private void calibration_market_quote_sensitivity_check(
Function<MarketData, ImmutableRatesProvider> calibrator, double shift) {
double notional = 100_000_000.0;
double fx = 1.1111;
double fxPts = 0.0012;
FxSwapTrade trade =
EUR_USD.toTrade(
VAL_DATE, Period.ofWeeks(6), Period.ofMonths(5), BuySell.BUY, notional, fx, fxPts);
ImmutableRatesProvider result =
CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, VAL_DATE, ALL_QUOTES, TS);
PointSensitivities pts = FX_PRICER.presentValueSensitivity(trade.getProduct(), result);
CurveCurrencyParameterSensitivities ps = result.curveParameterSensitivity(pts);
CurveCurrencyParameterSensitivities mqs = MQC.sensitivity(ps, result);
double pvUsd = FX_PRICER.presentValue(trade.getProduct(), result).getAmount(USD).getAmount();
double pvEur = FX_PRICER.presentValue(trade.getProduct(), result).getAmount(EUR).getAmount();
double[] mqsUsd1Computed =
mqs.getSensitivity(USD_DSCON_CURVE_NAME, USD).getSensitivity().toArray();
for (int i = 0; i < USD_DSC_NB_NODES; i++) {
Map<MarketDataKey<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues());
map.put(
QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])),
USD_DSC_MARKET_QUOTES[i] + shift);
ImmutableMarketData marketData = ImmutableMarketData.of(map);
ImmutableRatesProvider rpShifted = calibrator.apply(marketData);
double pvS = FX_PRICER.presentValue(trade.getProduct(), rpShifted).getAmount(USD).getAmount();
assertEquals(mqsUsd1Computed[i], (pvS - pvUsd) / shift, TOLERANCE_PV_DELTA);
}
double[] mqsUsd2Computed =
mqs.getSensitivity(USD_DSCON_CURVE_NAME, EUR).getSensitivity().toArray();
for (int i = 0; i < USD_DSC_NB_NODES; i++) {
Map<MarketDataKey<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues());
map.put(
QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])),
USD_DSC_MARKET_QUOTES[i] + shift);
ImmutableMarketData ov = ImmutableMarketData.of(map);
ImmutableRatesProvider rpShifted = calibrator.apply(ov);
double pvS = FX_PRICER.presentValue(trade.getProduct(), rpShifted).getAmount(EUR).getAmount();
assertEquals(mqsUsd2Computed[i], (pvS - pvEur) / shift, TOLERANCE_PV_DELTA);
}
double[] mqsEur1Computed =
mqs.getSensitivity(EUR_DSC_CURVE_NAME, USD).getSensitivity().toArray();
for (int i = 0; i < EUR_DSC_NB_NODES; i++) {
assertEquals(mqsEur1Computed[i], 0.0, TOLERANCE_PV_DELTA);
}
double[] mqsEur2Computed =
mqs.getSensitivity(EUR_DSC_CURVE_NAME, EUR).getSensitivity().toArray();
for (int i = 0; i < EUR_DSC_NB_NODES; i++) {
Map<MarketDataKey<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues());
map.put(
QuoteKey.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])),
EUR_DSC_MARKET_QUOTES[i] + shift);
ImmutableMarketData marketData = ImmutableMarketData.of(map);
ImmutableRatesProvider rpShifted = calibrator.apply(marketData);
double pvS = FX_PRICER.presentValue(trade.getProduct(), rpShifted).getAmount(EUR).getAmount();
assertEquals(mqsEur2Computed[i], (pvS - pvEur) / shift, TOLERANCE_PV_DELTA, "Node " + i);
}
}
/** Test par spread sensitivity for ISDA FRA Discounting method. */
public void test_parSpreadSensitivity_ISDA() {
PointSensitivities sensi = DEFAULT_PRICER.parSpreadSensitivity(FRA, IMM_PROV);
