/**
* Calculates all relevant PV01s of instruments using curves constructed using the discounting
* method.
*/
public class DiscountingAllPV01Function extends DiscountingFunction {
/** The PV01 calculator */
private static final InstrumentDerivativeVisitor<
ParameterProviderInterface, ReferenceAmount<Pair<String, Currency>>>
CALCULATOR =
new PV01CurveParametersCalculator<>(
PresentValueCurveSensitivityDiscountingCalculator.getInstance());
/** Sets the value requirements to {@link ValueRequirementNames#ALL_PV01S} */
public DiscountingAllPV01Function() {
super(ALL_PV01S);
}
@Override
public CompiledFunctionDefinition compile(
final FunctionCompilationContext context, final Instant atInstant) {
return new DiscountingCompiledFunction(
getTargetToDefinitionConverter(context),
getDefinitionToDerivativeConverter(context),
false) {
@SuppressWarnings("synthetic-access")
@Override
protected Set<ComputedValue> getValues(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues,
final InstrumentDerivative derivative,
final FXMatrix fxMatrix) {
final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final ReferenceAmount<Pair<String, Currency>> pv01s = derivative.accept(CALCULATOR, data);
final ValueSpecification spec =
new ValueSpecification(
ALL_PV01S, target.toSpecification(), desiredValue.getConstraints().copy().get());
return Collections.singleton(new ComputedValue(spec, pv01s.getMap()));
}
};
}
}
/** Tests related to the pricing of physical delivery swaption in Hull-White one factor model. */
public class SwaptionPhysicalFixedIborHullWhiteMethodTest {
private static final MulticurveProviderDiscount MULTICURVES =
MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final IborIndex EURIBOR6M =
MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd()[1];
private static final Currency EUR = EURIBOR6M.getCurrency();
private static final Calendar CALENDAR = MulticurveProviderDiscountDataSets.getEURCalendar();
private static final HullWhiteOneFactorPiecewiseConstantParameters HW_PARAMETERS =
HullWhiteDataSets.createHullWhiteParameters();
private static final HullWhiteOneFactorProviderDiscount HW_MULTICURVES =
new HullWhiteOneFactorProviderDiscount(MULTICURVES, HW_PARAMETERS, EUR);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 7, 7);
// Swaption 5Yx5Y
private static final int SPOT_LAG = EURIBOR6M.getSpotLag();
private static final int SWAP_TENOR_YEAR = 5;
private static final Period SWAP_TENOR = Period.ofYears(SWAP_TENOR_YEAR);
private static final GeneratorSwapFixedIbor EUR1YEURIBOR6M =
GeneratorSwapFixedIborMaster.getInstance().getGenerator("EUR1YEURIBOR6M", CALENDAR);
private static final ZonedDateTime EXPIRY_DATE = DateUtils.getUTCDate(2016, 7, 7);
private static final boolean IS_LONG = true;
private static final ZonedDateTime SETTLEMENT_DATE =
ScheduleCalculator.getAdjustedDate(EXPIRY_DATE, SPOT_LAG, CALENDAR);
private static final double NOTIONAL = 100000000; // 100m
private static final double RATE = 0.0175;
private static final boolean FIXED_IS_PAYER = true;
private static final SwapFixedIborDefinition SWAP_PAYER_DEFINITION =
SwapFixedIborDefinition.from(
SETTLEMENT_DATE, SWAP_TENOR, EUR1YEURIBOR6M, NOTIONAL, RATE, FIXED_IS_PAYER);
private static final SwapFixedIborDefinition SWAP_RECEIVER_DEFINITION =
SwapFixedIborDefinition.from(
SETTLEMENT_DATE, SWAP_TENOR, EUR1YEURIBOR6M, NOTIONAL, RATE, !FIXED_IS_PAYER);
private static final SwaptionPhysicalFixedIborDefinition SWAPTION_LONG_PAYER_DEFINITION =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, SWAP_PAYER_DEFINITION, IS_LONG);
private static final SwaptionPhysicalFixedIborDefinition SWAPTION_LONG_RECEIVER_DEFINITION =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, SWAP_RECEIVER_DEFINITION, IS_LONG);
private static final SwaptionPhysicalFixedIborDefinition SWAPTION_SHORT_PAYER_DEFINITION =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, SWAP_PAYER_DEFINITION, !IS_LONG);
private static final SwaptionPhysicalFixedIborDefinition SWAPTION_SHORT_RECEIVER_DEFINITION =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, SWAP_RECEIVER_DEFINITION, !IS_LONG);
private static final SwapFixedCoupon<Coupon> SWAP_RECEIVER =
SWAP_RECEIVER_DEFINITION.toDerivative(REFERENCE_DATE);
private static final SwaptionPhysicalFixedIbor SWAPTION_LONG_PAYER =
SWAPTION_LONG_PAYER_DEFINITION.toDerivative(REFERENCE_DATE);
private static final SwaptionPhysicalFixedIbor SWAPTION_LONG_RECEIVER =
SWAPTION_LONG_RECEIVER_DEFINITION.toDerivative(REFERENCE_DATE);
private static final SwaptionPhysicalFixedIbor SWAPTION_SHORT_PAYER =
SWAPTION_SHORT_PAYER_DEFINITION.toDerivative(REFERENCE_DATE);
private static final SwaptionPhysicalFixedIbor SWAPTION_SHORT_RECEIVER =
SWAPTION_SHORT_RECEIVER_DEFINITION.toDerivative(REFERENCE_DATE);
// Calculator
private static final SwaptionPhysicalFixedIborHullWhiteMethod METHOD_HW =
SwaptionPhysicalFixedIborHullWhiteMethod.getInstance();
private static final SwapFixedCouponDiscountingMethod METHOD_SWAP =
