/** Tests related to the pricing of physical delivery swaption in Hull-White one factor model. */
public class SwaptionPhysicalFixedIborHullWhiteMethodTest {
private static final MulticurveProviderDiscount MULTICURVES =
MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final IborIndex EURIBOR6M =
MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd()[1];
private static final Currency EUR = EURIBOR6M.getCurrency();
private static final Calendar CALENDAR = MulticurveProviderDiscountDataSets.getEURCalendar();
private static final HullWhiteOneFactorPiecewiseConstantParameters HW_PARAMETERS =
HullWhiteDataSets.createHullWhiteParameters();
private static final HullWhiteOneFactorProviderDiscount HW_MULTICURVES =
new HullWhiteOneFactorProviderDiscount(MULTICURVES, HW_PARAMETERS, EUR);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 7, 7);
// Swaption 5Yx5Y
private static final int SPOT_LAG = EURIBOR6M.getSpotLag();
private static final int SWAP_TENOR_YEAR = 5;
private static final Period SWAP_TENOR = Period.ofYears(SWAP_TENOR_YEAR);
private static final GeneratorSwapFixedIbor EUR1YEURIBOR6M =
GeneratorSwapFixedIborMaster.getInstance().getGenerator("EUR1YEURIBOR6M", CALENDAR);
private static final ZonedDateTime EXPIRY_DATE = DateUtils.getUTCDate(2016, 7, 7);
private static final boolean IS_LONG = true;
private static final ZonedDateTime SETTLEMENT_DATE =
ScheduleCalculator.getAdjustedDate(EXPIRY_DATE, SPOT_LAG, CALENDAR);
private static final double NOTIONAL = 100000000; // 100m
private static final double RATE = 0.0175;
private static final boolean FIXED_IS_PAYER = true;
private static final SwapFixedIborDefinition SWAP_PAYER_DEFINITION =
SwapFixedIborDefinition.from(
SETTLEMENT_DATE, SWAP_TENOR, EUR1YEURIBOR6M, NOTIONAL, RATE, FIXED_IS_PAYER);
private static final SwapFixedIborDefinition SWAP_RECEIVER_DEFINITION =
SwapFixedIborDefinition.from(
SETTLEMENT_DATE, SWAP_TENOR, EUR1YEURIBOR6M, NOTIONAL, RATE, !FIXED_IS_PAYER);
private static final SwaptionPhysicalFixedIborDefinition SWAPTION_LONG_PAYER_DEFINITION =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, SWAP_PAYER_DEFINITION, IS_LONG);
private static final SwaptionPhysicalFixedIborDefinition SWAPTION_LONG_RECEIVER_DEFINITION =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, SWAP_RECEIVER_DEFINITION, IS_LONG);
private static final SwaptionPhysicalFixedIborDefinition SWAPTION_SHORT_PAYER_DEFINITION =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, SWAP_PAYER_DEFINITION, !IS_LONG);
private static final SwaptionPhysicalFixedIborDefinition SWAPTION_SHORT_RECEIVER_DEFINITION =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, SWAP_RECEIVER_DEFINITION, !IS_LONG);
private static final SwapFixedCoupon<Coupon> SWAP_RECEIVER =
SWAP_RECEIVER_DEFINITION.toDerivative(REFERENCE_DATE);
private static final SwaptionPhysicalFixedIbor SWAPTION_LONG_PAYER =
SWAPTION_LONG_PAYER_DEFINITION.toDerivative(REFERENCE_DATE);
private static final SwaptionPhysicalFixedIbor SWAPTION_LONG_RECEIVER =
SWAPTION_LONG_RECEIVER_DEFINITION.toDerivative(REFERENCE_DATE);
private static final SwaptionPhysicalFixedIbor SWAPTION_SHORT_PAYER =
SWAPTION_SHORT_PAYER_DEFINITION.toDerivative(REFERENCE_DATE);
private static final SwaptionPhysicalFixedIbor SWAPTION_SHORT_RECEIVER =
SWAPTION_SHORT_RECEIVER_DEFINITION.toDerivative(REFERENCE_DATE);
// Calculator
private static final SwaptionPhysicalFixedIborHullWhiteMethod METHOD_HW =
SwaptionPhysicalFixedIborHullWhiteMethod.getInstance();
private static final SwapFixedCouponDiscountingMethod METHOD_SWAP =
SwapFixedCouponDiscountingMethod.getInstance();
private static final CashFlowEquivalentCalculator CFEC =
CashFlowEquivalentCalculator.getInstance();
private static final ParRateDiscountingCalculator PRDC =
ParRateDiscountingCalculator.getInstance();
private static final PresentValueDiscountingCalculator PVDC =
PresentValueDiscountingCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingCalculator PVCSDC =
PresentValueCurveSensitivityDiscountingCalculator.getInstance();
private static final PresentValueHullWhiteCalculator PVHWC =
PresentValueHullWhiteCalculator.getInstance();
private static final PresentValueCurveSensitivityHullWhiteCalculator PVCSHWC =
PresentValueCurveSensitivityHullWhiteCalculator.getInstance();
private static final double SHIFT = 1.0E-6;
private static final ParameterSensitivityParameterCalculator<HullWhiteOneFactorProviderInterface>
PS_HW_C = new ParameterSensitivityParameterCalculator<>(PVCSHWC);
private static final ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator PS_HW_FDC =
new ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator(PVHWC, SHIFT);
private static final SwaptionPhysicalFixedIborHullWhiteNumericalIntegrationMethod
METHOD_HW_INTEGRATION =
SwaptionPhysicalFixedIborHullWhiteNumericalIntegrationMethod.getInstance();
private static final SwaptionPhysicalFixedIborHullWhiteApproximationMethod
METHOD_HW_APPROXIMATION = SwaptionPhysicalFixedIborHullWhiteApproximationMethod.getInstance();
private static final int NB_PATH = 12500;
private static final HullWhiteMonteCarloMethod METHOD_HW_MONTECARLO =
new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0), NB_PATH);
private static final HullWhiteOneFactorPiecewiseConstantInterestRateModel MODEL =
new HullWhiteOneFactorPiecewiseConstantInterestRateModel();
private static final ProbabilityDistribution<Double> NORMAL = new NormalDistribution(0, 1);
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA =
1.0E+0; // Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move.
@Test
/** Test the present value. */
public void presentValueExplicit() {
final MultipleCurrencyAmount pv = METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final double timeToExpiry = SWAPTION_LONG_PAYER.getTimeToExpiry();
final AnnuityPaymentFixed cfe =
CFEC.visitSwap(SWAPTION_LONG_PAYER.getUnderlyingSwap(), MULTICURVES);
final int numberOfPayments = cfe.getNumberOfPayments();
final double alpha[] = new double[numberOfPayments];
final double disccf[] = new double[numberOfPayments];
for (int loopcf = 0; loopcf < numberOfPayments; loopcf++) {
alpha[loopcf] =
MODEL.alpha(
HW_PARAMETERS,
0.0,
timeToExpiry,
timeToExpiry,
cfe.getNthPayment(loopcf).getPaymentTime());
disccf[loopcf] =
MULTICURVES.getDiscountFactor(EUR, cfe.getNthPayment(loopcf).getPaymentTime())
* cfe.getNthPayment(loopcf).getAmount();
}
final double kappa = MODEL.kappa(disccf, alpha);
double pvExpected = 0.0;
for (int loopcf = 0; loopcf < numberOfPayments; loopcf++) {
pvExpected += disccf[loopcf] * NORMAL.getCDF(-kappa - alpha[loopcf]);
}
assertEquals(
"Swaption physical - Hull-White - present value", pvExpected, pv.getAmount(EUR), 1E-2);
final MultipleCurrencyAmount pv2 =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, cfe, HW_MULTICURVES);
assertEquals("Swaption physical - Hull-White - present value", pv, pv2);
}
@Test
/** Tests long/short parity. */
public void longShortParityExplicit() {
final MultipleCurrencyAmount pvLong =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvShort =
METHOD_HW.presentValue(SWAPTION_SHORT_PAYER, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - long/short parity",
pvLong.getAmount(EUR),
-pvShort.getAmount(EUR),
TOLERANCE_PV);
}
@Test
/** Tests payer/receiver/swap parity. */
public void payerReceiverParityExplicit() {
final MultipleCurrencyAmount pvReceiverLong =
METHOD_HW.presentValue(SWAPTION_LONG_RECEIVER, HW_MULTICURVES);
final MultipleCurrencyAmount pvPayerShort =
METHOD_HW.presentValue(SWAPTION_SHORT_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvSwap = SWAP_RECEIVER.accept(PVDC, MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - payer/receiver/swap parity",
pvReceiverLong.getAmount(EUR) + pvPayerShort.getAmount(EUR),
pvSwap.getAmount(EUR),
TOLERANCE_PV);
}
@Test
/** Tests the method against the present value calculator. */
public void presentValueMethodVsCalculator() {
final MultipleCurrencyAmount pvMethod =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvCalculator = SWAPTION_LONG_PAYER.accept(PVHWC, HW_MULTICURVES);
assertEquals(
"SwaptionPhysicalFixedIborSABRMethod: present value : method and calculator",
pvMethod,
pvCalculator);
}
@Test
/** Compare explicit formula with numerical integration. */
public void presentValueNumericalIntegration() {
final MultipleCurrencyAmount pvPayerLongExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvPayerLongIntegration =
METHOD_HW_INTEGRATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - explicit/numerical integration",
pvPayerLongExplicit.getAmount(EUR),
pvPayerLongIntegration.getAmount(EUR),
TOLERANCE_PV);
final MultipleCurrencyAmount pvPayerShortExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvPayerShortIntegration =
METHOD_HW_INTEGRATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - explicit/numerical integration",
pvPayerShortExplicit.getAmount(EUR),
pvPayerShortIntegration.getAmount(EUR),
TOLERANCE_PV);
final MultipleCurrencyAmount pvReceiverLongExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvReceiverLongIntegration =
METHOD_HW_INTEGRATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - explicit/numerical integration",
pvReceiverLongExplicit.getAmount(EUR),
pvReceiverLongIntegration.getAmount(EUR),
TOLERANCE_PV);
final MultipleCurrencyAmount pvReceiverShortExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvReceiverShortIntegration =
METHOD_HW_INTEGRATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - explicit/numerical integration",
pvReceiverShortExplicit.getAmount(EUR),
pvReceiverShortIntegration.getAmount(EUR),
TOLERANCE_PV);
}
@Test
/** Compare explicit formula with approximated formula. */
public void presentValueApproximation() {
final BlackImpliedVolatilityFormula implied = new BlackImpliedVolatilityFormula();
final double forward =
SWAPTION_LONG_PAYER
.getUnderlyingSwap()
.accept(ParRateDiscountingCalculator.getInstance(), MULTICURVES);
final double pvbp =
METHOD_SWAP.presentValueBasisPoint(SWAPTION_LONG_PAYER.getUnderlyingSwap(), MULTICURVES);
final MultipleCurrencyAmount pvPayerLongExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvPayerLongApproximation =
METHOD_HW_APPROXIMATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final BlackFunctionData data = new BlackFunctionData(forward, pvbp, 0.20);
final double volExplicit =
implied.getImpliedVolatility(data, SWAPTION_LONG_PAYER, pvPayerLongExplicit.getAmount(EUR));
final double volApprox =
implied.getImpliedVolatility(
data, SWAPTION_LONG_PAYER, pvPayerLongApproximation.getAmount(EUR));
assertEquals(
"Swaption physical - Hull-White - present value - explicit/approximation",
pvPayerLongExplicit.getAmount(EUR),
pvPayerLongApproximation.getAmount(EUR),
5.0E+2);
assertEquals(
"Swaption physical - Hull-White - present value - explicit/approximation",
volExplicit,
volApprox,
2.5E-4); // 0.025%
final MultipleCurrencyAmount pvReceiverLongExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvReceiverLongApproximation =
METHOD_HW_APPROXIMATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - explicit/numerical integration",
pvReceiverLongExplicit.getAmount(EUR),
pvReceiverLongApproximation.getAmount(EUR),
5.0E+2);
}
@Test
/** Approximation analysis. */
public void presentValueApproximationAnalysis() {
final NormalImpliedVolatilityFormula implied = new NormalImpliedVolatilityFormula();
final int nbStrike = 20;
final double[] pvExplicit = new double[nbStrike + 1];
final double[] pvApproximation = new double[nbStrike + 1];
final double[] strike = new double[nbStrike + 1];
final double[] volExplicit = new double[nbStrike + 1];
final double[] volApprox = new double[nbStrike + 1];
final double strikeRange = 0.010;
final SwapFixedCoupon<Coupon> swap = SWAP_PAYER_DEFINITION.toDerivative(REFERENCE_DATE);
final double forward = swap.accept(PRDC, MULTICURVES);
final double pvbp = METHOD_SWAP.presentValueBasisPoint(swap, MULTICURVES);
for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
strike[loopstrike] =
forward
- strikeRange
+ 3
* strikeRange
* loopstrike
/ nbStrike; // From forward-strikeRange to forward+2*strikeRange
final SwapFixedIborDefinition swapDefinition =
SwapFixedIborDefinition.from(
SETTLEMENT_DATE,
SWAP_TENOR,
EUR1YEURIBOR6M,
NOTIONAL,
strike[loopstrike],
FIXED_IS_PAYER);
final SwaptionPhysicalFixedIborDefinition swaptionDefinition =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinition, IS_LONG);
final SwaptionPhysicalFixedIbor swaption = swaptionDefinition.toDerivative(REFERENCE_DATE);
pvExplicit[loopstrike] = METHOD_HW.presentValue(swaption, HW_MULTICURVES).getAmount(EUR);
pvApproximation[loopstrike] =
METHOD_HW_APPROXIMATION.presentValue(swaption, HW_MULTICURVES).getAmount(EUR);
final NormalFunctionData data = new NormalFunctionData(forward, pvbp, 0.01);
volExplicit[loopstrike] =
implied.getImpliedVolatility(data, swaption, pvExplicit[loopstrike]);
volApprox[loopstrike] =
implied.getImpliedVolatility(data, swaption, pvApproximation[loopstrike]);
assertEquals(
"Swaption physical - Hull-White - implied volatility - explicit/approximation",
volExplicit[loopstrike],
volApprox[loopstrike],
1.0E-3); // 0.10%
}
}
@Test(enabled = true)
/** Compare explicit formula with Monte-Carlo and long/short and payer/receiver parities. */
public void presentValueMonteCarlo() {
HullWhiteMonteCarloMethod methodMC;
methodMC =
new HullWhiteMonteCarloMethod(
new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
// Seed fixed to the DEFAULT_SEED for testing purposes.
