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

Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

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    System.arraycopy(HW_PARAMETERS.getVolatility(), 0, volatilityBumped, 0, nbVolatility);
    final double[] volatilityTime = new double[nbVolatility - 1];
    System.arraycopy(HW_PARAMETERS.getVolatilityTime(), 1, volatilityTime, 0, nbVolatility - 1);
    final double[] pvBumpedPlus = new double[nbVolatility];
    final double[] pvBumpedMinus = new double[nbVolatility];
    final HullWhiteOneFactorPiecewiseConstantParameters parametersBumped = new HullWhiteOneFactorPiecewiseConstantParameters(HW_PARAMETERS.getMeanReversion(), volatilityBumped, volatilityTime);
    final HullWhiteOneFactorProviderDiscount bundleBumped = new HullWhiteOneFactorProviderDiscount(MULTICURVES, parametersBumped, EUR);
    for (int loopvol = 0; loopvol < nbVolatility; loopvol++) {
      volatilityBumped[loopvol] += shiftVol;
      parametersBumped.setVolatility(volatilityBumped);
      pvBumpedPlus[loopvol] = METHOD_HW.presentValue(SWAPTION_LONG_PAYER, bundleBumped).getAmount(EUR);
      volatilityBumped[loopvol] -= 2 * shiftVol;
      parametersBumped.setVolatility(volatilityBumped);
      pvBumpedMinus[loopvol] = METHOD_HW.presentValue(SWAPTION_LONG_PAYER, bundleBumped).getAmount(EUR);
      assertEquals(
          "Swaption - Hull-White sensitivity adjoint: derivative " + loopvol + " - difference:" + ((pvBumpedPlus[loopvol] - pvBumpedMinus[loopvol]) / (2 * shiftVol) - hwSensitivity[loopvol]),
          (pvBumpedPlus[loopvol] - pvBumpedMinus[loopvol]) / (2 * shiftVol), hwSensitivity[loopvol], TOLERANCE_PV_DELTA);
      volatilityBumped[loopvol] = HW_PARAMETERS.getVolatility()[loopvol];
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    System.arraycopy(HW_PARAMETERS.getVolatility(), 0, volatilityBumped, 0, nbVolatility);
    final double[] volatilityTime = new double[nbVolatility - 1];
    System.arraycopy(HW_PARAMETERS.getVolatilityTime(), 1, volatilityTime, 0, nbVolatility - 1);
    final double[] pvBumpedPlus = new double[nbVolatility];
    final double[] pvBumpedMinus = new double[nbVolatility];
    final HullWhiteOneFactorPiecewiseConstantParameters parametersBumped = new HullWhiteOneFactorPiecewiseConstantParameters(HW_PARAMETERS.getMeanReversion(), volatilityBumped, volatilityTime);
    final HullWhiteOneFactorProviderDiscount bundleBumped = new HullWhiteOneFactorProviderDiscount(MULTICURVES, parametersBumped, EUR);
    final double[] hwSensitivityExpected = new double[nbVolatility];
    for (int loopvol = 0; loopvol < nbVolatility; loopvol++) {
      volatilityBumped[loopvol] += shiftVol;
      parametersBumped.setVolatility(volatilityBumped);
      pvBumpedPlus[loopvol] = METHOD_HW_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, bundleBumped).getAmount(EUR);
      volatilityBumped[loopvol] -= 2 * shiftVol;
      parametersBumped.setVolatility(volatilityBumped);
      pvBumpedMinus[loopvol] = METHOD_HW_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, bundleBumped).getAmount(EUR);
      hwSensitivityExpected[loopvol] = (pvBumpedPlus[loopvol] - pvBumpedMinus[loopvol]) / (2 * shiftVol);
      assertEquals("Swaption - Hull-White sensitivity adjoint: derivative " + loopvol + " - difference:" + (hwSensitivityExpected[loopvol] - hwSensitivity[loopvol]), hwSensitivityExpected[loopvol],
          hwSensitivity[loopvol], 2.0E+5);
      volatilityBumped[loopvol] = HW_PARAMETERS.getVolatility()[loopvol];
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  public MultipleCurrencyAmount presentValue(final CapFloorCMS cms, final HullWhiteOneFactorProviderInterface hullWhite) {
    ArgumentChecker.notNull(cms, "CMS");
    ArgumentChecker.notNull(hullWhite, "Hull-White provider");
    final Currency ccy = cms.getCurrency();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = hullWhite.getHullWhiteParameters();
    final MulticurveProviderInterface multicurves = hullWhite.getMulticurveProvider();
    final double expiryTime = cms.getFixingTime();
    final SwapFixedCoupon<? extends Payment> swap = cms.getUnderlyingSwap();
    final int nbFixed = cms.getUnderlyingSwap().getFixedLeg().getNumberOfPayments();
    final double[] alphaFixed = new double[nbFixed];
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  /**
   * Tests the correctness of Hull-White one factor calibration to swaptions with SABR price.
   */
  public void calibration() {
    final double meanReversion = 0.01;
    final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(meanReversion, new double[] {0.01}, new double[0]);
    final SuccessiveRootFinderHullWhiteCalibrationObjective objective = new SuccessiveRootFinderHullWhiteCalibrationObjective(hwParameters, EUR);
    final SuccessiveRootFinderHullWhiteCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderHullWhiteCalibrationEngine<>(objective);
    for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
      calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], PVSSC);
    }
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    long startTime, endTime;
    final int nbTest = 100;

