private void calibration_market_quote_sensitivity_check(
Function<MarketData, ImmutableRatesProvider> calibrator, double shift) {
double notional = 100_000_000.0;
double fx = 1.1111;
double fxPts = 0.0012;
FxSwapTrade trade =
EUR_USD.toTrade(
VAL_DATE, Period.ofWeeks(6), Period.ofMonths(5), BuySell.BUY, notional, fx, fxPts);
ImmutableRatesProvider result =
CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, VAL_DATE, ALL_QUOTES, TS);
PointSensitivities pts = FX_PRICER.presentValueSensitivity(trade.getProduct(), result);
CurveCurrencyParameterSensitivities ps = result.curveParameterSensitivity(pts);
CurveCurrencyParameterSensitivities mqs = MQC.sensitivity(ps, result);
double pvUsd = FX_PRICER.presentValue(trade.getProduct(), result).getAmount(USD).getAmount();
double pvEur = FX_PRICER.presentValue(trade.getProduct(), result).getAmount(EUR).getAmount();
double[] mqsUsd1Computed =
mqs.getSensitivity(USD_DSCON_CURVE_NAME, USD).getSensitivity().toArray();
for (int i = 0; i < USD_DSC_NB_NODES; i++) {
Map<MarketDataKey<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues());
map.put(
QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])),
USD_DSC_MARKET_QUOTES[i] + shift);
ImmutableMarketData marketData = ImmutableMarketData.of(map);
ImmutableRatesProvider rpShifted = calibrator.apply(marketData);
double pvS = FX_PRICER.presentValue(trade.getProduct(), rpShifted).getAmount(USD).getAmount();
assertEquals(mqsUsd1Computed[i], (pvS - pvUsd) / shift, TOLERANCE_PV_DELTA);
}
double[] mqsUsd2Computed =
mqs.getSensitivity(USD_DSCON_CURVE_NAME, EUR).getSensitivity().toArray();
for (int i = 0; i < USD_DSC_NB_NODES; i++) {
Map<MarketDataKey<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues());
map.put(
QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[i])),
USD_DSC_MARKET_QUOTES[i] + shift);
ImmutableMarketData ov = ImmutableMarketData.of(map);
ImmutableRatesProvider rpShifted = calibrator.apply(ov);
double pvS = FX_PRICER.presentValue(trade.getProduct(), rpShifted).getAmount(EUR).getAmount();
assertEquals(mqsUsd2Computed[i], (pvS - pvEur) / shift, TOLERANCE_PV_DELTA);
}
double[] mqsEur1Computed =
mqs.getSensitivity(EUR_DSC_CURVE_NAME, USD).getSensitivity().toArray();
for (int i = 0; i < EUR_DSC_NB_NODES; i++) {
assertEquals(mqsEur1Computed[i], 0.0, TOLERANCE_PV_DELTA);
}
double[] mqsEur2Computed =
mqs.getSensitivity(EUR_DSC_CURVE_NAME, EUR).getSensitivity().toArray();
for (int i = 0; i < EUR_DSC_NB_NODES; i++) {
Map<MarketDataKey<?>, Object> map = new HashMap<>(ALL_QUOTES.getValues());
map.put(
QuoteKey.of(StandardId.of(SCHEME, EUR_DSC_ID_VALUE[i])),
EUR_DSC_MARKET_QUOTES[i] + shift);
ImmutableMarketData marketData = ImmutableMarketData.of(map);
ImmutableRatesProvider rpShifted = calibrator.apply(marketData);
double pvS = FX_PRICER.presentValue(trade.getProduct(), rpShifted).getAmount(EUR).getAmount();
assertEquals(mqsEur2Computed[i], (pvS - pvEur) / shift, TOLERANCE_PV_DELTA, "Node " + i);
}
}
/** Test par spread sensitivity for ISDA FRA Discounting method. */
public void test_parSpreadSensitivity_ISDA() {
PointSensitivities sensi = DEFAULT_PRICER.parSpreadSensitivity(FRA, IMM_PROV);
CurveCurrencyParameterSensitivities sensiComputed = IMM_PROV.curveParameterSensitivity(sensi);
CurveCurrencyParameterSensitivities sensiExpected =
CAL_FD.sensitivity(
IMM_PROV,
(p) -> CurrencyAmount.of(FRA.getCurrency(), DEFAULT_PRICER.parSpread(FRA, (p))));
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, EPS_FD));
}
