@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); }
/** * Method to compute the price for an deliverable swap futures with convexity adjustment from a * Hull-White one factor model. * * <p>Reference: Henrard M., Deliverable Interest Rate Swap Futures: pricing in Gaussian HJM model, * September 2012. */ public final class SwapFuturesPriceDeliverableSecurityHullWhiteMethod extends FuturesSecurityHullWhiteMethod { /** The unique instance of the calculator. */ private static final SwapFuturesPriceDeliverableSecurityHullWhiteMethod INSTANCE = new SwapFuturesPriceDeliverableSecurityHullWhiteMethod(); /** Constructor. */ private SwapFuturesPriceDeliverableSecurityHullWhiteMethod() {} /** * Gets the calculator instance. * * @return The calculator. */ public static SwapFuturesPriceDeliverableSecurityHullWhiteMethod getInstance() { return INSTANCE; } /** The present value calculator by discounting. */ private static final PresentValueDiscountingCalculator PVDC = PresentValueDiscountingCalculator.getInstance(); /** * Returns the convexity adjustment, i.e. the difference between the adjusted price and the * present value of the underlying swap. * * @param futures The swap futures. * @param hwMulticurves The multi-curve and parameters provider. * @return The adjustment. */ public double convexityAdjustment( final SwapFuturesPriceDeliverableSecurity futures, final HullWhiteOneFactorProviderInterface hwMulticurves) { ArgChecker.notNull(futures, "swap futures"); ArgChecker.notNull(hwMulticurves, "parameter provider"); MultiCurrencyAmount pv = futures.getUnderlyingSwap().accept(PVDC, hwMulticurves.getMulticurveProvider()); double price = price(futures, hwMulticurves); return price - (1.0d + pv.getAmount(futures.getCurrency()).getAmount()); } }
/** 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). } }
/** 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); } }
/** * 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); } }
public class SwaptionPhysicalFixedIborBlackMethodTest { private static final MulticurveProviderDiscount MULTICURVES = MulticurveProviderDiscountDataSets.createMulticurveEurUsd(); private static final IborIndex EURIBOR6M = MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd()[1]; private static final Calendar CALENDAR = MulticurveProviderDiscountDataSets.getEURCalendar(); private static final Currency EUR = EURIBOR6M.getCurrency(); // Data private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2012, 1, 10); private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER = GeneratorSwapFixedIborMaster.getInstance(); private static final GeneratorSwapFixedIbor GENERATOR_EUR1YEURIBOR6M = GENERATOR_SWAP_MASTER.getGenerator("EUR1YEURIBOR6M", CALENDAR); private static final BlackFlatSwaptionParameters BLACK = BlackDataSets.createBlackSwaptionEUR6(); private static final BlackSwaptionFlatProviderDiscount BLACK_MULTICURVES = new BlackSwaptionFlatProviderDiscount(MULTICURVES, BLACK); // Swaption private static final Period EXPIRY_TENOR = Period.ofMonths(26); // To be between nodes. private static final ZonedDateTime EXPIRY_DATE = ScheduleCalculator.getAdjustedDate( REFERENCE_DATE, EXPIRY_TENOR, GENERATOR_EUR1YEURIBOR6M.getBusinessDayConvention(), CALENDAR, GENERATOR_EUR1YEURIBOR6M.isEndOfMonth()); private static final ZonedDateTime SETTLE_DATE = ScheduleCalculator.getAdjustedDate( EXPIRY_DATE, GENERATOR_EUR1YEURIBOR6M.getSpotLag(), CALENDAR); private static final int SWAP_TENOR_YEAR = 5; private static final Period SWAP_TENOR = Period.ofYears(SWAP_TENOR_YEAR); private static final double NOTIONAL = 123456789.0; private static final double RATE = 0.02; private static final SwapFixedIborDefinition SWAP_DEFINITION_REC = SwapFixedIborDefinition.from( SETTLE_DATE, SWAP_TENOR, GENERATOR_EUR1YEURIBOR6M, NOTIONAL, RATE, false); private static final SwaptionPhysicalFixedIborDefinition SWAPTION_DEFINITION_LONG_REC = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, SWAP_DEFINITION_REC, true); private static final SwaptionPhysicalFixedIbor SWAPTION_LONG_REC = SWAPTION_DEFINITION_LONG_REC.toDerivative(REFERENCE_DATE); // Method - calculator private static final double TOLERANCE_PV = 1.0E-2; private static final double TOLERANCE_PV_DELTA = 1.0E+2; // Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move. private static final SwaptionPhysicalFixedIborBlackMethod METHOD_BLACK = SwaptionPhysicalFixedIborBlackMethod.getInstance(); private