicurve");
    Validate.notNull(curvesSet, "null curves set");
    MultipleCurrencyMulticurveSensitivity sensitivity = instrument.accept(_curveSensitivityCalculator, multicurves);
    sensitivity = sensitivity.cleaned(); // TODO: for testing purposes mainly. Could be removed after the tests.
    return pointToParameterSensitivity(sensitivity, multicurves, curvesSet);
  }
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    mapDsc.put(multicurves.getName(coupon.getCurrency()), listDiscounting);
    final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
    final List<ForwardSensitivity> listForward = new ArrayList<>();
    listForward.add(new ForwardSensitivity(coupon.getFixingPeriodStartTime(), coupon.getFixingPeriodEndTime(), coupon.getFixingAccrualFactor(), forwardBar));
    mapFwd.put(multicurves.getName(coupon.getIndex()), listForward);
    final MultipleCurrencyMulticurveSensitivity result = MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
    return result;
  }
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  }

  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final BondFutureOptionPremiumTransaction transaction, final BlackBondFuturesSmilePriceProviderInterface blackPrice) {
    ArgumentChecker.notNull(transaction, "transaction");
    ArgumentChecker.notNull(blackPrice, "Black parameters");
    final MultipleCurrencyMulticurveSensitivity premiumSensitivity = METHOD_PAY_FIXED.presentValueCurveSensitivity(transaction.getPremium(), blackPrice.getMulticurveProvider());
    final MulticurveSensitivity securitySensitivity = METHOD_SECURITY.priceCurveSensitivity(transaction.getUnderlyingOption(), blackPrice);
    return premiumSensitivity.plus(MultipleCurrencyMulticurveSensitivity.of(transaction.getCurrency(),
        securitySensitivity.multipliedBy(transaction.getQuantity() * transaction.getUnderlyingOption().getUnderlyingFuture().getNotional())));
  }
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   * @return The present value curve sensitivity.
   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final BondFutureOptionPremiumTransaction transaction, final BlackBondFuturesSmileProviderInterface black) {
    ArgumentChecker.notNull(transaction, "transaction");
    ArgumentChecker.notNull(black, "Black parameters");
    final MultipleCurrencyMulticurveSensitivity premiumSensitivity = METHOD_PAY_FIXED.presentValueCurveSensitivity(transaction.getPremium(), black.getMulticurveProvider());
    final MulticurveSensitivity securitySensitivity = METHOD_SECURITY.priceCurveSensitivity(transaction.getUnderlyingOption(), black);
    return premiumSensitivity.plus(MultipleCurrencyMulticurveSensitivity.of(transaction.getCurrency(),
        securitySensitivity.multipliedBy(transaction.getQuantity() * transaction.getUnderlyingOption().getUnderlyingFuture().getNotional())));
  }
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