CurveCurrencyParameterSensitivities sensiComputed = IMM_PROV.curveParameterSensitivity(sensi);
CurveCurrencyParameterSensitivities sensiExpected =
CAL_FD.sensitivity(
IMM_PROV,
(p) -> CurrencyAmount.of(FRA.getCurrency(), DEFAULT_PRICER.parSpread(FRA, (p))));
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, EPS_FD));
}
public void test_currencyExposure() {
MultiCurrencyAmount computed1 =
TRADE_PRICER.currencyExposure(CMS_TRADE_PREMIUM, RATES_PROVIDER);
MultiCurrencyAmount computed2 = TRADE_PRICER.currencyExposure(CMS_TRADE, RATES_PROVIDER);
MultiCurrencyAmount pv1 = TRADE_PRICER.presentValue(CMS_TRADE_PREMIUM, RATES_PROVIDER);
PointSensitivities pt1 =
TRADE_PRICER.presentValueSensitivity(CMS_TRADE_PREMIUM, RATES_PROVIDER);
MultiCurrencyAmount expected1 = RATES_PROVIDER.currencyExposure(pt1).plus(pv1);
MultiCurrencyAmount pv2 = TRADE_PRICER.presentValue(CMS_TRADE, RATES_PROVIDER);
PointSensitivities pt2 = TRADE_PRICER.presentValueSensitivity(CMS_TRADE, RATES_PROVIDER);
MultiCurrencyAmount expected2 = RATES_PROVIDER.currencyExposure(pt2).plus(pv2);
assertEquals(
computed1.getAmount(EUR).getAmount(),
expected1.getAmount(EUR).getAmount(),
NOTIONAL_VALUE * TOL);
assertEquals(
computed2.getAmount(EUR).getAmount(),
expected2.getAmount(EUR).getAmount(),
NOTIONAL_VALUE * TOL);
}
/** Test parameter sensitivity with finite difference sensitivity calculator. No cutoff period. */
public void rateChfNoCutOffParameterSensitivity() {
LocalDate[] valuationDate = {date(2015, 1, 1), date(2015, 1, 8)};
double[] time = new double[] {0.0, 0.5, 1.0, 2.0, 5.0, 10.0};
double[] rate = new double[] {0.0100, 0.0110, 0.0115, 0.0130, 0.0135, 0.0135};
for (int loopvaldate = 0; loopvaldate < 2; loopvaldate++) {
Curve onCurve =
InterpolatedNodalCurve.of(Curves.zeroRates("ON", ACT_ACT_ISDA), time, rate, INTERPOLATOR);
ImmutableRatesProvider prov =
ImmutableRatesProvider.builder()
.valuationDate(valuationDate[loopvaldate])
.indexCurves(ImmutableMap.of(CHF_TOIS, onCurve))
.timeSeries(ImmutableMap.of(CHF_TOIS, TIME_SERIES_BUILDER.build()))
.build();
OvernightAveragedRateObservation ro =
OvernightAveragedRateObservation.of(CHF_TOIS, FIXING_START_DATE, FIXING_END_DATE, 0);
ForwardOvernightAveragedRateObservationFn obsFn =
ForwardOvernightAveragedRateObservationFn.DEFAULT;
PointSensitivityBuilder sensitivityBuilderComputed =
obsFn.rateSensitivity(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov);
CurveCurrencyParameterSensitivities parameterSensitivityComputed =
prov.curveParameterSensitivity(sensitivityBuilderComputed.build());
CurveCurrencyParameterSensitivities parameterSensitivityExpected =
CAL_FD.sensitivity(
prov,
(p) ->
CurrencyAmount.of(
CHF_TOIS.getCurrency(),
obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, (p))));
assertTrue(
parameterSensitivityComputed.equalWithTolerance(
parameterSensitivityExpected, EPS_FD * 10.0));
}
}
static {
CurveInterpolator interp = CurveInterpolators.DOUBLE_QUADRATIC;
DoubleArray time_gbp = DoubleArray.of(0.0, 0.1, 0.25, 0.5, 0.75, 1.0, 2.0);
DoubleArray rate_gbp = DoubleArray.of(0.0160, 0.0165, 0.0155, 0.0155, 0.0155, 0.0150, 0.014);
InterpolatedNodalCurve dscCurve =
InterpolatedNodalCurve.of(