static final SwapFixedCouponDiscountingMethod METHOD_SWAP = SwapFixedCouponDiscountingMethod.getInstance(); private static final ParRateDiscountingCalculator PRDC = ParRateDiscountingCalculator.getInstance(); private static final PresentValueDiscountingCalculator PVDC = PresentValueDiscountingCalculator.getInstance(); private static final PresentValueBlackSwaptionCalculator PVBSC = PresentValueBlackSwaptionCalculator.getInstance(); private static final PresentValueCurveSensitivityBlackSwaptionCalculator PVCSBSC = PresentValueCurveSensitivityBlackSwaptionCalculator.getInstance(); private static final PresentValueBlackSensitivityBlackSwaptionCalculator PVBSSBSC = PresentValueBlackSensitivityBlackSwaptionCalculator.getInstance(); private static final double SHIFT = 1.0E-6; private static final ParameterSensitivityParameterCalculator<BlackSwaptionFlatProviderInterface> PS_BS_C = new ParameterSensitivityParameterCalculator<>(PVCSBSC); private static final ParameterSensitivityBlackSwaptionDiscountInterpolatedFDCalculator PS_BS_FDC = new ParameterSensitivityBlackSwaptionDiscountInterpolatedFDCalculator(PVBSC, SHIFT); private static final BlackSwaptionSensitivityNodeCalculator BSSNC = new BlackSwaptionSensitivityNodeCalculator(); @Test public void presentValue() { final MultipleCurrencyAmount pvMethod = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, BLACK_MULTICURVES); final double forward = SWAPTION_LONG_REC.getUnderlyingSwap().accept(PRDC, MULTICURVES); final double pvbp = METHOD_SWAP.presentValueBasisPoint(SWAPTION_LONG_REC.getUnderlyingSwap(), MULTICURVES); final double volatility = BLACK.getVolatility( SWAPTION_LONG_REC.getTimeToExpiry(), SWAPTION_LONG_REC.getMaturityTime()); final BlackPriceFunction blackFunction = new BlackPriceFunction(); final BlackFunctionData dataBlack = new BlackFunctionData(forward, pvbp, volatility); final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(SWAPTION_LONG_REC); final double pvExpected = func.evaluate(dataBlack); assertEquals( "Swaption Black method: present value", pvExpected, pvMethod.getAmount(EUR), TOLERANCE_PV); } @Test /** Tests the payer/receiver parity for swaptions present value. */ public void presentValuePayerReceiverParity() { final SwapFixedIborDefinition swapDefinitionPay = SwapFixedIborDefinition.from( SETTLE_DATE, SWAP_TENOR, GENERATOR_EUR1YEURIBOR6M, NOTIONAL, RATE, true); final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayer = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPay, false); final SwaptionPhysicalFixedIbor swaptionShortPayer = swaptionDefinitionShortPayer.toDerivative(REFERENCE_DATE); final InstrumentDerivative swapRec = SWAP_DEFINITION_REC.toDerivative(REFERENCE_DATE); final MultipleCurrencyAmount pvLR = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, BLACK_MULTICURVES); final MultipleCurrencyAmount pvSP = METHOD_BLACK.presentValue(swaptionShortPayer, BLACK_MULTICURVES); final MultipleCurrencyAmount pvSwap = swapRec.accept(PVDC, MULTICURVES); assertEquals( "Swaption Black method: present value", pvSwap.getAmount(EUR), pvLR.getAmount(EUR) + pvSP.getAmount(EUR), TOLERANCE_PV); } @Test /** Compare the method figures to the Calculator figures. */ public void presentValueMethodVsCalculator() { final MultipleCurrencyAmount pvMethod = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, BLACK_MULTICURVES); final MultipleCurrencyAmount pvCalculator = SWAPTION_LONG_REC.accept(PVBSC, BLACK_MULTICURVES); assertEquals( "Swaption Black method: present value", pvCalculator.getAmount(EUR), pvMethod.getAmount(EUR), TOLERANCE_PV); } @Test /** Tests the curve sensitivity for the explicit formula. */ public void presentValueCurveSensitivity() { final MultipleCurrencyParameterSensitivity pvpsExact = PS_BS_C.calculateSensitivity( SWAPTION_LONG_REC, BLACK_MULTICURVES, BLACK_MULTICURVES.getMulticurveProvider().getAllNames()); final MultipleCurrencyParameterSensitivity pvpsFD = PS_BS_FDC.calculateSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES); AssertSensivityObjects.assertEquals( "Swaption Black method: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA); } @Test /** Compare the method figures to the Calculator figures. */ public void presentValueCurveSensitivityMethodVsCalculator() { final MultipleCurrencyMulticurveSensitivity pvcsMethod = METHOD_BLACK.presentValueCurveSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES); final