SwapFixedCouponDiscountingMethod.getInstance();
private static final CashFlowEquivalentCalculator CFEC =
CashFlowEquivalentCalculator.getInstance();
private static final ParRateDiscountingCalculator PRDC =
ParRateDiscountingCalculator.getInstance();
private static final PresentValueDiscountingCalculator PVDC =
PresentValueDiscountingCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingCalculator PVCSDC =
PresentValueCurveSensitivityDiscountingCalculator.getInstance();
private static final PresentValueHullWhiteCalculator PVHWC =
PresentValueHullWhiteCalculator.getInstance();
private static final PresentValueCurveSensitivityHullWhiteCalculator PVCSHWC =
PresentValueCurveSensitivityHullWhiteCalculator.getInstance();
private static final double SHIFT = 1.0E-6;
private static final ParameterSensitivityParameterCalculator<HullWhiteOneFactorProviderInterface>
PS_HW_C = new ParameterSensitivityParameterCalculator<>(PVCSHWC);
private static final ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator PS_HW_FDC =
new ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator(PVHWC, SHIFT);
private static final SwaptionPhysicalFixedIborHullWhiteNumericalIntegrationMethod
METHOD_HW_INTEGRATION =
SwaptionPhysicalFixedIborHullWhiteNumericalIntegrationMethod.getInstance();
private static final SwaptionPhysicalFixedIborHullWhiteApproximationMethod
METHOD_HW_APPROXIMATION = SwaptionPhysicalFixedIborHullWhiteApproximationMethod.getInstance();
private static final int NB_PATH = 12500;
private static final HullWhiteMonteCarloMethod METHOD_HW_MONTECARLO =
new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0), NB_PATH);
private static final HullWhiteOneFactorPiecewiseConstantInterestRateModel MODEL =
new HullWhiteOneFactorPiecewiseConstantInterestRateModel();
private static final ProbabilityDistribution<Double> NORMAL = new NormalDistribution(0, 1);
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA =
1.0E+0; // Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move.
@Test
/** Test the present value. */
public void presentValueExplicit() {
final MultipleCurrencyAmount pv = METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final double timeToExpiry = SWAPTION_LONG_PAYER.getTimeToExpiry();
final AnnuityPaymentFixed cfe =
CFEC.visitSwap(SWAPTION_LONG_PAYER.getUnderlyingSwap(), MULTICURVES);
final int numberOfPayments = cfe.getNumberOfPayments();
final double alpha[] = new double[numberOfPayments];
final double disccf[] = new double[numberOfPayments];
for (int loopcf = 0; loopcf < numberOfPayments; loopcf++) {
alpha[loopcf] =
MODEL.alpha(
HW_PARAMETERS,
0.0,
timeToExpiry,
timeToExpiry,
cfe.getNthPayment(loopcf).getPaymentTime());
disccf[loopcf] =
MULTICURVES.getDiscountFactor(EUR, cfe.getNthPayment(loopcf).getPaymentTime())
* cfe.getNthPayment(loopcf).getAmount();
}
final double kappa = MODEL.kappa(disccf, alpha);
double pvExpected = 0.0;
for (int loopcf = 0; loopcf < numberOfPayments; loopcf++) {
pvExpected += disccf[loopcf] * NORMAL.getCDF(-kappa - alpha[loopcf]);
}
assertEquals(
"Swaption physical - Hull-White - present value", pvExpected, pv.getAmount(EUR), 1E-2);
final MultipleCurrencyAmount pv2 =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, cfe, HW_MULTICURVES);
assertEquals("Swaption physical - Hull-White - present value", pv, pv2);
}
@Test
/** Tests long/short parity. */
public void longShortParityExplicit() {
final MultipleCurrencyAmount pvLong =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvShort =
METHOD_HW.presentValue(SWAPTION_SHORT_PAYER, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - long/short parity",
pvLong.getAmount(EUR),
-pvShort.getAmount(EUR),
TOLERANCE_PV);
}
@Test
/** Tests payer/receiver/swap parity. */
public void payerReceiverParityExplicit() {
final MultipleCurrencyAmount pvReceiverLong =
METHOD_HW.presentValue(SWAPTION_LONG_RECEIVER, HW_MULTICURVES);
final MultipleCurrencyAmount pvPayerShort =
METHOD_HW.presentValue(SWAPTION_SHORT_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvSwap = SWAP_RECEIVER.accept(PVDC, MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - payer/receiver/swap parity",
pvReceiverLong.getAmount(EUR) + pvPayerShort.getAmount(EUR),
pvSwap.getAmount(EUR),
TOLERANCE_PV);
}
@Test
/** Tests the method against the present value calculator. */
public void presentValueMethodVsCalculator() {
final MultipleCurrencyAmount pvMethod =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvCalculator = SWAPTION_LONG_PAYER.accept(PVHWC, HW_MULTICURVES);
assertEquals(
"SwaptionPhysicalFixedIborSABRMethod: present value : method and calculator",
pvMethod,
pvCalculator);
}
@Test
/** Compare explicit formula with numerical integration. */
public void presentValueNumericalIntegration() {
final MultipleCurrencyAmount pvPayerLongExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvPayerLongIntegration =
METHOD_HW_INTEGRATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - explicit/numerical integration",
