Examples of SABRInterestRateParameters

com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters
Class describing the SABR parameter surfaces used in interest rate modeling.

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

   * @param sabrData The SABR data bundle. The SABR function need to be the Hagan function.
   * @return The present value sensitivity to SABR parameters.
   */
  @Override
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final CapFloorCMS cmsCapFloor, final SABRInterestRateDataBundle sabrData) {
    final SABRInterestRateParameters sabrParameter = sabrData.getSABRParameter();
    final SwapFixedCoupon<? extends Payment> underlyingSwap = cmsCapFloor.getUnderlyingSwap();
    final double forward = underlyingSwap.accept(PRC, sabrData);
    final double discountFactor = sabrData.getCurve(underlyingSwap.getFixedLeg().getNthPayment(0).getFundingCurveName()).getDiscountFactor(cmsCapFloor.getPaymentTime());
    final double strike = cmsCapFloor.getStrike();
    final double maturity = underlyingSwap.getFixedLeg().getNthPayment(underlyingSwap.getFixedLeg().getNumberOfPayments() - 1).getPaymentTime() - cmsCapFloor.getSettlementTime();

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

   * @param sabrData The SABR data bundle. The SABR function need to be the Hagan function.
   * @return The present value sensitivity to strike.
   */
  @Override
  public double presentValueStrikeSensitivity(final CapFloorCMS cmsCapFloor, final SABRInterestRateDataBundle sabrData) {
    final SABRInterestRateParameters sabrParameter = sabrData.getSABRParameter();
    final SwapFixedCoupon<? extends Payment> underlyingSwap = cmsCapFloor.getUnderlyingSwap();
    final double forward = underlyingSwap.accept(PRC, sabrData);
    final double discountFactor = sabrData.getCurve(underlyingSwap.getFixedLeg().getNthPayment(0).getFundingCurveName()).getDiscountFactor(cmsCapFloor.getPaymentTime());
    final double strike = cmsCapFloor.getStrike();
    final double maturity = underlyingSwap.getFixedLeg().getNthPayment(underlyingSwap.getFixedLeg().getNumberOfPayments() - 1).getPaymentTime() - cmsCapFloor.getSettlementTime();
    final DoublesPair expiryMaturity = new DoublesPair(cmsCapFloor.getFixingTime(), maturity);


    final CMSStrikeIntegrant integrant = new CMSStrikeIntegrant(cmsCapFloor, sabrParameter, forward);
    final double factor = discountFactor * integrant.g(forward) / integrant.h(forward);


    final double absoluteTolerance = 1.0E-9;
    final double relativeTolerance = 1.0E-5;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, getNbIteration());


    final double alpha = sabrParameter.getAlpha(expiryMaturity);
    final double beta = sabrParameter.getBeta(expiryMaturity);
    final double rho = sabrParameter.getRho(expiryMaturity);
    final double nu = sabrParameter.getNu(expiryMaturity);
    final SABRFormulaData sabrPoint = new SABRFormulaData(alpha, beta, rho, nu);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, cmsCapFloor.getFixingTime(), cmsCapFloor.isCap());
    final Function1D<SABRFormulaData, double[]> sabrFunctionAdjoint = sabrParameter.getSabrFunction().getVolatilityAdjointFunction(option, forward);
    final double[] volA = sabrFunctionAdjoint.evaluate(sabrPoint);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volA[0]);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] bsA = blackFunction.getPriceAdjoint(option, dataBlack);

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

  private static final double TOLERANCE_PV = 1.0E-2;
  private static final double TOLERANCE_PV_DELTA = 1.0E+0; //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move.


  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNoSABRHaganSensi() {
    final SABRInterestRateParameters sabrParameter = SABRDataSets.createSABR1(new SABRHaganAlternativeVolatilityFunction());
    final SABRSwaptionProviderDiscount sabrBundle = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameter, EUR1YEURIBOR6M);
    PVCSSSC.visit(SWAPTION_LONG_PAYER, sabrBundle);
  }

