Package com.opengamma.analytics.financial.interestrate

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

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  /**
   * Tests the Black volatility sensitivity (vega).
   */
  public void presentValueBlackSensitivity() {
    final double shift = 1.0E-6;
    final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, CURVES_BLACK);
    final BlackFlatSwaptionParameters BlackP = TestsDataSetsBlack.createBlackSwaptionEUR6Shift(shift);
    final YieldCurveWithBlackSwaptionBundle curvesBlackP = new YieldCurveWithBlackSwaptionBundle(BlackP, CURVES);
    final CurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
    final BlackFlatSwaptionParameters BlackM = TestsDataSetsBlack.createBlackSwaptionEUR6Shift(-shift);
    final YieldCurveWithBlackSwaptionBundle curvesBlackM = new YieldCurveWithBlackSwaptionBundle(BlackM, CURVES);
    final CurrencyAmount 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() - pvM.getAmount()) / (2 * shift), pvbvs.getSensitivity().getMap().get(point), TOLERANCE_DELTA);
  }
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  @Test
  /**
   * Tests the Black volatility sensitivity (vega).
   */
  public void presentValueBlackSensitivityMethodVsCalculator() {
    final PresentValueBlackSwaptionSensitivity pvbsMethod = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, CURVES_BLACK);
    final PresentValueBlackSwaptionSensitivity pvbsCalculator = SWAPTION_LONG_REC.accept(PVBSC_BLACK, CURVES_BLACK);
    assertEquals("Swaption Black method: present value", pvbsMethod, pvbsCalculator);
  }
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  /**
   * Tests the Black volatility sensitivity (vega).
   */
  public void presentValueBlackNodeSensitivity() {
    final double shift = 1.0E-6;
    final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, CURVES_BLACK);
    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 = TestsDataSetsBlack.createBlackSwaptionEUR6Shift(loopindex, shift);
      final YieldCurveWithBlackSwaptionBundle curvesBlackP = new YieldCurveWithBlackSwaptionBundle(BlackP, CURVES);
      final CurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
      final BlackFlatSwaptionParameters BlackM = TestsDataSetsBlack.createBlackSwaptionEUR6Shift(loopindex, -shift);
      final YieldCurveWithBlackSwaptionBundle curvesBlackM = new YieldCurveWithBlackSwaptionBundle(BlackM, CURVES);
      final CurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
      assertEquals("Swaption Black method: present value volatility sensitivity", (pvP.getAmount() - pvM.getAmount()) / (2 * shift),
          pvbns.getSensitivity().getMap().get(new DoublesPair(x[loopindex], y[loopindex])), TOLERANCE_DELTA);
    }
  }
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    //    final double pv = numeraire * bsAdjoint[0] * sign;
    // Backward sweep
    final DoublesPair point = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final Map<DoublesPair, Double> sensitivity = new HashMap<>();
    sensitivity.put(point, bsAdjoint[2] * numeraire * sign);
    return new PresentValueBlackSwaptionSensitivity(sensitivity, curveBlack.getBlackParameters().getGeneratorSwap());
  }
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  }

  @Test
  public void presentValueBlackSensitivity() {
    final double shift = 1.0E-6;
    final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, CURVES_BLACK);
    final BlackFlatSwaptionParameters BlackP = TestsDataSetsBlack.createBlackSwaptionBRLShift(shift);
    final YieldCurveWithBlackSwaptionBundle curvesBlackP = new YieldCurveWithBlackSwaptionBundle(BlackP, CURVES);
    final CurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
    final BlackFlatSwaptionParameters BlackM = TestsDataSetsBlack.createBlackSwaptionBRLShift(-shift);
    final YieldCurveWithBlackSwaptionBundle curvesBlackM = new YieldCurveWithBlackSwaptionBundle(BlackM, CURVES);
    final CurrencyAmount 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() - pvM.getAmount()) / (2 * shift), pvbvs.getSensitivity().getMap().get(point), TOLERANCE_DELTA);
  }
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    assertEquals("Swaption Black method: present value volatility sensitivity", (pvP.getAmount() - pvM.getAmount()) / (2 * shift), pvbvs.getSensitivity().getMap().get(point), TOLERANCE_DELTA);
  }

