@Test
/** Test the present value using the method with the direct formula with extrapolation. */
public void presentValueAboveCutOff() {
CurrencyAmount methodPrice = METHOD.presentValue(CAP_HIGH_LONG, SABR_BUNDLE);
final double df =
CURVES.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(CAP_HIGH_LONG.getPaymentTime());
final double forward = CAP_HIGH_LONG.accept(PRC, CURVES);
final double maturity =
CAP_HIGH_LONG.getFixingPeriodEndTime() - CAP_LONG.getFixingPeriodStartTime();
final DoublesPair expiryMaturity = new DoublesPair(CAP_HIGH_LONG.getFixingTime(), maturity);
final double alpha = SABR_PARAMETERS.getAlpha(expiryMaturity);
final double beta = SABR_PARAMETERS.getBeta(expiryMaturity);
final double rho = SABR_PARAMETERS.getRho(expiryMaturity);
final double nu = SABR_PARAMETERS.getNu(expiryMaturity);
final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
final SABRExtrapolationRightFunction sabrExtrapolation =
new SABRExtrapolationRightFunction(
forward, sabrParam, CUT_OFF_STRIKE, CAP_HIGH_LONG.getFixingTime(), MU);
final EuropeanVanillaOption option =
new EuropeanVanillaOption(
CAP_HIGH_LONG.getStrike(), CAP_HIGH_LONG.getFixingTime(), CAP_HIGH_LONG.isCap());
final double expectedPrice =
sabrExtrapolation.price(option)
* CAP_HIGH_LONG.getNotional()
* CAP_HIGH_LONG.getPaymentYearFraction()
* df;
assertEquals(
"Cap/floor: SABR with extrapolation pricing", expectedPrice, methodPrice.getAmount(), 1E-2);
methodPrice = METHOD.presentValue(CAP_HIGH_LONG, SABR_BUNDLE);
assertEquals(
"Cap/floor: SABR with extrapolation pricing", expectedPrice, methodPrice.getAmount(), 1E-2);
}
@Test(enabled = false)
/** Tests of performance. "enabled = false" for the standard testing. */
public void performance() {
long startTime, endTime;
final int nbTest = 1000;
CurrencyAmount pvPayerLongExplicit = CurrencyAmount.of(CUR, 0.0);
CurrencyAmount pvPayerLongIntegration = CurrencyAmount.of(CUR, 0.0);
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvPayerLongExplicit = METHOD_HW_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_HW);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest + " pv swaption Hull-White approximation method: " + (endTime - startTime) + " ms");
// Performance note: HW price: 8-Jul-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 330 ms for
// 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
METHOD_HW_APPROXIMATION.presentValueHullWhiteSensitivity(SWAPTION_PAYER_LONG, BUNDLE_HW);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " HW sensitivity swaption Hull-White approximation method: "
+ (endTime - startTime)
+ " ms");
// Performance note: HW parameters sensitivity: 8-Jul-11: On Mac Pro 3.2 GHz Quad-Core Intel
// Xeon: 525 ms for 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
METHOD_HW_APPROXIMATION.presentValueCurveSensitivity(SWAPTION_PAYER_LONG, BUNDLE_HW);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " curve sensitivity swaption Hull-White approximation method: "
+ (endTime - startTime)
+ " ms");
// Performance note: HW curve sensitivity: 8-Jul-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon:
// 550 ms for 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvPayerLongIntegration = METHOD_HW_INTEGRATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_HW);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " cash swaption Hull-White numerical integration method: "
+ (endTime - startTime)
+ " ms");
// Performance note: HW numerical integration: 8-Jul-11: On Mac Pro 3.2 GHz Quad-Core Intel
// Xeon: 1300 ms for 10000 swaptions.
