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

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

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  @Test
  /**
   * Tests the present value against the price explicitly computed for constant correlation.
   */
  public void presentValueCurveSensitivityMethodVsCalculator() {
    final MultipleCurrencyMulticurveSensitivity pvcsMethod = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, SABR_MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvcsCalculator = CMS_CAP_SPREAD.accept(PVCSSSC, SABR_MULTICURVES);
    AssertSensivityObjects.assertEquals("CMS spread: curve sensitivity Method vs Calculator", pvcsMethod, pvcsCalculator, TOLERANCE_PV_DELTA);
    // Extrapolation
    final MultipleCurrencyMulticurveSensitivity pvcsMethodExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValueCurveSensitivity(CMS_CAP_SPREAD, SABR_MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvcsCalculatorExtra = CMS_CAP_SPREAD.accept(PVCSSSXC, SABR_MULTICURVES);
    AssertSensivityObjects.assertEquals("CMS spread: curve sensitivity Method vs Calculator", pvcsMethodExtra, pvcsCalculatorExtra, TOLERANCE_PV_DELTA);
  }
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   * Tests the long/short parity for the present value curve sensitivity of a cap.
   */
  public void presentValueCurveSensitivityCapLongShortParity() {
    final CapFloorCMSSpread cmsCapSpreadShort = new CapFloorCMSSpread(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE, IS_CAP);
    MultipleCurrencyMulticurveSensitivity pvcsLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, SABR_MULTICURVES);
    pvcsLong = pvcsLong.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsShort = METHOD_CMS_SPREAD.presentValueCurveSensitivity(cmsCapSpreadShort, SABR_MULTICURVES);
    pvcsShort = pvcsShort.multipliedBy(-1);
    pvcsShort = pvcsShort.cleaned();
    AssertSensivityObjects.assertEquals("CMS cap spread: Long/Short parity", pvcsLong, pvcsShort, TOLERANCE_PV);
  }
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   * Tests the long/short parity for the present value curve sensitivity of a floor.
   */
  public void presentValueCurveSensitivityFloorLongShortParity() {
    final CapFloorCMSSpread cmsCapSpreadShort = new CapFloorCMSSpread(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE, !IS_CAP);
    MultipleCurrencyMulticurveSensitivity pvcsLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_FLOOR_SPREAD, SABR_MULTICURVES);
    pvcsLong = pvcsLong.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsShort = METHOD_CMS_SPREAD.presentValueCurveSensitivity(cmsCapSpreadShort, SABR_MULTICURVES);
    pvcsShort = pvcsShort.multipliedBy(-1);
    pvcsShort = pvcsShort.cleaned();
    AssertSensivityObjects.assertEquals("CMS floor spread: Long/Short parity", pvcsLong, pvcsShort, TOLERANCE_PV);
  }
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  @Test
  /**
   * Tests the present value curve sensitivity cap/floor parity (Cap - Floor = (cms1 - cms2) - strike).
   */
  public void presentValueCurveSensitivityCapFloorParity() {
    MultipleCurrencyMulticurveSensitivity pvcsCapLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, SABR_MULTICURVES);
    pvcsCapLong = pvcsCapLong.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsFloorLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_FLOOR_SPREAD, SABR_MULTICURVES);
    pvcsFloorLong = pvcsFloorLong.cleaned();
    final CouponCMS cms1 = new CouponCMS(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_1, SETTLEMENT_TIME);
    final CouponCMS cms2 = new CouponCMS(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_2, SETTLEMENT_TIME);
    final CouponFixed cpnStrike = new CouponFixed(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);
    MultipleCurrencyMulticurveSensitivity pvcsCMS1 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms1, SABR_MULTICURVES);
    pvcsCMS1 = pvcsCMS1.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsCMS2 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms2, SABR_MULTICURVES);
    pvcsCMS2 = pvcsCMS2.cleaned();
    final MultipleCurrencyMulticurveSensitivity pvcsStrike = METHOD_CPN_FIXED.presentValueCurveSensitivity(cpnStrike, MULTICURVES);
    MultipleCurrencyMulticurveSensitivity pvcsParity1 = pvcsCMS1.plus(pvcsCMS2.plus(pvcsStrike).multipliedBy(-1));
    pvcsParity1 = pvcsParity1.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsParity2 = pvcsCapLong.plus(pvcsFloorLong.multipliedBy(-1));
    pvcsParity2 = pvcsParity2.cleaned();
    AssertSensivityObjects.assertEquals("CMS spread: curve sensitivity - Cap/Floor parity", pvcsParity1, pvcsParity2, TOLERANCE_PV);
  }
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  @Test
  /**
   * Test the present value curve sensitivity through the method and through the calculator.
   */
  public void presentValueCurveSensitivityMethodVsCalculator() {
    final MultipleCurrencyMulticurveSensitivity pvcsMethod = METHOD_OPTION.presentValueCurveSensitivity(FOREX_CALL_OPTION, SMILE_MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvcsCalculator = FOREX_CALL_OPTION.accept(PVCSFBC, SMILE_MULTICURVES);
    assertEquals("Forex present value curve sensitivity: Method vs Calculator", pvcsMethod, pvcsCalculator);
  }
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    final ZonedDateTime END_DATE = START_DATE.plus(LENGTH_CMSCAP);
    final Period capPeriod = Period.ofMonths(6);
    final DayCount capDayCount = DayCountFactory.INSTANCE.getDayCount("ACT/360");
    final AnnuityCapFloorCMSDefinition capDefinition = AnnuityCapFloorCMSDefinition.from(START_DATE, END_DATE, NOTIONAL, INDEX_SWAP_5Y, capPeriod, capDayCount, false, STRIKE, IS_CAP, CALENDAR);
    final Annuity<? extends Payment> cap = capDefinition.toDerivative(REFERENCE_DATE);
    MultipleCurrencyMulticurveSensitivity pvcsCalculator = PVCSSSC.visit(cap, SABR_MULTICURVES);
    pvcsCalculator = pvcsCalculator.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsExpected = new MultipleCurrencyMulticurveSensitivity();
    for (int loopcpn = 0; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
      pvcsExpected = pvcsExpected.plus(PVCSSSC.visit(cap.getNthPayment(loopcpn), SABR_MULTICURVES));
    }
    pvcsExpected = pvcsExpected.cleaned();
    AssertSensivityObjects.assertEquals("Cap annuity - SABR pv", pvcsExpected, pvcsCalculator, 1.0E-2);
  }
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    AssertSensivityObjects.assertEquals("CashDiscountingProviderMethod: presentValueCurveSensitivity ", pvpsDepositExact, pvpsDepositFD, TOLERANCE_PV_DELTA);
  }