pvPayerLongExplicit.getAmount(EUR),
pvPayerLongIntegration.getAmount(EUR),
TOLERANCE_PV);
final MultipleCurrencyAmount pvPayerShortExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvPayerShortIntegration =
METHOD_HW_INTEGRATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - explicit/numerical integration",
pvPayerShortExplicit.getAmount(EUR),
pvPayerShortIntegration.getAmount(EUR),
TOLERANCE_PV);
final MultipleCurrencyAmount pvReceiverLongExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvReceiverLongIntegration =
METHOD_HW_INTEGRATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - explicit/numerical integration",
pvReceiverLongExplicit.getAmount(EUR),
pvReceiverLongIntegration.getAmount(EUR),
TOLERANCE_PV);
final MultipleCurrencyAmount pvReceiverShortExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvReceiverShortIntegration =
METHOD_HW_INTEGRATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - explicit/numerical integration",
pvReceiverShortExplicit.getAmount(EUR),
pvReceiverShortIntegration.getAmount(EUR),
TOLERANCE_PV);
}
@Test
/** Compare explicit formula with approximated formula. */
public void presentValueApproximation() {
final BlackImpliedVolatilityFormula implied = new BlackImpliedVolatilityFormula();
final double forward =
SWAPTION_LONG_PAYER
.getUnderlyingSwap()
.accept(ParRateDiscountingCalculator.getInstance(), MULTICURVES);
final double pvbp =
METHOD_SWAP.presentValueBasisPoint(SWAPTION_LONG_PAYER.getUnderlyingSwap(), MULTICURVES);
final MultipleCurrencyAmount pvPayerLongExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvPayerLongApproximation =
METHOD_HW_APPROXIMATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final BlackFunctionData data = new BlackFunctionData(forward, pvbp, 0.20);
final double volExplicit =
implied.getImpliedVolatility(data, SWAPTION_LONG_PAYER, pvPayerLongExplicit.getAmount(EUR));
final double volApprox =
implied.getImpliedVolatility(
data, SWAPTION_LONG_PAYER, pvPayerLongApproximation.getAmount(EUR));
assertEquals(
"Swaption physical - Hull-White - present value - explicit/approximation",
pvPayerLongExplicit.getAmount(EUR),
pvPayerLongApproximation.getAmount(EUR),
5.0E+2);
assertEquals(
"Swaption physical - Hull-White - present value - explicit/approximation",
volExplicit,
volApprox,
2.5E-4); // 0.025%
final MultipleCurrencyAmount pvReceiverLongExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvReceiverLongApproximation =
METHOD_HW_APPROXIMATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - present value - explicit/numerical integration",
pvReceiverLongExplicit.getAmount(EUR),
pvReceiverLongApproximation.getAmount(EUR),
5.0E+2);
}
@Test
/** Approximation analysis. */
public void presentValueApproximationAnalysis() {
final NormalImpliedVolatilityFormula implied = new NormalImpliedVolatilityFormula();
final int nbStrike = 20;
final double[] pvExplicit = new double[nbStrike + 1];
final double[] pvApproximation = new double[nbStrike + 1];
final double[] strike = new double[nbStrike + 1];
final double[] volExplicit = new double[nbStrike + 1];
final double[] volApprox = new double[nbStrike + 1];
final double strikeRange = 0.010;
final SwapFixedCoupon<Coupon> swap = SWAP_PAYER_DEFINITION.toDerivative(REFERENCE_DATE);
final double forward = swap.accept(PRDC, MULTICURVES);
final double pvbp = METHOD_SWAP.presentValueBasisPoint(swap, MULTICURVES);
for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
strike[loopstrike] =
forward
- strikeRange
+ 3
* strikeRange
* loopstrike
/ nbStrike; // From forward-strikeRange to forward+2*strikeRange
final SwapFixedIborDefinition swapDefinition =
SwapFixedIborDefinition.from(
SETTLEMENT_DATE,
SWAP_TENOR,
EUR1YEURIBOR6M,
NOTIONAL,
strike[loopstrike],
FIXED_IS_PAYER);
final SwaptionPhysicalFixedIborDefinition swaptionDefinition =
SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinition, IS_LONG);
final SwaptionPhysicalFixedIbor swaption = swaptionDefinition.toDerivative(REFERENCE_DATE);
pvExplicit[loopstrike] = METHOD_HW.presentValue(swaption, HW_MULTICURVES).getAmount(EUR);
pvApproximation[loopstrike] =
METHOD_HW_APPROXIMATION.presentValue(swaption, HW_MULTICURVES).getAmount(EUR);
final NormalFunctionData data = new NormalFunctionData(forward, pvbp, 0.01);
volExplicit[loopstrike] =
implied.getImpliedVolatility(data, swaption, pvExplicit[loopstrike]);
volApprox[loopstrike] =
implied.getImpliedVolatility(data, swaption, pvApproximation[loopstrike]);
assertEquals(
"Swaption physical - Hull-White - implied volatility - explicit/approximation",
volExplicit[loopstrike],
volApprox[loopstrike],
1.0E-3); // 0.10%
}
}
@Test(enabled = true)
/** Compare explicit formula with Monte-Carlo and long/short and payer/receiver parities. */
public void presentValueMonteCarlo() {
HullWhiteMonteCarloMethod methodMC;
methodMC =
new HullWhiteMonteCarloMethod(
new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
// Seed fixed to the DEFAULT_SEED for testing purposes.