MultipleCurrencyMulticurveSensitivity pvcsCalculator = SWAPTION_LONG_REC.accept(PVCSBSC, BLACK_MULTICURVES); AssertSensivityObjects.assertEquals( "Swaption Black method: present value", pvcsMethod, pvcsCalculator, TOLERANCE_PV_DELTA); } @Test /** Tests the Black volatility sensitivity (vega). */ public void presentValueBlackSensitivity() { final double shift = 1.0E-6; final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES); final BlackFlatSwaptionParameters BlackP = BlackDataSets.createBlackSwaptionEUR6Shift(shift); final BlackSwaptionFlatProviderDiscount curvesBlackP = new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackP); final MultipleCurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP); final BlackFlatSwaptionParameters BlackM = BlackDataSets.createBlackSwaptionEUR6Shift(-shift); final BlackSwaptionFlatProviderDiscount curvesBlackM = new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackM); final MultipleCurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM); final DoublesPair point = new DoublesPair(SWAPTION_LONG_REC.getTimeToExpiry(), SWAPTION_LONG_REC.getMaturityTime()); assertEquals( "Swaption Black method: present value volatility sensitivity", (pvP.getAmount(EUR) - pvM.getAmount(EUR)) / (2 * shift), pvbvs.getSensitivity().getMap().get(point), TOLERANCE_PV_DELTA); } @Test /** Tests the Black volatility sensitivity (vega). */ public void presentValueBlackSensitivityMethodVsCalculator() { final PresentValueBlackSwaptionSensitivity pvbsMethod = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES); final PresentValueBlackSwaptionSensitivity pvbsCalculator = SWAPTION_LONG_REC.accept(PVBSSBSC, BLACK_MULTICURVES); assertEquals("Swaption Black method: present value", pvbsMethod, pvbsCalculator); } @Test /** Tests the Black volatility sensitivity (vega). */ public void presentValueBlackNodeSensitivity() { final double shift = 1.0E-6; final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES); final PresentValueBlackSwaptionSensitivity pvbns = BSSNC.calculateNodeSensitivities(pvbvs, BLACK); final double[] x = ((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getXDataAsPrimitive(); final double[] y = ((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getYDataAsPrimitive(); for (int loopindex = 0; loopindex < x.length; loopindex++) { final BlackFlatSwaptionParameters BlackP = BlackDataSets.createBlackSwaptionEUR6Shift(loopindex, shift); final BlackSwaptionFlatProviderDiscount curvesBlackP = new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackP); final MultipleCurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP); final BlackFlatSwaptionParameters BlackM = BlackDataSets.createBlackSwaptionEUR6Shift(loopindex, -shift); final BlackSwaptionFlatProviderDiscount curvesBlackM = new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackM); final MultipleCurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM); assertEquals( "Swaption Black method: present value volatility sensitivity", (pvP.getAmount(EUR) - pvM.getAmount(EUR)) / (2 * shift), pvbns.getSensitivity().getMap().get(new DoublesPair(x[loopindex], y[loopindex])), TOLERANCE_PV_DELTA); } } }
/** Build of curve in several blocks with relevant Jacobian matrices. */ public class MulticurveBuildingDiscountingDiscountAUDTest { private static final Interpolator1D INTERPOLATOR_LINEAR = CombinedInterpolatorExtrapolatorFactory.getInterpolator( Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR, Interpolator1DFactory.FLAT_EXTRAPOLATOR); private static final LastTimeCalculator MATURITY_CALCULATOR = LastTimeCalculator.getInstance(); private static final double TOLERANCE_ROOT = 1.0E-10; private static final int STEP_MAX = 100; private static final Calendar SYD = new MondayToFridayCalendar("SYD"); private static final Currency AUD = Currency.AUD; private static final FXMatrix FX_MATRIX = new FXMatrix(AUD); private static final double NOTIONAL = 1.0; private static final GeneratorSwapFixedON GENERATOR_OIS_AUD = GeneratorSwapFixedONMaster.getInstance().getGenerator("AUD1YRBAON", SYD); private static final IndexON INDEX_ON_AUD = GENERATOR_OIS_AUD.getIndex(); private static final GeneratorDepositON GENERATOR_DEPOSIT_ON_AUD = new GeneratorDepositON("AUD Deposit ON", AUD, SYD, INDEX_ON_AUD.getDayCount()); private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER = GeneratorSwapFixedIborMaster.getInstance(); private static final GeneratorSwapIborIborMaster