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

    // SABR sensitivity vs finite difference
    final double pvLongPayer = METHOD_SWPT_SABR.presentValue(SWAPTION_LONG_PAYER, SABR_MULTICURVES).getAmount(EUR);
    final double shift = 1.0E-8;
    final DoublesPair expectedExpiryTenor = new DoublesPair(SWAPTION_LONG_PAYER.getTimeToExpiry(), ANNUITY_TENOR_YEAR);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = SABRDataSets.createSABR1AlphaBumped(shift);
    final SABRSwaptionProviderDiscount sabrBundleAlphaBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
    final double pvLongPayerAlphaBumped = METHOD_SWPT_SABR.presentValue(SWAPTION_LONG_PAYER, sabrBundleAlphaBumped).getAmount(EUR);
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pvLongPayer) / shift;
    assertEquals("Number of alpha sensitivity", pvsLongPayer.getAlpha().getMap().keySet().size(), 1);
    assertEquals("Alpha sensitivity expiry/tenor", pvsLongPayer.getAlpha().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Alpha sensitivity value", pvsLongPayer.getAlpha().getMap().get(expectedExpiryTenor), expectedAlphaSensi, 1.0E+1);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped(shift);
    final SABRSwaptionProviderDiscount sabrBundleRhoBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
    final double pvLongPayerRhoBumped = METHOD_SWPT_SABR.presentValue(SWAPTION_LONG_PAYER, sabrBundleRhoBumped).getAmount(EUR);
    final double expectedRhoSensi = (pvLongPayerRhoBumped - pvLongPayer) / shift;
    assertEquals("Number of rho sensitivity", pvsLongPayer.getRho().getMap().keySet().size(), 1);
    assertEquals("Rho sensitivity expiry/tenor", pvsLongPayer.getRho().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Rho sensitivity value", pvsLongPayer.getRho().getMap().get(expectedExpiryTenor), expectedRhoSensi, 5.0E-1);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped(shift);
    final SABRSwaptionProviderDiscount sabrBundleNuBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
    final double pvLongPayerNuBumped = METHOD_SWPT_SABR.presentValue(SWAPTION_LONG_PAYER, sabrBundleNuBumped).getAmount(EUR);
    final double expectedNuSensi = (pvLongPayerNuBumped - pvLongPayer) / shift;
    assertEquals("Number of nu sensitivity", pvsLongPayer.getNu().getMap().keySet().size(), 1);
    assertEquals("Nu sensitivity expiry/tenor", pvsLongPayer.getNu().getMap().keySet().contains(expectedExpiryTenor), true);

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

   * Test the present value for a CMS cap with pricing by replication in the SABR with extrapolation framework.
   * The present value is tested against hard-coded value and a long/short parity is tested.
   */
  public void testPriceReplicationCap() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    // CMS cap/floor with strike 0 has the same price as a CMS coupon.
    final double priceCapLongStd = METHOD_STANDARD_CAP.presentValue(CMS_CAP_LONG, sabrBundle).getAmount();
    final double priceCapLongExtra = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, sabrBundle).getAmount();
    final double priceCapShortExtra = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_SHORT, sabrBundle).getAmount();

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

  /**
   * Test the present value rate sensitivity for a CMS cap with pricing by replication in the SABR with extrapolation framework.
   */
  public void presentValueCurveSensitivity() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    // Swaption sensitivity
    InterestRateCurveSensitivity pvsCapLong = METHOD_EXTRAPOLATION_CAP.presentValueCurveSensitivity(CMS_CAP_LONG, sabrBundle);
    InterestRateCurveSensitivity pvsCapLongStd = METHOD_STANDARD_CAP.presentValueCurveSensitivity(CMS_CAP_LONG, sabrBundle);
    final InterestRateCurveSensitivity pvsCapShort = METHOD_EXTRAPOLATION_CAP.presentValueCurveSensitivity(CMS_CAP_SHORT, sabrBundle);

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

  @Test
  /**
   * Tests the cap present value SABR parameters sensitivity vs finite difference.
   */
  public void presentValueSABRSensitivity() {
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, CURVES);
    final double pv = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, sabrBundle).getAmount();
    final PresentValueSABRSensitivityDataBundle pvsCapLong = METHOD_EXTRAPOLATION_CAP.presentValueSABRSensitivity(CMS_CAP_LONG, sabrBundle);
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final double maturity = CMS_CAP_LONG.getUnderlyingSwap().getFixedLeg().getNthPayment(CMS_CAP_LONG.getUnderlyingSwap().getFixedLeg().getNumberOfPayments() - 1).getPaymentTime()
        - CMS_CAP_LONG.getSettlementTime();
    final DoublesPair expectedExpiryTenor = new DoublesPair(CMS_CAP_LONG.getFixingTime(), maturity);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = TestsDataSetsSABR.createSABR1AlphaBumped(shiftAlpha);
    final SABRInterestRateDataBundle sabrBundleAlphaBumped = new SABRInterestRateDataBundle(sabrParameterAlphaBumped, CURVES);
    final double pvLongPayerAlphaBumped = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, sabrBundleAlphaBumped).getAmount();
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 1);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor), TOLERANCE_DELTA);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = TestsDataSetsSABR.createSABR1RhoBumped();
    final SABRInterestRateDataBundle sabrBundleRhoBumped = new SABRInterestRateDataBundle(sabrParameterRhoBumped, CURVES);
    final double pvLongPayerRhoBumped = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, sabrBundleRhoBumped).getAmount();
    final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
    assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 1);
    assertEquals("Rho sensitivity expiry/tenor", pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Rho sensitivity value", expectedRhoSensi, pvsCapLong.getRho().getMap().get(expectedExpiryTenor), TOLERANCE_DELTA);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = TestsDataSetsSABR.createSABR1NuBumped();
    final SABRInterestRateDataBundle sabrBundleNuBumped = new SABRInterestRateDataBundle(sabrParameterNuBumped, CURVES);
    final double pvLongPayerNuBumped = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, sabrBundleNuBumped).getAmount();
    final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
    assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 1);
    assertTrue("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor));