Curves.zeroRates("GBP-Discount", DAY_COUNT), time_gbp, rate_gbp, interp);
DoubleArray time_index = DoubleArray.of(0.0, 0.25, 0.5, 1.0);
DoubleArray rate_index = DoubleArray.of(0.0180, 0.0180, 0.0175, 0.0165);
InterpolatedNodalCurve indexCurve =
InterpolatedNodalCurve.of(
Curves.zeroRates("GBP-GBPIBOR3M", DAY_COUNT), time_index, rate_index, interp);
IMM_PROV =
ImmutableRatesProvider.builder()
.valuationDate(VAL_DATE)
.discountCurves(ImmutableMap.of(GBP, dscCurve))
.indexCurves(ImmutableMap.of(GBP_LIBOR_3M, indexCurve))
.build();
}
// -------------------------------------------------------------------------
public void test_cashFlowEquivalentAndSensitivity() {
Swap swap = Swap.builder().legs(IBOR_LEG, FIXED_LEG).build();
ImmutableMap<NotionalExchange, PointSensitivityBuilder> computedFull =
CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(swap.expand(), PROVIDER);
ImmutableList<NotionalExchange> keyComputedFull = computedFull.keySet().asList();
ImmutableList<PointSensitivityBuilder> valueComputedFull = computedFull.values().asList();
ImmutableMap<NotionalExchange, PointSensitivityBuilder> computedIborLeg =
CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivityIborLeg(
IBOR_LEG.expand(), PROVIDER);
ImmutableMap<NotionalExchange, PointSensitivityBuilder> computedFixedLeg =
CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivityFixedLeg(
FIXED_LEG.expand(), PROVIDER);
assertEquals(computedFixedLeg.keySet().asList(), keyComputedFull.subList(0, 2));
assertEquals(computedIborLeg.keySet().asList(), keyComputedFull.subList(2, 6));
assertEquals(computedFixedLeg.values().asList(), valueComputedFull.subList(0, 2));
assertEquals(computedIborLeg.values().asList(), valueComputedFull.subList(2, 6));
double eps = 1.0e-7;
RatesFiniteDifferenceSensitivityCalculator calc =
new RatesFiniteDifferenceSensitivityCalculator(eps);
int size = keyComputedFull.size();
for (int i = 0; i < size; ++i) {
final int index = i;
CurveCurrencyParameterSensitivities expected =
calc.sensitivity(
PROVIDER,
p ->
((NotionalExchange)
CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap.expand(), p)
.getPaymentEvents()
.get(index))
.getPaymentAmount());
PointSensitivityBuilder point =
computedFull.get(
CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap.expand(), PROVIDER)
.getPaymentEvents()
.get(index));
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
assertTrue(computed.equalWithTolerance(expected, eps * NOTIONAL));
}
}
/**
* Creates a rates provider from a set of market data containing a single discounting curve, and
* forward curves and fixing series for a given set of indices. All curves are overridden by a
* given replacement.
*
* @param marketData the market data
* @param currency the currency of the discounting curve
* @param indices the indices
* @param curveOverride the curve override
* @return the rates provider
*/
public static RatesProvider toSingleCurveRatesProvider(
SingleCalculationMarketData marketData,
Currency currency,
Set<? extends Index> indices,
NodalCurve curveOverride) {
// TODO - we should be able to replace curves more easily than having to pick out all the
// market data into a new rates provider.