GENERATOR_BASIS_MASTER = GeneratorSwapIborIborMaster.getInstance(); private static final GeneratorSwapFixedIbor AUD3MBBSW3M = GENERATOR_SWAP_MASTER.getGenerator("AUD3MBBSW3M", SYD); private static final GeneratorSwapFixedIbor AUD6MBBSW6M = GENERATOR_SWAP_MASTER.getGenerator("AUD6MBBSW6M", SYD); private static final GeneratorSwapIborIbor AUDBBSW3MBBSW6M = GENERATOR_BASIS_MASTER.getGenerator("AUDBBSW3MBBSW6M", SYD); private static final IborIndex AUDBB3M = AUD3MBBSW3M.getIborIndex(); private static final IborIndex AUDBB6M = AUD6MBBSW6M.getIborIndex(); private static final GeneratorFRA GENERATOR_FRA_3M = new GeneratorFRA("GENERATOR_FRA_3M", AUDBB3M, SYD); private static final GeneratorDepositIbor GENERATOR_AUDBB3M = new GeneratorDepositIbor("GENERATOR_AUDBB3M", AUDBB3M, SYD); private static final GeneratorDepositIbor GENERATOR_AUDBB6M = new GeneratorDepositIbor("GENERATOR_AUDBB6M", AUDBB6M, SYD); private static final ZonedDateTime NOW = DateUtils.getUTCDate(2011, 9, 28); private static final ZonedDateTimeDoubleTimeSeries TS_EMPTY = ImmutableZonedDateTimeDoubleTimeSeries.ofEmptyUTC(); private static final ZonedDateTimeDoubleTimeSeries TS_ON_AUD_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] { DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.07, 0.08}); private static final ZonedDateTimeDoubleTimeSeries TS_ON_AUD_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] { DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.07, 0.08}); private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_AUD_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_AUD_WITH_TODAY}; private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_OIS_AUD_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_EMPTY, TS_ON_AUD_WITHOUT_TODAY}; private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_AUD3M_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] { DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.0035, 0.0036}); private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_AUD3M_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27)}, new double[] {0.0035}); private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_AUD6M_WITH_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] { DateUtils.getUTCDate(2011, 9, 27), DateUtils.getUTCDate(2011, 9, 28) }, new double[] {0.0035, 0.0036}); private static final ZonedDateTimeDoubleTimeSeries TS_IBOR_AUD6M_WITHOUT_TODAY = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC( new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 27)}, new double[] {0.0035}); private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_AUD3M_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_AUD3M_WITH_TODAY}; private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_AUD3M_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_AUD3M_WITHOUT_TODAY}; private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_AUD3M6M_WITH_TODAY = new ZonedDateTimeDoubleTimeSeries[] {TS_IBOR_AUD3M_WITH_TODAY, TS_IBOR_AUD6M_WITH_TODAY}; private static final ZonedDateTimeDoubleTimeSeries[] TS_FIXED_IBOR_AUD3M6M_WITHOUT_TODAY = new ZonedDateTimeDoubleTimeSeries[] { TS_IBOR_AUD3M_WITHOUT_TODAY, TS_IBOR_AUD6M_WITHOUT_TODAY }; private static final String CURVE_NAME_DSC_AUD = "AUD Dsc"; private static final String CURVE_NAME_FWD3_AUD = "AUD Fwd 3M"; private static final String CURVE_NAME_FWD6_AUD = "AUD Fwd 6M"; // /** Simplified versions for the note */ // /** Market values for the dsc USD curve */ // private static final double[] DSC_AUD_MARKET_QUOTES = new double[] {0.0400, 0.0400, 0.0400, // 0.0400, 0.0400}; // /** Generators for the dsc USD curve */ // private static final GeneratorInstrument[] DSC_USD_GENERATORS = new GeneratorInstrument[] // {GENERATOR_DEPOSIT_ON_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, // GENERATOR_OIS_AUD}; // /** Tenors for the dsc USD curve */ // private static final Period[] DSC_AUD_TENOR = new Period[] {Period.ofDays(0), // Period.ofMonths(1), Period.ofMonths(6), Period.ofYears(1), Period.ofYears(5)}; // // /** Market values for the Fwd 3M USD curve */ // private static final double[] FWD3_AUD_MARKET_QUOTES = new double[] {0.0420, 0.0420, 0.0470, // 0.0020}; // /** Generators for the Fwd 3M USD curve */ // private static final GeneratorInstrument[] FWD3_AUD_GENERATORS = new GeneratorInstrument[] // {GENERATOR_AUDBB3M, GENERATOR_FRA_3M, AUD3MBBSW3M, AUDBBSW3MBBSW6M}; // /** Tenors for the Fwd 