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

  @Test
  /**
   * Tests the coupon present value SABR parameters sensitivity vs finite difference.
   */
  public void presentValueSABRSensitivityCoupon() {
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, CURVES);
    final double pv = METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, sabrBundle).getAmount();
    final PresentValueSABRSensitivityDataBundle pvsCpn = METHOD_EXTRAPOLATION_CPN.presentValueSABRSensitivity(CMS_COUPON, sabrBundle);
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final double maturity = CMS_COUPON.getUnderlyingSwap().getFixedLeg().getNthPayment(CMS_COUPON.getUnderlyingSwap().getFixedLeg().getNumberOfPayments() - 1).getPaymentTime()
        - CMS_COUPON.getSettlementTime();
    final DoublesPair expectedExpiryTenor = new DoublesPair(CMS_COUPON.getFixingTime(), maturity);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = TestsDataSetsSABR.createSABR1AlphaBumped(shiftAlpha);
    final SABRInterestRateDataBundle sabrBundleAlphaBumped = new SABRInterestRateDataBundle(sabrParameterAlphaBumped, CURVES);
    final double pvLongPayerAlphaBumped = METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, sabrBundleAlphaBumped).getAmount();
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsCpn.getAlpha().getMap().keySet().size(), 1);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCpn.getAlpha().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsCpn.getAlpha().getMap().get(expectedExpiryTenor), TOLERANCE_DELTA);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = TestsDataSetsSABR.createSABR1RhoBumped();
    final SABRInterestRateDataBundle sabrBundleRhoBumped = new SABRInterestRateDataBundle(sabrParameterRhoBumped, CURVES);
    final double pvLongPayerRhoBumped = METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, sabrBundleRhoBumped).getAmount();
    final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
    assertEquals("Number of rho sensitivity", pvsCpn.getRho().getMap().keySet().size(), 1);
    assertEquals("Rho sensitivity expiry/tenor", pvsCpn.getRho().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Rho sensitivity value", expectedRhoSensi, pvsCpn.getRho().getMap().get(expectedExpiryTenor), TOLERANCE_DELTA);
    // Nu sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = TestsDataSetsSABR.createSABR1NuBumped();
    final SABRInterestRateDataBundle sabrBundleNuBumped = new SABRInterestRateDataBundle(sabrParameterNuBumped, CURVES);
    final double pvLongPayerNuBumped = METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, sabrBundleNuBumped).getAmount();
    final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
    assertEquals("Number of nu sensitivity", pvsCpn.getNu().getMap().keySet().size(), 1);
    assertTrue("Nu sensitivity expiry/tenor", pvsCpn.getNu().getMap().keySet().contains(expectedExpiryTenor));

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

  /**
   * Tests to estimate the impact of mu on the CMS coupon pricing. "enabled = false" for the standard testing.
   */
  public void testPriceMultiMu() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double[] mu = new double[] {1.10, 1.30, 1.55, 2.25, 3.50, 6.00, 15.0 };
    final int nbMu = mu.length;
    final double priceCouponStd = METHOD_STANDARD_CPN.presentValue(CMS_COUPON, sabrBundle).getAmount();
    final double rateCouponStd = priceCouponStd / (CMS_COUPON.getPaymentYearFraction() * CMS_COUPON.getNotional() * curves.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(CMS_COUPON.getPaymentTime()));

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

  /**
   * Tests of performance. "enabled = false" for the standard testing.
   */
  public void performanceCoupon() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    long startTime, endTime;
    final int nbTest = 1000;
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {

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