return ImmutableRatesProvider.builder()
.valuationDate(marketData.getValuationDate())
.discountCurves(ImmutableMap.of(currency, curveOverride))
.indexCurves(
indices.stream().collect(toImmutableMap(Function.identity(), k -> curveOverride)))
.timeSeries(
indices
.stream()
.collect(
toImmutableMap(
Function.identity(), k -> marketData.getTimeSeries(IndexRateKey.of(k)))))
.build();
}
public void test_cashFlowEquivalent() {
Swap swap = Swap.builder().legs(IBOR_LEG, FIXED_LEG).build();
ExpandedSwapLeg computed =
CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap.expand(), PROVIDER);
ExpandedSwapLeg computedIborLeg =
CashFlowEquivalentCalculator.cashFlowEquivalentIborLeg(IBOR_LEG.expand(), PROVIDER);
ExpandedSwapLeg computedFixedLeg =
CashFlowEquivalentCalculator.cashFlowEquivalentFixedLeg(FIXED_LEG.expand(), PROVIDER);
assertEquals(computedFixedLeg.getPaymentEvents(), computed.getPaymentEvents().subList(0, 2));
assertEquals(computedIborLeg.getPaymentEvents(), computed.getPaymentEvents().subList(2, 6));
// expected payments from fixed leg
NotionalExchange fixedPayment1 =
NotionalExchange.of(PAYMENT1, CurrencyAmount.of(GBP, NOTIONAL * RATE * PAY_YC1));
NotionalExchange fixedPayment2 =
NotionalExchange.of(PAYMENT2, CurrencyAmount.of(GBP, NOTIONAL * RATE * PAY_YC2));
// expected payments from ibor leg
LocalDate fixingSTART1 = GBP_LIBOR_3M.calculateEffectiveFromFixing(FIXING1);
double fixedYearFraction1 =
GBP_LIBOR_3M
.getDayCount()
.relativeYearFraction(
fixingSTART1, GBP_LIBOR_3M.calculateMaturityFromEffective(fixingSTART1));
double beta1 =
(1d + fixedYearFraction1 * PROVIDER.iborIndexRates(GBP_LIBOR_3M).rate(FIXING1))
* PROVIDER.discountFactor(GBP, PAYMENT1)
/ PROVIDER.discountFactor(GBP, fixingSTART1);
NotionalExchange iborPayment11 =
NotionalExchange.of(
fixingSTART1, CurrencyAmount.of(GBP, -NOTIONAL * beta1 * PAY_YC1 / fixedYearFraction1));
NotionalExchange iborPayment12 =
NotionalExchange.of(
PAYMENT1, CurrencyAmount.of(GBP, NOTIONAL * PAY_YC1 / fixedYearFraction1));
LocalDate fixingSTART2 = GBP_LIBOR_3M.calculateEffectiveFromFixing(FIXING2);
double fixedYearFraction2 =
GBP_LIBOR_3M
.getDayCount()
.relativeYearFraction(
fixingSTART2, GBP_LIBOR_3M.calculateMaturityFromEffective(fixingSTART2));
double beta2 =
(1d + fixedYearFraction2 * PROVIDER.iborIndexRates(GBP_LIBOR_3M).rate(FIXING2))
* PROVIDER.discountFactor(GBP, PAYMENT2)
/ PROVIDER.discountFactor(GBP, fixingSTART2);
NotionalExchange iborPayment21 =
NotionalExchange.of(
fixingSTART2, CurrencyAmount.of(GBP, -NOTIONAL * beta2 * PAY_YC2 / fixedYearFraction2));
NotionalExchange iborPayment22 =
NotionalExchange.of(
PAYMENT2, CurrencyAmount.of(GBP, NOTIONAL * PAY_YC2 / fixedYearFraction2));
ExpandedSwapLeg expected =
ExpandedSwapLeg.builder()
.type(OTHER)
.payReceive(RECEIVE)
.paymentEvents(
fixedPayment1,
fixedPayment2,
iborPayment11,
iborPayment12,
iborPayment21,
iborPayment22)
.build();
double eps = 1.0e-12;
assertEquals(computed.getPaymentEvents().size(), expected.getPaymentEvents().size());
for (int i = 0; i < 6; ++i) {
NotionalExchange payCmp = (NotionalExchange) computed.getPaymentEvents().get(i);
NotionalExchange payExp = (NotionalExchange) expected.getPaymentEvents().get(i);
assertEquals(payCmp.getCurrency(), payExp.getCurrency());
assertEquals(payCmp.getPaymentDate(), payExp.getPaymentDate());
assertTrue(
DoubleMath.fuzzyEquals(
payCmp.getPaymentAmount().getAmount(),
payExp.getPaymentAmount().getAmount(),
NOTIONAL * eps));
}
}