/** Tests applying a relative index shift to a surface. */
@Test
public void indexSurfaceRelative() {
NodalDoublesSurface surface =
new NodalDoublesSurface(
new double[] {1.1, 1.2, 1.2, 1.3, 1.3, 1.3},
new double[] {10, 10, 20, 10, 20, 30},
new double[] {1, 2, 3, 4, 5, 6});
List<Double> shiftList = Lists.newArrayList(0d, 0.1, 0.2);
VolatilitySurfaceIndexShifts shifts =
new VolatilitySurfaceIndexShifts(ScenarioShiftType.RELATIVE, shiftList);
ValueProperties properties = ValueProperties.with(ValuePropertyNames.FUNCTION, "bar").get();
ValueSpecification spec =
new ValueSpecification("foo", ComputationTargetSpecification.NULL, properties);
VolatilitySurface shiftedSurface =
shifts.execute(new VolatilitySurface(surface), spec, new FunctionExecutionContext());
assertEquals(1.0, shiftedSurface.getVolatility(1.1, 10), DELTA);
assertEquals(2.2, shiftedSurface.getVolatility(1.2, 10), DELTA);
assertEquals(3.3, shiftedSurface.getVolatility(1.2, 20), DELTA);
assertEquals(4.8, shiftedSurface.getVolatility(1.3, 10), DELTA);
assertEquals(6.0, shiftedSurface.getVolatility(1.3, 20), DELTA);
assertEquals(7.2, shiftedSurface.getVolatility(1.3, 30), DELTA);
}
/**
* Tests applying an index shift to a surface where there are fewer shifts specified than expiries
* in the surface.
*/
@Test
public void indexSurfaceFewerShiftsThanExpiries() {
NodalDoublesSurface surface =
new NodalDoublesSurface(
new double[] {1.1, 1.2, 1.2, 1.3, 1.3, 1.3},
new double[] {0.1, 0.1, 0.2, 0.1, 0.2, 0.3},
new double[] {1, 2, 3, 4, 5, 6});
List<Double> shiftList = Lists.newArrayList(0d, 0.1);
VolatilitySurfaceIndexShifts shifts =
new VolatilitySurfaceIndexShifts(ScenarioShiftType.ABSOLUTE, shiftList);
ValueProperties properties = ValueProperties.with(ValuePropertyNames.FUNCTION, "bar").get();
ValueSpecification spec =
new ValueSpecification("foo", ComputationTargetSpecification.NULL, properties);
VolatilitySurface shiftedSurface =
shifts.execute(new VolatilitySurface(surface), spec, new FunctionExecutionContext());
assertEquals(1.0, shiftedSurface.getVolatility(1.1, 0.1), DELTA);
assertEquals(2.1, shiftedSurface.getVolatility(1.2, 0.1), DELTA);
assertEquals(3.1, shiftedSurface.getVolatility(1.2, 0.2), DELTA);
assertEquals(4.0, shiftedSurface.getVolatility(1.3, 0.1), DELTA);
assertEquals(5.0, shiftedSurface.getVolatility(1.3, 0.2), DELTA);
assertEquals(6.0, shiftedSurface.getVolatility(1.3, 0.3), DELTA);
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final SecuritySource securitySource =
OpenGammaExecutionContext.getSecuritySource(executionContext);
final SwaptionSecurity security = (SwaptionSecurity) target.getSecurity();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
final String curveCalculationConfigName =
desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource =
new ConfigDBCurveCalculationConfigSource(configSource);
final MultiCurveCalculationConfig curveCalculationConfig =
curveCalculationConfigSource.getConfig(curveCalculationConfigName);
if (curveCalculationConfig == null) {
throw new OpenGammaRuntimeException(
"Could not find curve calculation configuration named " + curveCalculationConfigName);
}
String[] curveNames = curveCalculationConfig.getYieldCurveNames(); // TODO
if (curveNames.length == 1) {
curveNames = new String[] {curveNames[0], curveNames[0]};
}
final String[] fullCurveNames = new String[curveNames.length];
for (int i = 0; i < curveNames.length; i++) {
fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
}
final YieldCurveBundle curves =
YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
final Object volatilitySurfaceObject =
inputs.getValue(getVolatilityRequirement(surfaceName, currency));
if (volatilitySurfaceObject == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface");
