Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity

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    final int nbFact = lmmParameters.getNbFactor();
    final List<Integer> instrumentIndex = calibrationEngine.getInstrumentIndex();
    final double[] dPvAmdLambda = new double[nbCal];
    final double[][][] dPvCaldGamma = new double[nbCal][][];
    final double[][] dPvCaldLambda = new double[nbCal][nbCal];
    InterestRateCurveSensitivity pvcsCal = METHOD_SWAPTION_LMM.presentValueCurveSensitivity(swaption, lmmBundle);
    pvcsCal = pvcsCal.cleaned();
    final double[][] dPvAmdGamma = METHOD_SWAPTION_LMM.presentValueLMMSensitivity(swaption, lmmBundle);
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      dPvCaldGamma[loopcal] = METHOD_SWAPTION_LMM.presentValueLMMSensitivity(swaptionCalibration[loopcal], lmmBundle);
    }
    // Multiplicative-factor sensitivity
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      for (int loopperiod = instrumentIndex.get(loopcal); loopperiod < instrumentIndex.get(loopcal + 1); loopperiod++) {
        for (int loopfact = 0; loopfact < nbFact; loopfact++) {
          dPvAmdLambda[loopcal] += dPvAmdGamma[loopperiod][loopfact] * lmmParameters.getVolatility()[loopperiod][loopfact];
        }
      }
    }
    for (int loopcal1 = 0; loopcal1 < nbCal; loopcal1++) {
      for (int loopcal2 = 0; loopcal2 < nbCal; loopcal2++) {
        for (int loopperiod = instrumentIndex.get(loopcal2); loopperiod < instrumentIndex.get(loopcal2 + 1); loopperiod++) {
          for (int loopfact = 0; loopfact < nbFact; loopfact++) {
            dPvCaldLambda[loopcal1][loopcal2] += dPvCaldGamma[loopcal1][loopperiod][loopfact] * lmmParameters.getVolatility()[loopperiod][loopfact];
          }
        }
      }
    }
    final InterestRateCurveSensitivity[] pvcsCalBase = new InterestRateCurveSensitivity[nbCal];
    final InterestRateCurveSensitivity[] pvcsCalCal = new InterestRateCurveSensitivity[nbCal];
    final InterestRateCurveSensitivity[] pvcsCalDiff = new InterestRateCurveSensitivity[nbCal];
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      pvcsCalBase[loopcal] = METHOD_SWAPTION_SABR.presentValueCurveSensitivity(swaptionCalibration[loopcal], curves);
      pvcsCalBase[loopcal] = pvcsCalBase[loopcal].cleaned();
      pvcsCalCal[loopcal] = METHOD_SWAPTION_LMM.presentValueCurveSensitivity(swaptionCalibration[loopcal], lmmBundle);
      pvcsCalCal[loopcal] = pvcsCalCal[loopcal].cleaned();
      pvcsCalDiff[loopcal] = pvcsCalBase[loopcal].plus(pvcsCalCal[loopcal].multipliedBy(-1));
      pvcsCalDiff[loopcal] = pvcsCalDiff[loopcal].cleaned();
    }
    final CommonsMatrixAlgebra matrix = new CommonsMatrixAlgebra();
    final DoubleMatrix2D dPvCaldLambdaMatrix = new DoubleMatrix2D(dPvCaldLambda);
    final DoubleMatrix2D dPvCaldLambdaMatrixInverse = matrix.getInverse(dPvCaldLambdaMatrix);
    // Curve sensitivity
    final InterestRateCurveSensitivity[] dLambdadC = new InterestRateCurveSensitivity[nbCal];
    for (int loopcal1 = 0; loopcal1 < nbCal; loopcal1++) {
      dLambdadC[loopcal1] = new InterestRateCurveSensitivity();
      for (int loopcal2 = 0; loopcal2 <= loopcal1; loopcal2++) {
        dLambdadC[loopcal1] = dLambdadC[loopcal1].plus(pvcsCalDiff[loopcal2].multipliedBy(dPvCaldLambdaMatrixInverse.getEntry(loopcal1, loopcal2)));
      }
    }
    InterestRateCurveSensitivity pvcsAdjust = new InterestRateCurveSensitivity();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      pvcsAdjust = pvcsAdjust.plus(dLambdadC[loopcal].multipliedBy(dPvAmdLambda[loopcal]));
    }
    pvcsAdjust = pvcsAdjust.cleaned();
    InterestRateCurveSensitivity pvcsTot = pvcsCal.plus(pvcsAdjust);
    pvcsTot = pvcsTot.cleaned();
    return pvcsTot;
  }
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    final List<Integer> instrumentIndex = calibrationEngine.getInstrumentIndex();
    final double[] dPvAmdLambda = new double[nbCal];
    final double[][][] dPvCaldGamma = new double[nbCal][][];
    final double[][] dPvCaldLambda = new double[nbCal][nbCal];
    final PresentValueSABRSensitivityDataBundle[] dPvCaldSABR = new PresentValueSABRSensitivityDataBundle[nbCal];
    InterestRateCurveSensitivity pvcsCal = METHOD_SWAPTION_LMM.presentValueCurveSensitivity(swaption, lmmBundle);
    pvcsCal = pvcsCal.cleaned();
