/**
* Returns a copy of this {@code MultipleCurrencyAmount} with all the amounts multiplied by the
* factor.
*
* <p>This instance is immutable and unaffected by this method.
*
* @param factor The multiplicative factor.
* @return An amount based on this with all the amounts multiplied by the factor. Not null
*/
public MultipleCurrencyAmount multipliedBy(final double factor) {
TreeMap<Currency, Double> map = new TreeMap<Currency, Double>();
for (CurrencyAmount currencyAmount : this) {
map.put(currencyAmount.getCurrency(), currencyAmount.getAmount() * factor);
}
return MultipleCurrencyAmount.of(map);
}
/**
* Compute the the present value of a fixed payment by discounting to a parallel curve movement.
*
* @param payment The payment.
* @param multicurves The multi-curve provider.
* @return The present value.
*/
public MultipleCurrencyAmount presentValue(
final PaymentFixed payment, final MulticurveProviderInterface multicurves) {
ArgumentChecker.notNull(payment, "Payment");
ArgumentChecker.notNull(multicurves, "Multi-curves");
final double pv =
payment.getAmount()
* multicurves.getDiscountFactor(payment.getCurrency(), payment.getPaymentTime());
return MultipleCurrencyAmount.of(payment.getCurrency(), pv);
}
/**
* Compute the present value of a commodity cash settle forward by discounting.
*
* @param forward The forward.
* @param multicurve The commodity multi-curve provider.
* @return The present value.
*/
public MultipleCurrencyAmount presentValue(
final ForwardCommodityCashSettle forward, final CommodityProviderInterface multicurve) {
ArgumentChecker.notNull(forward, "Forward");
ArgumentChecker.notNull(multicurve, "Multi-curves provider");
final double fwd =
multicurve.getForwardValue(forward.getUnderlying(), forward.getSettlementTime());
final double df = multicurve.getDiscountFactor(forward.getCurrency(), forward.getPaymentTime());
final double pv = forward.getNotional() * (fwd - forward.getRate()) * df;
return MultipleCurrencyAmount.of(forward.getCurrency(), pv);
}
@Test
public void presentValueDiscountingCalculator() {
final MultipleCurrencyAmount pvSwap = SWAP_MULTI_LEG.accept(PVDC, MULTICURVES);
MultipleCurrencyAmount pvLegs = MultipleCurrencyAmount.of(EUR, 0.0);
for (int loopleg = 0; loopleg < NB_LEGS; loopleg++) {
pvLegs = pvLegs.plus(SWAP_MULTI_LEG.getLegs()[loopleg].accept(PVDC, MULTICURVES));
}
assertEquals(
"SwapMultileg: presentValueDiscountingCalculator",
pvSwap.getAmount(EUR),
pvLegs.getAmount(EUR),
TOLERANCE_PV);
}
@Test
/** Check the conversion of a multiple currency amount. */
public void convert() {
final FXMatrix fxMatrix = new FXMatrix();
fxMatrix.addCurrency(EUR, USD, EUR_USD);
fxMatrix.addCurrency(GBP, EUR, GBP_EUR);
final double amountGBP = 1.0;
final double amountEUR = 2.0;
final double amountUSD = 3.0;
MultipleCurrencyAmount amount = MultipleCurrencyAmount.of(GBP, amountGBP);
amount = amount.plus(EUR, amountEUR);
amount = amount.plus(USD, amountUSD);
final CurrencyAmount totalUSDCalculated = fxMatrix.convert(amount, USD);
final double totalUSDExpected = amountUSD + amountEUR * EUR_USD + amountGBP * GBP_EUR * EUR_USD;
assertEquals("FXMatrix - convert", totalUSDExpected, totalUSDCalculated.getAmount(), 1.0E-10);
assertEquals("FXMatrix - convert", USD, totalUSDCalculated.getCurrency());
}
@Test(enabled = false)
/** Tests of performance. "enabled = false" for the standard testing. */
public void performanceCurveSensitivity() {
long startTime, endTime;
final int nbTest = 25;
MultipleCurrencyAmount pvMC = MultipleCurrencyAmount.of(EUR, 0.0);
final MultipleCurrencyMulticurveSensitivity pvcsExplicit =
METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
MultipleCurrencyMulticurveSensitivity pvcsMC = pvcsExplicit;
final HullWhiteMonteCarloMethod methodMC =
new HullWhiteMonteCarloMethod(
new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvMC = METHOD_HW_MONTECARLO.presentValue(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " swaption Hull-White Monte Carlo method ("
+ NB_PATH
+ " paths): "
+ (endTime - startTime)
+ " ms / price:"
+ pvMC.toString());
// Performance note: HW approximation: 03-Dec-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 250
// ms for 25 swaptions (12500 paths).