final MultipleCurrencyAmount pvPayerLongExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvPayerLongMC =
methodMC.presentValue(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - Monte Carlo",
pvPayerLongExplicit.getAmount(EUR),
pvPayerLongMC.getAmount(EUR),
1.0E+4);
final double pvMCPreviousRun = 4221400.891;
assertEquals(
"Swaption physical - Hull-White - Monte Carlo",
pvMCPreviousRun,
pvPayerLongMC.getAmount(EUR),
TOLERANCE_PV);
methodMC =
new HullWhiteMonteCarloMethod(
new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
final MultipleCurrencyAmount pvPayerShortMC =
methodMC.presentValue(SWAPTION_SHORT_PAYER, EUR, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - Monte Carlo",
-pvPayerLongMC.getAmount(EUR),
pvPayerShortMC.getAmount(EUR),
TOLERANCE_PV);
final MultipleCurrencyAmount pvReceiverLongMC =
methodMC.presentValue(SWAPTION_LONG_RECEIVER, EUR, HW_MULTICURVES);
final MultipleCurrencyAmount pvSwap = SWAP_RECEIVER.accept(PVDC, MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - Monte Carlo - payer/receiver/swap parity",
pvReceiverLongMC.getAmount(EUR) + pvPayerShortMC.getAmount(EUR),
pvSwap.getAmount(EUR),
1.0E+5);
}
@Test
/** Tests the Hull-White parameters sensitivity for the explicit formula. */
public void presentValueHullWhiteSensitivityExplicit() {
final double[] hwSensitivity =
METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final int nbVolatility = HW_PARAMETERS.getVolatility().length;
final double shiftVol = 1.0E-6;
final double[] volatilityBumped = new double[nbVolatility];
System.arraycopy(HW_PARAMETERS.getVolatility(), 0, volatilityBumped, 0, nbVolatility);
final double[] volatilityTime = new double[nbVolatility - 1];
System.arraycopy(HW_PARAMETERS.getVolatilityTime(), 1, volatilityTime, 0, nbVolatility - 1);
final double[] pvBumpedPlus = new double[nbVolatility];
final double[] pvBumpedMinus = new double[nbVolatility];
final HullWhiteOneFactorPiecewiseConstantParameters parametersBumped =
new HullWhiteOneFactorPiecewiseConstantParameters(
HW_PARAMETERS.getMeanReversion(), volatilityBumped, volatilityTime);
final HullWhiteOneFactorProviderDiscount bundleBumped =
new HullWhiteOneFactorProviderDiscount(MULTICURVES, parametersBumped, EUR);
for (int loopvol = 0; loopvol < nbVolatility; loopvol++) {
volatilityBumped[loopvol] += shiftVol;
parametersBumped.setVolatility(volatilityBumped);
pvBumpedPlus[loopvol] =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, bundleBumped).getAmount(EUR);
volatilityBumped[loopvol] -= 2 * shiftVol;
parametersBumped.setVolatility(volatilityBumped);
pvBumpedMinus[loopvol] =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, bundleBumped).getAmount(EUR);
assertEquals(
"Swaption - Hull-White sensitivity adjoint: derivative "
+ loopvol
+ " - difference:"
+ ((pvBumpedPlus[loopvol] - pvBumpedMinus[loopvol]) / (2 * shiftVol)
- hwSensitivity[loopvol]),
(pvBumpedPlus[loopvol] - pvBumpedMinus[loopvol]) / (2 * shiftVol),
hwSensitivity[loopvol],
TOLERANCE_PV_DELTA);
volatilityBumped[loopvol] = HW_PARAMETERS.getVolatility()[loopvol];
}
}
@Test
/** Tests long/short parity. */
public void presentValueHullWhiteSensitivitylongShortParityExplicit() {
final double[] pvhwsLong =
METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final double[] pvhwsShort =
METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_SHORT_PAYER, HW_MULTICURVES);
for (int loophw = 0; loophw < pvhwsLong.length; loophw++) {
assertEquals(
"Swaption physical - Hull-White - presentValueHullWhiteSensitivity - long/short parity",
pvhwsLong[loophw],
-pvhwsShort[loophw],
TOLERANCE_PV_DELTA);
}
}
@Test
/** Tests payer/receiver/swap parity. */
public void presentValueHullWhiteSensitivitypayerReceiverParityExplicit() {
final double[] pvhwsReceiverLong =
METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_RECEIVER, HW_MULTICURVES);
final double[] pvhwsPayerShort =
METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_SHORT_PAYER, HW_MULTICURVES);
for (int loophw = 0; loophw < pvhwsReceiverLong.length; loophw++) {
assertEquals(
"Swaption physical - Hull-White - present value - payer/receiver/swap parity",
0,
pvhwsReceiverLong[loophw] + pvhwsPayerShort[loophw],
TOLERANCE_PV_DELTA);
}
}
@Test
/** Tests present value curve sensitivity when the valuation date is on trade date. */
public void presentValueCurveSensitivity() {
final MultipleCurrencyParameterSensitivity pvpsExact =
PS_HW_C.calculateSensitivity(
SWAPTION_SHORT_RECEIVER,
HW_MULTICURVES,
HW_MULTICURVES.getMulticurveProvider().getAllNames());
final MultipleCurrencyParameterSensitivity pvpsFD =
PS_HW_FDC.calculateSensitivity(SWAPTION_SHORT_RECEIVER, HW_MULTICURVES);
AssertSensivityObjects.assertEquals(
"SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ",
pvpsExact,
pvpsFD,
TOLERANCE_PV_DELTA);
}
@Test(enabled = false)
/** Tests present value curve sensitivity when the valuation date is on trade date. */
public void presentValueCurveSensitivityStability() {
// 5Yx5Y
final MultipleCurrencyParameterSensitivity pvpsExact =
PS_HW_C.calculateSensitivity(
SWAPTION_SHORT_RECEIVER,
HW_MULTICURVES,
HW_MULTICURVES.getMulticurveProvider().getAllNames());
final double derivativeExact = pvpsExact.totalSensitivity(MULTICURVES.getFxRates(), EUR);
final double startingShift = 1.0E-4;
final double ratio = Math.sqrt(2.0);
final int nbShift = 55;
final double[] eps = new double[nbShift + 1];
final double[] derivative_FD = new double[nbShift];
final double[] diff = new double[nbShift];
eps[0] = startingShift;
for (int loopshift = 0; loopshift < nbShift; loopshift++) {
final ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator fdShift =
new ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator(PVHWC, eps[loopshift]);
final MultipleCurrencyParameterSensitivity pvpsFD =
fdShift.calculateSensitivity(SWAPTION_SHORT_RECEIVER, HW_MULTICURVES);
derivative_FD[loopshift] = pvpsFD.totalSensitivity(MULTICURVES.getFxRates(), EUR);
diff[loopshift] = derivative_FD[loopshift] - derivativeExact;
eps[loopshift + 1] = eps[loopshift] / ratio;
}
// 1Mx5Y
final Period expirationPeriod =
Period.ofDays(
1); // Period.ofDays(1); Period.ofDays(7); Period.ofMonths(1); Period.ofYears(1);
// Period.ofYears(10);
final ZonedDateTime expiryDateExp =
ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, expirationPeriod, EURIBOR6M, CALENDAR);
final ZonedDateTime settlementDateExp =
ScheduleCalculator.getAdjustedDate(expiryDateExp, SPOT_LAG, CALENDAR);
final double ATM = 0.0151; // 1W: 1.52% - 1M: 1.52% - 1Y: 1.51% - 10Y: 1.51%
final SwapFixedIborDefinition swapExpx5YDefinition =
SwapFixedIborDefinition.from(
settlementDateExp, SWAP_TENOR, EUR1YEURIBOR6M, NOTIONAL, ATM, !FIXED_IS_PAYER);
final SwaptionPhysicalFixedIborDefinition swaptionExpx5YDefinition =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapExpx5YDefinition, !IS_LONG);
final SwaptionPhysicalFixedIbor swaptionExpx5Y =
swaptionExpx5YDefinition.toDerivative(REFERENCE_DATE);
// final double forward = swaptionExpx5Y.getUnderlyingSwap().accept(PRDC, MULTICURVES);
final MultipleCurrencyParameterSensitivity pvpsExactExp =
PS_HW_C.calculateSensitivity(
swaptionExpx5Y, HW_MULTICURVES, HW_MULTICURVES.getMulticurveProvider().getAllNames());
final double derivativeExactExp = pvpsExactExp.totalSensitivity(MULTICURVES.getFxRates(), EUR);
final double[] derivative_FDExp = new double[nbShift];
final double[] diffExp = new double[nbShift];
for (int loopshift = 0; loopshift < nbShift; loopshift++) {
final ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator fdShift =
new ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator(PVHWC, eps[loopshift]);
final MultipleCurrencyParameterSensitivity pvpsFD =
fdShift.calculateSensitivity(swaptionExpx5Y, HW_MULTICURVES);
derivative_FDExp[loopshift] = pvpsFD.totalSensitivity(MULTICURVES.getFxRates(), EUR);
diffExp[loopshift] = derivative_FDExp[loopshift] - derivativeExactExp;
}
// int t = 0;
// t++;
}
@Test
/** Tests long/short parity. */
public void presentValueCurveSensitivityLongShortParityExplicit() {
final MultipleCurrencyMulticurveSensitivity pvhwsLong =
METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvhwsShort =
METHOD_HW.presentValueCurveSensitivity(SWAPTION_SHORT_PAYER, HW_MULTICURVES);
AssertSensivityObjects.assertEquals(
"Swaption physical - Hull-White - presentValueCurveSensitivity - long/short parity",
pvhwsLong,
pvhwsShort.multipliedBy(-1.0),
TOLERANCE_PV_DELTA);
}
@Test
/** Tests payer/receiver/swap parity. */
public void presentValueCurveSensitivityPayerReceiverParityExplicit() {
final MultipleCurrencyMulticurveSensitivity pvhwsReceiverLong =
METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_RECEIVER, HW_MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvhwsPayerShort =
METHOD_HW.presentValueCurveSensitivity(SWAPTION_SHORT_PAYER, HW_MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvSwap = SWAP_RECEIVER.accept(PVCSDC, MULTICURVES);
AssertSensivityObjects.assertEquals(
"Swaption physical - Hull-White - presentValueCurveSensitivity - payer/receiver/swap parity",
pvSwap.cleaned(TOLERANCE_PV_DELTA),
pvhwsReceiverLong.plus(pvhwsPayerShort).cleaned(TOLERANCE_PV_DELTA),
TOLERANCE_PV_DELTA);
}
@Test
/** Tests the curve sensitivity in Monte Carlo approach. */
public void presentValueCurveSensitivityMonteCarlo() {
final double toleranceDelta = 1.0E+6; // 100 USD by bp
final MultipleCurrencyMulticurveSensitivity pvcsExplicit =
METHOD_HW
.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES)
.cleaned(TOLERANCE_PV_DELTA);
final HullWhiteMonteCarloMethod methodMC =
new HullWhiteMonteCarloMethod(
new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
final MultipleCurrencyMulticurveSensitivity pvcsMC =
methodMC
.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES)
.cleaned(TOLERANCE_PV_DELTA);
AssertSensivityObjects.assertEquals(
"Swaption physical - Hull-White - presentValueCurveSensitivity - payer/receiver/swap parity",
pvcsExplicit,
pvcsMC,
toleranceDelta);
}
@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(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).
}
}
/**
* Tests related to the pricing of CMS coupons with Hull-White (extended Vasicek) model and
* different numerical methods.