  @Test
  public void presentValueMarketSensitivityMethodVsCalculator() {
    final MultipleCurrencyMulticurveSensitivity pvcsMethod = METHOD_CPN_OIS.presentValueCurveSensitivity(CPN_OIS, MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvcsCalculator = CPN_OIS.accept(PVCSDC, MULTICURVES);
    AssertSensivityObjects.assertEquals("CouponFixedDiscountingMarketMethod: presentValueMarketSensitivity", pvcsMethod, pvcsCalculator, TOLERANCE_DELTA);
  }
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  // Testing note: the presentValueMarketSensitivity is tested in ParameterSensitivityProviderCalculatorTest

  @Test
  public void presentValueMarketSensitivityMethodVsCalculator() {
    final MultipleCurrencyMulticurveSensitivity pvcsMethod = METHOD_CPN_IBOR.presentValueCurveSensitivity(CPN_IBOR, MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvcsCalculator = CPN_IBOR.accept(PVCSDC, MULTICURVES);
    AssertSensivityObjects.assertEquals("CouponFixedDiscountingMarketMethod: presentValueMarketSensitivity", pvcsMethod, pvcsCalculator, TOLERANCE_PV_DELTA);
  }
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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_PV_DELTA);
  }
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    AssertSensivityObjects.assertEquals("CouponIborCompoundingFlatSpreadDiscountingMethod: presentValueCurveSensitivity ", pvpsDepositExact, pvpsDepositFD, TOLERANCE_PV_DELTA);
  }

  @Test
  public void presentValueCurveSensitivityMethodVsCalculator() {
    final MultipleCurrencyMulticurveSensitivity pvcsMethod = METHOD_COMPOUNDED.presentValueCurveSensitivity(CPN_BEFORE, MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvcsCalculator = CPN_BEFORE.accept(PVCSDC, MULTICURVES);
    AssertSensivityObjects.assertEquals("CouponIborCompoundingFlatSpreadDiscountingMethod: Present value curve sensitivity", pvcsMethod, pvcsCalculator, TOLERANCE_PV_DELTA);
  }
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