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvcsMC = methodMC.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " curve sensitivity swaption Hull-White MC method: ("
+ NB_PATH
+ " paths) "
+ (endTime - startTime)
+ " ms / risk:"
+ pvcsMC.toString());
// Performance note: curve sensitivity (40): 03-Dec-2012: On Mac Pro 3.2 GHz Quad-Core Intel
// Xeon: 600 ms for 25 swaptions (12500 paths).
}
/**
* Compute the present value of a Ibor compounded coupon by discounting.
*
* @param coupon The coupon.
* @param multicurve The multi-curve provider.
* @return The present value.
*/
public MultipleCurrencyAmount presentValue(
final CouponIborCompounding coupon, final MulticurveProviderInterface multicurve) {
ArgumentChecker.notNull(coupon, "Coupon");
ArgumentChecker.notNull(multicurve, "Multi-curves provider");
final int nbSubPeriod = coupon.getFixingTimes().length;
double notionalAccrued = coupon.getNotionalAccrued();
for (int loopsub = 0; loopsub < nbSubPeriod; loopsub++) {
final double ratioForward =
(1.0
+ coupon.getPaymentAccrualFactors()[loopsub]
* multicurve.getForwardRate(
coupon.getIndex(),
coupon.getFixingPeriodStartTimes()[loopsub],
coupon.getFixingPeriodEndTimes()[loopsub],
coupon.getFixingPeriodAccrualFactors()[loopsub]));
notionalAccrued *= ratioForward;
}
final double df = multicurve.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime());
final double pv = (notionalAccrued - coupon.getNotional()) * df;
return MultipleCurrencyAmount.of(coupon.getCurrency(), pv);
}
@Test(enabled = false)
/** Tests of performance. "enabled = false" for the standard testing. */
public void performance() {
long startTime, endTime;
final int nbTest = 1000;
MultipleCurrencyAmount pvPayerLongExplicit = MultipleCurrencyAmount.of(EUR, 0.0);
MultipleCurrencyAmount pvPayerLongIntegration = MultipleCurrencyAmount.of(EUR, 0.0);
MultipleCurrencyAmount pvPayerLongApproximation = MultipleCurrencyAmount.of(EUR, 0.0);
@SuppressWarnings("unused")
MultipleCurrencyAmount pvPayerLongMC = MultipleCurrencyAmount.of(EUR, 0.0);
double[] pvhws =
METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
MultipleCurrencyMulticurveSensitivity pvcs =
METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvPayerLongExplicit = METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest + " pv swaption Hull-White explicit method: " + (endTime - startTime) + " ms");
// Performance note: HW price: 19-Nov-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 380 ms for
// 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvhws = METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " HW sensitivity swaption Hull-White explicit method: "
+ (endTime - startTime)
+ " ms");
// Performance note: HW sensitivity (3): 19-Nov-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon:
// 430 ms for 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvcs = METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " curve sensitivity swaption Hull-White explicit method: "
+ (endTime - startTime)
+ " ms");
// Performance note: curve sensitivity (40): 19-Nov-2012: On Mac Pro 3.2 GHz Quad-Core Intel
// Xeon: 855 ms for 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvhws = METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
pvcs = METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
pvhws = METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " price/delta/vega swaption Hull-White explicit method: "
+ (endTime - startTime)
+ " ms");
// Performance note: present value/delta/vega: 19-Nov-2012: On Mac Pro 3.2 GHz Quad-Core Intel
// Xeon: 1730 ms for 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvPayerLongIntegration =
METHOD_HW_INTEGRATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " swaption Hull-White numerical integration method: "
+ (endTime - startTime)
+ " ms");
// Performance note: HW numerical integration: 19-Nov-2012: On Mac Pro 3.2 GHz Quad-Core Intel
// Xeon: 1700 ms for 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvPayerLongApproximation =
METHOD_HW_APPROXIMATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest + " swaption Hull-White approximation method: " + (endTime - startTime) + " ms");
// Performance note: HW approximation: 19-Nov-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 250
// ms for 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvPayerLongMC = METHOD_HW_MONTECARLO.presentValue(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " swaption Hull-White Monte Carlo method ("
+ NB_PATH
+ " paths): "
+ (endTime - startTime)
+ " ms");
// Performance note: HW approximation: 18-Aug-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 9200
// ms for 1000 swaptions (12500 paths).