*/
public class CouponCMSHullWhiteMethodsTest {
private static final Calendar TARGET = new MondayToFridayCalendar("TARGET");
private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER =
GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedIbor GENERATOR_EUR1YEURIBOR6M =
GENERATOR_SWAP_MASTER.getGenerator("EUR1YEURIBOR6M", TARGET);
private static final Period TENOR_SWAP = Period.ofYears(10);
private static final IndexSwap SWAP_EUR10Y = new IndexSwap(GENERATOR_EUR1YEURIBOR6M, TENOR_SWAP);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2012, 1, 17);
// Coupon CMS: 6m fixing in advance (payment in arrears); ACT/360
private static final Period TENOR_COUPON = Period.ofMonths(6);
private static final Period TENOR_FIXING = Period.ofMonths(60);
private static final DayCount ACT360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final ZonedDateTime FIXING_DATE =
ScheduleCalculator.getAdjustedDate(
REFERENCE_DATE,
TENOR_FIXING,
GENERATOR_EUR1YEURIBOR6M.getBusinessDayConvention(),
TARGET,
GENERATOR_EUR1YEURIBOR6M.isEndOfMonth());
private static final ZonedDateTime START_DATE =
ScheduleCalculator.getAdjustedDate(
FIXING_DATE, GENERATOR_EUR1YEURIBOR6M.getSpotLag(), TARGET);
private static final ZonedDateTime PAYMENT_DATE =
ScheduleCalculator.getAdjustedDate(
START_DATE,
TENOR_COUPON,
GENERATOR_EUR1YEURIBOR6M.getBusinessDayConvention(),
TARGET,
GENERATOR_EUR1YEURIBOR6M.isEndOfMonth());
private static final double NOTIONAL = 100000000; // 100m
private static final double ACCRUAL_FACTOR = ACT360.getDayCountFraction(START_DATE, PAYMENT_DATE);
private static final CouponCMSDefinition CPN_CMS_DEFINITION =
CouponCMSDefinition.from(
PAYMENT_DATE, START_DATE, PAYMENT_DATE, ACCRUAL_FACTOR, NOTIONAL, SWAP_EUR10Y);
private static final YieldCurveBundle CURVES = TestsDataSetsSABR.createCurves2();
private static final String[] CURVE_NAMES = TestsDataSetsSABR.curves2Names();
private static final HullWhiteOneFactorPiecewiseConstantParameters PARAMETERS_HW =
TestsDataSetHullWhite.createHullWhiteParameters();
private static final HullWhiteOneFactorPiecewiseConstantDataBundle BUNDLE_HW =
new HullWhiteOneFactorPiecewiseConstantDataBundle(PARAMETERS_HW, CURVES);
private static final CouponCMS CPN_CMS =
(CouponCMS)
CPN_CMS_DEFINITION.toDerivative(
REFERENCE_DATE, new String[] {CURVE_NAMES[0], CURVE_NAMES[2]});
private static final CouponCMSHullWhiteNumericalIntegrationMethod METHOD_NI =
CouponCMSHullWhiteNumericalIntegrationMethod.getInstance();
private static final CouponCMSHullWhiteApproximationMethod METHOD_APP =
CouponCMSHullWhiteApproximationMethod.getInstance();
private static final CouponCMSDiscountingMethod METHOD_DSC =
CouponCMSDiscountingMethod.getInstance();
private static final double TOLERANCE_PRICE = 1.0E-2;
private static final double TOLERANCE_PRICE_APP = 5.0E+0;
@Test
public void presentValueNumericalIntegration() {
CurrencyAmount pvNumericalIntegration = METHOD_NI.presentValue(CPN_CMS, BUNDLE_HW);
double pvPrevious = 1124760.482; // From previous run
assertEquals(
"Coupon CMS - Hull-White - present value - numerical integration",
pvPrevious,
pvNumericalIntegration.getAmount(),
TOLERANCE_PRICE);
// Comparison with non-adjusted figures: to have the right order of magnitude
CurrencyAmount pvDiscounting = METHOD_DSC.presentValue(CPN_CMS, BUNDLE_HW);
assertEquals(
"Coupon CMS - Hull-White - present value - numerical integration",
1.0,
pvDiscounting.getAmount() / pvNumericalIntegration.getAmount(),
0.20);
}
@Test
public void presentValueApproximation() {
CurrencyAmount pvNumericalIntegration = METHOD_NI.presentValue(CPN_CMS, BUNDLE_HW);
CurrencyAmount pvApproximation = METHOD_APP.presentValue(CPN_CMS, BUNDLE_HW);
assertEquals(
"Coupon CMS - Hull-White - present value - approximation",
pvApproximation.getAmount(),
pvNumericalIntegration.getAmount(),
TOLERANCE_PRICE_APP);
}
}
/** Sets of market data used in tests. */
public class TestsDataSetsBlack {
private static final Interpolator1D LINEAR_FLAT =
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.LINEAR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR);
private static final GridInterpolator2D INTERPOLATOR_LINEAR_2D =
new GridInterpolator2D(LINEAR_FLAT, LINEAR_FLAT);
private static final Calendar CALENDAR = new MondayToFridayCalendar("TARGET");
private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER =
GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedIbor EUR1YEURIBOR6M =
GENERATOR_SWAP_MASTER.getGenerator("EUR1YEURIBOR6M", CALENDAR);
private static final GeneratorSwapFixedIbor EUR1YEURIBOR3M =
GENERATOR_SWAP_MASTER.getGenerator("EUR1YEURIBOR3M", CALENDAR);
private static final InterpolatedDoublesSurface BLACK_SURFACE_EXP_TEN =
InterpolatedDoublesSurface.from(
new double[] {0.5, 1.0, 5.0, 0.5, 1.0, 5.0},
new double[] {2, 2, 2, 10, 10, 10},
new double[] {0.35, 0.34, 0.25, 0.30, 0.25, 0.20},
INTERPOLATOR_LINEAR_2D);
private static final InterpolatedDoublesSurface BLACK_SURFACE_EXP_STR =
InterpolatedDoublesSurface.from(
new double[] {0.5, 1.0, 5.0, 0.5, 1.0, 5.0, 0.5, 1.0, 5.0},
new double[] {0.01, 0.01, 0.01, 0.02, 0.02, 0.02, 0.03, 0.03, 0.03},
new double[] {0.35, 0.34, 0.25, 0.30, 0.25, 0.20, 0.28, 0.23, 0.18},
INTERPOLATOR_LINEAR_2D);
private static final BlackFlatSwaptionParameters BLACK_SWAPTION_EUR6 =
new BlackFlatSwaptionParameters(BLACK_SURFACE_EXP_TEN, EUR1YEURIBOR6M);
private static final BlackFlatSwaptionParameters BLACK_SWAPTION_EUR3 =
new BlackFlatSwaptionParameters(BLACK_SURFACE_EXP_TEN, EUR1YEURIBOR3M);
public static InterpolatedDoublesSurface createBlackSurfaceExpiryTenor() {
return BLACK_SURFACE_EXP_TEN;
}
public static InterpolatedDoublesSurface createBlackSurfaceExpiryStrike() {
return BLACK_SURFACE_EXP_STR;
}
public static InterpolatedDoublesSurface createBlackSurfaceExpiryTenorShift(final double shift) {
return InterpolatedDoublesSurface.from(
new double[] {0.5, 1.0, 5.0, 0.5, 1.0, 5.0},
new double[] {2, 2, 2, 10, 10, 10},
new double[] {
0.35 + shift, 0.34 + shift, 0.25 + shift, 0.30 + shift, 0.25 + shift, 0.20 + shift
},
INTERPOLATOR_LINEAR_2D);
}
public static InterpolatedDoublesSurface createBlackSurfaceExpiryStrikeShift(final double shift) {
return InterpolatedDoublesSurface.from(
new double[] {0.5, 1.0, 5.0, 0.5, 1.0, 5.0, 0.5, 1.0, 5.0},
new double[] {0.01, 0.01, 0.01, 0.02, 0.02, 0.02, 0.03, 0.03, 0.03},
new double[] {
0.35 + shift,
0.34 + shift,
0.25 + shift,
0.30 + shift,
0.25 + shift,
0.20 + shift,
0.28 + shift,
0.23 + shift,
0.18 + shift
},
INTERPOLATOR_LINEAR_2D);
}
public static BlackFlatSwaptionParameters createBlackSwaptionEUR6() {
return BLACK_SWAPTION_EUR6;
}
public static BlackFlatSwaptionParameters createBlackSwaptionEUR3() {
return BLACK_SWAPTION_EUR3;
}
/**
* Create the same surface as createBlackSwaptionEUR6() but with a given parallel shift.
*
* @param shift The shift.
* @return The surface.
*/
public static BlackFlatSwaptionParameters createBlackSwaptionEUR6Shift(final double shift) {
final InterpolatedDoublesSurface surfaceShift = createBlackSurfaceExpiryTenorShift(shift);
return new BlackFlatSwaptionParameters(surfaceShift, EUR1YEURIBOR6M);
}
/**
* Create the same surface as createBlackSwaptionEUR6() but with one volatility shifted.
*
* @param index The index of the shifted volatility.
* @param shift The shift.
* @return The surface.
*/
public static BlackFlatSwaptionParameters createBlackSwaptionEUR6Shift(
final int index, final double shift) {
final double[] vol = new double[] {0.35, 0.34, 0.25, 0.30, 0.25, 0.20};
vol[index] += shift;
final InterpolatedDoublesSurface surfaceShift =
InterpolatedDoublesSurface.from(
new double[] {0.5, 1.0, 5.0, 0.5, 1.0, 5.0},
new double[] {2, 2, 2, 10, 10, 10},
vol,
INTERPOLATOR_LINEAR_2D);
return new BlackFlatSwaptionParameters(surfaceShift, EUR1YEURIBOR6M);
}
public static YieldCurveBundle createCurvesEUR() {
final String discountingCurvename = "EUR Discounting";
final String forward3MCurveName = "Forward EURIBOR3M";
final String forward6MCurveName = "Forward EURIBOR6M";
final InterpolatedDoublesCurve dscC =
new InterpolatedDoublesCurve(
new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 20.0},
new double[] {0.0050, 0.0100, 0.0150, 0.0200, 0.0200, 0.0300},
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR),
true,
discountingCurvename);
final InterpolatedDoublesCurve fwd3C =
new InterpolatedDoublesCurve(
new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 25.0},
new double[] {0.0070, 0.0120, 0.0165, 0.0215, 0.0210, 0.0310},
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR),
true,
forward3MCurveName);
final InterpolatedDoublesCurve fwd6C =
new InterpolatedDoublesCurve(
new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 30.0},
new double[] {0.0075, 0.0125, 0.0170, 0.0220, 0.0212, 0.0312},
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR),
true,
forward6MCurveName);
final YieldCurveBundle curves = new YieldCurveBundle();
curves.setCurve(discountingCurvename, YieldCurve.from(dscC));
curves.setCurve(forward3MCurveName, YieldCurve.from(fwd3C));
curves.setCurve(forward6MCurveName, YieldCurve.from(fwd6C));
return curves;
}
public static String[] curvesEURNames() {
final String discountingCurvename = "EUR Discounting";
final String forward3MCurveName = "Forward EURIBOR3M";
final String forward6MCurveName = "Forward EURIBOR6M";
return new String[] {discountingCurvename, forward3MCurveName, forward6MCurveName};
}
public static YieldCurveBundle createCurvesUSD() {
final String discountingCurvename = "USD Discounting";
final String forward3MCurveName = "Forward USDLIBOR3M";
final String forward6MCurveName = "Forward USDLIBOR6M";
final InterpolatedDoublesCurve dscC =
new InterpolatedDoublesCurve(
new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 20.0},
new double[] {0.0050, 0.0100, 0.0150, 0.0200, 0.0200, 0.0300},
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR),
true,
discountingCurvename);
final InterpolatedDoublesCurve fwd3C =
new InterpolatedDoublesCurve(
new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 25.0},
new double[] {0.0070, 0.0120, 0.0165, 0.0215, 0.0210, 0.0310},
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR),
true,
forward3MCurveName);
final InterpolatedDoublesCurve fwd6C =
new InterpolatedDoublesCurve(
new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 30.0},
new double[] {0.0075, 0.0125, 0.0170, 0.0220, 0.0212, 0.0312},
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR),
true,
forward6MCurveName);
final YieldCurveBundle curves = new YieldCurveBundle();
curves.setCurve(discountingCurvename, YieldCurve.from(dscC));
curves.setCurve(forward3MCurveName, YieldCurve.from(fwd3C));
curves.setCurve(forward6MCurveName, YieldCurve.from(fwd6C));
return curves;
}
/**
* Create a yield curve bundle with three curves. One called "Credit" with a constant rate of 5%,
* one called "Discounting" with a constant rate of 4%, and one called "Forward" with a constant
* rate of 4.5%.
*
* @return The yield curve bundle.
