@Test
public void curveSensitivityFRA() {
final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
final double deltaShift = 1.0E-8;
final double pv = FRA_METHOD.presentValue(FRA, curves).getAmount();
// 1. Forward curve sensitivity
final String bumpedCurveName = "Bumped Curve";
final String[] bumpedCurvesForwardName = {FUNDING_CURVE_NAME, bumpedCurveName};
final ForwardRateAgreement fraBumpedForward =
(ForwardRateAgreement) FRA_DEFINITION.toDerivative(REFERENCE_DATE, bumpedCurvesForwardName);
final YieldAndDiscountCurve curveForward = curves.getCurve(FORWARD_CURVE_NAME);
final double[] timeForward = new double[2];
timeForward[0] = FRA.getFixingPeriodStartTime();
timeForward[1] = FRA.getFixingPeriodEndTime();
final int nbForwardDate = timeForward.length;
final double[] yieldsForward = new double[nbForwardDate + 1];
final double[] nodeTimesForward = new double[nbForwardDate + 1];
yieldsForward[0] = curveForward.getInterestRate(0.0);
for (int i = 0; i < nbForwardDate; i++) {
nodeTimesForward[i + 1] = timeForward[i];
yieldsForward[i + 1] = curveForward.getInterestRate(nodeTimesForward[i + 1]);
}
final YieldAndDiscountCurve tempCurveForward =
YieldCurve.from(
InterpolatedDoublesCurve.fromSorted(
nodeTimesForward, yieldsForward, new LinearInterpolator1D()));
final double[] sensiPvForwardFD = new double[nbForwardDate];
for (int i = 0; i < nbForwardDate; i++) {
final YieldAndDiscountCurve bumpedCurveForward =
tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
curvesBumpedForward.addAll(curves);
curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
final double bumpedPv =
FRA_METHOD.presentValue(fraBumpedForward, curvesBumpedForward).getAmount();
sensiPvForwardFD[i] = (bumpedPv - pv) / deltaShift;
}
final double[] nodeTimesForwardMethod =
new double[] {FRA.getFixingPeriodStartTime(), FRA.getFixingPeriodEndTime()};
final double[] sensiForwardMethod =
SensitivityFiniteDifference.curveSensitivity(
fraBumpedForward,
curves,
pv,
FORWARD_CURVE_NAME,
bumpedCurveName,
nodeTimesForwardMethod,
deltaShift,
FRA_METHOD);
assertEquals(
"Sensitivity finite difference method: number of node", 2, sensiForwardMethod.length);
for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
assertEquals(
"Sensitivity finite difference method: node sensitivity",
sensiPvForwardFD[loopnode],
sensiForwardMethod[loopnode]);
}
// 2. Funding curve sensitivity
final String[] bumpedCurvesFundingName = {bumpedCurveName, FORWARD_CURVE_NAME};
final ForwardRateAgreement fraBumped =
(ForwardRateAgreement) FRA_DEFINITION.toDerivative(REFERENCE_DATE, bumpedCurvesFundingName);
final YieldAndDiscountCurve curveFunding = curves.getCurve(FUNDING_CURVE_NAME);
final double[] yieldsFunding = new double[2];
final double[] nodeTimesFunding = new double[2];
yieldsFunding[0] = curveFunding.getInterestRate(0.0);
nodeTimesFunding[1] = FRA.getPaymentTime();
yieldsFunding[1] = curveFunding.getInterestRate(nodeTimesFunding[1]);
final YieldAndDiscountCurve tempCurveFunding =
YieldCurve.from(
InterpolatedDoublesCurve.fromSorted(
nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
final YieldAndDiscountCurve bumpedCurve =
tempCurveFunding.withSingleShift(nodeTimesFunding[1], deltaShift);
final YieldCurveBundle curvesBumped = new YieldCurveBundle();
curvesBumped.addAll(curves);
curvesBumped.replaceCurve("Bumped Curve", bumpedCurve);
final double bumpedPvDsc = FRA_METHOD.presentValue(fraBumped, curvesBumped).getAmount();
final double[] resDsc = new double[1];