final MultipleCurrencyAmount pvPayerLongExplicit =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyAmount pvPayerLongMC =
methodMC.presentValue(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - Monte Carlo",
pvPayerLongExplicit.getAmount(EUR),
pvPayerLongMC.getAmount(EUR),
1.0E+4);
final double pvMCPreviousRun = 4221400.891;
assertEquals(
"Swaption physical - Hull-White - Monte Carlo",
pvMCPreviousRun,
pvPayerLongMC.getAmount(EUR),
TOLERANCE_PV);
methodMC =
new HullWhiteMonteCarloMethod(
new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
final MultipleCurrencyAmount pvPayerShortMC =
methodMC.presentValue(SWAPTION_SHORT_PAYER, EUR, HW_MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - Monte Carlo",
-pvPayerLongMC.getAmount(EUR),
pvPayerShortMC.getAmount(EUR),
TOLERANCE_PV);
final MultipleCurrencyAmount pvReceiverLongMC =
methodMC.presentValue(SWAPTION_LONG_RECEIVER, EUR, HW_MULTICURVES);
final MultipleCurrencyAmount pvSwap = SWAP_RECEIVER.accept(PVDC, MULTICURVES);
assertEquals(
"Swaption physical - Hull-White - Monte Carlo - payer/receiver/swap parity",
pvReceiverLongMC.getAmount(EUR) + pvPayerShortMC.getAmount(EUR),
pvSwap.getAmount(EUR),
1.0E+5);
}
@Test
/** Tests the Hull-White parameters sensitivity for the explicit formula. */
public void presentValueHullWhiteSensitivityExplicit() {
final double[] hwSensitivity =
METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final int nbVolatility = HW_PARAMETERS.getVolatility().length;
final double shiftVol = 1.0E-6;
final double[] volatilityBumped = new double[nbVolatility];
System.arraycopy(HW_PARAMETERS.getVolatility(), 0, volatilityBumped, 0, nbVolatility);
final double[] volatilityTime = new double[nbVolatility - 1];
System.arraycopy(HW_PARAMETERS.getVolatilityTime(), 1, volatilityTime, 0, nbVolatility - 1);
final double[] pvBumpedPlus = new double[nbVolatility];
final double[] pvBumpedMinus = new double[nbVolatility];
final HullWhiteOneFactorPiecewiseConstantParameters parametersBumped =
new HullWhiteOneFactorPiecewiseConstantParameters(
HW_PARAMETERS.getMeanReversion(), volatilityBumped, volatilityTime);
final HullWhiteOneFactorProviderDiscount bundleBumped =
new HullWhiteOneFactorProviderDiscount(MULTICURVES, parametersBumped, EUR);
for (int loopvol = 0; loopvol < nbVolatility; loopvol++) {
volatilityBumped[loopvol] += shiftVol;
parametersBumped.setVolatility(volatilityBumped);
pvBumpedPlus[loopvol] =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, bundleBumped).getAmount(EUR);
volatilityBumped[loopvol] -= 2 * shiftVol;
parametersBumped.setVolatility(volatilityBumped);
pvBumpedMinus[loopvol] =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, bundleBumped).getAmount(EUR);
assertEquals(
"Swaption - Hull-White sensitivity adjoint: derivative "
+ loopvol
+ " - difference:"
+ ((pvBumpedPlus[loopvol] - pvBumpedMinus[loopvol]) / (2 * shiftVol)
- hwSensitivity[loopvol]),
(pvBumpedPlus[loopvol] - pvBumpedMinus[loopvol]) / (2 * shiftVol),
hwSensitivity[loopvol],
TOLERANCE_PV_DELTA);
volatilityBumped[loopvol] = HW_PARAMETERS.getVolatility()[loopvol];
}
}
@Test
/** Tests long/short parity. */
public void presentValueHullWhiteSensitivitylongShortParityExplicit() {
final double[] pvhwsLong =
METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final double[] pvhwsShort =
METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_SHORT_PAYER, HW_MULTICURVES);
for (int loophw = 0; loophw < pvhwsLong.length; loophw++) {
assertEquals(
"Swaption physical - Hull-White - presentValueHullWhiteSensitivity - long/short parity",
pvhwsLong[loophw],
-pvhwsShort[loophw],
TOLERANCE_PV_DELTA);
}
}
@Test
/** Tests payer/receiver/swap parity. */
public void presentValueHullWhiteSensitivitypayerReceiverParityExplicit() {
final double[] pvhwsReceiverLong =
METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_RECEIVER, HW_MULTICURVES);
final double[] pvhwsPayerShort =
METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_SHORT_PAYER, HW_MULTICURVES);
for (int loophw = 0; loophw < pvhwsReceiverLong.length; loophw++) {
assertEquals(
"Swaption physical - Hull-White - present value - payer/receiver/swap parity",
0,
pvhwsReceiverLong[loophw] + pvhwsPayerShort[loophw],
TOLERANCE_PV_DELTA);
}
}
@Test
/** Tests present value curve sensitivity when the valuation date is on trade date. */
public void presentValueCurveSensitivity() {
final MultipleCurrencyParameterSensitivity pvpsExact =
PS_HW_C.calculateSensitivity(
SWAPTION_SHORT_RECEIVER,
HW_MULTICURVES,
HW_MULTICURVES.getMulticurveProvider().getAllNames());
final MultipleCurrencyParameterSensitivity pvpsFD =
PS_HW_FDC.calculateSensitivity(SWAPTION_SHORT_RECEIVER, HW_MULTICURVES);
AssertSensivityObjects.assertEquals(
"SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ",
pvpsExact,
pvpsFD,
TOLERANCE_PV_DELTA);
}
@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++;
}
@Test
/** Tests long/short parity. */
public void presentValueCurveSensitivityLongShortParityExplicit() {
final MultipleCurrencyMulticurveSensitivity pvhwsLong =
METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvhwsShort =
METHOD_HW.presentValueCurveSensitivity(SWAPTION_SHORT_PAYER, HW_MULTICURVES);
AssertSensivityObjects.assertEquals(
"Swaption physical - Hull-White - presentValueCurveSensitivity - long/short parity",
pvhwsLong,
pvhwsShort.multipliedBy(-1.0),
TOLERANCE_PV_DELTA);
}
@Test
/** Tests payer/receiver/swap parity. */
public void presentValueCurveSensitivityPayerReceiverParityExplicit() {
final MultipleCurrencyMulticurveSensitivity pvhwsReceiverLong =
METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_RECEIVER, HW_MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvhwsPayerShort =
METHOD_HW.presentValueCurveSensitivity(SWAPTION_SHORT_PAYER, HW_MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvSwap = SWAP_RECEIVER.accept(PVCSDC, MULTICURVES);
AssertSensivityObjects.assertEquals(
"Swaption physical - Hull-White - presentValueCurveSensitivity - payer/receiver/swap parity",
pvSwap.cleaned(TOLERANCE_PV_DELTA),
pvhwsReceiverLong.plus(pvhwsPayerShort).cleaned(TOLERANCE_PV_DELTA),
TOLERANCE_PV_DELTA);
}
@Test
/** Tests the curve sensitivity in Monte Carlo approach. */
public void presentValueCurveSensitivityMonteCarlo() {
final double toleranceDelta = 1.0E+6; // 100 USD by bp
final MultipleCurrencyMulticurveSensitivity pvcsExplicit =
METHOD_HW
.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES)
.cleaned(TOLERANCE_PV_DELTA);
final HullWhiteMonteCarloMethod methodMC =
new HullWhiteMonteCarloMethod(
new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
final MultipleCurrencyMulticurveSensitivity pvcsMC =
methodMC
.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES)
.cleaned(TOLERANCE_PV_DELTA);
AssertSensivityObjects.assertEquals(
"Swaption physical - Hull-White - presentValueCurveSensitivity - payer/receiver/swap parity",
pvcsExplicit,
pvcsMC,
toleranceDelta);
}
@Test(enabled = false)
/** Tests of performance. "enabled = false" for the standard testing. */
public void performance() {
long startTime, endTime;
final int nbTest = 1000;
MultipleCurrencyAmount pvPayerLongExplicit = MultipleCurrencyAmount.of(EUR, 0.0);
MultipleCurrencyAmount pvPayerLongIntegration = MultipleCurrencyAmount.of(EUR, 0.0);
MultipleCurrencyAmount pvPayerLongApproximation = MultipleCurrencyAmount.of(EUR, 0.0);
@SuppressWarnings("unused")
MultipleCurrencyAmount pvPayerLongMC = MultipleCurrencyAmount.of(EUR, 0.0);
double[] pvhws =
METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
MultipleCurrencyMulticurveSensitivity pvcs =
METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvPayerLongExplicit = METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest + " pv swaption Hull-White explicit method: " + (endTime - startTime) + " ms");
// Performance note: HW price: 19-Nov-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 380 ms for
// 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvhws = METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " HW sensitivity swaption Hull-White explicit method: "
+ (endTime - startTime)
+ " ms");
// Performance note: HW sensitivity (3): 19-Nov-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon:
// 430 ms for 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvcs = METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " curve sensitivity swaption Hull-White explicit method: "
+ (endTime - startTime)
+ " ms");
// Performance note: curve sensitivity (40): 19-Nov-2012: On Mac Pro 3.2 GHz Quad-Core Intel
// Xeon: 855 ms for 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvhws = METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
pvcs = METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
pvhws = METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " price/delta/vega swaption Hull-White explicit method: "
+ (endTime - startTime)
+ " ms");
// Performance note: present value/delta/vega: 19-Nov-2012: On Mac Pro 3.2 GHz Quad-Core Intel
// Xeon: 1730 ms for 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvPayerLongIntegration =
METHOD_HW_INTEGRATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " swaption Hull-White numerical integration method: "
+ (endTime - startTime)
+ " ms");
// Performance note: HW numerical integration: 19-Nov-2012: On Mac Pro 3.2 GHz Quad-Core Intel
// Xeon: 1700 ms for 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvPayerLongApproximation =
METHOD_HW_APPROXIMATION.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest + " swaption Hull-White approximation method: " + (endTime - startTime) + " ms");
// Performance note: HW approximation: 19-Nov-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 250
// ms for 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvPayerLongMC = METHOD_HW_MONTECARLO.presentValue(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " swaption Hull-White Monte Carlo method ("
+ NB_PATH
+ " paths): "
+ (endTime - startTime)
+ " ms");
// Performance note: HW approximation: 18-Aug-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 9200
// ms for 1000 swaptions (12500 paths).
