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

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

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

com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityPaymentFixed
A wrapper class for a GenericAnnuity containing PaymentFixed. Useful for amortized bond nominal repayments.

  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final HullWhiteOneFactorProviderInterface hullWhite) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(hullWhite, "Hull-White provider");
    final Currency ccy = swaption.getCurrency();
    final double expiryTime = swaption.getTimeToExpiry();
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, hullWhite.getMulticurveProvider());
    final double[] alpha = new double[cfe.getNumberOfPayments()];
    final double[] df = new double[cfe.getNumberOfPayments()];
    final double[] discountedCashFlow = new double[cfe.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      alpha[loopcf] = MODEL.alpha(hullWhite.getHullWhiteParameters(), 0.0, expiryTime, expiryTime, cfe.getNthPayment(loopcf).getPaymentTime());
      df[loopcf] = hullWhite.getMulticurveProvider().getDiscountFactor(ccy, cfe.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlow[loopcf] = df[loopcf] * cfe.getNthPayment(loopcf).getAmount();
    }
    // Integration
    final SwaptionIntegrant integrant = new SwaptionIntegrant(discountedCashFlow, alpha);
    final double limit = 10.0;
    final double absoluteTolerance = 1.0E-2;

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   * @param hullWhite The Hull-White parameters and the curves.
   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final HullWhiteOneFactorProviderInterface hullWhite) {
    ArgumentChecker.notNull(swaption, "Swaption");
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, hullWhite.getMulticurveProvider());
    return presentValue(swaption, cfe, hullWhite);
  }

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  public double[] presentValueHullWhiteSensitivity(final SwaptionPhysicalFixedIbor swaption, final HullWhiteOneFactorProviderInterface hullWhite) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(hullWhite, "Hull-White provider");
    final int nbSigma = hullWhite.getHullWhiteParameters().getVolatility().length;
    final double[] sigmaBar = new double[nbSigma];
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, hullWhite.getMulticurveProvider());
    //Forward sweep
    final double expiryTime = swaption.getTimeToExpiry();
    final double[] alpha = new double[cfe.getNumberOfPayments()];
    final double[][] alphaDerivatives = new double[cfe.getNumberOfPayments()][nbSigma];
    final double[] df = new double[cfe.getNumberOfPayments()];
    final double[] discountedCashFlow = new double[cfe.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      alpha[loopcf] = MODEL.alpha(hullWhite.getHullWhiteParameters(), 0.0, expiryTime, expiryTime, cfe.getNthPayment(loopcf).getPaymentTime(), alphaDerivatives[loopcf]);
      df[loopcf] = hullWhite.getMulticurveProvider().getDiscountFactor(swaption.getCurrency(), cfe.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlow[loopcf] = df[loopcf] * cfe.getNthPayment(loopcf).getAmount();
    }
    final double kappa = MODEL.kappa(discountedCashFlow, alpha);
    final double omega = (swaption.getUnderlyingSwap().getFixedLeg().isPayer() ? -1.0 : 1.0);
    //Backward sweep
    final double pvBar = 1.0;
    final double[] alphaBar = new double[cfe.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      alphaBar[loopcf] = discountedCashFlow[loopcf] * NORMAL.getPDF(omega * (kappa + alpha[loopcf])) * omega * pvBar;
    }
    for (int loopsigma = 0; loopsigma < nbSigma; loopsigma++) {
      for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
        sigmaBar[loopsigma] += alphaDerivatives[loopcf][loopsigma] * alphaBar[loopcf];
      }
    }
    if (!swaption.isLong()) {
      for (int loopsigma = 0; loopsigma < nbSigma; loopsigma++) {