    final double[][] dPvAmdGamma = METHOD_SWAPTION_LMM.presentValueLMMSensitivity(swaption, lmmBundle);
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      dPvCaldGamma[loopcal] = METHOD_SWAPTION_LMM.presentValueLMMSensitivity(swaptionCalibration[loopcal], lmmBundle);
    }
    // Multiplicative-factor sensitivity
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      for (int loopperiod = instrumentIndex.get(loopcal); loopperiod < instrumentIndex.get(loopcal + 1); loopperiod++) {
        for (int loopfact = 0; loopfact < nbFact; loopfact++) {
          dPvAmdLambda[loopcal] += dPvAmdGamma[loopperiod][loopfact] * lmmParameters.getVolatility()[loopperiod][loopfact];
        }
      }
    }
    for (int loopcal1 = 0; loopcal1 < nbCal; loopcal1++) {
      for (int loopcal2 = 0; loopcal2 < nbCal; loopcal2++) {
        for (int loopperiod = instrumentIndex.get(loopcal2); loopperiod < instrumentIndex.get(loopcal2 + 1); loopperiod++) {
          for (int loopfact = 0; loopfact < nbFact; loopfact++) {
            dPvCaldLambda[loopcal1][loopcal2] += dPvCaldGamma[loopcal1][loopperiod][loopfact] * lmmParameters.getVolatility()[loopperiod][loopfact];
          }
        }
      }
    }
    final InterestRateCurveSensitivity[] pvcsCalBase = new InterestRateCurveSensitivity[nbCal];
    final InterestRateCurveSensitivity[] pvcsCalCal = new InterestRateCurveSensitivity[nbCal];
    final InterestRateCurveSensitivity[] pvcsCalDiff = new InterestRateCurveSensitivity[nbCal];
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      pvcsCalBase[loopcal] = METHOD_SWAPTION_SABR.presentValueCurveSensitivity(swaptionCalibration[loopcal], curves);
      pvcsCalBase[loopcal] = pvcsCalBase[loopcal].cleaned();
      pvcsCalCal[loopcal] = METHOD_SWAPTION_LMM.presentValueCurveSensitivity(swaptionCalibration[loopcal], lmmBundle);
      pvcsCalCal[loopcal] = pvcsCalCal[loopcal].cleaned();
      pvcsCalDiff[loopcal] = pvcsCalBase[loopcal].plus(pvcsCalCal[loopcal].multipliedBy(-1));
      pvcsCalDiff[loopcal] = pvcsCalDiff[loopcal].cleaned();
    }
    final CommonsMatrixAlgebra matrix = new CommonsMatrixAlgebra();
    final DoubleMatrix2D dPvCaldLambdaMatrix = new DoubleMatrix2D(dPvCaldLambda);
    final DoubleMatrix2D dPvCaldLambdaMatrixInverse = matrix.getInverse(dPvCaldLambdaMatrix);
    // SABR sensitivity
    final double[][] dPvCaldAlpha = new double[nbCal][nbCal];
    final double[][] dPvCaldRho = new double[nbCal][nbCal];
    final double[][] dPvCaldNu = new double[nbCal][nbCal];
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      dPvCaldSABR[loopcal] = METHOD_SWAPTION_SABR.presentValueSABRSensitivity(swaptionCalibration[loopcal], curves);
      final Set<DoublesPair> keySet = dPvCaldSABR[loopcal].getAlpha().getMap().keySet();
      final DoublesPair[] keys = keySet.toArray(new DoublesPair[keySet.size()]);
      dPvCaldAlpha[loopcal][loopcal] = dPvCaldSABR[loopcal].getAlpha().getMap().get(keys[0]);
      dPvCaldRho[loopcal][loopcal] = dPvCaldSABR[loopcal].getRho().getMap().get(keys[0]);
      dPvCaldNu[loopcal][loopcal] = dPvCaldSABR[loopcal].getNu().getMap().get(keys[0]);
    }
    final DoubleMatrix1D dPvAmdLambdaMatrix = new DoubleMatrix1D(dPvAmdLambda);
    final DoubleMatrix2D dPvCaldAlphaMatrix = new DoubleMatrix2D(dPvCaldAlpha);
    final DoubleMatrix2D dLambdadAlphaMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldAlphaMatrix);
    final DoubleMatrix2D dPvAmdAlphaMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadAlphaMatrix), dPvAmdLambdaMatrix);
    final DoubleMatrix2D dPvCaldRhoMatrix = new DoubleMatrix2D(dPvCaldRho);
    final DoubleMatrix2D dLambdadRhoMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldRhoMatrix);
    final DoubleMatrix2D dPvAmdRhoMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadRhoMatrix), dPvAmdLambdaMatrix);
    final DoubleMatrix2D dPvCaldNuMatrix = new DoubleMatrix2D(dPvCaldNu);
    final DoubleMatrix2D dLambdadNuMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldNuMatrix);
    final DoubleMatrix2D dPvAmdNuMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadNuMatrix), dPvAmdLambdaMatrix);
    final double[] dPvAmdAlpha = matrix.getTranspose(dPvAmdAlphaMatrix).getData()[0];
    final double[] dPvAmdRho = matrix.getTranspose(dPvAmdRhoMatrix).getData()[0];