  @Test
  public void presentValueBlackSensitivityMethodVsCalculator() {
    final PresentValueBlackSwaptionSensitivity pvbsMethod = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, CURVES_BLACK);
    final PresentValueBlackSwaptionSensitivity pvbsCalculator = SWAPTION_LONG_REC.accept(PVBSBC, CURVES_BLACK);
    assertEquals("SwaptionPhysicalFixedCompoundedONCompoundedBlackMethod: presentValueBlackSensitivity", pvbsMethod, pvbsCalculator);

  }
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  /**
   * Tests the Black volatility sensitivity (vega).
   */
  public void presentValueBlackSensitivity() {
    final double shift = 1.0E-6;
    final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, CURVES_BLACK);
    final BlackFlatSwaptionParameters BlackP = TestsDataSetsBlack.createBlackSwaptionEUR6Shift(shift);
    final YieldCurveWithBlackSwaptionBundle curvesBlackP = new YieldCurveWithBlackSwaptionBundle(BlackP, CURVES);
    final CurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
    final BlackFlatSwaptionParameters BlackM = TestsDataSetsBlack.createBlackSwaptionEUR6Shift(-shift);
    final YieldCurveWithBlackSwaptionBundle curvesBlackM = new YieldCurveWithBlackSwaptionBundle(BlackM, CURVES);
    final CurrencyAmount 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() - pvM.getAmount()) / (2 * shift), pvbvs.getSensitivity().getMap().get(point), TOLERANCE_DELTA);
  }
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  @Test
  /**
   * Tests the Black volatility sensitivity (vega).
   */
  public void presentValueBlackSensitivityMethodVsCalculator() {
    final PresentValueBlackSwaptionSensitivity pvbsMethod = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, CURVES_BLACK);
    final PresentValueBlackSwaptionSensitivity pvbsCalculator = SWAPTION_LONG_REC.accept(PVBSC_BLACK, CURVES_BLACK);
    assertEquals("Swaption Black method: present value", pvbsMethod, pvbsCalculator);
  }
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  /**
   * Tests the Black volatility sensitivity (vega).
   */
  public void presentValueBlackNodeSensitivity() {
    final double shift = 1.0E-6;
    final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, CURVES_BLACK);
    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 = TestsDataSetsBlack.createBlackSwaptionEUR6Shift(loopindex, shift);
      final YieldCurveWithBlackSwaptionBundle curvesBlackP = new YieldCurveWithBlackSwaptionBundle(BlackP, CURVES);
      final CurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
      final BlackFlatSwaptionParameters BlackM = TestsDataSetsBlack.createBlackSwaptionEUR6Shift(loopindex, -shift);
      final YieldCurveWithBlackSwaptionBundle curvesBlackM = new YieldCurveWithBlackSwaptionBundle(BlackM, CURVES);
      final CurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
      assertEquals("Swaption Black method: present value volatility sensitivity", (pvP.getAmount() - pvM.getAmount()) / (2 * shift),
          pvbns.getSensitivity().getMap().get(new DoublesPair(x[loopindex], y[loopindex])), TOLERANCE_DELTA);
    }
  }
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    super(ValueRequirementNames.VALUE_VEGA);
  }

  @Override
  protected Set<ComputedValue> getResult(final InstrumentDerivative swaption, final YieldCurveWithBlackSwaptionBundle data, final ValueSpecification spec) {
    final PresentValueBlackSwaptionSensitivity sensitivities = swaption.accept(CALCULATOR, data);
    final HashMap<DoublesPair, Double> result = sensitivities.getSensitivity().getMap();
    if (result.size() != 1) {
      throw new OpenGammaRuntimeException("Expecting only one result for Black value vega");
    }
    return Collections.singleton(new ComputedValue(spec, result.values().iterator().next()));
  }
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