final double difference =
pvPayerLongExplicit.getAmount(EUR) - pvPayerLongIntegration.getAmount(EUR);
final double difference2 =
pvPayerLongExplicit.getAmount(EUR) - pvPayerLongApproximation.getAmount(EUR);
// double difference3 = pvPayerLongExplicit.getAmount(CUR) - pvPayerLongMC.getAmount(CUR);
System.out.println("Difference explicit-integration: " + difference);
System.out.println("Difference explicit-approximation: " + difference2);
// System.out.println("Difference explicit-Monte Carlo: " + difference3);
System.out.println("Curve sensitivity: " + pvcs.toString());
System.out.println("HW sensitivity: " + Arrays.toString(pvhws));
}
@Test(enabled = false)
/** Tests of performance. "enabled = false" for the standard testing. */
public void performanceCurveSensitivity() {
long startTime, endTime;
final int nbTest = 25;
MultipleCurrencyAmount pvMC = MultipleCurrencyAmount.of(EUR, 0.0);
final MultipleCurrencyMulticurveSensitivity pvcsExplicit =
METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
MultipleCurrencyMulticurveSensitivity pvcsMC = pvcsExplicit;
final HullWhiteMonteCarloMethod methodMC =
new HullWhiteMonteCarloMethod(
new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvMC = METHOD_HW_MONTECARLO.presentValue(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " swaption Hull-White Monte Carlo method ("
+ NB_PATH
+ " paths): "
+ (endTime - startTime)
+ " ms / price:"
+ pvMC.toString());
// Performance note: HW approximation: 03-Dec-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 250
// ms for 25 swaptions (12500 paths).
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvcsMC = methodMC.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " curve sensitivity swaption Hull-White MC method: ("
+ NB_PATH
+ " paths) "
+ (endTime - startTime)
+ " ms / risk:"
+ pvcsMC.toString());
// Performance note: curve sensitivity (40): 03-Dec-2012: On Mac Pro 3.2 GHz Quad-Core Intel
// Xeon: 600 ms for 25 swaptions (12500 paths).
}
}
/**
* Tests related to the pricing methods for Ibor coupon in the discounting method with data in
* MarketBundle.
*/
public class CouponIborDiscountingProviderMethodTest {
private static final MulticurveProviderDiscount MULTICURVES =
MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final IborIndex[] IBOR_INDEXES =
MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd();
private static final IborIndex EURIBOR3M = IBOR_INDEXES[0];
private static final Currency EUR = EURIBOR3M.getCurrency();
private static final Calendar CALENDAR = MulticurveProviderDiscountDataSets.getEURCalendar();
private static final DayCount DAY_COUNT_COUPON =
DayCountFactory.INSTANCE.getDayCount("Actual/365");
private static final ZonedDateTime ACCRUAL_START_DATE = DateUtils.getUTCDate(2011, 5, 23);
private static final ZonedDateTime ACCRUAL_END_DATE = DateUtils.getUTCDate(2011, 8, 22);
private static final double ACCRUAL_FACTOR =
DAY_COUNT_COUPON.getDayCountFraction(ACCRUAL_START_DATE, ACCRUAL_END_DATE);
private static final double NOTIONAL = 1000000; // 1m
private static final CouponIborDefinition CPN_IBOR_DEFINITION =
CouponIborDefinition.from(
ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, EURIBOR3M, CALENDAR);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 12, 27);
private static final CouponIbor CPN_IBOR =
(CouponIbor) CPN_IBOR_DEFINITION.toDerivative(REFERENCE_DATE);
private static final CouponIborDiscountingMethod METHOD_CPN_IBOR =
CouponIborDiscountingMethod.getInstance();
private static final PresentValueDiscountingCalculator PVDC =
PresentValueDiscountingCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingCalculator PVCSDC =
PresentValueCurveSensitivityDiscountingCalculator.getInstance();
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA = 1.0E+2;
@Test
public void presentValueMarketDiscount() {
final MultipleCurrencyAmount pvComputed = METHOD_CPN_IBOR.presentValue(CPN_IBOR, MULTICURVES);
final double forward =
MULTICURVES.getForwardRate(
EURIBOR3M,
CPN_IBOR.getFixingPeriodStartTime(),
CPN_IBOR.getFixingPeriodEndTime(),
CPN_IBOR.getFixingAccrualFactor());
final double df =
MULTICURVES.getDiscountFactor(EURIBOR3M.getCurrency(), CPN_IBOR.getPaymentTime());
final double pvExpected = NOTIONAL * ACCRUAL_FACTOR * forward * df;
assertEquals(
"CouponIborDiscountingMarketMethod: present value",
pvExpected,
pvComputed.getAmount(EURIBOR3M.getCurrency()),
TOLERANCE_PV);
}
@Test
public void presentValueMethodVsCalculator() {
final MultipleCurrencyAmount pvMethod = METHOD_CPN_IBOR.presentValue(CPN_IBOR, MULTICURVES);
final MultipleCurrencyAmount pvCalculator = CPN_IBOR.accept(PVDC, MULTICURVES);
assertEquals(
"CouponFixedDiscountingMarketMethod: present value",
pvMethod.getAmount(EUR),
pvCalculator.getAmount(EUR),
TOLERANCE_PV);
}
// Testing note: the presentValueMarketSensitivity is tested in
// ParameterSensitivityProviderCalculatorTest
@Test
public void presentValueMarketSensitivityMethodVsCalculator() {
final MultipleCurrencyMulticurveSensitivity pvcsMethod =
METHOD_CPN_IBOR.presentValueCurveSensitivity(CPN_IBOR, MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvcsCalculator =
CPN_IBOR.accept(PVCSDC, MULTICURVES);
AssertSensivityObjects.assertEquals(
"CouponFixedDiscountingMarketMethod: presentValueMarketSensitivity",
pvcsMethod,
pvcsCalculator,
TOLERANCE_PV_DELTA);
}
}
/** Test the swaps with multiple legs present value and related figures. */
@Test(groups = TestGroup.UNIT)
public class SwapMultilegCalculatorTest {
private static final MulticurveProviderDiscount MULTICURVES =
MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final Calendar TARGET = new MondayToFridayCalendar("TRAGET");
private static final IndexIborMaster INDEX_MASTER = IndexIborMaster.getInstance();
private static final IborIndex EURIBOR3M = INDEX_MASTER.getIndex("EURIBOR3M");
private static final IborIndex EURIBOR6M = INDEX_MASTER.getIndex("EURIBOR6M");
private static final GeneratorSwapFixedIborMaster SWAP_MASTER =
GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedIbor EUR1YEURIBOR6M =
SWAP_MASTER.getGenerator("EUR1YEURIBOR6M", TARGET);
private static final Period ANNUITY_TENOR = Period.ofYears(2);
private static final Currency EUR = EURIBOR3M.getCurrency();
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2013, 3, 20);
private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2013, 10, 16);
private static final double NOTIONAL = 100000000; // 100 m
private static final double SPREAD = 0.0010; // 10 bps
private static final StubType STUB = StubType.SHORT_START;
// Swap represeting a EUR basis swap: 1 spread leg and 2 Euribor leg.