double difference = 0.0;
difference = pvPayerLongExplicit.getAmount() - pvPayerLongIntegration.getAmount();
System.out.println("Difference: " + difference);
}
@Test
public void presentValueApproximation() {
CurrencyAmount pvNumericalIntegration = METHOD_NI.presentValue(CPN_CMS, BUNDLE_HW);
CurrencyAmount pvApproximation = METHOD_APP.presentValue(CPN_CMS, BUNDLE_HW);
assertEquals(
"Coupon CMS - Hull-White - present value - approximation",
pvApproximation.getAmount(),
pvNumericalIntegration.getAmount(),
TOLERANCE_PRICE_APP);
}
@Test
/** Test the present value using the method with the direct formula with extrapolation. */
public void presentValueLongShortParityAboveCutOff() {
final CurrencyAmount priceLong = METHOD.presentValue(CAP_HIGH_LONG, SABR_BUNDLE);
final CurrencyAmount priceShort = METHOD.presentValue(CAP_HIGH_SHORT, SABR_BUNDLE);
assertEquals(
"Cap/floor: SABR with extrapolation pricing: long/short parity",
priceLong.getAmount(),
-priceShort.getAmount(),
1E-2);
}
@Test
/** Tests long/short parity. */
public void longShortParity() {
CurrencyAmount pvLong = METHOD_HW_INTEGRATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_HW);
CurrencyAmount pvShort = METHOD_HW_INTEGRATION.presentValue(SWAPTION_PAYER_SHORT, BUNDLE_HW);
assertEquals(
"Swaption cash - Hull-White - present value - long/short parity",
pvLong.getAmount(),
-pvShort.getAmount(),
1E-2);
}
@Test
/** Test the present value by approximation vs by numerical integration. */
public void approximationNumericalIntegration() {
CurrencyAmount pvApproximation =
METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_G2PP);
CurrencyAmount pvNI = METHOD_G2PP_NI.presentValue(SWAPTION_PAYER_LONG, BUNDLE_G2PP);
assertEquals(
"Swaption physical - G2++ - present value - approximation vs Numerical integration",
pvApproximation.getAmount(),
pvNI.getAmount(),
2.0E+3);
}
@Test
/** Test the cap/floor/forward parity above the cut-off strike. */
public void presentValueCapFloorParityAboveCutOff() {
final CurrencyAmount priceCap = METHOD.presentValue(CAP_HIGH_LONG, SABR_BUNDLE);
final CurrencyAmount priceFloor = METHOD.presentValue(FLOOR_HIGH_SHORT, SABR_BUNDLE);
final double priceCouponStrike = COUPON_STRIKE_HIGH.accept(PVC, CURVES);
final double priceCouponIbor = COUPON_IBOR.accept(PVC, CURVES);
assertEquals(
"Cap/floor: SABR with extrapolation pricing: cap/floor parity",
priceCouponIbor - priceCouponStrike,
priceCap.getAmount() + priceFloor.getAmount(),
1E-2);
}
@Test
/** Tests payer/receiver/swap parity. */
public void payerReceiverParity() {
CurrencyAmount pvReceiverLong =
METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_RECEIVER_LONG, BUNDLE_G2PP);
CurrencyAmount pvPayerShort =
METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_PAYER_SHORT, BUNDLE_G2PP);
double pvSwap = PVC.visit(SWAP_RECEIVER, CURVES);
assertEquals(
"Swaption physical - G2++ - present value - payer/receiver/swap parity",
pvReceiverLong.getAmount() + pvPayerShort.getAmount(),
pvSwap,
1E-2);
}
@Override
protected Set<ComputedValue> getResult(
final ForexDerivative fxOption,
final SmileDeltaTermStructureDataBundle data,
final FunctionInputs inputs,
final ComputationTarget target) {
final MultipleCurrencyAmount result = CALCULATOR.visit(fxOption, data);
final int n = result.size();
final Currency[] keys = new Currency[n];
final double[] values = new double[n];
int i = 0;
for (final CurrencyAmount ca : result) {
keys[i] = ca.getCurrency();
values[i++] = ca.getAmount();
}
final ValueProperties properties =
createValueProperties()
.with(ValuePropertyNames.PAY_CURVE, getPutCurveName())
.with(ValuePropertyNames.RECEIVE_CURVE, getCallCurveName())
.with(ValuePropertyNames.SURFACE, getSurfaceName())
.get();
final ValueSpecification spec =
new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties);
return Collections.singleton(