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  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final SwaptionPhysicalFixedIbor swaption, final HullWhiteOneFactorProviderInterface hullWhite) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(hullWhite, "Hull-White provider");
    final Currency ccy = swaption.getCurrency();
    final int nbSigma = hullWhite.getHullWhiteParameters().getVolatility().length;
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, hullWhite.getMulticurveProvider());
    //Forward sweep
    final double expiryTime = swaption.getTimeToExpiry();
    final double[] alpha = new double[cfe.getNumberOfPayments()];
    final double[][] alphaDerivatives = new double[cfe.getNumberOfPayments()][nbSigma];
    final double[] df = new double[cfe.getNumberOfPayments()];
    final double[] discountedCashFlow = new double[cfe.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      alpha[loopcf] = MODEL.alpha(hullWhite.getHullWhiteParameters(), 0.0, expiryTime, expiryTime, cfe.getNthPayment(loopcf).getPaymentTime(), alphaDerivatives[loopcf]);
      df[loopcf] = hullWhite.getMulticurveProvider().getDiscountFactor(swaption.getCurrency(), cfe.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlow[loopcf] = df[loopcf] * cfe.getNthPayment(loopcf).getAmount();
    }
    final double kappa = MODEL.kappa(discountedCashFlow, alpha);
    final double omega = (swaption.getUnderlyingSwap().getFixedLeg().isPayer() ? -1.0 : 1.0);
    final double[] ncdf = new double[cfe.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      ncdf[loopcf] = NORMAL.getCDF(omega * (kappa + alpha[loopcf]));
    }
    //Backward sweep
    final double pvBar = 1.0;
    final double[] discountedCashFlowBar = new double[cfe.getNumberOfPayments()];
    final double[] dfBar = new double[cfe.getNumberOfPayments()];
    final double[] cfeAmountBar = new double[cfe.getNumberOfPayments()];
    final List<DoublesPair> listDfSensi = new ArrayList<>();
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      discountedCashFlowBar[loopcf] = ncdf[loopcf] * pvBar;
      dfBar[loopcf] = cfe.getNthPayment(loopcf).getAmount() * discountedCashFlowBar[loopcf];
      cfeAmountBar[loopcf] = df[loopcf] * discountedCashFlowBar[loopcf];
      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(hullWhite.getMulticurveProvider().getName(ccy), listDfSensi);


    MulticurveSensitivity sensitivity = MulticurveSensitivity.ofYieldDiscounting(pvsDF);
    final Map<Double, MulticurveSensitivity> cfeCurveSensi = swaption.getUnderlyingSwap().accept(CFECSC, hullWhite.getMulticurveProvider());
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      final MulticurveSensitivity sensiCfe = cfeCurveSensi.get(cfe.getNthPayment(loopcf).getPaymentTime());
      if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.
        sensitivity = sensitivity.plus(sensiCfe.multipliedBy(cfeAmountBar[loopcf]));
      }
    }
    if (!swaption.isLong()) {

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   */
  public CurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(lmmBundle, "LMM bundle");
    // 1. Swaption CFE preparation
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, lmmBundle);
    final YieldAndDiscountCurve dsc = lmmBundle.getCurve(cfe.getDiscountCurve());
    final int nbCFInit = cfe.getNumberOfPayments();
    final double multFact = Math.signum(cfe.getNthPayment(0).getAmount());
    final boolean isCall = (cfe.getNthPayment(0).getAmount() < 0);
    final double[] cftInit = new double[nbCFInit];
    final double[] cfaInit = new double[nbCFInit];
    for (int loopcf = 0; loopcf < nbCFInit; loopcf++) {
      cftInit[loopcf] = cfe.getNthPayment(loopcf).getPaymentTime();
      cfaInit[loopcf] = cfe.getNthPayment(loopcf).getAmount() * -multFact;
    }
    final double timeToExpiry = swaption.getTimeToExpiry();
    // 2. Model data
    final int nbFactor = lmmBundle.getLmmParameter().getNbFactor();
    final double[][] volLMM = lmmBundle.getLmmParameter().getVolatility();

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   * @param lmmBundle The LMM parameters and the curves.
   * @return The sensitivity.
   */
  public double[][] presentValueLMMSensitivity(final SwaptionPhysicalFixedIbor swaption, final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle) {
    // 1. Swaption CFE preparation
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, lmmBundle);
    final YieldAndDiscountCurve dsc = lmmBundle.getCurve(cfe.getDiscountCurve());
    final int nbCFInit = cfe.getNumberOfPayments();
    final double multFact = Math.signum(cfe.getNthPayment(0).getAmount());
    final boolean isCall = (cfe.getNthPayment(0).getAmount() < 0);
    final double[] cftInit = new double[nbCFInit];
    final double[] cfaInit = new double[nbCFInit];
    for (int loopcf = 0; loopcf < nbCFInit; loopcf++) {
      cftInit[loopcf] = cfe.getNthPayment(loopcf).getPaymentTime();
      cfaInit[loopcf] = cfe.getNthPayment(loopcf).getAmount() * -multFact;
    }
    final double timeToExpiry = swaption.getTimeToExpiry();
    // 2. Model data
    final int nbFactor = lmmBundle.getLmmParameter().getNbFactor();
    final double[][] volLMM = lmmBundle.getLmmParameter().getVolatility();

