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

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

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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 presentValueCurveSensitivityFloor() {
    final MultipleCurrencyParameterSensitivity pvpsExact = PS_SS_C.calculateSensitivity(CMS_FLOOR_SPREAD, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsFD = PS_SS_FDC.calculateSensitivity(CMS_FLOOR_SPREAD, SABR_MULTICURVES);
    AssertSensivityObjects.assertEquals("CapFloorCMSSpreadSABRBinormalMethod: 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 presentValueCurveSensitivityCapExtrapolation() {
    final MultipleCurrencyParameterSensitivity pvpsExact = PS_SSX_C.calculateSensitivity(CMS_CAP_SPREAD, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsFD = PS_SSX_FDC.calculateSensitivity(CMS_CAP_SPREAD, SABR_MULTICURVES);
    AssertSensivityObjects.assertEquals("CapFloorCMSSpreadSABRBinormalMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA);
  }
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  /**
   * Test the present value curves sensitivity.
   */
  public void presentValueCurveSensitivity() {

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

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

  }
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    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionVanillaDefinition forexOptionDefinitionCall = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOptionCall = forexOptionDefinitionCall.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyParameterSensitivity pvpsExact = PS_FBS_C.calculateSensitivity(forexOptionCall, SMILE_FLAT_MULTICURVES, SMILE_FLAT_MULTICURVES
        .getMulticurveProvider().getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsFD = PS_FBS_FDC.calculateSensitivity(forexOptionCall, SMILE_FLAT_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(YEAR_ON_YEAR_WITH, MARKET.getInflationProvider());
    final MultipleCurrencyParameterSensitivity pvicsExact = PSC.calculateSensitivity(YEAR_ON_YEAR_WITH, MARKET.getInflationProvider(), MARKET.getAllNames());

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

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

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

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

  }
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   * Tests present value curve sensitivity when the valuation date is on trade date.
   */
  public void presentValueCurveSensitivityTrade() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 12);
    final DepositCounterpart deposit = DEPOSIT_CPTY_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyParameterSensitivity pvpsDepositExact = PS_PV_C.calculateSensitivity(deposit, PROVIDER_ISSUER, PROVIDER_ISSUER.getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsDepositFD = PS_PV_FDC.calculateSensitivity(deposit, PROVIDER_ISSUER);
    AssertSensivityObjects.assertEquals("DepositCounterpartDiscountingMethod: presentValueCurveSensitivity ", pvpsDepositExact, pvpsDepositFD, TOLERANCE_PV_DELTA);
  }
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   * Tests present value curve sensitivity when the valuation date is between settle date and maturity.
   */
  public void presentValueCurveSensitivityBetweenSettleMaturity() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 20);
    final DepositCounterpart deposit = DEPOSIT_CPTY_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyParameterSensitivity pvpsDepositExact = PS_PV_C.calculateSensitivity(deposit, PROVIDER_ISSUER, PROVIDER_ISSUER.getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsDepositFD = PS_PV_FDC.calculateSensitivity(deposit, PROVIDER_ISSUER);
    AssertSensivityObjects.assertEquals("DepositCounterpartDiscountingMethod: presentValueCurveSensitivity ", pvpsDepositExact, pvpsDepositFD, 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(CMS_CAP, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsFD = PS_SS_FDC.calculateSensitivity(CMS_CAP, 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 presentValueCurveSensitivityFoor() {
    final MultipleCurrencyParameterSensitivity pvpsExact = PS_SS_C.calculateSensitivity(CMS_FLOOR, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsFD = PS_SS_FDC.calculateSensitivity(CMS_FLOOR, SABR_MULTICURVES);
    AssertSensivityObjects.assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA);
  }
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  • com.opengamma.analytics.financial.interestrate.cash.provider.DepositCounterpartDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CouponInflationYearOnYearInterpolationDiscountingMethodTest
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