    final double[] dPvAmdNu = matrix.getTranspose(dPvAmdNuMatrix).getData()[0];
    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle pvss = new PresentValueSABRSensitivityDataBundle();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopcal].getTimeToExpiry(), swaptionCalibration[loopcal].getMaturityTime());
      pvss.addAlpha(expiryMaturity, dPvAmdAlpha[loopcal]);
      pvss.addRho(expiryMaturity, dPvAmdRho[loopcal]);
      pvss.addNu(expiryMaturity, dPvAmdNu[loopcal]);
    }
    // Curve sensitivity
    final InterestRateCurveSensitivity[] dLambdadC = new InterestRateCurveSensitivity[nbCal];
    for (int loopcal1 = 0; loopcal1 < nbCal; loopcal1++) {
      dLambdadC[loopcal1] = new InterestRateCurveSensitivity();
      for (int loopcal2 = 0; loopcal2 <= loopcal1; loopcal2++) {
        dLambdadC[loopcal1] = dLambdadC[loopcal1].plus(pvcsCalDiff[loopcal2].multipliedBy(dPvCaldLambdaMatrixInverse.getEntry(loopcal1, loopcal2)));
      }
    }
    InterestRateCurveSensitivity pvcs = new InterestRateCurveSensitivity();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      pvcs = pvcs.plus(dLambdadC[loopcal].multipliedBy(dPvAmdLambda[loopcal]));
    }
    pvcs = pvcs.plus(pvcsCal);
    pvcs = pvcs.cleaned();
    final List<Object> results = new ArrayList<>();
    results.add(CurrencyAmount.of(swaption.getCurrency(), METHOD_SWAPTION_LMM.presentValue(swaption, lmmBundle).getAmount()));
    results.add(pvcs);
    results.add(pvss);
    return results;
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    assertEquals("Bill Security: discounting method - yield", yieldExpected, yieldComputed, TOLERANCE_YIELD);
  }

  @Test
  public void presentValueCurveSensitivity() {
    final InterestRateCurveSensitivity pvcsComputed = METHOD_SECURITY.presentValueCurveSensitivity(BILL_IAM_SEC, CURVE_BUNDLE);
    assertEquals("Bill Security: present value curve sensitivity", 1, pvcsComputed.getSensitivities().size());
    assertEquals("Bill Security: present value curve sensitivity", 1, pvcsComputed.getSensitivities().get(NAME_CURVES[1]).size());
    final double deltaTolerancePrice = 1.0E+2;
    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 0.01 unit for a 1 bp move.
    final double deltaShift = 1.0E-6;
    // Credit curve sensitivity
    final String bumpedCurveName = "Bumped Curve";
    final BillSecurity billBumped = BILL_IAM_SEC_DEFINITION.toDerivative(REFERENCE_DATE, NAME_CURVES[0], bumpedCurveName);
    final double[] nodeTimes = new double[] {billBumped.getEndTime() };
    final double[] sensi = SensitivityFiniteDifference.curveSensitivity(billBumped, CURVE_BUNDLE, NAME_CURVES[1], bumpedCurveName, nodeTimes, deltaShift, METHOD_SECURITY);
    final List<DoublesPair> sensiPv = pvcsComputed.getSensitivities().get(NAME_CURVES[1]);
    for (int loopnode = 0; loopnode < sensi.length; loopnode++) {
      final DoublesPair pairPv = sensiPv.get(loopnode);
      assertEquals("Bill Security: curve sensitivity - Node " + loopnode, nodeTimes[loopnode], pairPv.getFirst(), 1E-8);
      AssertJUnit.assertEquals("Bill Security: curve sensitivity", pairPv.second, sensi[loopnode], deltaTolerancePrice);
    }
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    }
  }

  @Test
  public void presentValueCurveSensitivityMethodVsCalculator() {
    final InterestRateCurveSensitivity pvcsMethod = METHOD_SECURITY.presentValueCurveSensitivity(BILL_IAM_SEC, CURVE_BUNDLE);
    final InterestRateCurveSensitivity pvcsCalculator = new InterestRateCurveSensitivity(BILL_IAM_SEC.accept(PVCSC, CURVE_BUNDLE));
    AssertSensivityObjects.assertEquals("Bill Security: discounting method - curve sensitivity", pvcsMethod, pvcsCalculator, TOLERANCE_PV);
  }
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   */
  public DoubleMatrix1D calculateSensitivity(final InstrumentDerivative instrument, final Set<String> fixedCurves, final YieldCurveBundle bundle) {
    ArgumentChecker.notNull(instrument, "null InterestRateDerivative");
    ArgumentChecker.notNull(fixedCurves, "null set of fixed curves.");
    ArgumentChecker.notNull(bundle, "null bundle");
    InterestRateCurveSensitivity sensitivity = instrument.accept(_curveSensitivityCalculator, bundle);
    sensitivity = sensitivity.cleaned(); // TODO: for testing purposes mainly. Could be removed after the tests.