new ComputedValue(spec, new CurrencyLabelledMatrix1D(keys, values)));
}
@Test
public void presentValueNumericalIntegration() {
CurrencyAmount pvNumericalIntegration = METHOD_NI.presentValue(CPN_CMS, BUNDLE_HW);
double pvPrevious = 1124760.482; // From previous run
assertEquals(
"Coupon CMS - Hull-White - present value - numerical integration",
pvPrevious,
pvNumericalIntegration.getAmount(),
TOLERANCE_PRICE);
// Comparison with non-adjusted figures: to have the right order of magnitude
CurrencyAmount pvDiscounting = METHOD_DSC.presentValue(CPN_CMS, BUNDLE_HW);
assertEquals(
"Coupon CMS - Hull-White - present value - numerical integration",
1.0,
pvDiscounting.getAmount() / pvNumericalIntegration.getAmount(),
0.20);
}
@Test
/** Tests long/short parity. */
public void scaling() {
double scale = 12.3;
SwapFixedIborDefinition scaledSwapDefinition =
SwapFixedIborDefinition.from(
SETTLEMENT_DATE, CMS_INDEX, scale * NOTIONAL, RATE, FIXED_IS_PAYER);
SwaptionCashFixedIborDefinition scaledSwaptionDefinition =
SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, scaledSwapDefinition, IS_LONG);
SwaptionCashFixedIbor scaledSwaption =
scaledSwaptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
CurrencyAmount pvOriginal = METHOD_HW_INTEGRATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_HW);
CurrencyAmount pvScaled = METHOD_HW_INTEGRATION.presentValue(scaledSwaption, BUNDLE_HW);
assertEquals(
"Swaption cash - Hull-White - present value - scaling",
scale * pvOriginal.getAmount(),
pvScaled.getAmount(),
1E-1);
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final FXFutureSecurity security = (FXFutureSecurity) target.getSecurity();
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final Currency payCurrency = security.getNumerator();
final Object payCurveObject =
inputs.getValue(
YieldCurveFunction.getCurveRequirement(payCurrency, _payCurveName, null, null));
if (payCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get " + _payCurveName + " curve");
}
final Currency receiveCurrency = security.getDenominator();
final Object receiveCurveObject =
inputs.getValue(
YieldCurveFunction.getCurveRequirement(receiveCurrency, _receiveCurveName, null, null));
if (receiveCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get " + _receiveCurveName + " curve");
}
// TODO: The convention is only looked up here so that we can convert the spot rate; would be
// better to request the spot rate using the correct currency pair in the first place
final CurrencyPairs currencyPairs =
OpenGammaExecutionContext.getCurrencyPairsSource(executionContext)
.getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
final CurrencyPair currencyPair = currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
final Currency currencyBase = currencyPair.getBase();
final Object spotObject = inputs.getValue(ValueRequirementNames.SPOT_RATE);
if (spotObject == null) {
throw new OpenGammaRuntimeException("Could not get market data for spot rate");
}
double spot = (Double) spotObject;
if (!receiveCurrency.equals(currencyBase) && receiveCurrency.equals(security.getCurrency())) {
spot = 1. / spot;
}
final YieldAndDiscountCurve payCurve = (YieldAndDiscountCurve) payCurveObject;
final YieldAndDiscountCurve receiveCurve = (YieldAndDiscountCurve) receiveCurveObject;
final SimpleFXFutureDataBundle data =
new SimpleFXFutureDataBundle(payCurve, receiveCurve, spot);
final SimpleInstrument instrument = security.accept(CONVERTER).toDerivative(now);
final CurrencyAmount pv = instrument.accept(CALCULATOR, data);
final ValueProperties properties =
createValueProperties()
.with(ValuePropertyNames.PAY_CURVE, _payCurveName)
.with(ValuePropertyNames.RECEIVE_CURVE, _receiveCurveName)
.with(ValuePropertyNames.CURRENCY, pv.getCurrency().getCode())
.get();
final ValueSpecification spec =
new ValueSpecification(