private static final boolean IS_PAYER_SPREAD = true;
private static final ZonedDateTime MATURITY_DATE = SETTLEMENT_DATE.plus(ANNUITY_TENOR);
private static final int NB_LEGS = 3;
@SuppressWarnings("rawtypes")
private static final AnnuityDefinition[] LEGS_DEFINITION = new AnnuityDefinition[NB_LEGS];
static {
LEGS_DEFINITION[0] =
AnnuityDefinitionBuilder.couponFixed(
EUR,
SETTLEMENT_DATE,
MATURITY_DATE,
EUR1YEURIBOR6M.getFixedLegPeriod(),
TARGET,
EUR1YEURIBOR6M.getFixedLegDayCount(),
EUR1YEURIBOR6M.getBusinessDayConvention(),
EUR1YEURIBOR6M.isEndOfMonth(),
NOTIONAL,
SPREAD,
IS_PAYER_SPREAD,
STUB,
0);
LEGS_DEFINITION[1] =
AnnuityDefinitionBuilder.couponIbor(
SETTLEMENT_DATE,
MATURITY_DATE,
EURIBOR3M.getTenor(),
NOTIONAL,
EURIBOR3M,
IS_PAYER_SPREAD,
EURIBOR3M.getDayCount(),
EURIBOR3M.getBusinessDayConvention(),
EURIBOR3M.isEndOfMonth(),
TARGET,
STUB,
0);
LEGS_DEFINITION[2] =
AnnuityDefinitionBuilder.couponIbor(
SETTLEMENT_DATE,
MATURITY_DATE,
EURIBOR6M.getTenor(),
NOTIONAL,
EURIBOR6M,
!IS_PAYER_SPREAD,
EURIBOR6M.getDayCount(),
EURIBOR6M.getBusinessDayConvention(),
EURIBOR6M.isEndOfMonth(),
TARGET,
STUB,
0);
}
@SuppressWarnings("unchecked")
private static final SwapMultilegDefinition SWAP_MULTI_LEG_DEFINITION =
new SwapMultilegDefinition(LEGS_DEFINITION);
private static final SwapMultileg SWAP_MULTI_LEG =
SWAP_MULTI_LEG_DEFINITION.toDerivative(REFERENCE_DATE);
private static final PresentValueDiscountingCalculator PVDC =
PresentValueDiscountingCalculator.getInstance();
private static final PresentValueCurveSensitivityDiscountingCalculator PVCSDC =
PresentValueCurveSensitivityDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteDiscountingCalculator PSMQDC =
ParSpreadMarketQuoteDiscountingCalculator.getInstance();
private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator PSMQCSDC =
ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance();
private static final PresentValueMarketQuoteSensitivityDiscountingCalculator PVMQSC =
PresentValueMarketQuoteSensitivityDiscountingCalculator.getInstance();
private static final PresentValueMarketQuoteSensitivityCurveSensitivityDiscountingCalculator
PVMQSCSC =
PresentValueMarketQuoteSensitivityCurveSensitivityDiscountingCalculator.getInstance();
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA = 1.0E-2;
private static final double TOLERANCE_RATE = 1.0E-8;
private static final double TOLERANCE_RATE_DELTA = 1.0E-8;
@Test
public void presentValueDiscountingCalculator() {
final MultipleCurrencyAmount pvSwap = SWAP_MULTI_LEG.accept(PVDC, MULTICURVES);
MultipleCurrencyAmount pvLegs = MultipleCurrencyAmount.of(EUR, 0.0);
for (int loopleg = 0; loopleg < NB_LEGS; loopleg++) {
pvLegs = pvLegs.plus(SWAP_MULTI_LEG.getLegs()[loopleg].accept(PVDC, MULTICURVES));
}
assertEquals(
"SwapMultileg: presentValueDiscountingCalculator",
pvSwap.getAmount(EUR),
pvLegs.getAmount(EUR),
TOLERANCE_PV);
}
@Test
public void presentValueCurveSensitivityDiscountingCalculator() {
final MultipleCurrencyMulticurveSensitivity pvcsSwap =
SWAP_MULTI_LEG.accept(PVCSDC, MULTICURVES);
MultipleCurrencyMulticurveSensitivity pvcsLegs =
SWAP_MULTI_LEG.getLegs()[0].accept(PVCSDC, MULTICURVES);
for (int loopleg = 1; loopleg < NB_LEGS; loopleg++) {
pvcsLegs = pvcsLegs.plus(SWAP_MULTI_LEG.getLegs()[loopleg].accept(PVCSDC, MULTICURVES));
}
AssertSensitivityObjects.assertEquals(
"SwapMultileg: presentValueCurveSensitivityDiscountingCalculator",
pvcsLegs,
pvcsSwap,
TOLERANCE_PV_DELTA);
}
@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);
}
}
/**
* Computes the price curve sensitivity for different types of futures. Calculator using a
* multi-curve provider.