resDsc[0] = (bumpedPvDsc - pv) / deltaShift;
final double[] nodeTimesFundingMethod = new double[] {FRA.getPaymentTime()};
final double[] sensiFundingMethod =
SensitivityFiniteDifference.curveSensitivity(
fraBumped,
curves,
pv,
FUNDING_CURVE_NAME,
bumpedCurveName,
nodeTimesFundingMethod,
deltaShift,
FRA_METHOD);
assertEquals(
"Sensitivity finite difference method: number of node", 1, sensiFundingMethod.length);
for (int loopnode = 0; loopnode < sensiFundingMethod.length; loopnode++) {
assertEquals(
"Sensitivity finite difference method: node sensitivity",
resDsc[loopnode],
sensiFundingMethod[loopnode]);
}
}
@Test
public void curveSensitivityCentered() {
final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
final double deltaShift = 1.0E-8;
final double pv = FRA_METHOD.presentValue(FRA, curves).getAmount();
// 1. Forward curve sensitivity
final String bumpedCurveName = "Bumped Curve";
final String[] bumpedCurvesForwardName = {FUNDING_CURVE_NAME, bumpedCurveName};
final ForwardRateAgreement fraBumpedForward =
(ForwardRateAgreement) FRA_DEFINITION.toDerivative(REFERENCE_DATE, bumpedCurvesForwardName);
final double[] nodeTimesForwardMethod =
new double[] {FRA.getFixingPeriodStartTime(), FRA.getFixingPeriodEndTime()};
final double[] sensiForward =
SensitivityFiniteDifference.curveSensitivity(
fraBumpedForward,
curves,
pv,
FORWARD_CURVE_NAME,
bumpedCurveName,
nodeTimesForwardMethod,
deltaShift,
FRA_METHOD);
final double[] sensiForwardCentered =
SensitivityFiniteDifference.curveSensitivity(
fraBumpedForward,
curves,
pv,
FORWARD_CURVE_NAME,
bumpedCurveName,
nodeTimesForwardMethod,
deltaShift,
FRA_METHOD,
FiniteDifferenceType.CENTRAL);
final double[] sensiForwardCentered2 =
SensitivityFiniteDifference.curveSensitivity(
fraBumpedForward,
curves,
FORWARD_CURVE_NAME,
bumpedCurveName,
nodeTimesForwardMethod,
deltaShift,
FRA_METHOD);
final double[] sensiForwardForward =
SensitivityFiniteDifference.curveSensitivity(
fraBumpedForward,
curves,
pv,
FORWARD_CURVE_NAME,
bumpedCurveName,
nodeTimesForwardMethod,
deltaShift,
FRA_METHOD,
FiniteDifferenceType.FORWARD);
final double[] sensiForwardBackward =
SensitivityFiniteDifference.curveSensitivity(
fraBumpedForward,
curves,
pv,
FORWARD_CURVE_NAME,
bumpedCurveName,
nodeTimesForwardMethod,
deltaShift,
FRA_METHOD,
FiniteDifferenceType.BACKWARD);
assertEquals("Sensitivity finite difference method: number of node", 2, sensiForward.length);
assertEquals(
"Sensitivity finite difference method: number of node", 2, sensiForwardCentered.length);
assertEquals(
"Sensitivity finite difference method: number of node", 2, sensiForwardCentered2.length);
assertEquals(
"Sensitivity finite difference method: number of node", 2, sensiForwardForward.length);
assertEquals(
"Sensitivity finite difference method: number of node", 2, sensiForwardBackward.length);
for (int loopnode = 0; loopnode < sensiForward.length; loopnode++) {
assertEquals(
"Sensitivity finite difference method: centered vs non-centered",
sensiForward[loopnode],
sensiForwardForward[loopnode],
1.0E-10);
assertEquals(
"Sensitivity finite difference method: centered vs non-centered",
sensiForwardForward[loopnode],
sensiForwardCentered[loopnode],
1.0E-1);
assertEquals(
"Sensitivity finite difference method: centered vs non-centered",
sensiForwardBackward[loopnode],
sensiForwardCentered[loopnode],
1.0E-1);
assertEquals(
"Sensitivity finite difference method: centered vs non-centered",
sensiForwardCentered[loopnode],
sensiForwardCentered2[loopnode],
1.0E-10);
}
}