ValueRequirementNames.PRESENT_VALUE, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, pv.getAmount()));
}
@Test
/** Tests the present value: Method vs Calculator */
public void presentValueMethodVsCalculator() {
final CurrencyAmount pvMethod = METHOD_SECURITY.presentValue(BILL_IAM_SEC, CURVE_BUNDLE);
final double pvCalculator = BILL_IAM_SEC.accept(PVC, CURVE_BUNDLE);
assertEquals(
"Bill Security: discounting method - present value",
pvMethod.getAmount(),
pvCalculator,
TOLERANCE_PV);
}
@Test(enabled = true)
/** Test the present value vs a hard-coded value. */
public void presentValue() {
CurrencyAmount pv = METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_G2PP);
double pvExpected = 4893110.87;
assertEquals(
"Swaption physical - G2++ - present value - hard coded value",
pvExpected,
pv.getAmount(),
1E-2);
}
@Test
/** Tests the present value against explicit computation. */
public void presentValue() {
final CurrencyAmount pvComputed = METHOD_SECURITY.presentValue(BILL_IAM_SEC, CURVE_BUNDLE);
final double pvExpected =
NOTIONAL
* CURVE_BUNDLE.getCurve(NAME_CURVES[1]).getDiscountFactor(BILL_IAM_SEC.getEndTime());
assertEquals(
"Bill Security: discounting method - present value",
pvExpected,
pvComputed.getAmount(),
TOLERANCE_PV);
}
@Test
public void priceFromCurves() {
final double priceComputed = METHOD_SECURITY.priceFromCurves(BILL_IAM_SEC, CURVE_BUNDLE);
final CurrencyAmount pvComputed = METHOD_SECURITY.presentValue(BILL_IAM_SEC, CURVE_BUNDLE);
final double priceExpected =
pvComputed.getAmount()
/ (NOTIONAL
* CURVE_BUNDLE
.getCurve(NAME_CURVES[0])
.getDiscountFactor(BILL_IAM_SEC.getSettlementTime()));
assertEquals(
"Bill Security: discounting method - price", priceExpected, priceComputed, TOLERANCE_PRICE);
}
public static CurrencyLabelledMatrix1D getMultipleCurrencyAmountAsMatrix(
final MultipleCurrencyAmount mca) {
ArgumentChecker.notNull(mca, "multiple currency amount");
final int n = mca.size();
final Currency[] keys = new Currency[n];
final double[] values = new double[n];
int i = 0;
for (final CurrencyAmount ca : mca) {
keys[i] = ca.getCurrency();
values[i++] = ca.getAmount();
}
return new CurrencyLabelledMatrix1D(keys, values);
}
@Test
/** Tests long/short parity. */
public void longShortParity() {
CurrencyAmount pvPayerLong =
METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_G2PP);
CurrencyAmount pvPayerShort =
METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_PAYER_SHORT, BUNDLE_G2PP);
assertEquals(
"Swaption physical - G2++ - present value - long/short parity",
pvPayerLong.getAmount(),
-pvPayerShort.getAmount(),
1E-2);
CurrencyAmount pvReceiverLong =
METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_RECEIVER_LONG, BUNDLE_G2PP);
CurrencyAmount pvReceiverShort =
METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_RECEIVER_SHORT, BUNDLE_G2PP);
assertEquals(
"Swaption physical - G2++ - present value - long/short parity",
pvReceiverLong.getAmount(),
-pvReceiverShort.getAmount(),
1E-2);
}
@Test
/** Test the present value using the method with the direct formula with extrapolation. */
public void presentValueMethodVsCalculator() {
final SABRInterestRateDataBundle sabrExtraBundle =
new SABRInterestRateDataBundle(SABR_PARAMETERS, CURVES);
final CurrencyAmount pvMethod = METHOD.presentValue(CAP_LONG, SABR_BUNDLE);
final PresentValueSABRExtrapolationCalculator pvc =
new PresentValueSABRExtrapolationCalculator(CUT_OFF_STRIKE, MU);
final double pvCalculator = CAP_LONG.accept(pvc, sabrExtraBundle);
assertEquals(
"Cap/floor: SABR with extrapolation pricing - Method vs Calculator",
pvMethod.getAmount(),
pvCalculator,
1E-2);
}
@Test
public void testPayCashFlowsNoNetting() {
for (final InstrumentDefinition<?> definition : NO_NETTING_PAY_INSTRUMENTS) {
final TreeMap<LocalDate, MultipleCurrencyAmount> pay =
new TreeMap<LocalDate, MultipleCurrencyAmount>(definition.accept(PAY_CASH_FLOWS));