// -------------------------------------------------------------------------
public void test_cashFlowEquivalentAndSensitivity() {
Swap swap = Swap.builder().legs(IBOR_LEG, FIXED_LEG).build();
ImmutableMap<NotionalExchange, PointSensitivityBuilder> computedFull =
CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(swap.expand(), PROVIDER);
ImmutableList<NotionalExchange> keyComputedFull = computedFull.keySet().asList();
ImmutableList<PointSensitivityBuilder> valueComputedFull = computedFull.values().asList();
ImmutableMap<NotionalExchange, PointSensitivityBuilder> computedIborLeg =
CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivityIborLeg(
IBOR_LEG.expand(), PROVIDER);
ImmutableMap<NotionalExchange, PointSensitivityBuilder> computedFixedLeg =
CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivityFixedLeg(
FIXED_LEG.expand(), PROVIDER);
assertEquals(computedFixedLeg.keySet().asList(), keyComputedFull.subList(0, 2));
assertEquals(computedIborLeg.keySet().asList(), keyComputedFull.subList(2, 6));
assertEquals(computedFixedLeg.values().asList(), valueComputedFull.subList(0, 2));
assertEquals(computedIborLeg.values().asList(), valueComputedFull.subList(2, 6));
double eps = 1.0e-7;
RatesFiniteDifferenceSensitivityCalculator calc =
new RatesFiniteDifferenceSensitivityCalculator(eps);
int size = keyComputedFull.size();
for (int i = 0; i < size; ++i) {
final int index = i;
CurveCurrencyParameterSensitivities expected =
calc.sensitivity(
PROVIDER,
p ->
((NotionalExchange)
CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap.expand(), p)
.getPaymentEvents()
.get(index))
.getPaymentAmount());
PointSensitivityBuilder point =
computedFull.get(
CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap.expand(), PROVIDER)
.getPaymentEvents()
.get(index));
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
assertTrue(computed.equalWithTolerance(expected, eps * NOTIONAL));
}
}
/** Test parameter sensitivity with finite difference sensitivity calculator. No cutoff period. */
public void rateChfNoCutOffParameterSensitivity() {
LocalDate[] valuationDate = {date(2015, 1, 1), date(2015, 1, 8)};
double[] time = new double[] {0.0, 0.5, 1.0, 2.0, 5.0, 10.0};
double[] rate = new double[] {0.0100, 0.0110, 0.0115, 0.0130, 0.0135, 0.0135};
for (int loopvaldate = 0; loopvaldate < 2; loopvaldate++) {
Curve onCurve =
InterpolatedNodalCurve.of(Curves.zeroRates("ON", ACT_ACT_ISDA), time, rate, INTERPOLATOR);
ImmutableRatesProvider prov =
ImmutableRatesProvider.builder()
.valuationDate(valuationDate[loopvaldate])
.indexCurves(ImmutableMap.of(CHF_TOIS, onCurve))
.timeSeries(ImmutableMap.of(CHF_TOIS, TIME_SERIES_BUILDER.build()))
.build();
OvernightAveragedRateObservation ro =
OvernightAveragedRateObservation.of(CHF_TOIS, FIXING_START_DATE, FIXING_END_DATE, 0);
ForwardOvernightAveragedRateObservationFn obsFn =
ForwardOvernightAveragedRateObservationFn.DEFAULT;
PointSensitivityBuilder sensitivityBuilderComputed =
obsFn.rateSensitivity(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov);
CurveCurrencyParameterSensitivities parameterSensitivityComputed =
prov.curveParameterSensitivity(sensitivityBuilderComputed.build());
CurveCurrencyParameterSensitivities parameterSensitivityExpected =
CAL_FD.sensitivity(
prov,
(p) ->
CurrencyAmount.of(
CHF_TOIS.getCurrency(),
obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, (p))));
assertTrue(
parameterSensitivityComputed.equalWithTolerance(
parameterSensitivityExpected, EPS_FD * 10.0));
}
}