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   * @param lmmBundle The LMM parameters and the curves.
   * @return The sensitivity.
   */
  public double[] presentValueDDSensitivity(final SwaptionPhysicalFixedIbor swaption, final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle) {
    // 1. Swaption CFE preparation
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, lmmBundle);
    final YieldAndDiscountCurve dsc = lmmBundle.getCurve(cfe.getDiscountCurve());
    final int nbCFInit = cfe.getNumberOfPayments();
    final double multFact = Math.signum(cfe.getNthPayment(0).getAmount());
    final boolean isCall = (cfe.getNthPayment(0).getAmount() < 0);
    final double[] cftInit = new double[nbCFInit];
    final double[] cfaInit = new double[nbCFInit];
    for (int loopcf = 0; loopcf < nbCFInit; loopcf++) {
      cftInit[loopcf] = cfe.getNthPayment(loopcf).getPaymentTime();
      cfaInit[loopcf] = cfe.getNthPayment(loopcf).getAmount() * -multFact;
    }
    final double timeToExpiry = swaption.getTimeToExpiry();
    // 2. Model data
    final int nbFactor = lmmBundle.getLmmParameter().getNbFactor();
    final double[][] volLMM = lmmBundle.getLmmParameter().getVolatility();

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   * @param lmmBundle The LMM parameters and the curves.
   * @return The present value.
   */
  public InterestRateCurveSensitivity presentValueCurveSensitivity(final SwaptionPhysicalFixedIbor swaption, final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle) {
    // 1. Swaption CFE preparation
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, lmmBundle);
    final YieldAndDiscountCurve dsc = lmmBundle.getCurve(cfe.getDiscountCurve());
    final int nbCFInit = cfe.getNumberOfPayments();
    final double multFact = Math.signum(cfe.getNthPayment(0).getAmount());
    final boolean isCall = (cfe.getNthPayment(0).getAmount() < 0);
    final double[] cftInit = new double[nbCFInit];
    final double[] cfaInit = new double[nbCFInit];
    for (int loopcf = 0; loopcf < nbCFInit; loopcf++) {
      cftInit[loopcf] = cfe.getNthPayment(loopcf).getPaymentTime();
      cfaInit[loopcf] = cfe.getNthPayment(loopcf).getAmount() * -multFact;
    }
    final double timeToExpiry = swaption.getTimeToExpiry();
    // 2. Model data
    final int nbFactor = lmmBundle.getLmmParameter().getNbFactor();
    final double[][] volLMM = lmmBundle.getLmmParameter().getVolatility();
    final double[] timeLMM = lmmBundle.getLmmParameter().getIborTime();
    // 3. Link cfe dates to lmm
    final int[] indCFDate = new int[nbCFInit];
    int indStart = nbCFInit - 1;
    int indEnd = 0;
    for (int loopcf = 0; loopcf < nbCFInit; loopcf++) {
      indCFDate[loopcf] = Arrays.binarySearch(timeLMM, cftInit[loopcf]);
      if (indCFDate[loopcf] < 0) {
        if (timeLMM[-indCFDate[loopcf] - 1] - cftInit[loopcf] < TIME_TOLERANCE) {
          indCFDate[loopcf] = -indCFDate[loopcf] - 1;
        } else {
          if (cftInit[loopcf] - timeLMM[-indCFDate[loopcf] - 2] < TIME_TOLERANCE) {
            indCFDate[loopcf] = -indCFDate[loopcf] - 2;
          } else {
            ArgumentChecker.isTrue(true, "Instrument time incompatible with LMM");
          }
        }
      }
      if (indCFDate[loopcf] < indStart) {
        indStart = indCFDate[loopcf];
      }
      if (indCFDate[loopcf] > indEnd) {
        indEnd = indCFDate[loopcf];
      }
    }
    final int nbCF = indEnd - indStart + 1;
    final double[] cfa = new double[nbCF];
    for (int loopcf = 0; loopcf < nbCFInit; loopcf++) {
      cfa[indCFDate[loopcf] - indStart] = cfaInit[loopcf];
    }
    final double[] cft = new double[nbCF];
    System.arraycopy(timeLMM, indStart, cft, 0, nbCF);
    final double[] dfLMM = new double[nbCF];
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      dfLMM[loopcf] = dsc.getDiscountFactor(cft[loopcf]);
    }
    final double[][] gammaLMM = new double[nbCF - 1][nbFactor];
    final double[] deltaLMM = new double[nbCF - 1];
    System.arraycopy(lmmBundle.getLmmParameter().getAccrualFactor(), indStart, deltaLMM, 0, nbCF - 1);
    final double[] aLMM = new double[nbCF - 1];
    System.arraycopy(lmmBundle.getLmmParameter().getDisplacement(), indStart, aLMM, 0, nbCF - 1);
    final double[] liborLMM = new double[nbCF - 1];
    final double amr = lmmBundle.getLmmParameter().getMeanReversion();
    for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