*/
public static YieldCurveBundle createCurvesBond() {
final String CREDIT_CURVE_NAME = "Credit";
final String DISCOUNTING_CURVE_NAME = "Repo";
final String FORWARD_CURVE_NAME = "Forward";
final YieldAndDiscountCurve CURVE_5 = YieldCurve.from(ConstantDoublesCurve.from(0.05));
final YieldAndDiscountCurve CURVE_4 = YieldCurve.from(ConstantDoublesCurve.from(0.04));
final YieldAndDiscountCurve CURVE_45 = YieldCurve.from(ConstantDoublesCurve.from(0.045));
final YieldCurveBundle curves = new YieldCurveBundle();
curves.setCurve(CREDIT_CURVE_NAME, CURVE_5);
curves.setCurve(DISCOUNTING_CURVE_NAME, CURVE_4);
curves.setCurve(FORWARD_CURVE_NAME, CURVE_45);
return curves;
}
public static YieldCurveWithBlackCubeBundle createCubesBondFutureOption() {
return new YieldCurveWithBlackCubeBundle(BLACK_SURFACE_EXP_TEN, createCurvesBond());
}
}
/** Test the swaps with multiple legs present value and related figures. */
@Test(groups = TestGroup.UNIT)
public class SwapMultilegCalculatorTest {
private static final MulticurveProviderDiscount MULTICURVES =
MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final Calendar TARGET = new MondayToFridayCalendar("TRAGET");
private static final IndexIborMaster INDEX_MASTER = IndexIborMaster.getInstance();
private static final IborIndex EURIBOR3M = INDEX_MASTER.getIndex("EURIBOR3M");
private static final IborIndex EURIBOR6M = INDEX_MASTER.getIndex("EURIBOR6M");
private static final GeneratorSwapFixedIborMaster SWAP_MASTER =
GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedIbor EUR1YEURIBOR6M =
SWAP_MASTER.getGenerator("EUR1YEURIBOR6M", TARGET);
private static final Period ANNUITY_TENOR = Period.ofYears(2);
private static final Currency EUR = EURIBOR3M.getCurrency();
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2013, 3, 20);
private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2013, 10, 16);
private static final double NOTIONAL = 100000000; // 100 m
private static final double SPREAD = 0.0010; // 10 bps
private static final StubType STUB = StubType.SHORT_START;
// Swap represeting a EUR basis swap: 1 spread leg and 2 Euribor leg.
private static final boolean IS_PAYER_SPREAD = true;
private static final ZonedDateTime MATURITY_DATE = SETTLEMENT_DATE.plus(ANNUITY_TENOR);
private static final int NB_LEGS = 3;
@SuppressWarnings("rawtypes")
private static final AnnuityDefinition[] LEGS_DEFINITION = new AnnuityDefinition[NB_LEGS];
static {
LEGS_DEFINITION[0] =
AnnuityDefinitionBuilder.couponFixed(
EUR,
SETTLEMENT_DATE,
MATURITY_DATE,
EUR1YEURIBOR6M.getFixedLegPeriod(),
TARGET,
EUR1YEURIBOR6M.getFixedLegDayCount(),
EUR1YEURIBOR6M.getBusinessDayConvention(),
EUR1YEURIBOR6M.isEndOfMonth(),
NOTIONAL,
SPREAD,
IS_PAYER_SPREAD,
STUB,
0);
LEGS_DEFINITION[1] =
AnnuityDefinitionBuilder.couponIbor(
SETTLEMENT_DATE,
MATURITY_DATE,
EURIBOR3M.getTenor(),
NOTIONAL,
EURIBOR3M,
IS_PAYER_SPREAD,
EURIBOR3M.getDayCount(),
EURIBOR3M.getBusinessDayConvention(),
EURIBOR3M.isEndOfMonth(),
TARGET,
STUB,
0);
LEGS_DEFINITION[2] =
AnnuityDefinitionBuilder.couponIbor(
SETTLEMENT_DATE,
MATURITY_DATE,
EURIBOR6M.getTenor(),
NOTIONAL,
EURIBOR6M,
!IS_PAYER_SPREAD,
EURIBOR6M.getDayCount(),
EURIBOR6M.getBusinessDayConvention(),
EURIBOR6M.isEndOfMonth(),
TARGET,
STUB,
0);
}
@SuppressWarnings("unchecked")
private static final SwapMultilegDefinition SWAP_MULTI_LEG_DEFINITION =
new SwapMultilegDefinition(LEGS_DEFINITION);
private static final SwapMultileg SWAP_MULTI_LEG =
SWAP_MULTI_LEG_DEFINITION.toDerivative(REFERENCE_DATE);
private static final PresentValueDiscountingCalculator PVDC =
PresentValueDiscountingCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingCalculator PVCSDC =
PresentValueCurveSensitivityDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteDiscountingCalculator PSMQDC =
ParSpreadMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator PSMQCSDC =
ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final PresentValueMarketQuoteSensitivityDiscountingCalculator PVMQSC =
PresentValueMarketQuoteSensitivityDiscountingCalculator.getInstance();
private static final PresentValueMarketQuoteSensitivityCurveSensitivityDiscountingCalculator
PVMQSCSC =
PresentValueMarketQuoteSensitivityCurveSensitivityDiscountingCalculator.getInstance();
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA = 1.0E-2;
private static final double TOLERANCE_RATE = 1.0E-8;
private static final double TOLERANCE_RATE_DELTA = 1.0E-8;
@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
public void presentValueCurveSensitivityDiscountingCalculator() {
final MultipleCurrencyMulticurveSensitivity pvcsSwap =
SWAP_MULTI_LEG.accept(PVCSDC, MULTICURVES);
MultipleCurrencyMulticurveSensitivity pvcsLegs =
SWAP_MULTI_LEG.getLegs()[0].accept(PVCSDC, MULTICURVES);
for (int loopleg = 1; loopleg < NB_LEGS; loopleg++) {
pvcsLegs = pvcsLegs.plus(SWAP_MULTI_LEG.getLegs()[loopleg].accept(PVCSDC, MULTICURVES));
}
AssertSensitivityObjects.assertEquals(
"SwapMultileg: presentValueCurveSensitivityDiscountingCalculator",
pvcsLegs,
pvcsSwap,
TOLERANCE_PV_DELTA);
}
@Test
public void parSpreadMarketQuoteDiscountingCalculator() {
final double psmq = SWAP_MULTI_LEG.accept(PSMQDC, MULTICURVES);
final double pv =
-MULTICURVES
.getFxRates()
.convert(
SWAP_MULTI_LEG.accept(PVDC, MULTICURVES), SWAP_MULTI_LEG.getLegs()[0].getCurrency())
.getAmount();
final double pvbp = SWAP_MULTI_LEG.getLegs()[0].accept(PVMQSC, MULTICURVES);
assertEquals(
"SwapMultileg: parSpreadMarketQuoteDiscountingCalculator", psmq, pv / pvbp, TOLERANCE_RATE);
}
@Test
public void parSpreadMarketQuoteCurveSensitivityDiscountingCalculator() {
final double pv =
MULTICURVES
.getFxRates()
.convert(
SWAP_MULTI_LEG.accept(PVDC, MULTICURVES), SWAP_MULTI_LEG.getLegs()[0].getCurrency())
.getAmount();
final double pvbp = SWAP_MULTI_LEG.getLegs()[0].accept(PVMQSC, MULTICURVES);
final MulticurveSensitivity pvcs =
SWAP_MULTI_LEG
.accept(PVCSDC, MULTICURVES)
.converted(EUR, MULTICURVES.getFxRates())
.getSensitivity(EUR);
final MulticurveSensitivity pvbpcs = SWAP_MULTI_LEG.getLegs()[0].accept(PVMQSCSC, MULTICURVES);
final MulticurveSensitivity psmqcsExpected =
pvcs.multipliedBy(-1.0d / pvbp).plus(pvbpcs.multipliedBy(pv / (pvbp * pvbp))).cleaned();
final MulticurveSensitivity psmqcs = SWAP_MULTI_LEG.accept(PSMQCSDC, MULTICURVES).cleaned();
AssertSensitivityObjects.assertEquals(
"SwapMultileg: presentValueCurveSensitivityDiscountingCalculator",
psmqcs,
psmqcsExpected,
TOLERANCE_RATE_DELTA);
}
}
/**
* Test class for the replication method for CMS caplet/floorlet using a SABR smile with
* extrapolation.
*/
@Test
public class CapFloorCMSSABRExtrapolationRightReplicationMethodTest {
private static final MulticurveProviderDiscount MULTICURVES =
MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final IborIndex EURIBOR6M =
MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd()[1];
private static final Currency EUR = EURIBOR6M.getCurrency();
private static final HolidayCalendar CALENDAR =
MulticurveProviderDiscountDataSets.getEURCalendar();
private static final SABRInterestRateParameters SABR_PARAMETER = SABRDataSets.createSABR1();
private static final GeneratorSwapFixedIbor EUR1YEURIBOR6M =
GeneratorSwapFixedIborMaster.getInstance().getGenerator("EUR1YEURIBOR6M", CALENDAR);
private static final SABRSwaptionProviderDiscount SABR_MULTICURVES =
new SABRSwaptionProviderDiscount(MULTICURVES, SABR_PARAMETER, EUR1YEURIBOR6M);
// Swap 5Y
private static final BusinessDayConvention BUSINESS_DAY =
BusinessDayConventions.MODIFIED_FOLLOWING;
private static final boolean IS_EOM = true;
private static final Period ANNUITY_TENOR = Period.ofYears(5);
private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2020, 4, 28);
// Fixed leg: Semi-annual bond
private static final Period FIXED_PAYMENT_PERIOD = Period.ofMonths(6);
private static final DayCount FIXED_DAY_COUNT = DayCounts.THIRTY_U_360;
private static final double RATE = 0.0325;
private static final boolean FIXED_IS_PAYER = true;
private static final AnnuityCouponFixedDefinition FIXED_ANNUITY =
AnnuityCouponFixedDefinition.from(
EUR,
SETTLEMENT_DATE,
ANNUITY_TENOR,
FIXED_PAYMENT_PERIOD,
CALENDAR,
FIXED_DAY_COUNT,
BUSINESS_DAY,
IS_EOM,
1.0,
RATE,
FIXED_IS_PAYER);
// Ibor leg: quarterly money
private static final AnnuityCouponIborDefinition IBOR_ANNUITY =
AnnuityCouponIborDefinition.from(
SETTLEMENT_DATE, ANNUITY_TENOR, 1.0, EURIBOR6M, !FIXED_IS_PAYER, CALENDAR);
// CMS coupon construction
private static final IndexSwap CMS_INDEX =
new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, EURIBOR6M, ANNUITY_TENOR, CALENDAR);
private static final SwapFixedIborDefinition SWAP_DEFINITION =
new SwapFixedIborDefinition(FIXED_ANNUITY, IBOR_ANNUITY);
private static final ZonedDateTime FIXING_DATE =
ScheduleCalculator.getAdjustedDate(SETTLEMENT_DATE, -EURIBOR6M.getSpotLag(), CALENDAR);
private static final ZonedDateTime ACCRUAL_START_DATE = SETTLEMENT_DATE; // pre-fixed
private static final ZonedDateTime ACCRUAL_END_DATE =
ScheduleCalculator.getAdjustedDate(
ACCRUAL_START_DATE, FIXED_PAYMENT_PERIOD, BUSINESS_DAY, CALENDAR);
private static final ZonedDateTime PAYMENT_DATE = ACCRUAL_END_DATE;
private static final DayCount PAYMENT_DAY_COUNT = DayCounts.ACT_360;
private static final double ACCRUAL_FACTOR =
DayCountUtils.yearFraction(PAYMENT_DAY_COUNT, ACCRUAL_START_DATE, ACCRUAL_END_DATE);
private static final double NOTIONAL = 10000000; // 10m
private static final CouponCMSDefinition CMS_COUPON_RECEIVER_DEFINITION =
CouponCMSDefinition.from(
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
ACCRUAL_FACTOR,
NOTIONAL,
FIXING_DATE,
SWAP_DEFINITION,
CMS_INDEX);
private static final CouponCMSDefinition CMS_COUPON_PAYER_DEFINITION =
CouponCMSDefinition.from(
PAYMENT_DATE,
ACCRUAL_START_DATE,
ACCRUAL_END_DATE,
ACCRUAL_FACTOR,
-NOTIONAL,
FIXING_DATE,
SWAP_DEFINITION,
CMS_INDEX);
// Cap/Floor construction
private static final double STRIKE = 0.04;
private static final boolean IS_CAP = true;
private static final CapFloorCMSDefinition CMS_CAP_LONG_DEFINITION =
CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, STRIKE, IS_CAP);
private static final CapFloorCMSDefinition CMS_CAP_SHORT_DEFINITION =
CapFloorCMSDefinition.from(CMS_COUPON_PAYER_DEFINITION, STRIKE, IS_CAP);
private static final CapFloorCMSDefinition CMS_CAP_0_DEFINITION =
CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, 0.0, IS_CAP);
// to derivatives
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 8, 18);
private static final CouponCMS CMS_COUPON =
(CouponCMS) CMS_COUPON_RECEIVER_DEFINITION.toDerivative(REFERENCE_DATE);
private static final CapFloorCMS CMS_CAP_0 =
(CapFloorCMS) CMS_CAP_0_DEFINITION.toDerivative(REFERENCE_DATE);
private static final CapFloorCMS CMS_CAP_LONG =
(CapFloorCMS) CMS_CAP_LONG_DEFINITION.toDerivative(REFERENCE_DATE);
private static final CapFloorCMS CMS_CAP_SHORT =
(CapFloorCMS) CMS_CAP_SHORT_DEFINITION.toDerivative(REFERENCE_DATE);
// Calculators & methods
private static final CapFloorCMSSABRReplicationMethod METHOD_STANDARD_CAP =
CapFloorCMSSABRReplicationMethod.getDefaultInstance();
private static final CouponCMSSABRReplicationMethod METHOD_STANDARD_CPN =
CouponCMSSABRReplicationMethod.getInstance();
private static final CouponCMSDiscountingMethod METHOD_DSC_CPN =
CouponCMSDiscountingMethod.getInstance();
private static final double CUT_OFF_STRIKE = 0.10;
private static final double MU = 2.50;
private static final CapFloorCMSSABRExtrapolationRightReplicationMethod METHOD_EXTRAPOLATION_CAP =
new CapFloorCMSSABRExtrapolationRightReplicationMethod(CUT_OFF_STRIKE, MU);
private static final CouponCMSSABRExtrapolationRightReplicationMethod METHOD_EXTRAPOLATION_CPN =
new CouponCMSSABRExtrapolationRightReplicationMethod(CUT_OFF_STRIKE, MU);
// Calculators
private static final PresentValueSABRSwaptionRightExtrapolationCalculator PVSSXC =
new PresentValueSABRSwaptionRightExtrapolationCalculator(CUT_OFF_STRIKE, MU);
private static final PresentValueCurveSensitivitySABRSwaptionRightExtrapolationCalculator
PVCSSSXC =
new PresentValueCurveSensitivitySABRSwaptionRightExtrapolationCalculator(
CUT_OFF_STRIKE, MU);
private static final PresentValueSABRSensitivitySABRSwaptionRightExtrapolationCalculator
PVSSSSXC =
new PresentValueSABRSensitivitySABRSwaptionRightExtrapolationCalculator(
CUT_OFF_STRIKE, MU);
private static final double SHIFT = 1.0E-6;
private static final ParameterSensitivityParameterCalculator<SABRSwaptionProviderInterface>
PS_SS_C = new ParameterSensitivityParameterCalculator<>(PVCSSSXC);
private static final ParameterSensitivitySABRSwaptionDiscountInterpolatedFDCalculator PS_SS_FDC =
new ParameterSensitivitySABRSwaptionDiscountInterpolatedFDCalculator(PVSSXC, SHIFT);
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA = 5.0E+3; // 0.01 currency unit for 1 bp.
