Examples of SABRInterestRateCorrelationParameters

Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateCorrelationParameters

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    Validate.notNull(curves);
    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      if (sabrBundle.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
        final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabrBundle.getSABRParameter();
        final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), _methodExtraCMSCap, _methodExtraCMSCpn);
        return method.presentValue(payment, sabrBundle).getAmount();
      }
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateDataBundle with correlation as data.");
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateCorrelationParameters

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  /**
   * Tests the present value against the price explicitly computed for constant correlation.
   */
  public void presentValueCurveSensitivityMethodVsCalculator() {
    final PresentValueCurveSensitivitySABRCalculator calculator = PresentValueCurveSensitivitySABRCalculator.getInstance();
    final SABRInterestRateCorrelationParameters sabrCorrelation = SABRInterestRateCorrelationParameters.from(SABR_PARAMETERS, CORRELATION_FUNCTION);
    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    final InterestRateCurveSensitivity pvcsMethod = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
    final InterestRateCurveSensitivity pvcsCalculator = new InterestRateCurveSensitivity(CMS_CAP_SPREAD.accept(calculator, sabrBundleCor));
    assertEquals("CMS spread: curve sensitivity Method vs Calculator", pvcsMethod, pvcsCalculator);
    // Extrapolation
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Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateCorrelationParameters

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   */
  public void presentValueCurveSensitivityCapLongShortParity() {
    final CapFloorCMSSpread cmsCapSpreadShort = new CapFloorCMSSpread(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE,
        IS_CAP, FUNDING_CURVE_NAME);
    final SABRInterestRateCorrelationParameters sabrCorrelation = SABRInterestRateCorrelationParameters.from(SABR_PARAMETERS, CORRELATION_FUNCTION);
    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    InterestRateCurveSensitivity pvcsLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
    pvcsLong = pvcsLong.cleaned();
    InterestRateCurveSensitivity pvcsShort = METHOD_CMS_SPREAD.presentValueCurveSensitivity(cmsCapSpreadShort, sabrBundleCor);
    pvcsShort = pvcsShort.multipliedBy(-1);
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Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateCorrelationParameters

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   */
  public void presentValueCurveSensitivityFloorLongShortParity() {
    final CapFloorCMSSpread cmsCapSpreadShort = new CapFloorCMSSpread(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE,
        !IS_CAP, FUNDING_CURVE_NAME);
    final SABRInterestRateCorrelationParameters sabrCorrelation = SABRInterestRateCorrelationParameters.from(SABR_PARAMETERS, CORRELATION_FUNCTION);
    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    InterestRateCurveSensitivity pvcsLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_FLOOR_SPREAD, sabrBundleCor);
    pvcsLong = pvcsLong.cleaned();
    InterestRateCurveSensitivity pvcsShort = METHOD_CMS_SPREAD.presentValueCurveSensitivity(cmsCapSpreadShort, sabrBundleCor);
    pvcsShort = pvcsShort.multipliedBy(-1);
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Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateCorrelationParameters

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  @Test
  /**
   * Tests the present value curve sensitivity cap/floor parity (Cap - Floor = (cms1 - cms2) - strike).
   */
  public void presentValueCurveSensitivityCapFloorParity() {
    final SABRInterestRateCorrelationParameters sabrCorrelation = SABRInterestRateCorrelationParameters.from(SABR_PARAMETERS, CORRELATION_FUNCTION);
    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    InterestRateCurveSensitivity pvcsCapLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
    pvcsCapLong = pvcsCapLong.cleaned();
    InterestRateCurveSensitivity pvcsFloorLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_FLOOR_SPREAD, sabrBundleCor);
    pvcsFloorLong = pvcsFloorLong.cleaned();
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Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateCorrelationParameters

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  /**
   * Tests the present value against the price explicitly computed for constant correlation.
   */
  public void presentValueSABRSensitivityMethodVsCalculator() {
    final PresentValueSABRSensitivitySABRCalculator calculator = PresentValueSABRSensitivitySABRCalculator.getInstance();
    final SABRInterestRateCorrelationParameters sabrCorrelation = SABRInterestRateCorrelationParameters.from(SABR_PARAMETERS, CORRELATION_FUNCTION);
    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    final PresentValueSABRSensitivityDataBundle pvcsMethod = METHOD_CMS_SPREAD.presentValueSABRSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
    final PresentValueSABRSensitivityDataBundle pvcsCalculator = CMS_CAP_SPREAD.accept(calculator, sabrBundleCor);
    assertEquals("CMS spread: SABR sensitivity Method vs Calculator", pvcsMethod, pvcsCalculator);
    // Extrapolation
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Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateCorrelationParameters

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   */
  public void presentValueSABRSensitivityLongShortParity() {
    final CapFloorCMSSpread cmsSpreadShort = new CapFloorCMSSpread(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE,
        IS_CAP, FUNDING_CURVE_NAME);
    final SABRInterestRateCorrelationParameters sabrCorrelation = SABRInterestRateCorrelationParameters.from(SABR_PARAMETERS, CORRELATION_FUNCTION);
    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    final PresentValueSABRSensitivityDataBundle pvssLong = METHOD_CMS_SPREAD.presentValueSABRSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
    PresentValueSABRSensitivityDataBundle pvssShort = METHOD_CMS_SPREAD.presentValueSABRSensitivity(cmsSpreadShort, sabrBundleCor);
    pvssShort = pvssShort.multiplyBy(-1);
    assertEquals("CMS spread: Long/Short parity", pvssLong, pvssShort);
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Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateCorrelationParameters

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  @Override
  public PresentValueSABRSensitivityDataBundle visitCapFloorCMSSpread(final CapFloorCMSSpread payment, final SABRSwaptionProviderInterface sabr) {
    if (sabr.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
      // TODO: improve correlation data handling
      final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabr.getSABRParameter();
      final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), METHOD_CMS_CAP, METHOD_CMS_CPN);
      return method.presentValueSABRSensitivity(payment, sabr);
    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRSwaptionCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateCorrelationParameters as data.");
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateCorrelationParameters

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    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final DoubleFunction1D correlationFunction = getCorrelationFunction();
    final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateCorrelationParameters

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    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final DoubleFunction1D correlationFunction = getCorrelationFunction();
    final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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