3M USD curve */ // private static final Period[] FWD3_AUD_TENOR = new Period[] {Period.ofMonths(0), // Period.ofMonths(6), Period.ofYears(1), Period.ofYears(5)}; // // /** Market values for the Fwd 3M USD curve */ // private static final double[] FWD6_AUD_MARKET_QUOTES = new double[] {0.0440, 0.0020, 0.0560}; // /** Generators for the Fwd 3M USD curve */ // private static final GeneratorInstrument[] FWD6_AUD_GENERATORS = new GeneratorInstrument[] // {GENERATOR_AUDBB6M, AUDBBSW3MBBSW6M, AUD6MBBSW6M}; // /** Tenors for the Fwd 3M USD curve */ // private static final Period[] FWD6_AUD_TENOR = new Period[] {Period.ofMonths(0), // Period.ofYears(1), Period.ofYears(5)}; /** Market values for the dsc USD curve */ private static final double[] DSC_AUD_MARKET_QUOTES = new double[] { 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400 }; /** Generators for the dsc USD curve */ private static final GeneratorInstrument<? extends GeneratorAttribute>[] DSC_USD_GENERATORS = new GeneratorInstrument<?>[] { GENERATOR_DEPOSIT_ON_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD, GENERATOR_OIS_AUD }; /** Tenors for the dsc USD curve */ private static final Period[] DSC_AUD_TENOR = new Period[] { Period.ofDays(0), Period.ofMonths(1), Period.ofMonths(2), Period.ofMonths(3), Period.ofMonths(6), Period.ofMonths(9), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(10) }; private static final GeneratorAttributeIR[] DSC_AUD_ATTR = new GeneratorAttributeIR[DSC_AUD_TENOR.length]; static { for (int loopins = 0; loopins < DSC_AUD_TENOR.length; loopins++) { DSC_AUD_ATTR[loopins] = new GeneratorAttributeIR(DSC_AUD_TENOR[loopins]); } } /** Market values for the Fwd 3M USD curve */ private static final double[] FWD3_AUD_MARKET_QUOTES = new double[] {0.0420, 0.0420, 0.0420, 0.0420, 0.0430, 0.0470, 0.0020, 0.0020, 0.0020}; /** Generators for the Fwd 3M USD curve */ private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD3_AUD_GENERATORS = new GeneratorInstrument<?>[] { GENERATOR_AUDBB3M, GENERATOR_FRA_3M, GENERATOR_FRA_3M, AUD3MBBSW3M, AUD3MBBSW3M, AUD3MBBSW3M, AUDBBSW3MBBSW6M, AUDBBSW3MBBSW6M, AUDBBSW3MBBSW6M }; /** Tenors for the Fwd 3M USD curve */ private static final Period[] FWD3_AUD_TENOR = new Period[] { Period.ofMonths(0), Period.ofMonths(6), Period.ofMonths(9), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) }; private static final GeneratorAttributeIR[] FWD3_AUD_ATTR = new GeneratorAttributeIR[FWD3_AUD_TENOR.length]; static { for (int loopins = 0; loopins < FWD3_AUD_TENOR.length; loopins++) { FWD3_AUD_ATTR[loopins] = new GeneratorAttributeIR(FWD3_AUD_TENOR[loopins]); } } /** Market values for the Fwd 3M USD curve */ private static final double[] FWD6_AUD_MARKET_QUOTES = new double[] {0.0440, 0.0020, 0.0020, 0.0020, 0.0560, 0.0610, 0.0620}; /** Generators for the Fwd 3M USD curve */ private static final GeneratorInstrument<? extends GeneratorAttribute>[] FWD6_AUD_GENERATORS = new GeneratorInstrument<?>[] { GENERATOR_AUDBB6M, AUDBBSW3MBBSW6M, AUDBBSW3MBBSW6M, AUDBBSW3MBBSW6M, AUD6MBBSW6M, AUD6MBBSW6M, AUD6MBBSW6M }; /** Tenors for the Fwd 3M USD curve */ private static final Period[] FWD6_AUD_TENOR = new Period[] { Period.ofMonths(0), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) }; private static final GeneratorAttributeIR[] FWD6_AUD_ATTR = new GeneratorAttributeIR[FWD6_AUD_TENOR.length]; static { for (int loopins = 0; loopins < FWD6_AUD_TENOR.length; loopins++) { FWD6_AUD_ATTR[loopins] = new GeneratorAttributeIR(FWD6_AUD_TENOR[loopins]); } } /** Standard USD discounting curve instrument definitions */ private static final InstrumentDefinition<?>[] DEFINITIONS_DSC_AUD; /** Standard USD Forward 3M curve instrument definitions */ private static final InstrumentDefinition<?>[] DEFINITIONS_FWD3_AUD; /** Standard USD Forward 3M curve instrument definitions */ private static final InstrumentDefinition<?>[] DEFINITIONS_FWD6_AUD; /** Units of curves */ private static final int[] NB_UNITS = new int[] {2, 1}; private static final int NB_BLOCKS = NB_UNITS.length; private static final InstrumentDefinition<?>[][][][] DEFINITIONS_UNITS = new InstrumentDefinition<?