      gammaLMM[loopcf] = volLMM[indStart + loopcf];
      liborLMM[loopcf] = (dfLMM[loopcf] / dfLMM[loopcf + 1] - 1.0d) / deltaLMM[loopcf];
    }
    final double[] cfaMod = new double[nbCF + 1];
    final double cfaMod0 = cfa[0];
    cfaMod[0] = cfaMod0; // modified strike
    cfaMod[1] = 0.0; // TODO: 4. cfe modification (for roller coasters)
    System.arraycopy(cfa, 1, cfaMod, 2, nbCF - 1);
    // 5. Pricing algorithm
    final double[] p0 = new double[nbCF];
    final double[] dP = new double[nbCF];
    double b0 = 0;
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      p0[loopcf] = dfLMM[loopcf] / dfLMM[0];
      dP[loopcf] = cfaMod[loopcf + 1] * p0[loopcf];
      b0 += dP[loopcf];
    }
    final double bK = -cfaMod[0];
    final double bM = (b0 + bK) / 2.0d;
    final double[] rate0Ratio = new double[nbCF - 1];
    final double[][] mu0 = new double[nbCF - 1][nbFactor];
    for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
      rate0Ratio[loopcf] = (liborLMM[loopcf] + aLMM[loopcf]) / (liborLMM[loopcf] + 1 / deltaLMM[loopcf]);
    }
    for (int loopfact = 0; loopfact < nbFactor; loopfact++) {
      mu0[0][loopfact] = rate0Ratio[0] * gammaLMM[0][loopfact];
    }
    for (int loopcf = 1; loopcf < nbCF - 1; loopcf++) {
      for (int loopfact = 0; loopfact < nbFactor; loopfact++) {
        mu0[loopcf][loopfact] = mu0[loopcf - 1][loopfact] + rate0Ratio[loopcf] * gammaLMM[loopcf][loopfact];
      }
    }
    final double meanReversionImpact = (Math.exp(2.0d * amr * timeToExpiry) - 1.0d) / (2.0d * amr);
    final double[] tau = new double[nbCF];
    final double[] tau2 = new double[nbCF];
    for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
      for (int loopfact = 0; loopfact < nbFactor; loopfact++) {
        tau2[loopcf + 1] += mu0[loopcf][loopfact] * mu0[loopcf][loopfact];
      }
      tau2[loopcf + 1] = tau2[loopcf + 1] * meanReversionImpact;
      tau[loopcf + 1] = Math.sqrt(tau2[loopcf + 1]);
    }
    double sumNum = -bM;
    double sumDen = 0;
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      sumNum += dP[loopcf] - dP[loopcf] * tau2[loopcf] / 2.0;
      sumDen += dP[loopcf] * tau[loopcf];
    }
    final double xBar = sumNum / sumDen;
    final double[] pM = new double[nbCF];
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      pM[loopcf] = p0[loopcf] * (1 - xBar * tau[loopcf] - tau2[loopcf] / 2.0);
    }
    final double[] liborM = new double[nbCF - 1];
    final double[] alphaM = new double[nbCF];
    for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
      liborM[loopcf] = (pM[loopcf] / pM[loopcf + 1] - 1.0d) / deltaLMM[loopcf];
    }
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      alphaM[loopcf] = cfaMod[loopcf + 1] * pM[loopcf] / bM;
    }
    final double[] rateMRatio = new double[nbCF - 1];
    final double[][] muM = new double[nbCF - 1][nbFactor];
    for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
      rateMRatio[loopcf] = (liborM[loopcf] + aLMM[loopcf]) / (liborM[loopcf] + 1 / deltaLMM[loopcf]);
    }
    for (int loopfact = 0; loopfact < nbFactor; loopfact++) {
      muM[0][loopfact] = rateMRatio[0] * gammaLMM[0][loopfact];
    }
    for (int loopcf = 1; loopcf < nbCF - 1; loopcf++) {
      for (int loopfact = 0; loopfact < nbFactor; loopfact++) {
        muM[loopcf][loopfact] = muM[loopcf - 1][loopfact] + rateMRatio[loopcf] * gammaLMM[loopcf][loopfact];
      }
    }
    double normSigmaM = 0;
    final double[] sigmaM = new double[nbFactor];
    for (int loopfact = 0; loopfact < nbFactor; loopfact++) {
      for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
        sigmaM[loopfact] += alphaM[loopcf + 1] * muM[loopcf][loopfact];
      }
      normSigmaM += sigmaM[loopfact] * sigmaM[loopfact];
    }
    final double impliedBlackVol = Math.sqrt(normSigmaM * meanReversionImpact);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(bK, 1, isCall);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, 1.0, impliedBlackVol);
    final double[] blkAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double pvBar = 1.0;
    final double impliedBlackVolBar = dfLMM[0] * blkAdjoint[2] * (swaption.isLong() ? 1.0 : -1.0) * pvBar;
    final double normSigmaMBar = meanReversionImpact / (2.0 * impliedBlackVol) * impliedBlackVolBar;
    final double[] sigmaMBar = new double[nbFactor];
    for (int loopfact = 0; loopfact < nbFactor; loopfact++) {
      sigmaMBar[loopfact] = 2 * sigmaM[loopfact] * normSigmaMBar;
