/**
* This calculates the sensitivity of the present value (PV) to the continuously-compounded
* discount rates at the knot points of the funding curve.
*
* <p>The return format is a DoubleMatrix1D (i.e. a vector) with length equal to the total number
* of knots in the curve
*
* <p>The change of a curve due to the movement of a single knot is interpolator-dependent, so an
* instrument can have sensitivity to knots at times beyond its maturity
*
* @param swap the VarianceSwap
* @param market the VarianceSwapDataBundle
* @return A DoubleMatrix1D containing bucketed delta in order and length of
* market.getDiscountCurve(). Currency amount per unit amount change in discount rate
*/
public DoubleMatrix1D calcDeltaBucketed(
final VarianceSwap swap, final VarianceSwapDataBundle market) {
Validate.notNull(swap, "null VarianceSwap");
Validate.notNull(market, "null VarianceSwapDataBundle");
// We know that the VarianceSwap only has true sensitivity to one maturity on one curve.
// A function written for interestRate sensitivities spreads this sensitivity across yield nodes
// NodeSensitivityCalculator.curveToNodeSensitivities(curveSensitivities, interpolatedCurves)
// 2nd arg = LinkedHashMap<String, YieldAndDiscountCurve> interpolatedCurves
final YieldAndDiscountCurve discCrv = market.getDiscountCurve();
final String discCrvName = discCrv.getCurve().getName();
final YieldCurveBundle interpolatedCurves = new YieldCurveBundle();
interpolatedCurves.setCurve(discCrvName, discCrv);
// 1st arg = Map<String, List<DoublesPair>> curveSensitivities = <curveName,
// List<(maturity,sensitivity)>>
final double settlement = swap.getTimeToSettlement();
final Double sens = calcDiscountRateSensitivity(swap, market);
final Map<String, List<DoublesPair>> curveSensitivities =
new HashMap<String, List<DoublesPair>>();
curveSensitivities.put(discCrvName, Lists.newArrayList(new DoublesPair(settlement, sens)));
final NodeSensitivityCalculator distributor =
PresentValueNodeSensitivityCalculator.getDefaultInstance();
return distributor.curveToNodeSensitivities(curveSensitivities, interpolatedCurves);
}
@Override
protected PresentValueNodeSensitivityCalculator getNodeSensitivityCalculator(
final ValueRequirement desiredValue) {
final Double cutoff =
Double.parseDouble(
desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE));
final Double mu =
Double.parseDouble(
desiredValue.getConstraint(
SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER));
return PresentValueNodeSensitivityCalculator.using(
new PresentValueCurveSensitivitySABRExtrapolationCalculator(cutoff, mu));
}