>[NB_BLOCKS][][][]; private static final GeneratorYDCurve[][][] GENERATORS_UNITS = new GeneratorYDCurve[NB_BLOCKS][][]; private static final String[][][] NAMES_UNITS = new String[NB_BLOCKS][][]; private static final MulticurveProviderDiscount KNOWN_DATA = new MulticurveProviderDiscount(FX_MATRIX); private static final LinkedHashMap<String, Currency> DSC_MAP = new LinkedHashMap<>(); private static final LinkedHashMap<String, IndexON[]> FWD_ON_MAP = new LinkedHashMap<>(); private static final LinkedHashMap<String, IborIndex[]> FWD_IBOR_MAP = new LinkedHashMap<>(); static { DEFINITIONS_DSC_AUD = getDefinitions(DSC_AUD_MARKET_QUOTES, DSC_USD_GENERATORS, DSC_AUD_ATTR); DEFINITIONS_FWD3_AUD = getDefinitions(FWD3_AUD_MARKET_QUOTES, FWD3_AUD_GENERATORS, FWD3_AUD_ATTR); DEFINITIONS_FWD6_AUD = getDefinitions(FWD6_AUD_MARKET_QUOTES, FWD6_AUD_GENERATORS, FWD6_AUD_ATTR); for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { DEFINITIONS_UNITS[loopblock] = new InstrumentDefinition<?>[NB_UNITS[loopblock]][][]; GENERATORS_UNITS[loopblock] = new GeneratorYDCurve[NB_UNITS[loopblock]][]; NAMES_UNITS[loopblock] = new String[NB_UNITS[loopblock]][]; } DEFINITIONS_UNITS[0][0] = new InstrumentDefinition<?>[][] {DEFINITIONS_DSC_AUD}; DEFINITIONS_UNITS[0][1] = new InstrumentDefinition<?>[][] {DEFINITIONS_FWD3_AUD, DEFINITIONS_FWD6_AUD}; DEFINITIONS_UNITS[1][0] = new InstrumentDefinition<?>[][] { DEFINITIONS_DSC_AUD, DEFINITIONS_FWD3_AUD, DEFINITIONS_FWD6_AUD }; final GeneratorYDCurve genIntLin = new GeneratorCurveYieldInterpolated(MATURITY_CALCULATOR, INTERPOLATOR_LINEAR); GENERATORS_UNITS[0][0] = new GeneratorYDCurve[] {genIntLin}; GENERATORS_UNITS[0][1] = new GeneratorYDCurve[] {genIntLin, genIntLin}; GENERATORS_UNITS[1][0] = new GeneratorYDCurve[] {genIntLin, genIntLin, genIntLin}; NAMES_UNITS[0][0] = new String[] {CURVE_NAME_DSC_AUD}; NAMES_UNITS[0][1] = new String[] {CURVE_NAME_FWD3_AUD, CURVE_NAME_FWD6_AUD}; NAMES_UNITS[1][0] = new String[] {CURVE_NAME_DSC_AUD, CURVE_NAME_FWD3_AUD, CURVE_NAME_FWD6_AUD}; DSC_MAP.put(CURVE_NAME_DSC_AUD, AUD); FWD_ON_MAP.put(CURVE_NAME_DSC_AUD, new IndexON[] {INDEX_ON_AUD}); FWD_IBOR_MAP.put(CURVE_NAME_FWD3_AUD, new IborIndex[] {AUDBB3M}); FWD_IBOR_MAP.put(CURVE_NAME_FWD6_AUD, new IborIndex[] {AUDBB6M}); } @SuppressWarnings({"rawtypes", "unchecked"}) public static InstrumentDefinition<?>[] getDefinitions( final double[] marketQuotes, final GeneratorInstrument[] generators, final GeneratorAttribute[] attribute) { final InstrumentDefinition<?>[] definitions = new InstrumentDefinition<?>[marketQuotes.length]; for (int loopmv = 0; loopmv < marketQuotes.length; loopmv++) { definitions[loopmv] = generators[loopmv].generateInstrument( NOW, marketQuotes[loopmv], NOTIONAL, attribute[loopmv]); } return definitions; } private static List<Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle>> CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK = new ArrayList<>(); // Calculator private static final PresentValueDiscountingCalculator PVC = PresentValueDiscountingCalculator.getInstance(); private static final ParSpreadMarketQuoteDiscountingCalculator PSMQC = ParSpreadMarketQuoteDiscountingCalculator.getInstance(); private static final ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator PSMQCSC = ParSpreadMarketQuoteCurveSensitivityDiscountingCalculator.getInstance(); private static final MulticurveDiscountBuildingRepository CURVE_BUILDING_REPOSITORY = new MulticurveDiscountBuildingRepository(TOLERANCE_ROOT, TOLERANCE_ROOT, STEP_MAX); private static final double TOLERANCE_CAL = 1.0E-9; @BeforeSuite static void initClass() { for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.add( makeCurvesFromDefinitions( DEFINITIONS_UNITS[loopblock], GENERATORS_UNITS[loopblock], NAMES_UNITS[loopblock], KNOWN_DATA, PSMQC, PSMQCSC, false)); } } @Test public void curveConstruction() { for (int loopblock = 0; loopblock < NB_BLOCKS; loopblock++) { curveConstructionTest( DEFINITIONS_UNITS[loopblock], CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(), false, loopblock); } } @Test public void comparison1Unit2Units() { final MulticurveProviderDiscount[] units = new MulticurveProviderDiscount[2]; final CurveBuildingBlockBundle[] bb = new CurveBuildingBlockBundle[2]; final YieldAndDiscountCurve[] curveDsc = new YieldAndDiscountCurve[2]; final YieldAndDiscountCurve[] curveFwd = new YieldAndDiscountCurve[2]; for (int loopblock = 0; loopblock < 2; loopblock++) { units[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst(); bb[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getSecond(); curveDsc[loopblock] = units[loopblock].getCurve(AUD); curveFwd[loopblock] = units[loopblock].getCurve(AUDBB3M); } assertEquals( "Curve