    }
    final double[][] muMBar = new double[nbCF - 1][nbFactor];
    for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
      for (int loopfact = 0; loopfact < nbFactor; loopfact++) {
        muMBar[loopcf][loopfact] = alphaM[loopcf + 1] * sigmaMBar[loopfact];
      }
    }
    for (int loopcf = nbCF - 3; loopcf >= 0; loopcf--) {
      for (int loopfact = 0; loopfact < nbFactor; loopfact++) {
        muMBar[loopcf][loopfact] += muMBar[loopcf + 1][loopfact];
      }
    }
    final double[] rateMRatioBar = new double[nbCF - 1];
    for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
      for (int loopfact = 0; loopfact < nbFactor; loopfact++) {
        rateMRatioBar[loopcf] += gammaLMM[loopcf][loopfact] * muMBar[loopcf][loopfact];
      }
    }
    final double[] alphaMBar = new double[nbCF];
    for (int loopfact = 0; loopfact < nbFactor; loopfact++) {
      for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
        alphaMBar[loopcf + 1] += muM[loopcf][loopfact] * sigmaMBar[loopfact];
      }
    }
    final double[] liborMBar = new double[nbCF - 1];
    for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
      liborMBar[loopcf] = ((liborM[loopcf] + 1 / deltaLMM[loopcf]) - (liborM[loopcf] + aLMM[loopcf])) / ((liborM[loopcf] + 1 / deltaLMM[loopcf]) * (liborM[loopcf] + 1 / deltaLMM[loopcf]))
          * rateMRatioBar[loopcf];
    }
    final double[] pMBar = new double[nbCF];
    for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
      pMBar[loopcf] += 1.0 / pM[loopcf + 1] / deltaLMM[loopcf] * liborMBar[loopcf];
      pMBar[loopcf + 1] += -pM[loopcf] / (pM[loopcf + 1] * pM[loopcf + 1]) / deltaLMM[loopcf] * liborMBar[loopcf];
    }
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      pMBar[loopcf] += cfaMod[loopcf + 1] / bM * alphaMBar[loopcf];
    }
    double xBarBar = 0.0;
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      xBarBar += -p0[loopcf] * tau[loopcf] * pMBar[loopcf];
    }
    final double sumNumBar = 1.0 / sumDen * xBarBar;
    final double sumDenBar = -sumNum / (sumDen * sumDen) * xBarBar;
    final double[] tauBar = new double[nbCF];
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      tauBar[loopcf] = -p0[loopcf] * xBar * pMBar[loopcf];
    }
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      tauBar[loopcf] += dP[loopcf] * sumDenBar;
    }
    final double[] tau2Bar = new double[nbCF];
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      tau2Bar[loopcf] = -p0[loopcf] / 2.0 * pMBar[loopcf];
    }
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      tau2Bar[loopcf] += -dP[loopcf] / 2.0 * sumNumBar;
    }
    for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
      tau2Bar[loopcf + 1] += 1.0 / tau[loopcf + 1] / 2.0 * tauBar[loopcf + 1];
    }
    final double[][] mu0Bar = new double[nbCF - 1][nbFactor];
    for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
      for (int loopfact = 0; loopfact < nbFactor; loopfact++) {
        mu0Bar[loopcf][loopfact] = 2.0 * mu0[loopcf][loopfact] * meanReversionImpact * tau2Bar[loopcf + 1];
      }
    }
    for (int loopcf = nbCF - 3; loopcf >= 0; loopcf--) {
      for (int loopfact = 0; loopfact < nbFactor; loopfact++) {
        mu0Bar[loopcf][loopfact] += mu0Bar[loopcf + 1][loopfact];
      }
    }
    final double[] rate0RatioBar = new double[nbCF - 1];
    for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
      for (int loopfact = 0; loopfact < nbFactor; loopfact++) {
        rate0RatioBar[loopcf] += gammaLMM[loopcf][loopfact] * mu0Bar[loopcf][loopfact];
      }
    }
    double bMBar = -sumNumBar;
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      bMBar += -cfaMod[loopcf + 1] * pM[loopcf] / (bM * bM) * alphaMBar[loopcf];
    }
    double bKBar = bMBar / 2.0;
    bKBar += dfLMM[0] * blkAdjoint[3] * (swaption.isLong() ? 1.0 : -1.0) * pvBar;
    double b0Bar = bMBar / 2.0;
    b0Bar += dfLMM[0] * blkAdjoint[1] * (swaption.isLong() ? 1.0 : -1.0) * pvBar;
    final double[] dPBar = new double[nbCF];
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      dPBar[loopcf] = b0Bar + tau[loopcf] * sumDenBar + (1.0 - tau2[loopcf] / 2.0) * sumNumBar;
    }
    final double[] p0Bar = new double[nbCF];
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      p0Bar[loopcf] = cfaMod[loopcf + 1] * dPBar[loopcf] + (1 - xBar * tau[loopcf] - tau2[loopcf] / 2.0) * pMBar[loopcf];
    }