final double difference =
pvPayerLongExplicit.getAmount(EUR) - pvPayerLongIntegration.getAmount(EUR);
final double difference2 =
pvPayerLongExplicit.getAmount(EUR) - pvPayerLongApproximation.getAmount(EUR);
// double difference3 = pvPayerLongExplicit.getAmount(CUR) - pvPayerLongMC.getAmount(CUR);
System.out.println("Difference explicit-integration: " + difference);
System.out.println("Difference explicit-approximation: " + difference2);
// System.out.println("Difference explicit-Monte Carlo: " + difference3);
System.out.println("Curve sensitivity: " + pvcs.toString());
System.out.println("HW sensitivity: " + Arrays.toString(pvhws));
}
@Test
/**
* Tests the toDerivative method on the payment date. valuation is at noon, payment set at
* midnight...
*/
public void toDerivativeJustAfterPayment() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 19);
final ZonedDateTime valuationTimeIsNoon = DateUtils.getUTCDate(2011, 9, 19, 12, 0);
assertTrue(
"valuationTimeIsNoon used to be after paymentDate, which was midnight. Confirm behaviour",
valuationTimeIsNoon.isAfter(ON_COMPOUNDED_COUPON_DEFINITION.getPaymentDate()));
final double fixingRate = 0.01;
final DoubleTimeSeries<ZonedDateTime> fixingTS =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {
DateUtils.getUTCDate(2011, 9, 7),
DateUtils.getUTCDate(2011, 9, 8),
DateUtils.getUTCDate(2011, 9, 9),
DateUtils.getUTCDate(2011, 9, 12),
DateUtils.getUTCDate(2011, 9, 13),
DateUtils.getUTCDate(2011, 9, 14),
DateUtils.getUTCDate(2011, 9, 15)
},
new double[] {
fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate
});
final Payment cpnConverted =
ON_COMPOUNDED_COUPON_DEFINITION.toDerivative(valuationTimeIsNoon, fixingTS);
final double paymentTime =
-TimeCalculator.getTimeBetween(
referenceDate, EUR_PAYMENT_DATE, EUR_DAY_COUNT, EUR_CALENDAR);
final double notionalAccrued =
NOTIONAL
* Math.pow(
1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[0])
* Math.pow(
1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[1])
* Math.pow(
1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[2])
* Math.pow(
1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[3])
* Math.pow(
1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[4]);
final CouponFixed cpnExpected =
new CouponFixed(
EUR_CUR,
paymentTime,
EUR_PAYMENT_YEAR_FRACTION,
NOTIONAL,
(notionalAccrued / NOTIONAL - 1.0) / EUR_PAYMENT_YEAR_FRACTION);
assertEquals("CouponONCompounded definition: toDerivative", cpnExpected, cpnConverted);
// Test pricing, too. Notice that the value of a coupon on its payment date is non-zero
final MulticurveProviderDiscount curves =
MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
final MultipleCurrencyAmount pvConverted =
com.opengamma.analytics.financial.interestrate.payments.provider
.CouponFixedDiscountingMethod.getInstance()
.presentValue((CouponFixed) cpnConverted, curves);
final MultipleCurrencyAmount pvExpected =
com.opengamma.analytics.financial.interestrate.payments.provider
.CouponFixedDiscountingMethod.getInstance()
.presentValue(cpnExpected, curves);
assertEquals("CouponONCompounded definition: toDerivative", pvConverted, pvExpected);
assertEquals(