/**
* Test the present value for a CMS coupon with pricing by replication in the SABR with
* extrapolation framework. The present value is tested against hard-coded value and cap of strike
* 0.
*/
public void presentValue() {
// CMS cap/floor with strike 0 has the same price as a CMS coupon.
final double priceCouponStd =
METHOD_STANDARD_CPN.presentValue(CMS_COUPON, SABR_MULTICURVES).getAmount(EUR).getAmount();
final double rateCouponStd =
priceCouponStd
/ (CMS_COUPON.getPaymentYearFraction()
* CMS_COUPON.getNotional()
* MULTICURVES.getDiscountFactor(EUR, CMS_COUPON.getPaymentTime()));
final double priceCouponExtra =
METHOD_EXTRAPOLATION_CPN
.presentValue(CMS_COUPON, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final double rateCouponExtra =
priceCouponExtra
/ (CMS_COUPON.getPaymentYearFraction()
* CMS_COUPON.getNotional()
* MULTICURVES.getDiscountFactor(EUR, CMS_COUPON.getPaymentTime()));
final double priceCouponNoAdj =
METHOD_DSC_CPN.presentValue(CMS_COUPON, MULTICURVES).getAmount(EUR).getAmount();
final double rateCouponNoAdj =
priceCouponNoAdj
/ (CMS_COUPON.getPaymentYearFraction()
* CMS_COUPON.getNotional()
* MULTICURVES.getDiscountFactor(EUR, CMS_COUPON.getPaymentTime()));
assertEquals(
"Extrapolation: comparison with standard method", rateCouponStd > rateCouponExtra, true);
assertEquals(
"Extrapolation: comparison with no convexity adjustment",
rateCouponExtra > rateCouponNoAdj,
true);
final double rateCouponExtraExpected = 0.0189864; // From previous run.
assertEquals("Extrapolation: hard-coded value", rateCouponExtraExpected, rateCouponExtra, 1E-6);
final double priceCap0Extra =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_0, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
assertEquals(
"Extrapolation: CMS coupon vs Cap 0", priceCouponExtra, priceCap0Extra, TOLERANCE_PV);
}
/**
* Tests the price of CMS coupon and cap/floor using replication in the SABR framework. Method v
* Calculator.
*/
public void presentValueMethodVsCalculator() {
final double pvMethod =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_LONG, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final double pvCalculator =
CMS_CAP_LONG.accept(PVSSXC, SABR_MULTICURVES).getAmount(EUR).getAmount();
assertEquals(
"CMS cap/floor SABR: Present value : method vs calculator",
pvMethod,
pvCalculator,
TOLERANCE_PV);
}
/**
* Test the present value for a CMS cap with pricing by replication in the SABR with extrapolation
* framework. The present value is tested against hard-coded value and a long/short parity is
* tested.
*/
public void presentValueReplicationCap() {
// CMS cap/floor with strike 0 has the same price as a CMS coupon.
final double priceCapLongStd =
METHOD_STANDARD_CAP.presentValue(CMS_CAP_LONG, SABR_MULTICURVES).getAmount(EUR).getAmount();
final double priceCapLongExtra =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_LONG, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final double priceCapShortExtra =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_SHORT, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
assertEquals(
"CMS cap by replication - Extrapolation: comparison with standard method",
priceCapLongStd > priceCapLongExtra,
true);
final double priceCapExtraExpected = 30696.572; // From previous run.
assertEquals(
"CMS cap by replication - Extrapolation: hard-coded value",
priceCapExtraExpected,
priceCapLongExtra,
TOLERANCE_PV);
assertEquals(
"CMS cap by replication - Extrapolation: long/short parity",
-priceCapShortExtra,
priceCapLongExtra,
TOLERANCE_PV);
}
/**
* Test the present value rate sensitivity for a CMS cap with pricing by replication in the SABR
* with extrapolation framework.
*/
public void presentValueCurveSensitivity() {
final MultipleCurrencyParameterSensitivity pvpsCapLongExact =
PS_SS_C.calculateSensitivity(
CMS_CAP_LONG, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames());
final MultipleCurrencyParameterSensitivity pvpsCapLongFD =
PS_SS_FDC.calculateSensitivity(CMS_CAP_LONG, SABR_MULTICURVES);
AssertSensitivityObjects.assertEquals(
"SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ",
pvpsCapLongExact,
pvpsCapLongFD,
TOLERANCE_PV_DELTA);
final MultipleCurrencyParameterSensitivity pvpsCapShortExact =
PS_SS_C.calculateSensitivity(
CMS_CAP_SHORT,
SABR_MULTICURVES,
SABR_MULTICURVES.getMulticurveProvider().getAllNames());
final MultipleCurrencyParameterSensitivity pvpsCapShortFD =
PS_SS_FDC.calculateSensitivity(CMS_CAP_SHORT, SABR_MULTICURVES);
AssertSensitivityObjects.assertEquals(
"SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ",
pvpsCapShortExact,
pvpsCapShortFD,
TOLERANCE_PV_DELTA);
}
/**
* Test the present value rate sensitivity for a CMS cap with pricing by replication in the SABR
* with extrapolation framework. Method v Calculator.
*/
public void presentValueCurveSensitivityMethodVsCalculator() {
final MultipleCurrencyMulticurveSensitivity pvcsMethod =
METHOD_EXTRAPOLATION_CAP.presentValueCurveSensitivity(CMS_CAP_LONG, SABR_MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvcsCalculator =
CMS_CAP_LONG.accept(PVCSSSXC, SABR_MULTICURVES);
AssertSensitivityObjects.assertEquals(
"CMS cap/floor SABR: Present value : method vs calculator",
pvcsMethod,
pvcsCalculator,
TOLERANCE_PV_DELTA);
}
/** Tests the cap present value SABR parameters sensitivity vs finite difference. */
public void presentValueSABRSensitivity() {
final double pv =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_LONG, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final PresentValueSABRSensitivityDataBundle pvsCapLong =
METHOD_EXTRAPOLATION_CAP.presentValueSABRSensitivity(CMS_CAP_LONG, SABR_MULTICURVES);
// SABR sensitivity vs finite difference
final double shift = 0.0001;
final double shiftAlpha = 0.00001;
final double maturity =
CMS_CAP_LONG
.getUnderlyingSwap()
.getFixedLeg()
.getNthPayment(
CMS_CAP_LONG.getUnderlyingSwap().getFixedLeg().getNumberOfPayments() - 1)
.getPaymentTime()
- CMS_CAP_LONG.getSettlementTime();
final DoublesPair expectedExpiryTenor = DoublesPair.of(CMS_CAP_LONG.getFixingTime(), maturity);
// Alpha sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterAlphaBumped =
SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
final SABRSwaptionProviderDiscount sabrBundleAlphaBumped =
new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
final double pvLongPayerAlphaBumped =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_LONG, sabrBundleAlphaBumped)
.getAmount(EUR)
.getAmount();
final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 1);
assertEquals(
"Alpha sensitivity expiry/tenor",
pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor),
true);
assertEquals(
"Alpha sensitivity value",
expectedAlphaSensi,
pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor),
TOLERANCE_PV_DELTA);
// Rho sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped();
final SABRSwaptionProviderDiscount sabrBundleRhoBumped =
new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
final double pvLongPayerRhoBumped =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_LONG, sabrBundleRhoBumped)
.getAmount(EUR)
.getAmount();
final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 1);
assertEquals(
"Rho sensitivity expiry/tenor",
pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor),
true);
assertEquals(
"Rho sensitivity value",
expectedRhoSensi,
pvsCapLong.getRho().getMap().get(expectedExpiryTenor),
TOLERANCE_PV_DELTA);
// Alpha sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped();
final SABRSwaptionProviderDiscount sabrBundleNuBumped =
new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
final double pvLongPayerNuBumped =
METHOD_EXTRAPOLATION_CAP
.presentValue(CMS_CAP_LONG, sabrBundleNuBumped)
.getAmount(EUR)
.getAmount();
final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 1);
assertTrue(
"Nu sensitivity expiry/tenor",
pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor));
assertEquals(
"Nu sensitivity value",
expectedNuSensi,
pvsCapLong.getNu().getMap().get(expectedExpiryTenor),
TOLERANCE_PV_DELTA);
}
/** Tests the coupon present value SABR parameters sensitivity vs finite difference. */
public void presentValueSABRSensitivityCoupon() {
final double pv =
METHOD_EXTRAPOLATION_CPN
.presentValue(CMS_COUPON, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final PresentValueSABRSensitivityDataBundle pvsCpn =
METHOD_EXTRAPOLATION_CPN.presentValueSABRSensitivity(CMS_COUPON, SABR_MULTICURVES);
// SABR sensitivity vs finite difference
final double shift = 0.0001;
final double shiftAlpha = 0.00001;
final double maturity =
CMS_COUPON
.getUnderlyingSwap()
.getFixedLeg()
.getNthPayment(
CMS_COUPON.getUnderlyingSwap().getFixedLeg().getNumberOfPayments() - 1)
.getPaymentTime()
- CMS_COUPON.getSettlementTime();
final DoublesPair expectedExpiryTenor = DoublesPair.of(CMS_COUPON.getFixingTime(), maturity);
// Alpha sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterAlphaBumped =
SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
final SABRSwaptionProviderDiscount sabrBundleAlphaBumped =
new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
final double pvLongPayerAlphaBumped =
METHOD_EXTRAPOLATION_CPN
.presentValue(CMS_COUPON, sabrBundleAlphaBumped)
.getAmount(EUR)
.getAmount();
final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
assertEquals("Number of alpha sensitivity", pvsCpn.getAlpha().getMap().keySet().size(), 1);
assertEquals(
"Alpha sensitivity expiry/tenor",
pvsCpn.getAlpha().getMap().keySet().contains(expectedExpiryTenor),
true);
assertEquals(
"Alpha sensitivity value",
expectedAlphaSensi,
pvsCpn.getAlpha().getMap().get(expectedExpiryTenor),
TOLERANCE_PV_DELTA);
// Rho sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped();
final SABRSwaptionProviderDiscount sabrBundleRhoBumped =
new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
final double pvLongPayerRhoBumped =
METHOD_EXTRAPOLATION_CPN
.presentValue(CMS_COUPON, sabrBundleRhoBumped)
.getAmount(EUR)
.getAmount();
final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
assertEquals("Number of rho sensitivity", pvsCpn.getRho().getMap().keySet().size(), 1);
assertEquals(
"Rho sensitivity expiry/tenor",
pvsCpn.getRho().getMap().keySet().contains(expectedExpiryTenor),
true);
assertEquals(
"Rho sensitivity value",
expectedRhoSensi,
pvsCpn.getRho().getMap().get(expectedExpiryTenor),
TOLERANCE_PV_DELTA);
// Nu sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped();
final SABRSwaptionProviderDiscount sabrBundleNuBumped =
new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
final double pvLongPayerNuBumped =
METHOD_EXTRAPOLATION_CPN
.presentValue(CMS_COUPON, sabrBundleNuBumped)
.getAmount(EUR)
.getAmount();
final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
assertEquals("Number of nu sensitivity", pvsCpn.getNu().getMap().keySet().size(), 1);
assertTrue(
"Nu sensitivity expiry/tenor",
pvsCpn.getNu().getMap().keySet().contains(expectedExpiryTenor));
assertEquals(
"Nu sensitivity value",
expectedNuSensi,
pvsCpn.getNu().getMap().get(expectedExpiryTenor),
TOLERANCE_PV_DELTA);
}
/** Tests the present value SABR parameters sensitivity: Method vs Calculator. */
public void presentValueSABRSensitivityMethodVsCalculator() {
final PresentValueSABRSensitivityDataBundle pvssMethod =
METHOD_EXTRAPOLATION_CAP.presentValueSABRSensitivity(CMS_CAP_LONG, SABR_MULTICURVES);
final PresentValueSABRSensitivityDataBundle pvssCalculator =
CMS_CAP_LONG.accept(PVSSSSXC, SABR_MULTICURVES);
assertEquals(
"CMS cap/floor SABR: Present value SABR sensitivity: method vs calculator",
pvssMethod,
pvssCalculator);
}
/** Tests the present value strike sensitivity: Cap. */
public void presentValueStrikeSensitivityCap() {
final double[] strikes = new double[] {0.0001, 0.0010, 0.0050, 0.0100, 0.0200, 0.0400, 0.0500};
final int nbStrikes = strikes.length;
final double shift = 1.0E-5;
final double[] errorRelative = new double[nbStrikes];
for (int loopstrike = 0; loopstrike < nbStrikes; loopstrike++) {
final CapFloorCMSDefinition cmsCapDefinition =
CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike], IS_CAP);
final CapFloorCMSDefinition cmsCapShiftUpDefinition =
CapFloorCMSDefinition.from(
CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike] + shift, IS_CAP);
final CapFloorCMSDefinition cmsCapShiftDoDefinition =
CapFloorCMSDefinition.from(
CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike] - shift, IS_CAP);
final CapFloorCMS cmsCap = (CapFloorCMS) cmsCapDefinition.toDerivative(REFERENCE_DATE);
final CapFloorCMS cmsCapShiftUp =
(CapFloorCMS) cmsCapShiftUpDefinition.toDerivative(REFERENCE_DATE);
final CapFloorCMS cmsCapShiftDo =
(CapFloorCMS) cmsCapShiftDoDefinition.toDerivative(REFERENCE_DATE);
final double pvShiftUp =
METHOD_EXTRAPOLATION_CAP
.presentValue(cmsCapShiftUp, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final double pvShiftDo =
METHOD_EXTRAPOLATION_CAP
.presentValue(cmsCapShiftDo, SABR_MULTICURVES)
.getAmount(EUR)
.getAmount();
final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
final double sensiComputed =
METHOD_EXTRAPOLATION_CAP.presentValueStrikeSensitivity(cmsCap, SABR_MULTICURVES);
errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
assertEquals(
"CMS cap/floor SABR: Present value strike sensitivity " + loopstrike,
0,
errorRelative[loopstrike],
5.0E-3);
}
}
/**
* Tests to estimate the impact of mu on the CMS coupon pricing. "enabled = false" for the
* standard testing.
