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

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

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  @Test
  /**
   * Compare the method figures to the Calculator figures.
   */
  public void presentValueCurveSensitivityMethodVsCalculator() {
    final MultipleCurrencyMulticurveSensitivity pvcsMethod = METHOD_BLACK.presentValueCurveSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvcsCalculator = SWAPTION_LONG_REC.accept(PVCSBSC, BLACK_MULTICURVES);
    AssertSensivityObjects.assertEquals("Swaption Black method: present value", pvcsMethod, pvcsCalculator, TOLERANCE_DELTA);
  }
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    final List<ForwardSensitivity> listForward = new ArrayList<>();
    for (int loopfwd = 0; loopfwd < nbFwd; loopfwd++) {
      listForward.add(new ForwardSensitivity(times[loopfwd], times[loopfwd + 1], delta[loopfwd], forwardONBar[loopfwd]));
    }
    mapFwd.put(multicurve.getName(coupon.getIndex()), listForward);
    final MultipleCurrencyMulticurveSensitivity result = MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
    return result;
  }
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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 ForexOptionDigital optionDigital, final BlackForexSmileProviderInterface smileMulticurves) {
    ArgumentChecker.notNull(optionDigital, "Forex option");
    ForexOptionVanilla[] callSpread = callSpread(optionDigital, _spread);
    // Spread value
    MultipleCurrencyMulticurveSensitivity pvcsM = BASE_METHOD.presentValueCurveSensitivity(callSpread[0], smileMulticurves);
    MultipleCurrencyMulticurveSensitivity pvcsP = BASE_METHOD.presentValueCurveSensitivity(callSpread[1], smileMulticurves);
    return pvcsM.plus(pvcsP);
  }
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  public void presentValueCurveSensitivityExtra() {
    final MultipleCurrencyParameterSensitivity pvpsExact = PS_SS_X_C.calculateSensitivity(SWAPTION_LONG_PAYER_HIGH, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsFD = PS_SS_X_FDC.calculateSensitivity(SWAPTION_LONG_PAYER_HIGH, SABR_MULTICURVES);
    AssertSensivityObjects.assertEquals("SwaptionCashFixedIborSABRExtrapolationRightMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, 500 * TOLERANCE_PV_DELTA);
    // TODO review the precision.
    final MultipleCurrencyMulticurveSensitivity pvcsLP = SWAPTION_LONG_PAYER_HIGH.accept(PVCSSSXC, SABR_MULTICURVES).cleaned();
    final MultipleCurrencyMulticurveSensitivity pvcsSP = SWAPTION_SHORT_PAYER_HIGH.accept(PVCSSSXC, SABR_MULTICURVES).multipliedBy(-1).cleaned();
    AssertSensivityObjects.assertEquals("SwaptionCashFixedIborSABRExtrapolationRightMethod: presentValueCurveSensitivity ", pvcsLP, pvcsSP, TOLERANCE_PV_DELTA);
  }
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    mapDsc.put(multicurve.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.getFixingPeriodAccrualFactor(), forwardBar));
    mapFwd.put(multicurve.getName(coupon.getIndex()), listForward);
    final MultipleCurrencyMulticurveSensitivity result = MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
    return result;
  }
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    final double forwardBar = 1.0;
    final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
    final List<ForwardSensitivity> listForward = new ArrayList<>();
    listForward.add(new ForwardSensitivity(coupon.getFixingPeriodStartTime(), coupon.getFixingPeriodEndTime(), coupon.getFixingPeriodAccrualFactor(), forwardBar));
    mapFwd.put(multicurve.getName(coupon.getIndex()), listForward);
    final MultipleCurrencyMulticurveSensitivity result = MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.ofForward(mapFwd));
    return result;
  }
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    mapDsc.put(multicurve.getName(coupon.getCurrency()), listDiscounting);
    final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
    final List<ForwardSensitivity> listForward = new ArrayList<>();
    listForward.add(new ForwardSensitivity(times[0], times[nbFwd], delta, forwardBar));
    mapFwd.put(multicurve.getName(coupon.getIndex()), listForward);
    final MultipleCurrencyMulticurveSensitivity result = MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
    return result;
  }
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      final MulticurveSensitivity modifiedpvcsSecondLeg = pvcsSecondLeg.multipliedBy(-intermediateVariable);

      return modifiedpvcsFirstLeg.plus(modifiedpvcsSecondLeg);
    }
    final Currency ccy1 = swap.getFirstLeg().getCurrency();
    final MultipleCurrencyMulticurveSensitivity pvcs = swap.accept(PVCSMC, multicurves);
    final MulticurveSensitivity pvcs1 = pvcs.converted(ccy1, multicurves.getFxRates()).getSensitivity(ccy1);
    final MulticurveSensitivity pvmqscs = swap.getFirstLeg().accept(PVMQSCSMC, multicurves);
    final double pvmqs = swap.getFirstLeg().accept(PVMQSMC, multicurves);
    final double pv = multicurves.getFxRates().convert(swap.accept(PVMC, multicurves), ccy1).getAmount();
    // Implementation note: Total pv in currency 1.
    return pvcs1.multipliedBy(-1.0 / pvmqs).plus(pvmqscs.multipliedBy(pv / (pvmqs * pvmqs)));
 
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  @Override
  public MultipleCurrencyMulticurveSensitivity visitGenericAnnuity(final Annuity<? extends Payment> annuity, final MulticurveProviderInterface multicurve) {
    ArgumentChecker.notNull(annuity, "Annuity");
    ArgumentChecker.notNull(multicurve, "multicurve");
    MultipleCurrencyMulticurveSensitivity cs = annuity.getNthPayment(0).accept(this, multicurve);
    for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
      cs = cs.plus(annuity.getNthPayment(loopp).accept(this, multicurve));
    }
    return cs;
  }
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Related Classes of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity

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  • com.opengamma.analytics.financial.forex.provider.ForexDiscountingMethodTest
  • com.opengamma.analytics.financial.forex.provider.ForexForwardPointsMethodTest
  • com.opengamma.analytics.financial.forex.provider.ForexNonDeliverableForwardDiscountingMethodTest
  • com.opengamma.analytics.financial.forex.provider.ForexNonDeliverableOptionBlackSmileMethodTest
  • com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalBlackSmileMethodTest
  • com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalCallSpreadBlackSmileMethod
  • com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalCallSpreadMethodTest
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