Examples of CapFloorCMSSpread


Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMSSpread

  @Test
  /**
   * Tests the present value long/short parity (cap and floor).
   */
  public void presentValueLongShortParity() {
    final CapFloorCMSSpread cmsCapSpreadShort = new CapFloorCMSSpread(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE,
        IS_CAP, FUNDING_CURVE_NAME);
    final CurrencyAmount pvCapLong = METHOD_CMS_SPREAD.presentValue(CMS_CAP_SPREAD, SABR_BUNDLE);
    final CurrencyAmount pvCapShort = METHOD_CMS_SPREAD.presentValue(cmsCapSpreadShort, SABR_BUNDLE);
    assertEquals("CMS spread: Long/Short parity", pvCapLong.getAmount(), -pvCapShort.getAmount(), TOLERANCE_PRICE);
    final CurrencyAmount pvCapLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, SABR_BUNDLE);
    final CurrencyAmount pvCapShortExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(cmsCapSpreadShort, SABR_BUNDLE);
    assertEquals("CMS spread: Long/Short parity", pvCapLongExtra.getAmount(), -pvCapShortExtra.getAmount(), TOLERANCE_PRICE);

    final CapFloorCMSSpread cmsFloorSpreadShort = new CapFloorCMSSpread(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE,
        !IS_CAP, FUNDING_CURVE_NAME);
    final CurrencyAmount pvFloorLong = METHOD_CMS_SPREAD.presentValue(CMS_FLOOR_SPREAD, SABR_BUNDLE);
    final CurrencyAmount pvFloorShort = METHOD_CMS_SPREAD.presentValue(cmsFloorSpreadShort, SABR_BUNDLE);
    assertEquals("CMS spread: Long/Short parity", pvFloorLong.getAmount(), -pvFloorShort.getAmount(), TOLERANCE_PRICE);
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMSSpread

    final double deltaToleranceRelative = 2.5E-4; // Numerical imprecision, reduce to E-6 when nbInteration = 1000;
    final double deltaShift = 1.0E-6;
    final String bumpedCurveName = "Bumped Curve";
    // 1. Forward curve sensitivity
    final String[] CurveNameBumpedForward = {FUNDING_CURVE_NAME, bumpedCurveName };
    final CapFloorCMSSpread capBumpedForward = (CapFloorCMSSpread) CMS_CAP_SPREAD_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedForward);
    final DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedForward, SABR_BUNDLE, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForward, deltaShift,
        METHOD_CMS_SPREAD);
    final List<DoublesPair> sensiPvForward = pvcsCap.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals("Sensitivity CMS cap/floor pv to forward curve: Node " + loopnode, nodeTimesForward[loopnode], pairPv.getFirst(), 1E-8);
      assertEquals("Sensitivity finite difference method: node sensitivity " + loopnode + " - Difference " + (sensiForwardMethod[loopnode] - pairPv.second), 0,
          (sensiForwardMethod[loopnode] - pairPv.second) / pairPv.second, deltaToleranceRelative);
    }
    // 2. Discounting curve sensitivity
    final String[] CurveNameBumpedDisc = {bumpedCurveName, FORWARD_CURVE_NAME };
    final CapFloorCMSSpread capBumpedDisc = (CapFloorCMSSpread) CMS_CAP_SPREAD_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedDisc);
    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
    discTime.add(capBumpedDisc.getPaymentTime());
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
View Full Code Here

Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMSSpread

    final double deltaToleranceRelative = 2.5E-4; // Numerical imprecision, reduce to E-6 when nbInteration = 1000;
    final double deltaShift = 1.0E-6;
    final String bumpedCurveName = "Bumped Curve";
    // 1. Forward curve sensitivity
    final String[] CurveNameBumpedForward = {FUNDING_CURVE_NAME, bumpedCurveName };
    final CapFloorCMSSpread capBumpedForward = (CapFloorCMSSpread) CMS_CAP_SPREAD_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedForward);
    final DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedForward, SABR_BUNDLE, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForward, deltaShift,
        METHOD_CMS_SPREAD_EXTRAPOLATION);
    final List<DoublesPair> sensiPvForward = pvcsCap.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals("Sensitivity CMS cap/floor pv to forward curve: Node " + loopnode, nodeTimesForward[loopnode], pairPv.getFirst(), 1E-8);
      assertEquals("Sensitivity finite difference method: node sensitivity " + loopnode + " - Difference " + (sensiForwardMethod[loopnode] - pairPv.second), 0,
          (sensiForwardMethod[loopnode] - pairPv.second) / pairPv.second, deltaToleranceRelative);
    }
    // 2. Discounting curve sensitivity
    final String[] CurveNameBumpedDisc = {bumpedCurveName, FORWARD_CURVE_NAME };
    final CapFloorCMSSpread capBumpedDisc = (CapFloorCMSSpread) CMS_CAP_SPREAD_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedDisc);
    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
    discTime.add(capBumpedDisc.getPaymentTime());
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMSSpread

   */
  public void presentValueCurveSensitivityCurveUpCap() {
    final YieldCurveBundle curvesUp = TestsDataSetsSABR.createCurves2();
    final SABRInterestRateDataBundle sabrBundleCurveUp = new SABRInterestRateDataBundle(SABR_PARAMETERS, curvesUp);
    final String[] curvesUpName = TestsDataSetsSABR.curves2Names();
    final CapFloorCMSSpread cmsCapSpread = (CapFloorCMSSpread) CMS_CAP_SPREAD_DEFINITION.toDerivative(REFERENCE_DATE, new String[] {curvesUpName[0], curvesUpName[1] });
    InterestRateCurveSensitivity pvcsCap = METHOD_CMS_SPREAD.presentValueCurveSensitivity(cmsCapSpread, sabrBundleCurveUp);
    pvcsCap = pvcsCap.cleaned();
    final double deltaToleranceRelative = 3.0E-4; // Numerical imprecision, reduce to E-6 when nbInteration = 1000;
    final double deltaShift = 1.0E-6;
    final String bumpedCurveName = "Bumped Curve";
    // 1. Forward curve sensitivity
    final String[] CurveNameBumpedForward = {curvesUpName[0], bumpedCurveName };
    final CapFloorCMSSpread capBumpedForward = (CapFloorCMSSpread) CMS_CAP_SPREAD_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedForward);
    final DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedForward, sabrBundleCurveUp, curvesUpName[1], bumpedCurveName, nodeTimesForward, deltaShift,
        METHOD_CMS_SPREAD);
    final List<DoublesPair> sensiPvForward = pvcsCap.getSensitivities().get(curvesUpName[1]);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals("Sensitivity CMS cap/floor pv to forward curve: Node " + loopnode, nodeTimesForward[loopnode], pairPv.getFirst(), 1E-8);
      assertEquals("Sensitivity finite difference method: node sensitivity " + loopnode + " - Difference " + (sensiForwardMethod[loopnode] - pairPv.second), 0,
          (sensiForwardMethod[loopnode] - pairPv.second) / pairPv.second, deltaToleranceRelative);
    }
    // 2. Discounting curve sensitivity
    final String[] CurveNameBumpedDisc = {bumpedCurveName, curvesUpName[1] };
    final CapFloorCMSSpread capBumpedDisc = (CapFloorCMSSpread) CMS_CAP_SPREAD_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedDisc);
    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
    discTime.add(capBumpedDisc.getPaymentTime());
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
View Full Code Here

Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMSSpread

    final double deltaToleranceRelative = 7.0E-4; // Numerical imprecision, reduce to E-6 when nbInteration = 1000;
    final double deltaShift = 1.0E-6;
    final String bumpedCurveName = "Bumped Curve";
    // 1. Forward curve sensitivity
    final String[] CurveNameBumpedForward = {FUNDING_CURVE_NAME, bumpedCurveName };
    final CapFloorCMSSpread floorBumpedForward = (CapFloorCMSSpread) CMS_FLOOR_SPREAD_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedForward);
    final DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < CMS_FLOOR_SPREAD.getUnderlyingSwap1().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_FLOOR_SPREAD.getUnderlyingSwap1().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    for (int loopcpn = 0; loopcpn < CMS_FLOOR_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_FLOOR_SPREAD.getUnderlyingSwap2().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(floorBumpedForward, SABR_BUNDLE, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForward, deltaShift,
        METHOD_CMS_SPREAD);
    final List<DoublesPair> sensiPvForward = pvcsFloor.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals("Sensitivity CMS cap/floor pv to forward curve: Node " + loopnode, nodeTimesForward[loopnode], pairPv.getFirst(), 1E-8);
      assertEquals("Sensitivity finite difference method: forward node sensitivity " + loopnode + " - Difference " + (sensiForwardMethod[loopnode] - pairPv.second), 0,
          (sensiForwardMethod[loopnode] - pairPv.second) / pairPv.second, deltaToleranceRelative);
    }
    // 2. Discounting curve sensitivity
    final String[] CurveNameBumpedDisc = {bumpedCurveName, FORWARD_CURVE_NAME };
    final CapFloorCMSSpread floorBumpedDisc = (CapFloorCMSSpread) CMS_FLOOR_SPREAD_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedDisc);
    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
    discTime.add(floorBumpedDisc.getPaymentTime());
    for (int loopcpn = 0; loopcpn < CMS_FLOOR_SPREAD.getUnderlyingSwap1().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_FLOOR_SPREAD.getUnderlyingSwap1().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    for (int loopcpn = 0; loopcpn < CMS_FLOOR_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMSSpread

  @Test
  /**
   * Tests the long/short parity for the present value curve sensitivity of a cap.
   */
  public void presentValueCurveSensitivityCapLongShortParity() {
    final CapFloorCMSSpread cmsCapSpreadShort = new CapFloorCMSSpread(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE,
        IS_CAP, FUNDING_CURVE_NAME);
    final SABRInterestRateCorrelationParameters sabrCorrelation = SABRInterestRateCorrelationParameters.from(SABR_PARAMETERS, CORRELATION_FUNCTION);
    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    InterestRateCurveSensitivity pvcsLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
View Full Code Here

Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMSSpread

  @Test
  /**
   * Tests the long/short parity for the present value curve sensitivity of a floor.
   */
  public void presentValueCurveSensitivityFloorLongShortParity() {
    final CapFloorCMSSpread cmsCapSpreadShort = new CapFloorCMSSpread(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE,
        !IS_CAP, FUNDING_CURVE_NAME);
    final SABRInterestRateCorrelationParameters sabrCorrelation = SABRInterestRateCorrelationParameters.from(SABR_PARAMETERS, CORRELATION_FUNCTION);
    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    InterestRateCurveSensitivity pvcsLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_FLOOR_SPREAD, sabrBundleCor);
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMSSpread

  @Test
  /**
   * Tests the long/short parity for the present value SABR sensitivity.
   */
  public void presentValueSABRSensitivityLongShortParity() {
    final CapFloorCMSSpread cmsSpreadShort = new CapFloorCMSSpread(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE,
        IS_CAP, FUNDING_CURVE_NAME);
    final SABRInterestRateCorrelationParameters sabrCorrelation = SABRInterestRateCorrelationParameters.from(SABR_PARAMETERS, CORRELATION_FUNCTION);
    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    final PresentValueSABRSensitivityDataBundle pvssLong = METHOD_CMS_SPREAD.presentValueSABRSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
View Full Code Here

Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMSSpread

  @Test
  /**
   * Tests the present value long/short parity (cap and floor).
   */
  public void presentValueLongShortParity() {
    final CapFloorCMSSpread cmsCapSpreadShort = new CapFloorCMSSpread(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE, IS_CAP);
    final MultipleCurrencyAmount pvCapLong = METHOD_CMS_SPREAD.presentValue(CMS_CAP_SPREAD, SABR_MULTICURVES);
    final MultipleCurrencyAmount pvCapShort = METHOD_CMS_SPREAD.presentValue(cmsCapSpreadShort, SABR_MULTICURVES);
    assertEquals("CMS spread: Long/Short parity", pvCapLong.getAmount(EUR), -pvCapShort.getAmount(EUR), TOLERANCE_PV);
    final MultipleCurrencyAmount pvCapLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, SABR_MULTICURVES);
    final MultipleCurrencyAmount pvCapShortExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(cmsCapSpreadShort, SABR_MULTICURVES);
    assertEquals("CMS spread: Long/Short parity", pvCapLongExtra.getAmount(EUR), -pvCapShortExtra.getAmount(EUR), TOLERANCE_PV);

    final CapFloorCMSSpread cmsFloorSpreadShort = new CapFloorCMSSpread(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE, !IS_CAP);
    final MultipleCurrencyAmount pvFloorLong = METHOD_CMS_SPREAD.presentValue(CMS_FLOOR_SPREAD, SABR_MULTICURVES);
    final MultipleCurrencyAmount pvFloorShort = METHOD_CMS_SPREAD.presentValue(cmsFloorSpreadShort, SABR_MULTICURVES);
    assertEquals("CMS spread: Long/Short parity", pvFloorLong.getAmount(EUR), -pvFloorShort.getAmount(EUR), TOLERANCE_PV);
    final MultipleCurrencyAmount pvFloorLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_FLOOR_SPREAD, SABR_MULTICURVES);
View Full Code Here

Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMSSpread

  @Test
  /**
   * Tests the long/short parity for the present value curve sensitivity of a cap.
   */
  public void presentValueCurveSensitivityCapLongShortParity() {
    final CapFloorCMSSpread cmsCapSpreadShort = new CapFloorCMSSpread(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE, IS_CAP);
    MultipleCurrencyMulticurveSensitivity pvcsLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, SABR_MULTICURVES);
    pvcsLong = pvcsLong.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsShort = METHOD_CMS_SPREAD.presentValueCurveSensitivity(cmsCapSpreadShort, SABR_MULTICURVES);
    pvcsShort = pvcsShort.multipliedBy(-1);
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