Package com.opengamma.analytics.financial.model.interestrate.curve

Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve

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    final Double valueInit = instrument.accept(_valueCalculator, issuercurves);
    final Double valueInitMinus = -valueInit;
    // Discounting
    final Set<Currency> ccyDiscounting = issuercurves.getMulticurveProvider().getCurrencies();
    for (final Currency ccy : ccyDiscounting) {
      final YieldAndDiscountCurve curve = issuercurves.getMulticurveProvider().getCurve(ccy);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final IssuerProviderDiscount marketDscBumped = new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withDiscountFactor(ccy, dscBumped), issuercurves.getIssuerCurves());
        final Double valueBumped = instrument.accept(_valueCalculator, marketDscBumped);
        final Double valueDiff = valueBumped + valueInitMinus;
        sensitivity[loopnode] = valueDiff / _shift;
      }
      final String name = issuercurves.getMulticurveProvider().getName(ccy);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward ON
    final Set<IndexON> indexON = issuercurves.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = issuercurves.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final IssuerProviderDiscount marketFwdBumped = new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withForward(index, fwdBumped), issuercurves.getIssuerCurves());
        final Double valueBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final Double valueDiff = valueBumped + valueInitMinus;
        sensitivity[loopnode] = valueDiff / _shift;
      }
      final String name = issuercurves.getMulticurveProvider().getName(index);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward Ibor - symmetrical
    final Set<IborIndex> indexForward = issuercurves.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = issuercurves.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final IssuerProviderDiscount marketFwdBumpedPlus = new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withForward(index, fwdBumpedPlus), issuercurves.getIssuerCurves());
        final Double valueBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve fwdBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final IssuerProviderDiscount marketFwdBumpedMinus = new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withForward(index, fwdBumpedMinus), issuercurves.getIssuerCurves());
        final Double valueBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final Double valueDiff = valueBumpedPlus - valueBumpedMinus;
        sensitivity[loopnode] = valueDiff / (2 * _shift);
      }
      final String name = issuercurves.getMulticurveProvider().getName(index);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Discounting issuer
    final Set<Pair<String, Currency>> issuerCcies = issuercurves.getIssuersCurrencies();
    for (final Pair<String, Currency> ic : issuerCcies) {
      final YieldAndDiscountCurve curve = issuercurves.getCurve(ic);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve icBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final IssuerProvider providerIcBumped = issuercurves.withIssuerCurrency(ic, icBumped);
        final Double valueBumped = instrument.accept(_valueCalculator, providerIcBumped);
        final Double valueDiff = valueBumped + valueInitMinus;
        sensitivity[loopnode] = valueDiff / _shift;
      }
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   * @param curves The curve bundle.
   * @return The sensitivity.
   */
  public InterestRateCurveSensitivity presentValueCurveSensitivity(final CouponFixedAccruedCompounding cpn, final YieldCurveBundle curves) {
    final String curveName = cpn.getFundingCurveName();
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(curveName);
    final double time = cpn.getPaymentTime();
    final DoublesPair s = new DoublesPair(time, -time * cpn.getAmount() * discountingCurve.getDiscountFactor(time));
    final List<DoublesPair> list = new ArrayList<>();
    list.add(s);
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    result.put(curveName, list);
    return new InterestRateCurveSensitivity(result);
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   * @param curves The curve bundle.
   * @return The sensitivity.
   */
  public StringAmount presentValueParallelCurveSensitivity(final CouponFixedAccruedCompounding cpn, final YieldCurveBundle curves) {
    final String curveName = cpn.getFundingCurveName();
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(curveName);
    final double time = cpn.getPaymentTime();
    final double sensitivity = -time * cpn.getAmount() * discountingCurve.getDiscountFactor(time);
    return StringAmount.from(curveName, sensitivity);
  }
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   * @return The present value.
   */
  public CurrencyAmount presentValue(final CouponIborGearing coupon, final YieldCurveBundle curves) {
    Validate.notNull(coupon, "Coupon");
    Validate.notNull(curves, "Curves");
    final YieldAndDiscountCurve forwardCurve = curves.getCurve(coupon.getForwardCurveName());
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(coupon.getFundingCurveName());
    final double forward = (forwardCurve.getDiscountFactor(coupon.getFixingPeriodStartTime()) / forwardCurve.getDiscountFactor(coupon.getFixingPeriodEndTime()) - 1) / coupon.getFixingAccrualFactor();
    final double df = discountingCurve.getDiscountFactor(coupon.getPaymentTime());
    final double value = (coupon.getNotional() * coupon.getPaymentYearFraction() * (coupon.getFactor() * forward) + coupon.getSpreadAmount()) * df;
    return CurrencyAmount.of(coupon.getCurrency(), value);
  }
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   * @return The present value sensitivity.
   */
  public InterestRateCurveSensitivity presentValueCurveSensitivity(final CouponIborGearing coupon, final YieldCurveBundle curves) {
    Validate.notNull(coupon, "Coupon");
    Validate.notNull(curves, "Curves");
    final YieldAndDiscountCurve forwardCurve = curves.getCurve(coupon.getForwardCurveName());
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(coupon.getFundingCurveName());
    final double df = discountingCurve.getDiscountFactor(coupon.getPaymentTime());
    final double dfForwardStart = forwardCurve.getDiscountFactor(coupon.getFixingPeriodStartTime());
    final double dfForwardEnd = forwardCurve.getDiscountFactor(coupon.getFixingPeriodEndTime());
    final double forward = (dfForwardStart / dfForwardEnd - 1.0) / coupon.getFixingAccrualFactor();
    // Backward sweep
    final double pvBar = 1.0;
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   * @return The present value.
   */
  public CurrencyAmount presentValue(final ForwardRateAgreement fra, final YieldCurveBundle curves) {
    Validate.notNull(fra, "FRA");
    Validate.notNull(curves, "Curves");
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(fra.getFundingCurveName());
    final YieldAndDiscountCurve forwardCurve = curves.getCurve(fra.getForwardCurveName());
    final double discountFactorSettlement = discountingCurve.getDiscountFactor(fra.getPaymentTime());
    final double forward = (forwardCurve.getDiscountFactor(fra.getFixingPeriodStartTime()) / forwardCurve.getDiscountFactor(fra.getFixingPeriodEndTime()) - 1) / fra.getFixingYearFraction();
    final double presentValue = discountFactorSettlement * fra.getPaymentYearFraction() * fra.getNotional() * (forward - fra.getRate()) / (1 + fra.getPaymentYearFraction() * forward);
    return CurrencyAmount.of(fra.getCurrency(), presentValue);
  }
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   * @return The present value sensitivity.
   */
  public InterestRateCurveSensitivity presentValueCurveSensitivity(final ForwardRateAgreement fra, final YieldCurveBundle curves) {
    Validate.notNull(fra, "FRA");
    Validate.notNull(curves, "Curves");
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(fra.getFundingCurveName());
    final YieldAndDiscountCurve forwardCurve = curves.getCurve(fra.getForwardCurveName());
    final double df = discountingCurve.getDiscountFactor(fra.getPaymentTime());
    final double dfForwardStart = forwardCurve.getDiscountFactor(fra.getFixingPeriodStartTime());
    final double dfForwardEnd = forwardCurve.getDiscountFactor(fra.getFixingPeriodEndTime());
    final double forward = (dfForwardStart / dfForwardEnd - 1.0) / fra.getFixingYearFraction();
    // Backward sweep
    final double pvBar = 1.0;
    final double forwardBar = df * fra.getPaymentYearFraction() * fra.getNotional() * (1 - (forward - fra.getRate()) / (1 + fra.getPaymentYearFraction() * forward) * fra.getPaymentYearFraction())
        / (1 + fra.getPaymentYearFraction() * forward);
 
