/**
* Calculates the PV01 of a swaption using the Black formula with no volatility modeling
* assumptions. The implied volatility is read directly from the market data system.
*/
public class ConstantBlackDiscountingPV01SwaptionFunction
extends ConstantBlackDiscountingSwaptionFunction {
/** The PV01 calculator */
private static final InstrumentDerivativeVisitor<
BlackSwaptionFlatProviderInterface, ReferenceAmount<Pair<String, Currency>>>
CALCULATOR =
new PV01CurveParametersCalculator<>(
PresentValueCurveSensitivityBlackSwaptionCalculator.getInstance());
/** Sets the value requirement to {@link ValueRequirementNames#PV01} */
public ConstantBlackDiscountingPV01SwaptionFunction() {
super(PV01);
}
@Override
public CompiledFunctionDefinition compile(
final FunctionCompilationContext context, final Instant atInstant) {
return new BlackDiscountingCompiledFunction(
getTargetToDefinitionConverter(context),
getDefinitionToDerivativeConverter(context),
true) {
@Override
protected Set<ComputedValue> getValues(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues,
final InstrumentDerivative derivative,
final FXMatrix fxMatrix) {
final BlackSwaptionFlatProvider blackData =
getSwaptionBlackSurface(executionContext, inputs, target, fxMatrix);
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final String desiredCurveName = desiredValue.getConstraint(CURVE);
final ValueProperties properties = desiredValue.getConstraints();
final ReferenceAmount<Pair<String, Currency>> pv01 =
derivative.accept(CALCULATOR, blackData);
final Set<ComputedValue> results = new HashSet<>();
boolean curveNameFound = false;
for (final Map.Entry<Pair<String, Currency>, Double> entry : pv01.getMap().entrySet()) {
final String curveName = entry.getKey().getFirst();
if (desiredCurveName.equals(curveName)) {
curveNameFound = true;
}
final ValueProperties curveSpecificProperties =
properties.copy().withoutAny(CURVE).with(CURVE, curveName).get();
final ValueSpecification spec =
new ValueSpecification(PV01, target.toSpecification(), curveSpecificProperties);
results.add(new ComputedValue(spec, entry.getValue()));
}
if (!curveNameFound) {
throw new OpenGammaRuntimeException(
"Could not get sensitivities to " + desiredCurveName + " for " + target.getName());
}
return results;
}
@Override
protected Collection<ValueProperties.Builder> getResultProperties(
final FunctionCompilationContext compilationContext, final ComputationTarget target) {
final Collection<ValueProperties.Builder> properties =
super.getResultProperties(compilationContext, target);
for (ValueProperties.Builder builder : properties) {
builder.withAny(CURVE);
}
return properties;
}
@Override
protected boolean requirementsSet(final ValueProperties constraints) {
if (super.requirementsSet(constraints)) {
final Set<String> curves = constraints.getValues(CURVE);
if (curves == null) {
return false;
}
return true;
}
return false;
}
@Override
public Set<ValueSpecification> getResults(
final FunctionCompilationContext compilationContext,
final ComputationTarget target,
final Map<ValueSpecification, ValueRequirement> inputs) {
Set<String> curveNames = null;
for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
final ValueSpecification key = entry.getKey();
if (key.getValueName().equals(CURVE_BUNDLE)) {
curveNames = key.getProperties().getValues(CURVE);
break;
}
}
if (curveNames == null) {
return null;
}
final Collection<ValueProperties.Builder> commonPropertiesSet =
super.getResultProperties(compilationContext, target);
final Set<ValueSpecification> results =
Sets.newHashSetWithExpectedSize(commonPropertiesSet.size() * curveNames.size());
for (final String curveName : curveNames) {
for (ValueProperties.Builder commonProperties : commonPropertiesSet) {
final ValueProperties properties =
commonProperties.withoutAny(CURVE).with(CURVE, curveName).get();
results.add(new ValueSpecification(PV01, target.toSpecification(), properties));
}
}
return results;
}
};
}
}
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);
}
}
}