*/
public void testPriceMultiMu() {
final double[] mu = new double[] {1.10, 1.30, 1.55, 2.25, 3.50, 6.00, 15.0};
final int nbMu = mu.length;
final double priceCouponStd =
METHOD_STANDARD_CPN.presentValue(CMS_COUPON, SABR_MULTICURVES).getAmount(EUR).getAmount();
@SuppressWarnings("unused")
final double rateCouponStd =
priceCouponStd
/ (CMS_COUPON.getPaymentYearFraction()
* CMS_COUPON.getNotional()
* MULTICURVES.getDiscountFactor(EUR, CMS_COUPON.getPaymentTime()));
final double[] priceCouponExtra = new double[nbMu];
final double[] rateCouponExtra = new double[nbMu];
for (int loopmu = 0; loopmu < nbMu; loopmu++) {
final CouponCMSSABRExtrapolationRightReplicationMethod methodExtrapolation =
new CouponCMSSABRExtrapolationRightReplicationMethod(CUT_OFF_STRIKE, mu[loopmu]);
priceCouponExtra[loopmu] =
methodExtrapolation.presentValue(CMS_COUPON, SABR_MULTICURVES).getAmount(EUR).getAmount();
rateCouponExtra[loopmu] =
priceCouponExtra[loopmu]
/ (CMS_COUPON.getPaymentYearFraction()
* CMS_COUPON.getNotional()
* MULTICURVES.getDiscountFactor(EUR, CMS_COUPON.getPaymentTime()));
}
final double priceCouponNoAdj =
METHOD_DSC_CPN.presentValue(CMS_COUPON, MULTICURVES).getAmount(EUR).getAmount();
final double rateCouponNoAdj =
priceCouponNoAdj
/ (CMS_COUPON.getPaymentYearFraction()
* CMS_COUPON.getNotional()
* MULTICURVES.getDiscountFactor(EUR, CMS_COUPON.getPaymentTime()));
for (int loopmu = 1; loopmu < nbMu; loopmu++) {
assertTrue(
"Extrapolation: comparison with standard method",
rateCouponExtra[loopmu - 1] > rateCouponExtra[loopmu]);
}
assertTrue(
"Extrapolation: comparison with standard method",
rateCouponExtra[nbMu - 1] > rateCouponNoAdj);
}
}
public class SwaptionPhysicalFixedIborBlackMethodTest {
private static final MulticurveProviderDiscount MULTICURVES =
MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final IborIndex EURIBOR6M =
MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd()[1];
private static final Calendar CALENDAR = MulticurveProviderDiscountDataSets.getEURCalendar();
private static final Currency EUR = EURIBOR6M.getCurrency();
// Data
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2012, 1, 10);
private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER =
GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedIbor GENERATOR_EUR1YEURIBOR6M =
GENERATOR_SWAP_MASTER.getGenerator("EUR1YEURIBOR6M", CALENDAR);
private static final BlackFlatSwaptionParameters BLACK = BlackDataSets.createBlackSwaptionEUR6();
private static final BlackSwaptionFlatProviderDiscount BLACK_MULTICURVES =
new BlackSwaptionFlatProviderDiscount(MULTICURVES, BLACK);
// Swaption
private static final Period EXPIRY_TENOR = Period.ofMonths(26); // To be between nodes.
private static final ZonedDateTime EXPIRY_DATE =
ScheduleCalculator.getAdjustedDate(
REFERENCE_DATE,
EXPIRY_TENOR,
GENERATOR_EUR1YEURIBOR6M.getBusinessDayConvention(),
CALENDAR,
GENERATOR_EUR1YEURIBOR6M.isEndOfMonth());
private static final ZonedDateTime SETTLE_DATE =
ScheduleCalculator.getAdjustedDate(
EXPIRY_DATE, GENERATOR_EUR1YEURIBOR6M.getSpotLag(), CALENDAR);
private static final int SWAP_TENOR_YEAR = 5;
private static final Period SWAP_TENOR = Period.ofYears(SWAP_TENOR_YEAR);
private static final double NOTIONAL = 123456789.0;
private static final double RATE = 0.02;
private static final SwapFixedIborDefinition SWAP_DEFINITION_REC =
SwapFixedIborDefinition.from(
SETTLE_DATE, SWAP_TENOR, GENERATOR_EUR1YEURIBOR6M, NOTIONAL, RATE, false);
private static final SwaptionPhysicalFixedIborDefinition SWAPTION_DEFINITION_LONG_REC =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, SWAP_DEFINITION_REC, true);
private static final SwaptionPhysicalFixedIbor SWAPTION_LONG_REC =
SWAPTION_DEFINITION_LONG_REC.toDerivative(REFERENCE_DATE);
// Method - calculator
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA = 1.0E+2;
// Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move.
private static final SwaptionPhysicalFixedIborBlackMethod METHOD_BLACK =
SwaptionPhysicalFixedIborBlackMethod.getInstance();
private static final SwapFixedCouponDiscountingMethod METHOD_SWAP =
SwapFixedCouponDiscountingMethod.getInstance();
private static final ParRateDiscountingCalculator PRDC =
ParRateDiscountingCalculator.getInstance();
private static final PresentValueDiscountingCalculator PVDC =
PresentValueDiscountingCalculator.getInstance();
private static final PresentValueBlackSwaptionCalculator PVBSC =
PresentValueBlackSwaptionCalculator.getInstance();
private static final PresentValueCurveSensitivityBlackSwaptionCalculator PVCSBSC =
PresentValueCurveSensitivityBlackSwaptionCalculator.getInstance();
private static final PresentValueBlackSensitivityBlackSwaptionCalculator PVBSSBSC =
PresentValueBlackSensitivityBlackSwaptionCalculator.getInstance();
private static final double SHIFT = 1.0E-6;
private static final ParameterSensitivityParameterCalculator<BlackSwaptionFlatProviderInterface>
PS_BS_C = new ParameterSensitivityParameterCalculator<>(PVCSBSC);
private static final ParameterSensitivityBlackSwaptionDiscountInterpolatedFDCalculator PS_BS_FDC =
new ParameterSensitivityBlackSwaptionDiscountInterpolatedFDCalculator(PVBSC, SHIFT);
private static final BlackSwaptionSensitivityNodeCalculator BSSNC =
new BlackSwaptionSensitivityNodeCalculator();
@Test
public void presentValue() {
final MultipleCurrencyAmount pvMethod =
METHOD_BLACK.presentValue(SWAPTION_LONG_REC, BLACK_MULTICURVES);
final double forward = SWAPTION_LONG_REC.getUnderlyingSwap().accept(PRDC, MULTICURVES);
final double pvbp =
METHOD_SWAP.presentValueBasisPoint(SWAPTION_LONG_REC.getUnderlyingSwap(), MULTICURVES);
final double volatility =
BLACK.getVolatility(
SWAPTION_LONG_REC.getTimeToExpiry(), SWAPTION_LONG_REC.getMaturityTime());
final BlackPriceFunction blackFunction = new BlackPriceFunction();
final BlackFunctionData dataBlack = new BlackFunctionData(forward, pvbp, volatility);
final Function1D<BlackFunctionData, Double> func =
blackFunction.getPriceFunction(SWAPTION_LONG_REC);
final double pvExpected = func.evaluate(dataBlack);
assertEquals(
"Swaption Black method: present value", pvExpected, pvMethod.getAmount(EUR), TOLERANCE_PV);
}
@Test
/** Tests the payer/receiver parity for swaptions present value. */
public void presentValuePayerReceiverParity() {
final SwapFixedIborDefinition swapDefinitionPay =
SwapFixedIborDefinition.from(
SETTLE_DATE, SWAP_TENOR, GENERATOR_EUR1YEURIBOR6M, NOTIONAL, RATE, true);
final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayer =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPay, false);
final SwaptionPhysicalFixedIbor swaptionShortPayer =
swaptionDefinitionShortPayer.toDerivative(REFERENCE_DATE);
final InstrumentDerivative swapRec = SWAP_DEFINITION_REC.toDerivative(REFERENCE_DATE);
final MultipleCurrencyAmount pvLR =
METHOD_BLACK.presentValue(SWAPTION_LONG_REC, BLACK_MULTICURVES);
final MultipleCurrencyAmount pvSP =
METHOD_BLACK.presentValue(swaptionShortPayer, BLACK_MULTICURVES);
final MultipleCurrencyAmount pvSwap = swapRec.accept(PVDC, MULTICURVES);
assertEquals(
"Swaption Black method: present value",
pvSwap.getAmount(EUR),
pvLR.getAmount(EUR) + pvSP.getAmount(EUR),
TOLERANCE_PV);
}
@Test
/** Compare the method figures to the Calculator figures. */
public void presentValueMethodVsCalculator() {
final MultipleCurrencyAmount pvMethod =
METHOD_BLACK.presentValue(SWAPTION_LONG_REC, BLACK_MULTICURVES);
final MultipleCurrencyAmount pvCalculator = SWAPTION_LONG_REC.accept(PVBSC, BLACK_MULTICURVES);
assertEquals(
"Swaption Black method: present value",
pvCalculator.getAmount(EUR),
pvMethod.getAmount(EUR),
TOLERANCE_PV);
}
@Test
/** Tests the curve sensitivity for the explicit formula. */
public void presentValueCurveSensitivity() {
final MultipleCurrencyParameterSensitivity pvpsExact =
PS_BS_C.calculateSensitivity(
SWAPTION_LONG_REC,
BLACK_MULTICURVES,
BLACK_MULTICURVES.getMulticurveProvider().getAllNames());
final MultipleCurrencyParameterSensitivity pvpsFD =
PS_BS_FDC.calculateSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
AssertSensivityObjects.assertEquals(
"Swaption Black method: presentValueCurveSensitivity ",
pvpsExact,
pvpsFD,
TOLERANCE_PV_DELTA);
}
@Test
/** Compare the method figures to the Calculator figures. */
public void presentValueCurveSensitivityMethodVsCalculator() {
final MultipleCurrencyMulticurveSensitivity pvcsMethod =
METHOD_BLACK.presentValueCurveSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvcsCalculator =
SWAPTION_LONG_REC.accept(PVCSBSC, BLACK_MULTICURVES);
AssertSensivityObjects.assertEquals(
"Swaption Black method: present value", pvcsMethod, pvcsCalculator, TOLERANCE_PV_DELTA);
}
@Test
/** Tests the Black volatility sensitivity (vega). */
public void presentValueBlackSensitivity() {
final double shift = 1.0E-6;
final PresentValueBlackSwaptionSensitivity pvbvs =
METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
final BlackFlatSwaptionParameters BlackP = BlackDataSets.createBlackSwaptionEUR6Shift(shift);
final BlackSwaptionFlatProviderDiscount curvesBlackP =
new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackP);
final MultipleCurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
final BlackFlatSwaptionParameters BlackM = BlackDataSets.createBlackSwaptionEUR6Shift(-shift);
final BlackSwaptionFlatProviderDiscount curvesBlackM =
new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackM);
final MultipleCurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
final DoublesPair point =
new DoublesPair(SWAPTION_LONG_REC.getTimeToExpiry(), SWAPTION_LONG_REC.getMaturityTime());
assertEquals(
"Swaption Black method: present value volatility sensitivity",
(pvP.getAmount(EUR) - pvM.getAmount(EUR)) / (2 * shift),
pvbvs.getSensitivity().getMap().get(point),
TOLERANCE_PV_DELTA);
}
@Test
/** Tests the Black volatility sensitivity (vega). */
public void presentValueBlackSensitivityMethodVsCalculator() {
final PresentValueBlackSwaptionSensitivity pvbsMethod =
METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
final PresentValueBlackSwaptionSensitivity pvbsCalculator =
SWAPTION_LONG_REC.accept(PVBSSBSC, BLACK_MULTICURVES);
assertEquals("Swaption Black method: present value", pvbsMethod, pvbsCalculator);
}
@Test
/** Tests the Black volatility sensitivity (vega). */
public void presentValueBlackNodeSensitivity() {
final double shift = 1.0E-6;
final PresentValueBlackSwaptionSensitivity pvbvs =
METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
final PresentValueBlackSwaptionSensitivity pvbns =
BSSNC.calculateNodeSensitivities(pvbvs, BLACK);
final double[] x =
((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getXDataAsPrimitive();
final double[] y =
((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getYDataAsPrimitive();
for (int loopindex = 0; loopindex < x.length; loopindex++) {
final BlackFlatSwaptionParameters BlackP =
BlackDataSets.createBlackSwaptionEUR6Shift(loopindex, shift);
final BlackSwaptionFlatProviderDiscount curvesBlackP =
new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackP);
final MultipleCurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
final BlackFlatSwaptionParameters BlackM =
BlackDataSets.createBlackSwaptionEUR6Shift(loopindex, -shift);
final BlackSwaptionFlatProviderDiscount curvesBlackM =
new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackM);
final MultipleCurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
assertEquals(
"Swaption Black method: present value volatility sensitivity",
(pvP.getAmount(EUR) - pvM.getAmount(EUR)) / (2 * shift),
pvbns.getSensitivity().getMap().get(new DoublesPair(x[loopindex], y[loopindex])),
TOLERANCE_PV_DELTA);
}
}
}
/** Build of curve in several blocks with relevant Jacobian matrices. */
public class MulticurveBuildingDiscountingDiscountAUDTest {
private static final Interpolator1D INTERPOLATOR_LINEAR =
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.LINEAR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR);