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   * @return The par rate.
   */
  public double parRate(final ForwardRateAgreement fra, final YieldCurveBundle curves) {
    Validate.notNull(fra, "FRA");
    Validate.notNull(curves, "Curves");
    final YieldAndDiscountCurve forwardCurve = curves.getCurve(fra.getForwardCurveName());
    final double forward = (forwardCurve.getDiscountFactor(fra.getFixingPeriodStartTime()) / forwardCurve.getDiscountFactor(fra.getFixingPeriodEndTime()) - 1) / fra.getFixingYearFraction();
    return forward;
  }
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      ccyList.add(pvInit.getCurrencyAmounts()[loopccy].getCurrency());
    }
    // Discounting
    final Set<Currency> ccyDiscounting = sabr.getMulticurveProvider().getCurrencies();
    for (final Currency ccy : ccyDiscounting) {
      final YieldAndDiscountCurve curve = sabr.getMulticurveProvider().getCurve(ccy);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final SABRSTIRFuturesProviderDiscount marketDscBumpedPlus = new SABRSTIRFuturesProviderDiscount(sabr.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedPlus), sabr.getSABRParameters(),
            sabr.getSABRIndex());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketDscBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final SABRSTIRFuturesProviderDiscount marketDscBumpedMinus = new SABRSTIRFuturesProviderDiscount(sabr.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedMinus),
            sabr.getSABRParameters(), sabr.getSABRIndex());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketDscBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = sabr.getMulticurveProvider().getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = sabr.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = sabr.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final SABRSTIRFuturesProviderDiscount marketFwdBumpedPlus = new SABRSTIRFuturesProviderDiscount(sabr.getMulticurveProvider().withForward(index, dscBumpedPlus), sabr.getSABRParameters(),
            sabr.getSABRIndex());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final SABRSTIRFuturesProviderDiscount marketFwdBumpedMinus = new SABRSTIRFuturesProviderDiscount(sabr.getMulticurveProvider().withForward(index, dscBumpedMinus), sabr.getSABRParameters(),
            sabr.getSABRIndex());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = sabr.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = sabr.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = sabr.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final SABRSTIRFuturesProviderDiscount marketFwdBumpedPlus = new SABRSTIRFuturesProviderDiscount(sabr.getMulticurveProvider().withForward(index, dscBumpedPlus), sabr.getSABRParameters(),
            sabr.getSABRIndex());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final SABRSTIRFuturesProviderDiscount marketFwdBumpedMinus = new SABRSTIRFuturesProviderDiscount(sabr.getMulticurveProvider().withForward(index, dscBumpedMinus), sabr.getSABRParameters(),
            sabr.getSABRIndex());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
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   * @return The par rate sensitivity.
   */
  public InterestRateCurveSensitivity parRateCurveSensitivity(final ForwardRateAgreement fra, final YieldCurveBundle curves) {
    Validate.notNull(fra, "FRA");
    Validate.notNull(curves, "Curves");
    final YieldAndDiscountCurve forwardCurve = curves.getCurve(fra.getForwardCurveName());
    final double dfForwardStart = forwardCurve.getDiscountFactor(fra.getFixingPeriodStartTime());
    final double dfForwardEnd = forwardCurve.getDiscountFactor(fra.getFixingPeriodEndTime());
    // Backward sweep
    final double forwardBar = 1.0;
    final double dfForwardEndBar = -dfForwardStart / (dfForwardEnd * dfForwardEnd) / fra.getFixingYearFraction() * forwardBar;
    final double dfForwardStartBar = 1.0 / (fra.getFixingYearFraction() * dfForwardEnd) * forwardBar;
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
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