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

  /**
   * Tests of performance. "enabled = false" for the standard testing.
   */
  public void performanceCap() {
    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();

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

  @Override
  public MultipleCurrencyAmount presentValue(final CapFloorCMS cmsCapFloor, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(cmsCapFloor, "CMA cap/floor");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = cmsCapFloor.getCurrency();
    final SABRInterestRateParameters sabrParameter = sabrData.getSABRParameter();
    final SwapFixedCoupon<? extends Payment> underlyingSwap = cmsCapFloor.getUnderlyingSwap();
    final double forward = underlyingSwap.accept(PRDC, sabrData.getMulticurveProvider());
    final double discountFactor = sabrData.getMulticurveProvider().getDiscountFactor(ccy, cmsCapFloor.getPaymentTime());
    final CMSIntegrant integrant = new CMSIntegrant(cmsCapFloor, sabrParameter, forward);
    final double strike = cmsCapFloor.getStrike();

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

  @SuppressWarnings("synthetic-access")
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final CapFloorCMS cmsCapFloor, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(cmsCapFloor, "CMA cap/floor");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = cmsCapFloor.getCurrency();
    final SABRInterestRateParameters sabrParameter = sabrData.getSABRParameter();
    final SwapFixedCoupon<? extends Payment> underlyingSwap = cmsCapFloor.getUnderlyingSwap();
    final double forward = underlyingSwap.accept(PRDC, sabrData.getMulticurveProvider());
    final double discountFactor = sabrData.getMulticurveProvider().getDiscountFactor(ccy, cmsCapFloor.getPaymentTime());
    final double strike = cmsCapFloor.getStrike();
    // Common

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

  @Override
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final CapFloorCMS cmsCapFloor, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(cmsCapFloor, "CMA cap/floor");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = cmsCapFloor.getCurrency();
    final SABRInterestRateParameters sabrParameter = sabrData.getSABRParameter();
    final SwapFixedCoupon<? extends Payment> underlyingSwap = cmsCapFloor.getUnderlyingSwap();
    final double forward = underlyingSwap.accept(PRDC, sabrData.getMulticurveProvider());
    final double discountFactor = sabrData.getMulticurveProvider().getDiscountFactor(ccy, 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

  @Override
  public double presentValueStrikeSensitivity(final CapFloorCMS cmsCapFloor, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(cmsCapFloor, "CMA cap/floor");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = cmsCapFloor.getCurrency();
    final SABRInterestRateParameters sabrParameter = sabrData.getSABRParameter();
    final SwapFixedCoupon<? extends Payment> underlyingSwap = cmsCapFloor.getUnderlyingSwap();
    final double forward = underlyingSwap.accept(PRDC, sabrData.getMulticurveProvider());
    final double discountFactor = sabrData.getMulticurveProvider().getDiscountFactor(ccy, 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

    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 = SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
    final SABRSwaptionProviderDiscount sabrBundleAlphaBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
    final double pvLongPayerAlphaBumped = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, sabrBundleAlphaBumped).getAmount(EUR);
    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_PV_DELTA);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped();
    final SABRSwaptionProviderDiscount sabrBundleRhoBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
    final double pvLongPayerRhoBumped = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, sabrBundleRhoBumped).getAmount(EUR);
    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_PV_DELTA);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped();
    final SABRSwaptionProviderDiscount sabrBundleNuBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
    final double pvLongPayerNuBumped = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, sabrBundleNuBumped).getAmount(EUR);
    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

    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 = SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
    final SABRSwaptionProviderDiscount sabrBundleAlphaBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
    final double pvLongPayerAlphaBumped = METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, sabrBundleAlphaBumped).getAmount(EUR);
    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_PV_DELTA);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped();
    final SABRSwaptionProviderDiscount sabrBundleRhoBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
    final double pvLongPayerRhoBumped = METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, sabrBundleRhoBumped).getAmount(EUR);
    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_PV_DELTA);
    // Nu sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped();
    final SABRSwaptionProviderDiscount sabrBundleNuBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
    final double pvLongPayerNuBumped = METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, sabrBundleNuBumped).getAmount(EUR);
    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 the implied correlation computation for a range of correlations.
   */
  public void impliedCorrelation() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double[] correlation = new double[] {-0.50, 0.00, 0.50, 0.75, 0.80, 0.85, 0.90, 0.95, 0.99 };
    final int nbCor = correlation.length;
    final double[] impliedCorrelation = new double[nbCor];
    for (int loopcor = 0; loopcor < nbCor; loopcor++) {