    return pointToParameterSensitivity(sensitivity, fixedCurves, bundle);
  }
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    final List<DoublesPair> listFunding = new ArrayList<>();
    listForward.add(new DoublesPair(future.getFixingPeriodStartTime(), -future.getFixingPeriodStartTime() * dfForwardStart * dfForwardStartBar));
    listForward.add(new DoublesPair(future.getFixingPeriodEndTime(), -future.getFixingPeriodEndTime() * dfForwardEnd * dfForwardEndBar));
    resultMap.put(future.getDiscountingCurveName(), listFunding);
    resultMap.put(future.getForwardCurveName(), listForward);
    final InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    return result;
  }
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    final List<DoublesPair> temp = new ArrayList<>();
    temp.add(s1);
    temp.add(s2);
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    result.put(curveName, temp);
    return new InterestRateCurveSensitivity(result);
  }
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      final DoublesPair dfSensi = new DoublesPair(cfe.getNthPayment(loopcf).getPaymentTime(), -cfe.getNthPayment(loopcf).getPaymentTime() * df[loopcf] * dfBar[loopcf]);
      listDfSensi.add(dfSensi);
    }
    final Map<String, List<DoublesPair>> pvsDF = new HashMap<>();
    pvsDF.put(cfe.getDiscountCurve(), listDfSensi);
    InterestRateCurveSensitivity sensitivity = new InterestRateCurveSensitivity(pvsDF);
    final Map<Double, InterestRateCurveSensitivity> cfeCurveSensi = futures.getUnderlyingSwap().accept(CFECSC, curves);
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      final InterestRateCurveSensitivity sensiCfe = cfeCurveSensi.get(cfe.getNthPayment(loopcf).getPaymentTime());
      if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.
        sensitivity = sensitivity.plus(sensiCfe.multipliedBy(cfeAmountBar[loopcf]));
      }
    }
    return sensitivity;
  }
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    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, calendar, curveBlack);
    final double forwardModified = PRC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, curveBlack, calendar);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, curveBlack);
    final double maturity = swaption.getMaturityTime();
    // Derivative of the forward and pvbp with respect to the rates.
    final InterestRateCurveSensitivity pvbpModifiedDr = METHOD_SWAP.presentValueBasisPointCurveSensitivity(swaption.getUnderlyingSwap(), dayCountModification, calendar, curveBlack);
    final InterestRateCurveSensitivity forwardModifiedDr = new InterestRateCurveSensitivity(PRSC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, curveBlack));
    // Implementation note: strictly speaking, the strike equivalent is curve dependent; that dependency is ignored.
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), maturity);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    InterestRateCurveSensitivity result = pvbpModifiedDr.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * bsAdjoint[1]));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return result;
  }
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      listDf.add(dfSensi);
      cfeAmountIborBar[loopcf] = dfIbor[loopcf] * discountedCashFlowIborBar[loopcf];
    }
    final Map<String, List<DoublesPair>> pvsDF = new HashMap<>();
    pvsDF.put(fundingCurveName, listDf);
    InterestRateCurveSensitivity sensitivity = new InterestRateCurveSensitivity(pvsDF);
    final Map<Double, InterestRateCurveSensitivity> cfeIborCurveSensi = swaption.getUnderlyingSwap().getSecondLeg().accept(CFECSC, hwData);
    for (int loopcf = 0; loopcf < cfeIbor.getNumberOfPayments(); loopcf++) {
      final InterestRateCurveSensitivity sensiCfe = cfeIborCurveSensi.get(cfeIbor.getNthPayment(loopcf).getPaymentTime());
      if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.
        sensitivity = sensitivity.plus(sensiCfe.multipliedBy(cfeAmountIborBar[loopcf]));
      }
    }
    return sensitivity;
  }
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