private static final LastTimeCalculator MATURITY_CALCULATOR = LastTimeCalculator.getInstance();
private static final double TOLERANCE_ROOT = 1.0E-10;
private static final int STEP_MAX = 100;
private static final Calendar SYD = new MondayToFridayCalendar("SYD");
private static final Currency AUD = Currency.AUD;
private static final FXMatrix FX_MATRIX = new FXMatrix(AUD);
private static final double NOTIONAL = 1.0;
private static final GeneratorSwapFixedON GENERATOR_OIS_AUD =
GeneratorSwapFixedONMaster.getInstance().getGenerator("AUD1YRBAON", SYD);
private static final IndexON INDEX_ON_AUD = GENERATOR_OIS_AUD.getIndex();
private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_AUD =
new GeneratorDepositON("AUD Deposit ON", AUD, SYD, INDEX_ON_AUD.getDayCount());
private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER =
GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapIborIborMaster GENERATOR_BASIS_MASTER =
GeneratorSwapIborIborMaster.getInstance();
private static final GeneratorSwapFixedIbor AUD3MBBSW3M =
GENERATOR_SWAP_MASTER.getGenerator("AUD3MBBSW3M", SYD);
private static final GeneratorSwapFixedIbor AUD6MBBSW6M =
GENERATOR_SWAP_MASTER.getGenerator("AUD6MBBSW6M", SYD);
private static final GeneratorSwapIborIbor AUDBBSW3MBBSW6M =
GENERATOR_BASIS_MASTER.getGenerator("AUDBBSW3MBBSW6M", SYD);
private static final IborIndex AUDBB3M = AUD3MBBSW3M.getIborIndex();
private static final IborIndex AUDBB6M = AUD6MBBSW6M.getIborIndex();
private static final GeneratorFRA GENERATOR_FRA_3M =
new GeneratorFRA("GENERATOR_FRA_3M", AUDBB3M, SYD);
private static final GeneratorDepositIbor GENERATOR_AUDBB3M =
new GeneratorDepositIbor("GENERATOR_AUDBB3M", AUDBB3M, SYD);
private static final GeneratorDepositIbor GENERATOR_AUDBB6M =
new GeneratorDepositIbor("GENERATOR_AUDBB6M", AUDBB6M, SYD);
private static final ZonedDateTime NOW = DateUtils.getUTCDate(2011, 9, 28);
private static final ZonedDateTimeDoubleTimeSeries TS_EMPTY =
ImmutableZonedDateTimeDoubleTimeSeries.ofEmptyUTC();
private static final ZonedDateTimeDoubleTimeSeries TS_ON_AUD_WITH_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {
DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28)
},
new double[] {0.07, 0.08});
private static final ZonedDateTimeDoubleTimeSeries TS_ON_AUD_WITHOUT_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {
DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28)
},
new double[] {0.07, 0.08});
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_AUD_WITH_TODAY =
new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_AUD_WITH_TODAY};
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_AUD_WITHOUT_TODAY =
new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_AUD_WITHOUT_TODAY};
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_AUD3M_WITH_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {
DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28)
},
new double[] {0.0035, 0.0036});
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_AUD3M_WITHOUT_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27)}, new double[] {0.0035});
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_AUD6M_WITH_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {
DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28)
},
new double[] {0.0035, 0.0036});
private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_AUD6M_WITHOUT_TODAY =
ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27)}, new double[] {0.0035});
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_AUD3M_WITH_TODAY =
new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_AUD3M_WITH_TODAY};
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_AUD3M_WITHOUT_TODAY =
new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_AUD3M_WITHOUT_TODAY};
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_AUD3M6M_WITH_TODAY =
new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_AUD3M_WITH_TODAY, TS_IBOR_AUD6M_WITH_TODAY};
private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_AUD3M6M_WITHOUT_TODAY =
new ZonedDateTimeDoubleTimeSeries[] {
TS_IBOR_AUD3M_WITHOUT_TODAY, TS_IBOR_AUD6M_WITHOUT_TODAY
};
private static final String CURVE_NAME_DSC_AUD = "AUD Dsc";
private static final String CURVE_NAME_FWD3_AUD = "AUD Fwd 3M";
private static final String CURVE_NAME_FWD6_AUD = "AUD Fwd 6M";
// /** Simplified versions for the note */
// /** Market values for the dsc USD curve */
// private static final double[] DSC_AUD_MARKET_QUOTES = new double[] {0.0400, 0.0400, 0.0400,
// 0.0400, 0.0400};
// /** Generators for the dsc USD curve */
// private static final GeneratorInstrument[] DSC_USD_GENERATORS = new GeneratorInstrument[]
// {GENERATOR_DEPOSIT_ON_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD,
// GENERATOR_OIS_AUD};
// /** Tenors for the dsc USD curve */
// private static final Period[] DSC_AUD_TENOR = new Period[] {Period.ofDays(0),
// Period.ofMonths(1), Period.ofMonths(6), Period.ofYears(1), Period.ofYears(5)};
//
// /** Market values for the Fwd 3M USD curve */
// private static final double[] FWD3_AUD_MARKET_QUOTES = new double[] {0.0420, 0.0420, 0.0470,
// 0.0020};
// /** Generators for the Fwd 3M USD curve */
// private static final GeneratorInstrument[] FWD3_AUD_GENERATORS = new GeneratorInstrument[]
// {GENERATOR_AUDBB3M, GENERATOR_FRA_3M, AUD3MBBSW3M, AUDBBSW3MBBSW6M};
// /** Tenors for the Fwd 3M USD curve */
// private static final Period[] FWD3_AUD_TENOR = new Period[] {Period.ofMonths(0),
// Period.ofMonths(6), Period.ofYears(1), Period.ofYears(5)};
//
// /** Market values for the Fwd 3M USD curve */
// private static final double[] FWD6_AUD_MARKET_QUOTES = new double[] {0.0440, 0.0020, 0.0560};
// /** Generators for the Fwd 3M USD curve */
// private static final GeneratorInstrument[] FWD6_AUD_GENERATORS = new GeneratorInstrument[]
// {GENERATOR_AUDBB6M, AUDBBSW3MBBSW6M, AUD6MBBSW6M};
// /** Tenors for the Fwd 3M USD curve */
// private static final Period[] FWD6_AUD_TENOR = new Period[] {Period.ofMonths(0),
// Period.ofYears(1), Period.ofYears(5)};
/** Market values for the dsc USD curve */
private static final double[] DSC_AUD_MARKET_QUOTES =
new double[] {
0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400,
0.0400
};
/** Generators for the dsc USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_USD_GENERATORS =
new GeneratorInstrument<?>[] {
GENERATOR_DEPOSIT_ON_AUD,
GENERATOR_OIS_AUD,
GENERATOR_OIS_AUD,
GENERATOR_OIS_AUD,
GENERATOR_OIS_AUD,
GENERATOR_OIS_AUD,
GENERATOR_OIS_AUD,
GENERATOR_OIS_AUD,
GENERATOR_OIS_AUD,
GENERATOR_OIS_AUD,
GENERATOR_OIS_AUD,
GENERATOR_OIS_AUD
};
/** Tenors for the dsc USD curve */
private static final Period[] DSC_AUD_TENOR =
new Period[] {
Period.ofDays(0),
Period.ofMonths(1),
Period.ofMonths(2),
Period.ofMonths(3),
Period.ofMonths(6),
Period.ofMonths(9),
Period.ofYears(1),
Period.ofYears(2),
Period.ofYears(3),
Period.ofYears(4),
Period.ofYears(5),
Period.ofYears(10)
};
private static final GeneratorAttributeIR[] DSC_AUD_ATTR =
new GeneratorAttributeIR[DSC_AUD_TENOR.length];
static {
for (int loopins = 0; loopins < DSC_AUD_TENOR.length; loopins++) {
DSC_AUD_ATTR[loopins] = new GeneratorAttributeIR(DSC_AUD_TENOR[loopins]);
}
}
/** Market values for the Fwd 3M USD curve */
private static final double[] FWD3_AUD_MARKET_QUOTES =
new double[] {0.0420, 0.0420, 0.0420, 0.0420, 0.0430, 0.0470, 0.0020, 0.0020, 0.0020};
/** Generators for the Fwd 3M USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD3_AUD_GENERATORS =
new GeneratorInstrument<?>[] {
GENERATOR_AUDBB3M,
GENERATOR_FRA_3M,
GENERATOR_FRA_3M,
AUD3MBBSW3M,
AUD3MBBSW3M,
AUD3MBBSW3M,
AUDBBSW3MBBSW6M,
AUDBBSW3MBBSW6M,
AUDBBSW3MBBSW6M
};
/** Tenors for the Fwd 3M USD curve */
private static final Period[] FWD3_AUD_TENOR =
new Period[] {
Period.ofMonths(0),
Period.ofMonths(6),
Period.ofMonths(9),
Period.ofYears(1),
Period.ofYears(2),
Period.ofYears(3),
Period.ofYears(5),
Period.ofYears(7),
Period.ofYears(10)
};
private static final GeneratorAttributeIR[] FWD3_AUD_ATTR =
new GeneratorAttributeIR[FWD3_AUD_TENOR.length];
static {
for (int loopins = 0; loopins < FWD3_AUD_TENOR.length; loopins++) {
FWD3_AUD_ATTR[loopins] = new GeneratorAttributeIR(FWD3_AUD_TENOR[loopins]);
}
}
/** Market values for the Fwd 3M USD curve */
private static final double[] FWD6_AUD_MARKET_QUOTES =
new double[] {0.0440, 0.0020, 0.0020, 0.0020, 0.0560, 0.0610, 0.0620};
/** Generators for the Fwd 3M USD curve */
private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD6_AUD_GENERATORS =
new GeneratorInstrument<?>[] {
GENERATOR_AUDBB6M,
AUDBBSW3MBBSW6M,
AUDBBSW3MBBSW6M,
AUDBBSW3MBBSW6M,
AUD6MBBSW6M,
AUD6MBBSW6M,
AUD6MBBSW6M
};
/** Tenors for the Fwd 3M USD curve */
private static final Period[] FWD6_AUD_TENOR =
new Period[] {
Period.ofMonths(0),
Period.ofYears(1),
Period.ofYears(2),
Period.ofYears(3),
Period.ofYears(5),
Period.ofYears(7),
Period.ofYears(10)
};
private static final GeneratorAttributeIR[] FWD6_AUD_ATTR =
new GeneratorAttributeIR[FWD6_AUD_TENOR.length];
static {
for (int loopins = 0; loopins < FWD6_AUD_TENOR.length; loopins++) {
FWD6_AUD_ATTR[loopins] = new GeneratorAttributeIR(FWD6_AUD_TENOR[loopins]);
}
}
/** Standard USD discounting curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_AUD;
/** Standard USD Forward 3M curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_AUD;
/** Standard USD Forward 3M curve instrument definitions */
private static final InstrumentDefinition<?>[] DEFINITIONS_FWD6_AUD;
/** Units of curves */
private static final int[] NB_UNITS = new int[] {2, 1};
private static final int NB_BLOCKS = NB_UNITS.length;
private static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS =
new InstrumentDefinition<?>[NB_BLOCKS][][][];
private static final GeneratorYDCurve[][][] GENERATORS_UNITS =
new GeneratorYDCurve[NB_BLOCKS][][];
private static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][];
private static final MulticurveProviderDiscount KNOWN_DATA =
new MulticurveProviderDiscount(FX_MATRIX);
private static final LinkedHashMap<String, Currency> DSC_MAP = new LinkedHashMap<>();
private static final LinkedHashMap<String, IndexON[]> FWD_ON_MAP = new LinkedHashMap<>();
private static final LinkedHashMap<String, IborIndex[]> FWD_IBOR_MAP = new LinkedHashMap<>();
static {
DEFINITIONS_DSC_AUD = getDefinitions(DSC_AUD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_AUD_ATTR);
DEFINITIONS_FWD3_AUD =
getDefinitions(FWD3_AUD_MARKET_QUOTES, FWD3_AUD_GENERATORS, FWD3_AUD_ATTR);
DEFINITIONS_FWD6_AUD =
getDefinitions(FWD6_AUD_MARKET_QUOTES, FWD6_AUD_GENERATORS, FWD6_AUD_ATTR);
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][];
GENERATORS_UNITS[loopblock] = new GeneratorYDCurve[NB_UNITS[loopblock]][];
NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][];
}
DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_AUD};
DEFINITIONS_UNITS[0][1] =
new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_AUD, DEFINITIONS_FWD6_AUD};
DEFINITIONS_UNITS[1][0] =
new InstrumentDefinition<?>[][] {
DEFINITIONS_DSC_AUD, DEFINITIONS_FWD3_AUD, DEFINITIONS_FWD6_AUD
};
final GeneratorYDCurve genIntLin =
new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR);
GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin};
GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] {genIntLin, genIntLin};
GENERATORS_UNITS[1][0] = new GeneratorYDCurve[] {genIntLin, genIntLin, genIntLin};
NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_AUD};
NAMES_UNITS[0][1] = new String[] {CURVE_NAME_FWD3_AUD, CURVE_NAME_FWD6_AUD};
NAMES_UNITS[1][0] = new String[] {CURVE_NAME_DSC_AUD, CURVE_NAME_FWD3_AUD, CURVE_NAME_FWD6_AUD};
DSC_MAP.put(CURVE_NAME_DSC_AUD, AUD);
FWD_ON_MAP.put(CURVE_NAME_DSC_AUD, new IndexON[] {INDEX_ON_AUD});
FWD_IBOR_MAP.put(CURVE_NAME_FWD3_AUD, new IborIndex[] {AUDBB3M});
FWD_IBOR_MAP.put(CURVE_NAME_FWD6_AUD, new IborIndex[] {AUDBB6M});
