public void curveConstructionTest(
final InstrumentDefinition<?>[][][] definitions,
final MulticurveProviderDiscount curves,
final boolean withToday,
final int block) {
final int nbBlocks = definitions.length;
for (int loopblock = 0; loopblock < nbBlocks; loopblock++) {
final InstrumentDerivative[][] instruments = convert(definitions[loopblock], withToday);
final double[][] pv = new double[instruments.length][];
for (int loopcurve = 0; loopcurve < instruments.length; loopcurve++) {
pv[loopcurve] = new double[instruments[loopcurve].length];
for (int loopins = 0; loopins < instruments[loopcurve].length; loopins++) {
pv[loopcurve][loopins] =
curves
.getFxRates()
.convert(instruments[loopcurve][loopins].accept(PVC, curves), AUD)
.getAmount();
assertEquals(
"Curve construction: block "
+ block
+ ", unit "
+ loopblock
+ " - instrument "
+ loopins,
0,
pv[loopcurve][loopins],
TOLERANCE_CAL);
}
}
}
}
@Test
public void parSpreadMarketQuoteDiscountingCalculator() {
final double psmq = SWAP_MULTI_LEG.accept(PSMQDC, MULTICURVES);
final double pv =
-MULTICURVES
.getFxRates()
.convert(
SWAP_MULTI_LEG.accept(PVDC, MULTICURVES), SWAP_MULTI_LEG.getLegs()[0].getCurrency())
.getAmount();
final double pvbp = SWAP_MULTI_LEG.getLegs()[0].accept(PVMQSC, MULTICURVES);
assertEquals(
"SwapMultileg: parSpreadMarketQuoteDiscountingCalculator", psmq, pv / pvbp, TOLERANCE_RATE);
}
@Test
public void parSpreadMarketQuoteCurveSensitivityDiscountingCalculator() {
final double pv =
MULTICURVES
.getFxRates()
.convert(
SWAP_MULTI_LEG.accept(PVDC, MULTICURVES), SWAP_MULTI_LEG.getLegs()[0].getCurrency())
.getAmount();
final double pvbp = SWAP_MULTI_LEG.getLegs()[0].accept(PVMQSC, MULTICURVES);
final MulticurveSensitivity pvcs =
SWAP_MULTI_LEG
.accept(PVCSDC, MULTICURVES)
.converted(EUR, MULTICURVES.getFxRates())
.getSensitivity(EUR);
final MulticurveSensitivity pvbpcs = SWAP_MULTI_LEG.getLegs()[0].accept(PVMQSCSC, MULTICURVES);
final MulticurveSensitivity psmqcsExpected =
pvcs.multipliedBy(-1.0d / pvbp).plus(pvbpcs.multipliedBy(pv / (pvbp * pvbp))).cleaned();
final MulticurveSensitivity psmqcs = SWAP_MULTI_LEG.accept(PSMQCSDC, MULTICURVES).cleaned();
AssertSensitivityObjects.assertEquals(
"SwapMultileg: presentValueCurveSensitivityDiscountingCalculator",
psmqcs,
psmqcsExpected,
TOLERANCE_RATE_DELTA);
}
@Override
protected void buildMessage(
final FudgeSerializer serializer,
final MutableFudgeMsg message,
final MulticurveProviderDiscount object) {
final Map<Currency, YieldAndDiscountCurve> discountingCurves = object.getDiscountingCurves();
for (final Map.Entry<Currency, YieldAndDiscountCurve> entry : discountingCurves.entrySet()) {
message.add(CURRENCY_FIELD, entry.getKey().getCode());
serializer.addToMessageWithClassHeaders(
message, DISCOUNTING_CURVE_FIELD, null, entry.getValue());
}
final Map<IborIndex, YieldAndDiscountCurve> forwardIborCurves = object.getForwardIborCurves();
for (final Map.Entry<IborIndex, YieldAndDiscountCurve> entry : forwardIborCurves.entrySet()) {
serializer.addToMessageWithClassHeaders(message, INDEX_IBOR_FIELD, null, entry.getKey());
serializer.addToMessageWithClassHeaders(message, INDEX_IBOR_CURVE, null, entry.getValue());
}
final Map<IndexON, YieldAndDiscountCurve> forwardONCurves = object.getForwardONCurves();
for (final Map.Entry<IndexON, YieldAndDiscountCurve> entry : forwardONCurves.entrySet()) {
serializer.addToMessageWithClassHeaders(message, INDEX_ON_FIELD, null, entry.getKey());
serializer.addToMessageWithClassHeaders(
message, OVERNIGHT_CURVE_FIELD, null, entry.getValue());
}
serializer.addToMessageWithClassHeaders(message, FX_MATRIX_FIELD, null, object.getFxRates());
}
@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++;
}