construction: 1 unit / 2 units ", curveDsc[0].getNumberOfParameters(), curveDsc[1].getNumberOfParameters()); assertEquals( "Curve construction: 1 unit / 2 units ", curveFwd[0].getNumberOfParameters(), curveFwd[1].getNumberOfParameters()); assertArrayEquals( "Curve construction: 1 unit / 2 units ", ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getXData()), ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getXData()), TOLERANCE_CAL); assertArrayEquals( "Curve construction: 1 unit / 2 units ", ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getYData()), ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getYData()), TOLERANCE_CAL); assertArrayEquals( "Curve construction: 1 unit / 2 units ", ArrayUtils.toPrimitive(((YieldCurve) curveFwd[0]).getCurve().getXData()), ArrayUtils.toPrimitive(((YieldCurve) curveFwd[1]).getCurve().getXData()), TOLERANCE_CAL); assertArrayEquals( "Curve construction: 1 unit / 2 units ", ArrayUtils.toPrimitive(((YieldCurve) curveFwd[0]).getCurve().getYData()), ArrayUtils.toPrimitive(((YieldCurve) curveFwd[1]).getCurve().getYData()), TOLERANCE_CAL); assertEquals( "Curve construction: 1 unit / 2 units ", bb[0].getBlock(CURVE_NAME_FWD3_AUD).getFirst(), bb[1].getBlock(CURVE_NAME_FWD3_AUD).getFirst()); // Test note: the discounting curve building blocks are not the same; in one case both curves // are build together in the other one after the other. final int nbLineDsc = bb[0].getBlock(CURVE_NAME_DSC_AUD).getSecond().getNumberOfRows(); final int nbLineFwd3 = bb[0].getBlock(CURVE_NAME_FWD3_AUD).getSecond().getNumberOfRows(); final int nbLineFwd6 = bb[0].getBlock(CURVE_NAME_FWD6_AUD).getSecond().getNumberOfRows(); assertEquals( "Curve construction: 1 unit / 2 units ", bb[1].getBlock(CURVE_NAME_DSC_AUD).getSecond().getNumberOfRows(), nbLineDsc); assertEquals( "Curve construction: 1 unit / 2 units ", bb[1].getBlock(CURVE_NAME_FWD3_AUD).getSecond().getNumberOfRows(), nbLineFwd3); assertEquals( "Curve construction: 1 unit / 2 units ", bb[1].getBlock(CURVE_NAME_FWD6_AUD).getSecond().getNumberOfRows(), nbLineFwd6); } // TODO: test on the correctness of the Jacobian matrix in the CurveBuildingBlock's. @Test(enabled = false) public void performance() { long startTime, endTime; final int nbTest = 100; startTime = System.currentTimeMillis(); for (int looptest = 0; looptest < nbTest; looptest++) { makeCurvesFromDefinitions( DEFINITIONS_UNITS[0], GENERATORS_UNITS[0], NAMES_UNITS[0], KNOWN_DATA, PSMQC, PSMQCSC, false); } endTime = System.currentTimeMillis(); System.out.println( nbTest + " x 3 curves construction / 2 units: " + (endTime - startTime) + " ms"); // Performance note: Curve construction 2 units: 08-Nov-12: On Mac Pro 3.2 GHz Quad-Core Intel // Xeon: 810 ms for 100 sets. startTime = System.currentTimeMillis(); for (int looptest = 0; looptest < nbTest; looptest++) { makeCurvesFromDefinitions( DEFINITIONS_UNITS[1], GENERATORS_UNITS[1], NAMES_UNITS[1], KNOWN_DATA, PSMQC, PSMQCSC, false); } endTime = System.currentTimeMillis(); System.out.println( nbTest + " x 3 curves construction / 1 unit: " + (endTime - startTime) + " ms"); // Performance note: Curve construction 1 unit: 08-Nov-12: On Mac Pro 3.2 GHz Quad-Core Intel // Xeon: 995 ms for 100 sets. } 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(enabled = false) /** Analyzes the shape of the forward curve. */ public void forwardAnalysis() { final MulticurveProviderInterface marketDsc = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getFirst(); final int jump = 1; final int startIndex = 0; final int nbDate = 2750; ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(NOW, AUDBB3M.getSpotLag() + startIndex * jump, SYD); final double[] rateDsc = new double[nbDate]; final double[] startTime = new double[nbDate]; try { final FileWriter writer = new FileWriter("fwd-dsc.csv"); for (int loopdate = 0; loopdate < nbDate; loopdate++) { startTime[loopdate] = TimeCalculator.getTimeBetween(NOW, startDate); final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, AUDBB3M, SYD); final double endTime = TimeCalculator.getTimeBetween(NOW, endDate); final double accrualFactor = AUDBB3M.getDayCount().getDayCountFraction(startDate, endDate); rateDsc[loopdate] = marketDsc.getForwardRate(AUDBB3M, startTime[loopdate], endTime, accrualFactor); startDate = ScheduleCalculator.getAdjustedDate(startDate, jump, SYD); writer.append(0.0 + "," + startTime[loopdate] + "," + rateDsc[loopdate] + "\n"); } writer.flush(); writer.close(); } catch (final IOException e) { e.printStackTrace(); } } @SuppressWarnings("unchecked") private static Pair<MulticurveProviderDiscount, CurveBuildingBlockBundle> makeCurvesFromDefinitions( final InstrumentDefinition<?