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);
}
}
// market quote bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01MarketQuoteBucketed(
ResolvedDsfTrade trade, RatesProvider ratesProvider) {
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
CurrencyParameterSensitivities parameterSensitivity =
ratesProvider.parameterSensitivity(pointSensitivity);
return MARKET_QUOTE_SENS
.sensitivity(parameterSensitivity, ratesProvider)
.multipliedBy(ONE_BASIS_POINT);
}