}
@SuppressWarnings({"rawtypes", "unchecked"})
public static InstrumentDefinition<?>[] getDefinitions(
final double[] marketQuotes,
final GeneratorInstrument[] generators,
final GeneratorAttribute[] attribute) {
final InstrumentDefinition<?>[] definitions = new InstrumentDefinition<?>[marketQuotes.length];
for (int loopmv = 0; loopmv < marketQuotes.length; loopmv++) {
definitions[loopmv] =
generators[loopmv].generateInstrument(
NOW, marketQuotes[loopmv], NOTIONAL, attribute[loopmv]);
}
return definitions;
}
private static List<Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle>>
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<>();
// Calculator
private static final PresentValueDiscountingCalculator PVC =
PresentValueDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteDiscountingCalculator PSMQC =
ParSpreadMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator PSMQCSC =
ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final MulticurveDiscountBuildingRepository CURVE_BUILDING_REPOSITORY =
new MulticurveDiscountBuildingRepository(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX);
private static final double TOLERANCE_CAL = 1.0E-9;
@BeforeSuite
static void initClass() {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.add(
makeCurvesFromDefinitions(
DEFINITIONS_UNITS[loopblock],
GENERATORS_UNITS[loopblock],
NAMES_UNITS[loopblock],
KNOWN_DATA,
PSMQC,
PSMQCSC,
false));
}
}
@Test
public void curveConstruction() {
for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) {
curveConstructionTest(
DEFINITIONS_UNITS[loopblock],
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(),
false,
loopblock);
}
}
@Test
public void comparison1Unit2Units() {
final MulticurveProviderDiscount[] units = new MulticurveProviderDiscount[2];
final CurveBuildingBlockBundle[] bb = new CurveBuildingBlockBundle[2];
final YieldAndDiscountCurve[] curveDsc = new YieldAndDiscountCurve[2];
final YieldAndDiscountCurve[] curveFwd = new YieldAndDiscountCurve[2];
for (int loopblock = 0; loopblock < 2; loopblock++) {
units[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst();
bb[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getSecond();
curveDsc[loopblock] = units[loopblock].getCurve(AUD);
curveFwd[loopblock] = units[loopblock].getCurve(AUDBB3M);
}
assertEquals(
"Curve construction: 1 unit / 2 units ",
curveDsc[0].getNumberOfParameters(),
curveDsc[1].getNumberOfParameters());
assertEquals(
"Curve construction: 1 unit / 2 units ",
curveFwd[0].getNumberOfParameters(),
curveFwd[1].getNumberOfParameters());
assertArrayEquals(
"Curve construction: 1 unit / 2 units ",
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getXData()),
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getXData()),
TOLERANCE_CAL);
assertArrayEquals(
"Curve construction: 1 unit / 2 units ",
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getYData()),
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getYData()),
TOLERANCE_CAL);
assertArrayEquals(
"Curve construction: 1 unit / 2 units ",
ArrayUtils.toPrimitive(((YieldCurve) curveFwd[0]).getCurve().getXData()),
ArrayUtils.toPrimitive(((YieldCurve) curveFwd[1]).getCurve().getXData()),
TOLERANCE_CAL);
assertArrayEquals(
"Curve construction: 1 unit / 2 units ",
ArrayUtils.toPrimitive(((YieldCurve) curveFwd[0]).getCurve().getYData()),
ArrayUtils.toPrimitive(((YieldCurve) curveFwd[1]).getCurve().getYData()),
TOLERANCE_CAL);
assertEquals(
"Curve construction: 1 unit / 2 units ",
bb[0].getBlock(CURVE_NAME_FWD3_AUD).getFirst(),
bb[1].getBlock(CURVE_NAME_FWD3_AUD).getFirst());
// Test note: the discounting curve building blocks are not the same; in one case both curves
// are build together in the other one after the other.
final int nbLineDsc = bb[0].getBlock(CURVE_NAME_DSC_AUD).getSecond().getNumberOfRows();
final int nbLineFwd3 = bb[0].getBlock(CURVE_NAME_FWD3_AUD).getSecond().getNumberOfRows();
final int nbLineFwd6 = bb[0].getBlock(CURVE_NAME_FWD6_AUD).getSecond().getNumberOfRows();
assertEquals(
"Curve construction: 1 unit / 2 units ",
bb[1].getBlock(CURVE_NAME_DSC_AUD).getSecond().getNumberOfRows(),
nbLineDsc);
assertEquals(
"Curve construction: 1 unit / 2 units ",
bb[1].getBlock(CURVE_NAME_FWD3_AUD).getSecond().getNumberOfRows(),
nbLineFwd3);
assertEquals(
"Curve construction: 1 unit / 2 units ",
bb[1].getBlock(CURVE_NAME_FWD6_AUD).getSecond().getNumberOfRows(),
nbLineFwd6);
}
// TODO: test on the correctness of the Jacobian matrix in the CurveBuildingBlock's.
@Test(enabled = false)
public void performance() {
long startTime, endTime;
final int nbTest = 100;
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
makeCurvesFromDefinitions(
DEFINITIONS_UNITS[0],
GENERATORS_UNITS[0],
NAMES_UNITS[0],
KNOWN_DATA,
PSMQC,
PSMQCSC,
false);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest + " x 3 curves construction / 2 units: " + (endTime - startTime) + " ms");
// Performance note: Curve construction 2 units: 08-Nov-12: On Mac Pro 3.2 GHz Quad-Core Intel
// Xeon: 810 ms for 100 sets.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
makeCurvesFromDefinitions(
DEFINITIONS_UNITS[1],
GENERATORS_UNITS[1],
NAMES_UNITS[1],
KNOWN_DATA,
PSMQC,
PSMQCSC,
false);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest + " x 3 curves construction / 1 unit: " + (endTime - startTime) + " ms");
// Performance note: Curve construction 1 unit: 08-Nov-12: On Mac Pro 3.2 GHz Quad-Core Intel
// Xeon: 995 ms for 100 sets.
}
public void curveConstructionTest(
final InstrumentDefinition<?>[][][] definitions,
final MulticurveProviderDiscount curves,
final boolean withToday,
final int block) {
final int nbBlocks = definitions.length;
for (int loopblock = 0; loopblock < nbBlocks; loopblock++) {
final InstrumentDerivative[][] instruments = convert(definitions[loopblock], withToday);
final double[][] pv = new double[instruments.length][];
for (int loopcurve = 0; loopcurve < instruments.length; loopcurve++) {
pv[loopcurve] = new double[instruments[loopcurve].length];
for (int loopins = 0; loopins < instruments[loopcurve].length; loopins++) {
pv[loopcurve][loopins] =
curves
.getFxRates()
.convert(instruments[loopcurve][loopins].accept(PVC, curves), AUD)
.getAmount();
assertEquals(
"Curve construction: block "
+ block
+ ", unit "
+ loopblock
+ " - instrument "
+ loopins,
0,
pv[loopcurve][loopins],
TOLERANCE_CAL);
}
}
}
}
@Test(enabled = false)
/** Analyzes the shape of the forward curve. */
public void forwardAnalysis() {
final MulticurveProviderInterface marketDsc =
CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst();
final int jump = 1;
final int startIndex = 0;
final int nbDate = 2750;
ZonedDateTime startDate =
ScheduleCalculator.getAdjustedDate(NOW, AUDBB3M.getSpotLag() + startIndex * jump, SYD);
final double[] rateDsc = new double[nbDate];
final double[] startTime = new double[nbDate];
try {
final FileWriter writer = new FileWriter("fwd-dsc.csv");
for (int loopdate = 0; loopdate < nbDate; loopdate++) {
startTime[loopdate] = TimeCalculator.getTimeBetween(NOW, startDate);
final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, AUDBB3M, SYD);
final double endTime = TimeCalculator.getTimeBetween(NOW, endDate);
final double accrualFactor = AUDBB3M.getDayCount().getDayCountFraction(startDate, endDate);
rateDsc[loopdate] =
marketDsc.getForwardRate(AUDBB3M, startTime[loopdate], endTime, accrualFactor);
startDate = ScheduleCalculator.getAdjustedDate(startDate, jump, SYD);
writer.append(0.0 + "," + startTime[loopdate] + "," + rateDsc[loopdate] + "\n");
}
writer.flush();
writer.close();
} catch (final IOException e) {
e.printStackTrace();
}
}
@SuppressWarnings("unchecked")
private static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle>
makeCurvesFromDefinitions(
final InstrumentDefinition<?>[][][] definitions,
final GeneratorYDCurve[][] curveGenerators,
final String[][] curveNames,
final MulticurveProviderDiscount knownData,
final InstrumentDerivativeVisitor<MulticurveProviderInterface, Double> calculator,
final InstrumentDerivativeVisitor<MulticurveProviderInterface, MulticurveSensitivity>
sensitivityCalculator,
final boolean withToday) {
final int nUnits = curveGenerators.length;
final MultiCurveBundle<GeneratorYDCurve>[] curveBundles = new MultiCurveBundle[nUnits];
for (int i = 0; i < nUnits; i++) {
final int nCurves = definitions[i].length;
final SingleCurveBundle<GeneratorYDCurve>[] singleCurves = new SingleCurveBundle[nCurves];
for (int j = 0; j < nCurves; j++) {
final int nInstruments = definitions[i][j].length;
final InstrumentDerivative[] derivatives = new InstrumentDerivative[nInstruments];
final double[] initialGuess = new double[nInstruments];
for (int k = 0; k < nInstruments; k++) {
derivatives[k] = convert(definitions[i][j][k], withToday);
initialGuess[k] = initialGuess(definitions[i][j][k]);
}
final GeneratorYDCurve generator = curveGenerators[i][j].finalGenerator(derivatives);
singleCurves[j] =
new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator);
}
curveBundles[i] = new MultiCurveBundle<>(singleCurves);
}
return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(
curveBundles,
knownData,
DSC_MAP,
FWD_IBOR_MAP,
FWD_ON_MAP,
calculator,
sensitivityCalculator);
}
private static InstrumentDerivative[][] convert(
final InstrumentDefinition<?>[][] definitions, final boolean withToday) {
final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][];
for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) {
instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length];
int loopins = 0;
for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedONDefinition) {
ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday));
} else {
if (instrument instanceof SwapFixedIborDefinition) {
ird =
((SwapFixedIborDefinition) instrument)
.toDerivative(NOW, getTSSwapFixedIbor(withToday));
} else {
if (instrument instanceof SwapIborIborDefinition) {
ird =
((SwapIborIborDefinition) instrument)
.toDerivative(NOW, getTSSwapIborIbor(withToday));
} else {
ird = instrument.toDerivative(NOW);
}
}
}
instruments[loopcurve][loopins++] = ird;
}
}
return instruments;
}
private static InstrumentDerivative convert(
final InstrumentDefinition<?> instrument, final boolean withToday) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedONDefinition) {
ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday));
} else {
if (instrument instanceof SwapFixedIborDefinition) {
ird =
((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday));
} else {
if (instrument instanceof SwapIborIborDefinition) {
ird =
((SwapIborIborDefinition) instrument).toDerivative(NOW, getTSSwapIborIbor(withToday));
} else {
ird = instrument.toDerivative(NOW);
}
}
}
return ird;
}
private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedON(final Boolean withToday) {
return withToday ? TS_FIXED_OIS_AUD_WITH_TODAY : TS_FIXED_OIS_AUD_WITHOUT_TODAY;
}
private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedIbor(final Boolean withToday) {
return withToday
? TS_FIXED_IBOR_AUD3M_WITH_TODAY
: TS_FIXED_IBOR_AUD3M_WITHOUT_TODAY; // TODO: get the correct fixing
}
private static ZonedDateTimeDoubleTimeSeries[] getTSSwapIborIbor(final Boolean withToday) {
return withToday ? TS_FIXED_IBOR_AUD3M6M_WITH_TODAY : TS_FIXED_IBOR_AUD3M6M_WITHOUT_TODAY;
}
private static double initialGuess(final InstrumentDefinition<?> instrument) {
if (instrument instanceof SwapFixedONDefinition) {
return ((SwapFixedONDefinition) instrument).getFixedLeg().getNthPayment(0).getRate();
}
if (instrument instanceof SwapFixedIborDefinition) {
return ((SwapFixedIborDefinition) instrument).getFixedLeg().getNthPayment(0).getRate();
}
if (instrument instanceof ForwardRateAgreementDefinition) {
return ((ForwardRateAgreementDefinition) instrument).getRate();
}
if (instrument instanceof CashDefinition) {
return ((CashDefinition) instrument).getRate();
} // TODO: What about basis swaps?
return 0.01;
}
}