>[][][] definitions, final GeneratorYDCurve[][] curveGenerators, final String[][] curveNames, final MulticurveProviderDiscount knownData, final InstrumentDerivativeVisitor<MulticurveProviderInterface, Double> calculator, final InstrumentDerivativeVisitor<MulticurveProviderInterface, MulticurveSensitivity> sensitivityCalculator, final boolean withToday) { final int nUnits = curveGenerators.length; final MultiCurveBundle<GeneratorYDCurve>[] curveBundles = new MultiCurveBundle[nUnits]; for (int i = 0; i < nUnits; i++) { final int nCurves = definitions[i].length; final SingleCurveBundle<GeneratorYDCurve>[] singleCurves = new SingleCurveBundle[nCurves]; for (int j = 0; j < nCurves; j++) { final int nInstruments = definitions[i][j].length; final InstrumentDerivative[] derivatives = new InstrumentDerivative[nInstruments]; final double[] initialGuess = new double[nInstruments]; for (int k = 0; k < nInstruments; k++) { derivatives[k] = convert(definitions[i][j][k], withToday); initialGuess[k] = initialGuess(definitions[i][j][k]); } final GeneratorYDCurve generator = curveGenerators[i][j].finalGenerator(derivatives); singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator); } curveBundles[i] = new MultiCurveBundle<>(singleCurves); } return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives( curveBundles, knownData, DSC_MAP, FWD_IBOR_MAP, FWD_ON_MAP, calculator, sensitivityCalculator); } private static InstrumentDerivative[][] convert( final InstrumentDefinition<?>[][] definitions, final boolean withToday) { final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][]; for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) { instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length]; int loopins = 0; for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) { InstrumentDerivative ird; if (instrument instanceof SwapFixedONDefinition) { ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday)); } else { if (instrument instanceof SwapFixedIborDefinition) { ird = ((SwapFixedIborDefinition) instrument) .toDerivative(NOW, getTSSwapFixedIbor(withToday)); } else { if (instrument instanceof SwapIborIborDefinition) { ird = ((SwapIborIborDefinition) instrument) .toDerivative(NOW, getTSSwapIborIbor(withToday)); } else { ird = instrument.toDerivative(NOW); } } } instruments[loopcurve][loopins++] = ird; } } return instruments; } private static InstrumentDerivative convert( final InstrumentDefinition<?> instrument, final boolean withToday) { InstrumentDerivative ird; if (instrument instanceof SwapFixedONDefinition) { ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday)); } else { if (instrument instanceof SwapFixedIborDefinition) { ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday)); } else { if (instrument instanceof SwapIborIborDefinition) { ird = ((SwapIborIborDefinition) instrument).toDerivative(NOW, getTSSwapIborIbor(withToday)); } else { ird = instrument.toDerivative(NOW); } } } return ird; } private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedON(final Boolean withToday) { return withToday ? TS_FIXED_OIS_AUD_WITH_TODAY : TS_FIXED_OIS_AUD_WITHOUT_TODAY; } private static ZonedDateTimeDoubleTimeSeries[] getTSSwapFixedIbor(final Boolean withToday) { return withToday ? TS_FIXED_IBOR_AUD3M_WITH_TODAY : TS_FIXED_IBOR_AUD3M_WITHOUT_TODAY; // TODO: get the correct fixing } private static ZonedDateTimeDoubleTimeSeries[] getTSSwapIborIbor(final Boolean withToday) { return withToday ? TS_FIXED_IBOR_AUD3M6M_WITH_TODAY : TS_FIXED_IBOR_AUD3M6M_WITHOUT_TODAY; } private static double initialGuess(final InstrumentDefinition<?> instrument) { if (instrument instanceof SwapFixedONDefinition) { return ((SwapFixedONDefinition) instrument).getFixedLeg().getNthPayment(0).getRate(); } if (instrument instanceof SwapFixedIborDefinition) { return ((SwapFixedIborDefinition) instrument).getFixedLeg().getNthPayment(0).getRate(); } if (instrument instanceof ForwardRateAgreementDefinition) { return ((ForwardRateAgreementDefinition) instrument).getRate(); } if (instrument instanceof CashDefinition) { return ((CashDefinition) instrument).getRate(); } // TODO: What about basis swaps? return 0.01; } }