// -------------------------------------------------------------------------
// calculates calibrated bucketed PV01 for all scenarios
ScenarioArray<CurrencyParameterSensitivities> pv01CalibratedBucketed(
ResolvedDsfTrade trade, RatesScenarioMarketData marketData) {
return ScenarioArray.of(
marketData.getScenarioCount(),
i -> pv01CalibratedBucketed(trade, marketData.scenario(i).ratesProvider()));
}
// obtains the data and calculates the grid of results
private static void calculate(CalculationRunner runner) {
// the trade that will have measures calculated
List<Trade> trades = ImmutableList.of(createVanillaFixedVsLibor3mSwap());
// the columns, specifying the measures to be calculated
List<Column> columns =
ImmutableList.of(
Column.of(Measures.PRESENT_VALUE), Column.of(Measures.PV01_CALIBRATED_SUM));
// use the built-in example market data
ExampleMarketDataBuilder marketDataBuilder = ExampleMarketData.builder();
// the complete set of rules for calculating measures
LocalDate valuationDate = LocalDate.of(2014, 1, 22);
CalculationFunctions functions = StandardComponents.calculationFunctions();
CalculationRules rules =
CalculationRules.of(functions, Currency.USD, marketDataBuilder.ratesLookup(valuationDate));
// mappings that select which market data to apply perturbations to
// this applies the perturbations above to all curves
PerturbationMapping<Curve> mapping =
PerturbationMapping.of(
Curve.class,
MarketDataFilter.ofIdType(CurveId.class),
// no shift for the base scenario, 1bp absolute shift to calibrated curves (zeros)
CurveParallelShifts.absolute(0, ONE_BP));
// create a scenario definition containing the single mapping above
// this creates two scenarios - one for each perturbation in the mapping
ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(mapping);
// build a market data snapshot for the valuation date
MarketData marketData = marketDataBuilder.buildSnapshot(valuationDate);
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// calculate the results
MarketDataRequirements reqs = MarketDataRequirements.of(rules, trades, columns, refData);
ScenarioMarketData scenarioMarketData =
marketDataFactory()
.createMultiScenario(
reqs, MarketDataConfig.empty(), marketData, refData, scenarioDefinition);
Results results =
runner.calculateMultiScenario(rules, trades, columns, scenarioMarketData, refData);
// TODO Replace the results processing below with a report once the reporting framework supports
// scenarios
// The results are lists of currency amounts containing one value for each scenario
ScenarioArray<?> pvList = (ScenarioArray<?>) results.get(0, 0).getValue();
ScenarioArray<?> pv01List = (ScenarioArray<?>) results.get(0, 1).getValue();
double pvBase = ((CurrencyAmount) pvList.get(0)).getAmount();
double pvShifted = ((CurrencyAmount) pvList.get(1)).getAmount();
double pv01Base = ((CurrencyAmount) pv01List.get(0)).getAmount();
NumberFormat numberFormat =
new DecimalFormat("###,##0.00", new DecimalFormatSymbols(Locale.ENGLISH));
System.out.println(" PV (base) = " + numberFormat.format(pvBase));
System.out.println(" PV (1 bp curve shift) = " + numberFormat.format(pvShifted));
System.out.println("PV01 (algorithmic differentiation) = " + numberFormat.format(pv01Base));
System.out.println(
" PV01 (finite difference) = " + numberFormat.format(pvShifted - pvBase));
}