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

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

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  /**
   * Test the present value curves sensitivity.
   */
  public void presentValueCurveSensitivity() {

    final MultipleCurrencyParameterSensitivity pvicsFD = PS_PV_FDC.calculateSensitivity(YEAR_ON_YEAR_CAP, BLACK_INFLATION);
    final MultipleCurrencyParameterSensitivity pvicsExact = PSC.calculateSensitivity(YEAR_ON_YEAR_CAP, BLACK_INFLATION, MARKET.getAllNames());

    AssertSensivityObjects.assertEquals("Year on year coupon inflation DiscountingMethod: presentValueCurveSensitivity ", pvicsExact, pvicsFD, TOLERANCE_PV_DELTA);

  }
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    assertEquals("SwaptionPhysicalFixedIborSABRMethod: present value : method and calculator", pvMethod, pvCalculator);
  }

  @Test
  public void presentValueCurveSensitivityApproximation() {
    final MultipleCurrencyParameterSensitivity pvpsExact = PS_HW_C.calculateSensitivity(CPN_CMS, HW_MULTICURVES, HW_MULTICURVES.getMulticurveProvider().getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsFD = PS_HW_FDC.calculateSensitivity(CPN_CMS, HW_MULTICURVES);
    AssertSensivityObjects.assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA);
  }
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  @Test
  /**
   * Test the present value sensitivity for a swaption with strike above the cut-off strike.
   */
  public void presentValueCurveSensitivityLongPayerExtra() {
    final MultipleCurrencyParameterSensitivity pvpsExact = PS_SSX_C.calculateSensitivity(SWAPTION_LONG_PAYER_HIGH, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsFD = PS_SSX_FDC.calculateSensitivity(SWAPTION_LONG_PAYER_HIGH, SABR_MULTICURVES);
    AssertSensivityObjects.assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA);
  }
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  @Test
  /**
   * Test the present value sensitivity for a swaption with strike above the cut-off strike.
   */
  public void presentValueCurveSensitivityLongReceiverExtra() {
    final MultipleCurrencyParameterSensitivity pvpsExact = PS_SSX_C.calculateSensitivity(SWAPTION_LONG_RECEIVER_HIGH, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsFD = PS_SSX_FDC.calculateSensitivity(SWAPTION_LONG_RECEIVER_HIGH, SABR_MULTICURVES);
    AssertSensivityObjects.assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA);
  }
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  @Test
  /**
   * Test the present value sensitivity for a swaption with strike above the cut-off strike.
   */
  public void presentValueCurveSensitivityShortReceiverExtra() {
    final MultipleCurrencyParameterSensitivity pvpsExact = PS_SSX_C.calculateSensitivity(SWAPTION_SHORT_PAYER_HIGH, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsFD = PS_SSX_FDC.calculateSensitivity(SWAPTION_SHORT_PAYER_HIGH, SABR_MULTICURVES);
    AssertSensivityObjects.assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA);
  }
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  @Test
  /**
   * Tests present value curve sensitivity when the valuation date is on trade date.
   */
  public void presentValueCurveSensitivity() {
    final MultipleCurrencyParameterSensitivity pvpsExact = PS_HW_C.calculateSensitivity(CAP_LONG, HW_MULTICURVES, HW_MULTICURVES.getMulticurveProvider().getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsFD = PS_HW_FDC.calculateSensitivity(CAP_LONG, HW_MULTICURVES);
    AssertSensivityObjects.assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA);
  }
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  @Test
  /**
   * Tests present value curve sensitivity when the valuation date is on trade date.
   */
  public void presentValueCurveSensitivityCap() {
    final MultipleCurrencyParameterSensitivity pvpsExact = PS_SS_C.calculateSensitivity(CAP_LONG, BLACK_MULTICURVES, BLACK_MULTICURVES.getMulticurveProvider().getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsFD = PS_SS_FDC.calculateSensitivity(CAP_LONG, BLACK_MULTICURVES);
    AssertSensivityObjects.assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA);
  }
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  /**
   * Test the present value curves sensitivity.
   */
  public void presentValueCurveSensitivityWithNotional() {

    final MultipleCurrencyParameterSensitivity pvicsFD = PS_PV_FDC.calculateSensitivity(ZERO_COUPON_1, MARKET.getInflationProvider());
    final MultipleCurrencyParameterSensitivity pvicsExact = PSC.calculateSensitivity(ZERO_COUPON_1, MARKET.getInflationProvider(), MARKET.getAllNames());

    AssertSensivityObjects.assertEquals("Zero-coupon inflation DiscountingMethod: presentValueCurveSensitivity ", pvicsExact, pvicsFD, TOLERANCE_PV_DELTA);

  }
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  @Test
  /**
   * Test the present value curve sensitivity.
   */
  public void presentValueCurveSensitivity() {
    final MultipleCurrencyParameterSensitivity pvpsExact = PS_LL_C.calculateSensitivity(SWAPTION_PAYER_LONG, LMM_MULTICURVES, LMM_MULTICURVES.getMulticurveProvider().getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsFD = PS_LL_FDC.calculateSensitivity(SWAPTION_PAYER_LONG, LMM_MULTICURVES);
    AssertSensivityObjects.assertEquals("SwaptionPhysicalFixedIborLMMDDMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA);
  }
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  @Test
  /**
   * Tests the price curve sensitivity of CMS coupon and cap/floor using replication in the SABR framework. Values are tested against finite difference values.
   */
  public void presentValueCurveSensitivityCap() {
    final MultipleCurrencyParameterSensitivity pvpsExact = PS_SS_C.calculateSensitivity(CMS_CAP_SPREAD, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsFD = PS_SS_FDC.calculateSensitivity(CMS_CAP_SPREAD, SABR_MULTICURVES);
    AssertSensivityObjects.assertEquals("CapFloorCMSSpreadSABRBinormalMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA);
  }
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