    final double[] cfaModBar = new double[nbCF + 1];
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      cfaModBar[loopcf + 1] = p0[loopcf] * dPBar[loopcf] + pM[loopcf] / bM * alphaMBar[loopcf];
    }
    cfaModBar[0] += -bKBar;


    final double[] liborLMMBar = new double[nbCF - 1];
    for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
      liborLMMBar[loopcf] = (1.0 / (liborLMM[loopcf] + 1 / deltaLMM[loopcf]) - (liborLMM[loopcf] + aLMM[loopcf])
          / ((liborLMM[loopcf] + 1 / deltaLMM[loopcf]) * (liborLMM[loopcf] + 1 / deltaLMM[loopcf])))
          * rate0RatioBar[loopcf];
    }
    final double[] dfLMMBar = new double[nbCF];
    for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
      dfLMMBar[loopcf] += (1.0 / dfLMM[loopcf + 1]) / deltaLMM[loopcf] * liborLMMBar[loopcf];
      dfLMMBar[loopcf + 1] += -dfLMM[loopcf] / (dfLMM[loopcf + 1] * dfLMM[loopcf + 1]) / deltaLMM[loopcf] * liborLMMBar[loopcf];
    }
    for (int loopcf = 1; loopcf < nbCF; loopcf++) {
      dfLMMBar[loopcf] += 1.0 / dfLMM[0] * p0Bar[loopcf];
      dfLMMBar[0] += -dfLMM[loopcf] / (dfLMM[0] * dfLMM[0]) * p0Bar[loopcf];
    }
    dfLMMBar[0] += blkAdjoint[0] * (swaption.isLong() ? 1.0 : -1.0) * pvBar;
    final double[] cfaBar = new double[nbCF];
    cfaBar[0] = cfaModBar[0];
    System.arraycopy(cfaModBar, 2, cfaBar, 1, nbCF - 1);
    final double[] cfaInitBar = new double[nbCFInit];
    for (int loopcf = 0; loopcf < nbCFInit; loopcf++) {
      cfaInitBar[loopcf] = cfaBar[indCFDate[loopcf] - indStart];
    }