final TreeMap<LocalDate, MultipleCurrencyAmount> netted =
new TreeMap<LocalDate, MultipleCurrencyAmount>(definition.accept(VISITOR));
assertEquals(pay.size(), netted.size());
assertEquals(pay.keySet(), netted.keySet());
final Iterator<Map.Entry<LocalDate, MultipleCurrencyAmount>> nettedIterator =
netted.entrySet().iterator();
for (final Map.Entry<LocalDate, MultipleCurrencyAmount> payEntry : pay.entrySet()) {
final Map.Entry<LocalDate, MultipleCurrencyAmount> nettedEntry = nettedIterator.next();
assertEquals(payEntry.getKey(), nettedEntry.getKey());
assertEquals(payEntry.getValue().size(), nettedEntry.getValue().size());
final Iterator<CurrencyAmount> nettedMCAIterator = nettedEntry.getValue().iterator();
for (final CurrencyAmount payCA : payEntry.getValue()) {
final CurrencyAmount nettedCA = nettedMCAIterator.next();
assertEquals(payCA.getCurrency(), nettedCA.getCurrency());
assertEquals(payCA.getAmount(), -nettedCA.getAmount());
}
}
}
}
@Test
public void presentValueFromYield() {
final CurrencyAmount pvComputed =
METHOD_SECURITY.presentValueFromYield(BILL_IAM_SEC, YIELD, CURVE_BUNDLE);
final double price = METHOD_SECURITY.priceFromYield(BILL_IAM_SEC, YIELD);
final double pvExpected =
NOTIONAL
* price
* CURVE_BUNDLE
.getCurve(NAME_CURVES[0])
.getDiscountFactor(BILL_IAM_SEC.getSettlementTime());
assertEquals(
"Bill Security: discounting method - present value",
pvExpected,
pvComputed.getAmount(),
TOLERANCE_PV);
}
@Test
/** Check the conversion of a multiple currency amount. */
public void convert() {
final FXMatrix fxMatrix = new FXMatrix();
fxMatrix.addCurrency(EUR, USD, EUR_USD);
fxMatrix.addCurrency(GBP, EUR, GBP_EUR);
final double amountGBP = 1.0;
final double amountEUR = 2.0;
final double amountUSD = 3.0;
MultipleCurrencyAmount amount = MultipleCurrencyAmount.of(GBP, amountGBP);
amount = amount.plus(EUR, amountEUR);
amount = amount.plus(USD, amountUSD);
final CurrencyAmount totalUSDCalculated = fxMatrix.convert(amount, USD);
final double totalUSDExpected = amountUSD + amountEUR * EUR_USD + amountGBP * GBP_EUR * EUR_USD;
assertEquals("FXMatrix - convert", totalUSDExpected, totalUSDCalculated.getAmount(), 1.0E-10);
assertEquals("FXMatrix - convert", USD, totalUSDCalculated.getCurrency());
}
@Test
/** Tests the present value. */
public void presentValue() {
CurrencyAmount pv = METHOD.presentValue(ZERO_COUPON_1, MARKET);
double df =
MARKET
.getCurve(ZERO_COUPON_1.getCurrency())
.getDiscountFactor(ZERO_COUPON_1.getPaymentTime());
double indexMonth0 =
MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(ZERO_COUPON_1.getReferenceEndTime()[0]);
double indexMonth1 =
MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(ZERO_COUPON_1.getReferenceEndTime()[1]);
double finalIndex =
ZERO_COUPON_1_DEFINITION.getWeight() * indexMonth0
+ (1 - ZERO_COUPON_1_DEFINITION.getWeight()) * indexMonth1;
double pvExpected = (finalIndex / INDEX_MAY_2008_INT - 1) * df * NOTIONAL;
assertEquals("Zero-coupon inflation: Present value", pvExpected, pv.getAmount(), 1.0E-2);
}
@Test
/** Compare approximate formula with numerical integration. */
public void comparison() {
double bp1 = 10000;
CurrencyAmount pvPayerLongExplicit =
METHOD_HW_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_HW);
CurrencyAmount pvPayerLongIntegration =
METHOD_HW_INTEGRATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_HW);
assertEquals(
"Swaption cash - Hull-White - present value - explicit/numerical integration",
pvPayerLongExplicit.getAmount() / NOTIONAL * bp1,
pvPayerLongIntegration.getAmount() / NOTIONAL * bp1,
3.0E-1);
CurrencyAmount pvPayerShortExplicit =
METHOD_HW_APPROXIMATION.presentValue(SWAPTION_PAYER_SHORT, BUNDLE_HW);
CurrencyAmount pvPayerShortIntegration =
METHOD_HW_INTEGRATION.presentValue(SWAPTION_PAYER_SHORT, BUNDLE_HW);
assertEquals(
