// -------------------------------------------------------------------------
private double forecastValueFwdSensitivity(Fra fra, double forwardRate, double eps) {
RateObservationFn<RateObservation> obsFuncNew = mock(RateObservationFn.class);
RatesProvider provNew = mock(RatesProvider.class);
when(provNew.getValuationDate()).thenReturn(VAL_DATE);
ExpandedFra fraExp = fra.expand();
when(obsFuncNew.rate(fraExp.getFloatingRate(), fra.getStartDate(), fra.getEndDate(), provNew))
.thenReturn(forwardRate + eps);
CurrencyAmount upValue =
new DiscountingFraProductPricer(obsFuncNew).forecastValue(fraExp, provNew);
when(obsFuncNew.rate(fraExp.getFloatingRate(), fra.getStartDate(), fra.getEndDate(), provNew))
.thenReturn(forwardRate - eps);
CurrencyAmount downValue =
new DiscountingFraProductPricer(obsFuncNew).forecastValue(fraExp, provNew);
return upValue.minus(downValue).multipliedBy(0.5 / eps).getAmount();
}
// calibrated sum PV01 for one scenario
MultiCurrencyAmount pv01CalibratedSum(ResolvedDsfTrade trade, RatesProvider ratesProvider) {
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
return ratesProvider
.parameterSensitivity(pointSensitivity)
.total()
.multipliedBy(ONE_BASIS_POINT);
}
private double dscSensitivity(
Fra fra, double forwardRate, double discountFactor, double paymentTime, double eps) {
RatesProvider provNew = mock(RatesProvider.class);
when(provNew.getValuationDate()).thenReturn(VAL_DATE);
RateObservationFn<RateObservation> obsFuncNew = mock(RateObservationFn.class);
ExpandedFra fraExp = fra.expand();
when(obsFuncNew.rate(fraExp.getFloatingRate(), fra.getStartDate(), fra.getEndDate(), provNew))
.thenReturn(forwardRate);
when(provNew.discountFactor(fra.getCurrency(), fraExp.getPaymentDate()))
.thenReturn(discountFactor * Math.exp(-eps * paymentTime));
CurrencyAmount upDscValue =
new DiscountingFraProductPricer(obsFuncNew).presentValue(fraExp, provNew);
when(provNew.discountFactor(fra.getCurrency(), fraExp.getPaymentDate()))
.thenReturn(discountFactor * Math.exp(eps * paymentTime));
CurrencyAmount downDscValue =
new DiscountingFraProductPricer(obsFuncNew).presentValue(fraExp, provNew);
return upDscValue.minus(downDscValue).multipliedBy(0.5 / eps).getAmount();
}
// -------------------------------------------------------------------------
// gets the settlement price
private double settlementPrice(ResolvedDsfTrade trade, RatesProvider ratesProvider) {
StandardId standardId = trade.getProduct().getSecurityId().getStandardId();
QuoteId id = QuoteId.of(standardId, FieldName.SETTLEMENT_PRICE);
double price = ratesProvider.data(id);
ArgChecker.isTrue(
price < 10,
"Price must be in decimal form, such as 1.007 for a 0.7% present value, but was: {}",
price);
return price;
}
// market quote bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01MarketQuoteBucketed(
ResolvedDsfTrade trade, RatesProvider ratesProvider) {
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
CurrencyParameterSensitivities parameterSensitivity =
ratesProvider.parameterSensitivity(pointSensitivity);
return MARKET_QUOTE_SENS
.sensitivity(parameterSensitivity, ratesProvider)
.multipliedBy(ONE_BASIS_POINT);
}
// validate that the rates and volatilities providers are coherent
private void validate(
RatesProvider ratesProvider,
ExpandedSwaption swaption,
NormalVolatilitySwaptionProvider volatilityProvider) {
ArgChecker.isTrue(
volatilityProvider
.getValuationDateTime()
.toLocalDate()
.equals(ratesProvider.getValuationDate()),
"volatility and rate data should be for the same date");
ArgChecker.isFalse(
swaption.getUnderlying().isCrossCurrency(), "underlying swap should be single currency");
ArgChecker.isTrue(
swaption.getSwaptionSettlement().getSettlementType().equals(SettlementType.PHYSICAL),
"swaption should be physical settlement");
}
public void test_currencyExposure() {
MultiCurrencyAmount ceComputed =
PRICER_TRADE.currencyExposure(OPTION_TRADE, RATES_PROVIDER, VOLS);
PointSensitivities point =
PRICER_TRADE.presentValueSensitivityRates(OPTION_TRADE, RATES_PROVIDER, VOLS);
MultiCurrencyAmount pv = PRICER_TRADE.presentValue(OPTION_TRADE, RATES_PROVIDER, VOLS);
MultiCurrencyAmount ceExpected = RATES_PROVIDER.currencyExposure(point).plus(pv);
assertEquals(ceComputed.size(), 2);
assertEquals(
ceComputed.getAmount(EUR).getAmount(),
ceExpected.getAmount(EUR).getAmount(),
TOL * NOTIONAL);
assertEquals(
ceComputed.getAmount(USD).getAmount(),
ceExpected.getAmount(USD).getAmount(),
TOL * NOTIONAL);
}
@Override
protected MultiCurrencyAmount execute(ExpandedFxSwap product, RatesProvider provider) {
PointSensitivities pointSensitivity = pricer().presentValueSensitivity(product, provider);
return provider.curveParameterSensitivity(pointSensitivity).total();
}
@Override
protected CurveCurrencyParameterSensitivities execute(
ExpandedFxSingle product, RatesProvider provider) {
PointSensitivities pointSensitivity = pricer().presentValueSensitivity(product, provider);
return provider.curveParameterSensitivity(pointSensitivity).multipliedBy(ONE_BASIS_POINT);
}