}
final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
throw new OpenGammaRuntimeException(
"Expecting an InterpolatedDoublesSurface; got "
+ volatilitySurface.getSurface().getClass());
}
final InstrumentDefinition<?> definition = security.accept(_visitor);
final HistoricalTimeSeriesBundle timeSeries =
HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final InstrumentDerivative swaption =
_definitionConverter.convert(security, definition, now, fullCurveNames, timeSeries);
final ValueProperties properties =
getResultProperties(currency.getCode(), curveCalculationConfigName, surfaceName);
final ValueSpecification spec =
new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
final BlackFlatSwaptionParameters parameters =
new BlackFlatSwaptionParameters(
volatilitySurface.getSurface(),
SwaptionUtils.getSwapGenerator(security, definition, securitySource));
final YieldCurveWithBlackSwaptionBundle data =
new YieldCurveWithBlackSwaptionBundle(parameters, curves);
return getResult(swaption, data, spec);
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = snapshotClock.zonedDateTime();
final SecuritySource securitySource =
OpenGammaExecutionContext.getSecuritySource(executionContext);
final SwaptionSecurity security = (SwaptionSecurity) target.getSecurity();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final String forwardCurveName =
desiredValue.getConstraint(YieldCurveFunction.PROPERTY_FORWARD_CURVE);
final String fundingCurveName =
desiredValue.getConstraint(YieldCurveFunction.PROPERTY_FUNDING_CURVE);
final String curveCalculationMethod =
desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_METHOD);
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
final Object forwardCurveObject =
inputs.getValue(
YieldCurveFunction.getCurveRequirement(
currency,
forwardCurveName,
forwardCurveName,
fundingCurveName,
curveCalculationMethod));
if (forwardCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get forward curve");
}
final Object fundingCurveObject =
inputs.getValue(
YieldCurveFunction.getCurveRequirement(
currency,
fundingCurveName,
forwardCurveName,
fundingCurveName,
curveCalculationMethod));
if (fundingCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get funding curve");
}
final Object volatilitySurfaceObject =
inputs.getValue(getVolatilityRequirement(surfaceName, currency));
if (volatilitySurfaceObject == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface");
}
final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
throw new OpenGammaRuntimeException(
"Expecting an InterpolatedDoublesSurface; got "
+ volatilitySurface.getSurface().getClass());
}
final YieldAndDiscountCurve forwardCurve = (YieldAndDiscountCurve) forwardCurveObject;
final YieldAndDiscountCurve fundingCurve = (YieldAndDiscountCurve) fundingCurveObject;
final InstrumentDefinition<?> definition = security.accept(_visitor);
final InstrumentDerivative swaption =
definition.toDerivative(now, new String[] {fundingCurveName, forwardCurveName});
final ValueProperties properties =
getResultProperties(
currency.getCode(),
forwardCurveName,
fundingCurveName,
curveCalculationMethod,
surfaceName);
final ValueSpecification spec =
new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
final YieldCurveBundle curves =
new YieldCurveBundle(
new String[] {fundingCurveName, forwardCurveName},
new YieldAndDiscountCurve[] {fundingCurve, forwardCurve});
final BlackSwaptionParameters parameters =
new BlackSwaptionParameters(
volatilitySurface.getSurface(),
SwaptionUtils.getSwapGenerator(security, definition, securitySource));
final YieldCurveWithBlackSwaptionBundle data =
new YieldCurveWithBlackSwaptionBundle(parameters, curves);
return getResult(swaption, data, spec);
}