"CouponONCompounded definition: toDerivative",
pvConverted,
MultipleCurrencyAmount.of(EUR_CUR, 19744.6689499392));
}
/**
* Computes the present value of an Ibor cap/floor in arrears by replication based on the paper,
* "Swap and Cap/Floors with Fixing in Arrears or Payment Delay," OpenGamma Quantitative
* Documentation
* http://developers.opengamma.com/quantitative-research/In-Arrears-and-Payment-Delay-Swaps-and-Caps-OpenGamma.pdf
*
* @param cap The cap/floor
* @param curves The curves
* @return The present value
*/
public MultipleCurrencyAmount presentValue(
final CapFloorIbor cap, final MulticurveProviderInterface curves) {
ArgumentChecker.notNull(cap, "The cap/floor shoud not be null");
ArgumentChecker.notNull(curves, "curves");
final Currency ccy = cap.getCurrency();
// Construct a "standard" CapFloorIbor whose paymentTime is set to be fixingPeriodEndTime
CapFloorIbor capStandard =
new CapFloorIbor(
cap.getCurrency(),
cap.getFixingPeriodEndTime(),
cap.getPaymentYearFraction(),
cap.getNotional(),
cap.getFixingTime(),
cap.getIndex(),
cap.getFixingPeriodStartTime(),
cap.getFixingPeriodEndTime(),
cap.getFixingAccrualFactor(),
cap.getStrike(),
cap.isCap());
final double forward =
curves.getSimplyCompoundForwardRate(
cap.getIndex(),
cap.getFixingPeriodStartTime(),
cap.getFixingPeriodEndTime(),
cap.getFixingAccrualFactor());
final double beta =
(1.0 + cap.getFixingAccrualFactor() * forward)
* curves.getDiscountFactor(ccy, cap.getFixingPeriodEndTime())
/ curves.getDiscountFactor(ccy, cap.getFixingPeriodStartTime());
final double df =
curves.getDiscountFactor(capStandard.getCurrency(), capStandard.getPaymentTime());
final double strikePart =
(1.0 + cap.getFixingAccrualFactor() * capStandard.getStrike())
* presentValueStandard(
forward,
capStandard.getStrike(),
capStandard.getFixingTime(),
capStandard.isCap(),
df,
capStandard.getNotional(),
capStandard.getPaymentYearFraction());
final InArrearsIntegrant integrant = new InArrearsIntegrant(capStandard, curves);
double integralPart;
try {
if (cap.isCap()) {
double atmVol = _smileFunction.getVolatility(forward);
double upper = forward * Math.exp(6.0 * atmVol * Math.sqrt(cap.getFixingTime()));
double strike = cap.getStrike();
integralPart = INTEGRATOR.integrate(integrant, strike, upper);
double reminder = integrant.evaluate(upper) * upper;
double error = reminder / integralPart;
int count = 0;
while (Math.abs(error) > REL_ERROR && count < MAX_COUNT) {
integralPart += INTEGRATOR.integrate(integrant, upper, 2.0 * upper);
upper *= 2.0;
// The increase of integralPart in the next loop is bounded by reminder
reminder = integrant.evaluate(upper) * upper;
error = reminder / integralPart;
++count;
if (count == MAX_COUNT) {
LOGGER.info(
"Maximum iteration count, "
+ MAX_COUNT
+ ", has been reached. Relative error is greater than "
+ REL_ERROR);
}
}
} else {
double strike = cap.getStrike();
integralPart = INTEGRATOR.integrate(integrant, REL_TOL * strike, strike);
}
} catch (final Exception e) {
throw new MathException(e);
}
integralPart *= 2.0 * cap.getFixingAccrualFactor();
final double pv = (strikePart + integralPart) / beta;
return MultipleCurrencyAmount.of(cap.getCurrency(), pv);
}
