@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext context,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues)
throws AsynchronousExecution {
final MultipleCurrencyParameterSensitivity sensitivities =
(MultipleCurrencyParameterSensitivity) inputs.getValue(BLOCK_CURVE_SENSITIVITIES);
final ValueRequirement desiredValue = desiredValues.iterator().next();
final ValueProperties properties = desiredValue.getConstraints();
final String desiredCurveName = desiredValue.getConstraint(CURVE);
final Map<Pair<String, Currency>, DoubleMatrix1D> entries = sensitivities.getSensitivities();
final Set<ComputedValue> results = new HashSet<>();
for (final Map.Entry<Pair<String, Currency>, DoubleMatrix1D> entry : entries.entrySet()) {
final String curveName = entry.getKey().getFirst();
if (desiredCurveName.equals(curveName)) {
final ValueProperties curveSpecificProperties =
properties.copy().withoutAny(CURVE).with(CURVE, curveName).get();
final CurveDefinition curveDefinition =
(CurveDefinition)
inputs.getValue(
new ValueRequirement(
CURVE_DEFINITION,
ComputationTargetSpecification.NULL,
ValueProperties.builder().with(CURVE, curveName).get()));
final DoubleLabelledMatrix1D ycns =
MultiCurveUtils.getLabelledMatrix(entry.getValue(), curveDefinition);
final ValueSpecification spec =
new ValueSpecification(
YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), curveSpecificProperties);
results.add(new ComputedValue(spec, ycns));
return results;
}
}
s_logger.info(
"Could not get sensitivities to " + desiredCurveName + " for " + target.getName());
return Collections.emptySet();
}
@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++;
}