*/
public final class FuturesPriceCurveSensitivityMulticurveCalculator
extends InstrumentDerivativeVisitorAdapter<ParameterProviderInterface, MulticurveSensitivity> {
/** The unique instance of the calculator. */
private static final FuturesPriceCurveSensitivityMulticurveCalculator INSTANCE =
new FuturesPriceCurveSensitivityMulticurveCalculator();
/**
* Gets the calculator instance.
*
* @return The calculator.
*/
public static FuturesPriceCurveSensitivityMulticurveCalculator getInstance() {
return INSTANCE;
}
/** Constructor. */
private FuturesPriceCurveSensitivityMulticurveCalculator() {}
/**
* Implementation note: The pricing of some futures is done by calling the
* PresentValueCurveSensitivityDiscountingCalculator on the underlying. The present value curve
* sensitivity calculator refers to the futures calculator, that creates a circular reference of
* static methods.
*/
private static final PresentValueCurveSensitivityDiscountingCalculator PVCSDC =
PresentValueCurveSensitivityDiscountingCalculator.getInstance();
// ----- Futures -----
@Override
public MulticurveSensitivity visitInterestRateFutureSecurity(
final InterestRateFutureSecurity futures, final ParameterProviderInterface multicurve) {
ArgChecker.notNull(futures, "Futures");
ArgChecker.notNull(multicurve, "Multi-curves provider");
final double priceBar = 1.0;
final double forwardBar = -priceBar;
final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
final List<ForwardSensitivity> listForward = new ArrayList<>();
listForward.add(
new SimplyCompoundedForwardSensitivity(
futures.getFixingPeriodStartTime(),
futures.getFixingPeriodEndTime(),
futures.getFixingPeriodAccrualFactor(),
forwardBar));
mapFwd.put(multicurve.getMulticurveProvider().getName(futures.getIborIndex()), listForward);
return MulticurveSensitivity.ofForward(mapFwd);
}
@Override
public MulticurveSensitivity visitFederalFundsFutureSecurity(
final FederalFundsFutureSecurity futures, final ParameterProviderInterface multicurve) {
ArgChecker.notNull(futures, "Futures");
ArgChecker.notNull(multicurve, "Multi-curves provider");
final IndexON index = futures.getIndex();
final int nbFixing = futures.getFixingPeriodAccrualFactor().length;
final double[] rates = new double[nbFixing];
for (int loopfix = 0; loopfix < nbFixing; loopfix++) {
rates[loopfix] =
multicurve
.getMulticurveProvider()
.getSimplyCompoundForwardRate(
index,
futures.getFixingPeriodTime()[loopfix],
futures.getFixingPeriodTime()[loopfix + 1],
futures.getFixingPeriodAccrualFactor()[loopfix]);
}
// Backward sweep
final double priceBar = 1.0;
final double interestBar = -1.0 / futures.getFixingTotalAccrualFactor() * priceBar;
final double[] ratesBar = new double[nbFixing];
for (int loopfix = 0; loopfix < nbFixing; loopfix++) {
ratesBar[loopfix] = futures.getFixingPeriodAccrualFactor()[loopfix] * interestBar;
}
final Map<String, List<ForwardSensitivity>> resultMap = new HashMap<>();
final List<ForwardSensitivity> listON = new ArrayList<>();
for (int loopfix = 0; loopfix < nbFixing; loopfix++) {
listON.add(
new SimplyCompoundedForwardSensitivity(
futures.getFixingPeriodTime()[loopfix],
futures.getFixingPeriodTime()[loopfix + 1],
futures.getFixingPeriodAccrualFactor()[loopfix],
ratesBar[loopfix]));
}
resultMap.put(multicurve.getMulticurveProvider().getName(index), listON);
return MulticurveSensitivity.ofForward(resultMap);
}
@Override
public MulticurveSensitivity visitSwapFuturesPriceDeliverableSecurity(
final SwapFuturesPriceDeliverableSecurity futures,
final ParameterProviderInterface multicurve) {
ArgChecker.notNull(futures, "futures");
ArgChecker.notNull(multicurve, "multi-curve provider");
double dfInv =
1.0
/ multicurve
.getMulticurveProvider()
.getDiscountFactor(futures.getCurrency(), futures.getDeliveryTime());
MulticurveSensitivity pvcs =
futures
.getUnderlyingSwap()
.accept(PVCSDC, multicurve.getMulticurveProvider())
.getSensitivity(futures.getCurrency())
.multipliedBy(dfInv);
final PresentValueDiscountingCalculator pvCalc =
PresentValueDiscountingCalculator.getInstance();
double pv =
futures
.getUnderlyingSwap()
.accept(pvCalc, multicurve.getMulticurveProvider())
.getAmount(futures.getCurrency())
.getAmount();
final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
final List<DoublesPair> listDf = new ArrayList<>();
listDf.add(DoublesPair.of(futures.getDeliveryTime(), futures.getDeliveryTime() * pv * dfInv));
resultMap.put(multicurve.getMulticurveProvider().getName(futures.getCurrency()), listDf);
MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
return result.plus(pvcs);
}
}