"Swaption cash - Hull-White - present value - explicit/numerical integration",
pvPayerShortExplicit.getAmount() / NOTIONAL * bp1,
pvPayerShortIntegration.getAmount() / NOTIONAL * bp1,
3.0E-1);
CurrencyAmount pvReceiverLongExplicit =
METHOD_HW_APPROXIMATION.presentValue(SWAPTION_RECEIVER_LONG, BUNDLE_HW);
CurrencyAmount pvReceiverLongIntegration =
METHOD_HW_INTEGRATION.presentValue(SWAPTION_RECEIVER_LONG, BUNDLE_HW);
assertEquals(
"Swaption cash - Hull-White - present value - explicit/numerical integration",
pvReceiverLongExplicit.getAmount() / NOTIONAL * bp1,
pvReceiverLongIntegration.getAmount() / NOTIONAL * bp1,
5.0E-1);
CurrencyAmount pvReceiverShortExplicit =
METHOD_HW_APPROXIMATION.presentValue(SWAPTION_RECEIVER_SHORT, BUNDLE_HW);
CurrencyAmount pvReceiverShortIntegration =
METHOD_HW_INTEGRATION.presentValue(SWAPTION_RECEIVER_SHORT, BUNDLE_HW);
assertEquals(
"Swaption cash - Hull-White - present value - explicit/numerical integration",
pvReceiverShortExplicit.getAmount() / NOTIONAL * bp1,
pvReceiverShortIntegration.getAmount() / NOTIONAL * bp1,
5.0E-1);
}
@Override
protected Set<ComputedValue> getResult(
final InstrumentDerivative fxDigital,
final ForexOptionDataBundle<?> data,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues,
final FunctionInputs inputs,
final ValueSpecification spec,
final FunctionExecutionContext executionContext) {
final String spreadName =
Iterables.getOnlyElement(desiredValues)
.getConstraint(CalculationPropertyNamesAndValues.PROPERTY_CALL_SPREAD_VALUE);
final double spread = Double.parseDouble(spreadName);
final PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator calculator =
new PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator(spread);
final PresentValueForexBlackVolatilitySensitivity result = fxDigital.accept(calculator, data);
final CurrencyAmount vegaValue = result.toSingleValue();
return Collections.singleton(new ComputedValue(spec, vegaValue.getAmount()));
}
@Test
/** Tests the present value for curves with seasonal adjustment. */
public void presentValueSeasonality() {
MarketBundle marketSeason = MarketDataSets.createMarket2(PRICING_DATE);
int tenorYear = 5;
double notional = 100000000;
ZonedDateTime settleDate =
ScheduleCalculator.getAdjustedDate(PRICING_DATE, USDLIBOR3M.getSpotLag(), CALENDAR_USD);
ZonedDateTime paymentDate =
ScheduleCalculator.getAdjustedDate(
settleDate,
Period.ofYears(tenorYear),
BUSINESS_DAY,
CALENDAR_USD,
USDLIBOR3M.isEndOfMonth());
double weightSettle =
1.0
- (settleDate.getDayOfMonth() - 1.0)
/ settleDate.getMonthOfYear().getLastDayOfMonth(settleDate.isLeapYear());
double indexStart = weightSettle * 225.964 + (1 - weightSettle) * 225.722;
CouponInflationZeroCouponInterpolationDefinition zeroCouponUsdDefinition =
CouponInflationZeroCouponInterpolationDefinition.from(
settleDate, paymentDate, notional, PRICE_INDEX_US, indexStart, MONTH_LAG, false);
CouponInflationZeroCouponInterpolation zeroCouponUsd =
zeroCouponUsdDefinition.toDerivative(PRICING_DATE, "not used");
CurrencyAmount pvInflation = METHOD.presentValue(zeroCouponUsd, marketSeason);
double df =
MARKET
.getCurve(zeroCouponUsd.getCurrency())
.getDiscountFactor(zeroCouponUsd.getPaymentTime());
double indexMonth0 =
marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[0]);
double indexMonth1 =
marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[1]);
double finalIndex =
zeroCouponUsdDefinition.getWeight() * indexMonth0
+ (1 - zeroCouponUsdDefinition.getWeight()) * indexMonth1;
double pvExpected = (finalIndex / indexStart - 1) * df * notional;
assertEquals(
"PV in market with seasonal adjustment", pvExpected, pvInflation.getAmount(), 1E-2);
}
@Test(enabled = false)
/**
* Test the present value vs a external system. "enabled = false" for the standard testing: the
* external system is using a TimeCalculator with ACT/365.