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

    final DoublesPair expectedExpiryTenor1 = new DoublesPair(CMS_CAP_SPREAD.getFixingTime(), maturity1);
    final double maturity2 = CMS_CAP_SPREAD.getUnderlyingSwap2().getFixedLeg().getNthPayment(CMS_CAP_SPREAD.getUnderlyingSwap2().getFixedLeg().getNumberOfPayments() - 1).getPaymentTime()
        - CMS_CAP_SPREAD.getSettlementTime();
    final DoublesPair expectedExpiryTenor2 = new DoublesPair(CMS_CAP_SPREAD.getFixingTime(), maturity2);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = TestsDataSetsSABR.createSABR1AlphaBumped(shiftAlpha);
    final SABRInterestRateDataBundle sabrBundleAlphaBumped = new SABRInterestRateDataBundle(sabrParameterAlphaBumped, CURVES);
    final double pvLongPayerAlphaBumped = METHOD_CMS_SPREAD.presentValue(CMS_CAP_SPREAD, sabrBundleAlphaBumped).getAmount();
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 2);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor1), true);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor2), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor1) + pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor2), 5.0E+3);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = TestsDataSetsSABR.createSABR1RhoBumped();
    final SABRInterestRateDataBundle sabrBundleRhoBumped = new SABRInterestRateDataBundle(sabrParameterRhoBumped, CURVES);
    final double pvLongPayerRhoBumped = METHOD_CMS_SPREAD.presentValue(CMS_CAP_SPREAD, sabrBundleRhoBumped).getAmount();
    final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
    assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 2);
    assertEquals("Rho sensitivity expiry/tenor", pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor1), true);
    assertEquals("Rho sensitivity expiry/tenor", pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor2), true);
    assertEquals("Rho sensitivity value", expectedRhoSensi, pvsCapLong.getRho().getMap().get(expectedExpiryTenor1) + pvsCapLong.getRho().getMap().get(expectedExpiryTenor2), 5.0E+1);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = TestsDataSetsSABR.createSABR1NuBumped();
    final SABRInterestRateDataBundle sabrBundleNuBumped = new SABRInterestRateDataBundle(sabrParameterNuBumped, CURVES);
    final double pvLongPayerNuBumped = METHOD_CMS_SPREAD.presentValue(CMS_CAP_SPREAD, sabrBundleNuBumped).getAmount();
    final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
    assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 2);
    assertTrue("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor1));

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

    final DoublesPair expectedExpiryTenor1 = new DoublesPair(CMS_CAP_SPREAD.getFixingTime(), maturity1);
    final double maturity2 = CMS_CAP_SPREAD.getUnderlyingSwap2().getFixedLeg().getNthPayment(CMS_CAP_SPREAD.getUnderlyingSwap2().getFixedLeg().getNumberOfPayments() - 1).getPaymentTime()
        - CMS_CAP_SPREAD.getSettlementTime();
    final DoublesPair expectedExpiryTenor2 = new DoublesPair(CMS_CAP_SPREAD.getFixingTime(), maturity2);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = TestsDataSetsSABR.createSABR1AlphaBumped(shiftAlpha);
    final SABRInterestRateDataBundle sabrBundleAlphaBumped = new SABRInterestRateDataBundle(sabrParameterAlphaBumped, CURVES);
    final double pvLongPayerAlphaBumped = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, sabrBundleAlphaBumped).getAmount();
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 2);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor1), true);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor2), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor1) + pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor2), 5.0E+3);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = TestsDataSetsSABR.createSABR1RhoBumped();
    final SABRInterestRateDataBundle sabrBundleRhoBumped = new SABRInterestRateDataBundle(sabrParameterRhoBumped, CURVES);
    final double pvLongPayerRhoBumped = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, sabrBundleRhoBumped).getAmount();
    final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
    assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 2);
    assertEquals("Rho sensitivity expiry/tenor", pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor1), true);
    assertEquals("Rho sensitivity expiry/tenor", pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor2), true);
    assertEquals("Rho sensitivity value", expectedRhoSensi, pvsCapLong.getRho().getMap().get(expectedExpiryTenor1) + pvsCapLong.getRho().getMap().get(expectedExpiryTenor2), 5.0E+1);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = TestsDataSetsSABR.createSABR1NuBumped();
    final SABRInterestRateDataBundle sabrBundleNuBumped = new SABRInterestRateDataBundle(sabrParameterNuBumped, CURVES);
    final double pvLongPayerNuBumped = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, sabrBundleNuBumped).getAmount();
    final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
    assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 2);
    assertTrue("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor1));

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