    final List<DoublesPair> listDfSensi = new ArrayList<>();
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      final DoublesPair dfSensi = new DoublesPair(cft[loopcf], -cft[loopcf] * dfLMM[loopcf] * dfLMMBar[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 = swaption.getUnderlyingSwap().accept(CFECSC, lmmBundle);
    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(-multFact * cfaInitBar[loopcf]));
      }
    }
    return sensitivity;

View Full Code Here

  public MultipleCurrencyAmount presentValue(final SwaptionCashFixedIbor swaption, final G2ppProviderInterface g2Data) {
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = g2Data.getMulticurveProvider();
    final double notional = swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(0).getNotional();
    final double strike = swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(0).getFixedRate();
    final AnnuityPaymentFixed cfeIbor = swaption.getUnderlyingSwap().getSecondLeg().accept(CFEC, g2Data.getMulticurveProvider());
    final double theta = swaption.getTimeToExpiry();
    final double dft0 = multicurves.getDiscountFactor(ccy, swaption.getSettlementTime());
    final int nbCfFixed = swaption.getUnderlyingSwap().getFixedLeg().getNumberOfPayments();
    final int nbCfIbor = cfeIbor.getNumberOfPayments();
    final double[] tFixed = new double[nbCfFixed];
    final double[] dfFixed = new double[nbCfFixed];
    final double[] discountedCashFlowFixed = new double[nbCfFixed];
    for (int loopcf = 0; loopcf < nbCfFixed; loopcf++) {
      tFixed[loopcf] = swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentTime();
      dfFixed[loopcf] = multicurves.getDiscountFactor(ccy, tFixed[loopcf]);
      discountedCashFlowFixed[loopcf] = dfFixed[loopcf] * swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction();
    }
    final double[] tIbor = new double[nbCfIbor];
    final double[] dfIbor = new double[nbCfIbor];
    final double[] discountedCashFlowIbor = new double[nbCfIbor];
    for (int loopcf = 0; loopcf < nbCfIbor; loopcf++) {
      tIbor[loopcf] = cfeIbor.getNthPayment(loopcf).getPaymentTime();
      dfIbor[loopcf] = multicurves.getDiscountFactor(ccy, tIbor[loopcf]);
      discountedCashFlowIbor[loopcf] = dfIbor[loopcf] * cfeIbor.getNthPayment(loopcf).getAmount() / notional;
    }


    final double rhog2pp = g2Data.getG2ppParameters().getCorrelation();
    final double[][] gamma = MODEL_G2PP.gamma(g2Data.getG2ppParameters(), 0, theta);
    final double rhobar = rhog2pp * gamma[0][1] / Math.sqrt(gamma[0][0] * gamma[1][1]);

View Full Code Here

   */
  public CurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final HullWhiteOneFactorPiecewiseConstantDataBundle hwData) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(hwData, "Hull-White data");
    final double expiryTime = swaption.getTimeToExpiry();
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, hwData);
    final double[] alpha = new double[cfe.getNumberOfPayments()];
    final double[] df = new double[cfe.getNumberOfPayments()];
    final double[] discountedCashFlow = new double[cfe.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      alpha[loopcf] = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, cfe.getNthPayment(loopcf).getPaymentTime());
      df[loopcf] = hwData.getCurve(cfe.getDiscountCurve()).getDiscountFactor(cfe.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlow[loopcf] = df[loopcf] * cfe.getNthPayment(loopcf).getAmount();
    }
    // Integration
    final SwaptionIntegrant integrant = new SwaptionIntegrant(discountedCashFlow, alpha);
    final double limit = 10.0;
    final double absoluteTolerance = 1.0E-2;

View Full Code Here

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