Package com.opengamma.analytics.financial.interestrate.annuity.derivative

Examples of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed

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   * @return The present value Black sensitivity.
   */
  public PresentValueBlackSwaptionSensitivity presentValueBlackSensitivity(final SwaptionCashFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRC, curveBlack);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    final double discountFactorSettle = curveBlack.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
    final DoublesPair point = new DoublesPair(swaption.getTimeToExpiry(), swaption.getMaturityTime());
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = curveBlack.getBlackParameters().getVolatility(point);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
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   * @return The forward delta
   */
  public double forwardDeltaTheoretical(final SwaptionCashFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double tenor = swaption.getMaturityTime();
    final double forward = swaption.getUnderlyingSwap().accept(PRC, curveBlack);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // Implementation comment: cash-settled swaptions make sense only for constant strike, the computation of coupon equivalent is not required.
    final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
    final double discountFactorSettle = curveBlack.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());

    final double strike = swaption.getStrike();
    final double expiry = swaption.getTimeToExpiry();
    final boolean isCall = swaption.isCall();
    final double df = discountFactorSettle * pvbp;
 
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   * @return The forward gamma
   */
  public double forwardGammaTheoretical(final SwaptionCashFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double tenor = swaption.getMaturityTime();
    final double forward = swaption.getUnderlyingSwap().accept(PRC, curveBlack);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // Implementation comment: cash-settled swaptions make sense only for constant strike, the computation of coupon equivalent is not required.
    final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
    final double discountFactorSettle = curveBlack.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());

    final double strike = swaption.getStrike();
    final double expiry = swaption.getTimeToExpiry();
    final double df = discountFactorSettle * pvbp;
    return df * BlackFormulaRepository.gamma(forward, strike, expiry, volatility) * (swaption.isLong() ? 1.0 : -1.0);
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   */
  public double driftlessThetaTheoretical(final SwaptionCashFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final double tenor = swaption.getMaturityTime();
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRC, curveBlack);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // Implementation comment: cash-settled swaptions make sense only for constant strike, the computation of coupon equivalent is not required.
    final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
    final double discountFactorSettle = curveBlack.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());

    final double strike = swaption.getStrike();
    final double expiry = swaption.getTimeToExpiry();
    final double df = discountFactorSettle * pvbp;
    return df * BlackFormulaRepository.driftlessTheta(forward, strike, expiry, volatility) * (swaption.isLong() ? 1.0 : -1.0);
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   * @return The forward theta
   */
  public double forwardThetaTheoretical(final SwaptionCashFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double tenor = swaption.getMaturityTime();
    final double forward = swaption.getUnderlyingSwap().accept(PRC, curveBlack);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // Implementation comment: cash-settled swaptions make sense only for constant strike, the computation of coupon equivalent is not required.
    final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
    final double discountFactorSettle = curveBlack.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());

    final double strike = swaption.getStrike();
    final double expiry = swaption.getTimeToExpiry();
    final boolean isCall = swaption.isCall();
    final double df = discountFactorSettle * pvbp;
 
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   * @return The forward vega
   */
  public double forwardVegaTheoretical(final SwaptionCashFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double tenor = swaption.getMaturityTime();
    final double forward = swaption.getUnderlyingSwap().accept(PRC, curveBlack);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // Implementation comment: cash-settled swaptions make sense only for constant strike, the computation of coupon equivalent is not required.
    final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
    final double discountFactorSettle = curveBlack.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());

    final double strike = swaption.getStrike();
    final double expiry = swaption.getTimeToExpiry();
    final double df = discountFactorSettle * pvbp;
    return df * BlackFormulaRepository.vega(forward, strike, expiry, volatility) * (swaption.isLong() ? 1.0 : -1.0);
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      _tau = 1.0 / _nbFixedPaymentYear;
      _delta = cmsCoupon.getPaymentTime() - cmsCoupon.getSettlementTime();
      _eta = -_delta;
      _sabrParameter = sabrParameter;
      _timeToExpiry = cmsCoupon.getFixingTime();
      final AnnuityCouponFixed annuityFixed = cmsCoupon.getUnderlyingSwap().getFixedLeg();
      _maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - cmsCoupon.getSettlementTime();
      _forward = forward;
    }
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   * @return The present value.
   */
  public double presentValue(final SwaptionCashFixedIbor swaption, final SABRInterestRateDataBundle sabrData) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(sabrData, "SARB data");
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRC, sabrData);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // Implementation comment: cash-settled swaptions make sense only for constant strike, the computation of coupon equivalent is not required.
    final double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
    final double discountFactorSettle = sabrData.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
    double price;
    if (swaption.getStrike() <= _cutOffStrike) { // No extrapolation
      final BlackPriceFunction blackFunction = new BlackPriceFunction();
      final double volatility = sabrData.getSABRParameter().getVolatility(swaption.getTimeToExpiry(), maturity, swaption.getStrike(), forward);
      final BlackFunctionData dataBlack = new BlackFunctionData(forward, discountFactorSettle * pvbp, volatility);
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   * @return The present value curve sensitivity.
   */
  public InterestRateCurveSensitivity presentValueSensitivity(final SwaptionCashFixedIbor swaption, final SABRInterestRateDataBundle sabrData) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(sabrData, "SARB data");
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRC, sabrData);
    // Derivative of the forward with respect to the rates.
    final InterestRateCurveSensitivity forwardDr = new InterestRateCurveSensitivity(swaption.getUnderlyingSwap().accept(PRSC, sabrData));
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // Derivative of the annuity with respect to the forward.
    final double pvbpDf = METHOD_SWAP.getAnnuityCashDerivative(swaption.getUnderlyingSwap(), forward);
    final String discountCurveName = annuityFixed.getNthPayment(0).getFundingCurveName();
    final double discountFactorSettle = sabrData.getCurve(discountCurveName).getDiscountFactor(swaption.getSettlementTime());
    final double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final double dfDr = -swaption.getSettlementTime() * discountFactorSettle;
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(swaption.getSettlementTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
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   */
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final SwaptionCashFixedIbor swaption, final SABRInterestRateDataBundle sabrData) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(sabrData, "SABR data");
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRC, sabrData);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    final double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
    final double discountFactorSettle = sabrData.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final double alpha = sabrData.getSABRParameter().getAlpha(expiryMaturity);
    final double beta = sabrData.getSABRParameter().getBeta(expiryMaturity);
    final double rho = sabrData.getSABRParameter().getRho(expiryMaturity);
    final double nu = sabrData.getSABRParameter().getNu(expiryMaturity);
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