*/
public void presentValueExternal() {
G2ppPiecewiseConstantParameters parametersCst = G2ppTestsDataSet.createG2ppCstParameters();
final YieldAndDiscountCurve curve5 = new YieldCurve(ConstantDoublesCurve.from(0.05));
final YieldCurveBundle curves = new YieldCurveBundle();
curves.setCurve(FUNDING_CURVE_NAME, curve5);
curves.setCurve(FORWARD_CURVE_NAME, curve5);
G2ppPiecewiseConstantDataBundle bundleCst =
new G2ppPiecewiseConstantDataBundle(parametersCst, curves);
CurrencyAmount pv = METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, bundleCst);
double pvExternal = 6885626.28245924; // ! TimeCalculator with ACT/365
assertEquals(
"Swaption physical - G2++ - present value - external system",
pvExternal,
pv.getAmount(),
1E-2);
}
@Test
/**
* Test the present value SABR parameters sensitivity against a finite difference computation;
* strike above the cut-off strike.
*/
public void testPresentValueSABRSensitivityAboveCutOff() {
final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
final SABRInterestRateDataBundle sabrBundle =
new SABRInterestRateDataBundle(sabrParameter, curves);
final CurrencyAmount pv = METHOD.presentValue(CAP_HIGH_LONG, sabrBundle);
final PresentValueSABRSensitivityDataBundle pvsCapLong =
METHOD.presentValueSABRSensitivity(CAP_HIGH_LONG, sabrBundle);
PresentValueSABRSensitivityDataBundle pvsCapShort =
METHOD.presentValueSABRSensitivity(CAP_HIGH_SHORT, sabrBundle);
// Long/short parity
pvsCapShort = pvsCapShort.multiplyBy(-1.0);
assertEquals(pvsCapShort.getAlpha(), pvsCapLong.getAlpha());
// SABR sensitivity vs finite difference
final double shift = 0.0001;
final double shiftAlpha = 0.00001;
final DoublesPair expectedExpiryTenor =
new DoublesPair(
CAP_HIGH_LONG.getFixingTime(),
CAP_HIGH_LONG.getFixingPeriodEndTime() - CAP_HIGH_LONG.getFixingPeriodStartTime());
// Alpha sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterAlphaBumped =
TestsDataSetsSABR.createSABR1AlphaBumped(shiftAlpha);
final SABRInterestRateDataBundle sabrBundleAlphaBumped =
new SABRInterestRateDataBundle(sabrParameterAlphaBumped, curves);
final CurrencyAmount pvLongPayerAlphaBumped =
METHOD.presentValue(CAP_HIGH_LONG, sabrBundleAlphaBumped);
final double expectedAlphaSensi =
(pvLongPayerAlphaBumped.getAmount() - pv.getAmount()) / shiftAlpha;
assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 1);
assertEquals(
"Alpha sensitivity expiry/tenor",
pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor),
true);
assertEquals(
"Alpha sensitivity value",
expectedAlphaSensi,
pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor),
1.0E-0);
// Rho sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterRhoBumped =
TestsDataSetsSABR.createSABR1RhoBumped();
final SABRInterestRateDataBundle sabrBundleRhoBumped =
new SABRInterestRateDataBundle(sabrParameterRhoBumped, curves);
final CurrencyAmount pvLongPayerRhoBumped =
METHOD.presentValue(CAP_HIGH_LONG, sabrBundleRhoBumped);
final double expectedRhoSensi = (pvLongPayerRhoBumped.getAmount() - pv.getAmount()) / shift;
assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 1);
assertEquals(
"Rho sensitivity expiry/tenor",
pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor),
true);
assertEquals(
"Rho sensitivity value",
pvsCapLong.getRho().getMap().get(expectedExpiryTenor),
expectedRhoSensi,
1.0E-1);
// Alpha sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterNuBumped =
TestsDataSetsSABR.createSABR1NuBumped();
final SABRInterestRateDataBundle sabrBundleNuBumped =
new SABRInterestRateDataBundle(sabrParameterNuBumped, curves);
final CurrencyAmount pvLongPayerNuBumped =
METHOD.presentValue(CAP_HIGH_LONG, sabrBundleNuBumped);
final double expectedNuSensi = (pvLongPayerNuBumped.getAmount() - pv.getAmount()) / shift;
assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 1);
assertEquals(
"Nu sensitivity expiry/tenor",
pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor),
true);
assertEquals(
"Nu sensitivity value",
pvsCapLong.getNu().getMap().get(expectedExpiryTenor),
expectedNuSensi,
2.0E-1);
}