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(meanReversion, new double[] {0.01}, new double[0]);
      final SuccessiveRootFinderHullWhiteCalibrationObjective objective = new SuccessiveRootFinderHullWhiteCalibrationObjective(hwParameters, EUR);
      final SuccessiveRootFinderHullWhiteCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderHullWhiteCalibrationEngine<>(objective);
      for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
        calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], PVSSC);
      }
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   */
  public MultipleCurrencyAmount presentValue(final CapFloorIbor cap, final HullWhiteOneFactorProviderInterface hullWhite) {
    ArgumentChecker.notNull(cap, "The cap/floor shoud not be null");
    ArgumentChecker.notNull(hullWhite, "The Hull-White data shoud not be null");
    final Currency ccy = cap.getCurrency();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = hullWhite.getHullWhiteParameters();
    final MulticurveProviderInterface multicurves = hullWhite.getMulticurveProvider();
    final double tp = cap.getPaymentTime();
    final double t0 = cap.getFixingPeriodStartTime();
    final double t1 = cap.getFixingPeriodEndTime();
    final double deltaF = cap.getFixingAccrualFactor();
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   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final CapFloorIbor cap, final HullWhiteOneFactorProviderInterface hullWhite) {
    ArgumentChecker.notNull(cap, "The cap/floor shoud not be null");
    ArgumentChecker.notNull(hullWhite, "The Hull-White data shoud not be null");
    final Currency ccy = cap.getCurrency();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = hullWhite.getHullWhiteParameters();
    final MulticurveProviderInterface multicurves = hullWhite.getMulticurveProvider();
    final double tp = cap.getPaymentTime();
    final double t0 = cap.getFixingPeriodStartTime();
    final double t1 = cap.getFixingPeriodEndTime();
    final double deltaF = cap.getFixingAccrualFactor();
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   */
  public double[] presentValueHullWhiteSensitivity(final CapFloorIbor cap, final HullWhiteOneFactorProviderInterface hullWhite) {
    ArgumentChecker.notNull(cap, "The cap/floor shoud not be null");
    ArgumentChecker.notNull(hullWhite, "The Hull-White data shoud not be null");
    final Currency ccy = cap.getCurrency();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = hullWhite.getHullWhiteParameters();
    final MulticurveProviderInterface multicurves = hullWhite.getMulticurveProvider();
    final double tp = cap.getPaymentTime();
    final double[] t = new double[2];
    t[0] = cap.getFixingPeriodStartTime();
    t[1] = cap.getFixingPeriodEndTime();
    final double deltaF = cap.getFixingAccrualFactor();
    final double deltaP = cap.getPaymentYearFraction();
    final double k = cap.getStrike();
    final double omega = (cap.isCap() ? 1.0 : -1.0);
    // Forward sweep
    final double dfPay = multicurves.getDiscountFactor(ccy, tp);
    final double forward = multicurves.getForwardRate(cap.getIndex(), t[0], t[1], deltaF);
    final int nbSigma = parameters.getVolatility().length;
    final double[] alpha = new double[2];
    final double[][] alphaDerivatives = new double[2][nbSigma];
    for (int loopcf = 0; loopcf < 2; loopcf++) {
      alpha[loopcf] = _model.alpha(parameters, 0.0, cap.getFixingTime(), tp, t[loopcf], alphaDerivatives[loopcf]);
    }
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    System.arraycopy(PARAMETERS_HW.getVolatility(), 0, volatilityBumped, 0, nbVolatility);
    final double[] volatilityTime = new double[nbVolatility - 1];
    System.arraycopy(PARAMETERS_HW.getVolatilityTime(), 1, volatilityTime, 0, nbVolatility - 1);
    final double[] pvBumpedPlus = new double[nbVolatility];
    final double[] pvBumpedMinus = new double[nbVolatility];
    final HullWhiteOneFactorPiecewiseConstantParameters parametersBumped = new HullWhiteOneFactorPiecewiseConstantParameters(PARAMETERS_HW.getMeanReversion(), volatilityBumped, volatilityTime);
    final HullWhiteOneFactorPiecewiseConstantDataBundle bundleBumped = new HullWhiteOneFactorPiecewiseConstantDataBundle(parametersBumped, CURVES);
    final double[] hwSensitivityExpected = new double[hwSensitivity.length];
    for (int loopvol = 0; loopvol < nbVolatility; loopvol++) {
      volatilityBumped[loopvol] += shiftVol;
      parametersBumped.setVolatility(volatilityBumped);
      pvBumpedPlus[loopvol] = METHOD_HW.presentValue(instrument, bundleBumped).getAmount();
      volatilityBumped[loopvol] -= 2 * shiftVol;
      parametersBumped.setVolatility(volatilityBumped);
      pvBumpedMinus[loopvol] = METHOD_HW.presentValue(instrument, bundleBumped).getAmount();
      hwSensitivityExpected[loopvol] = (pvBumpedPlus[loopvol] - pvBumpedMinus[loopvol]) / (2 * shiftVol);
      assertEquals("Cap/floor Ibor - Hull-White sensitivity adjoint: derivative " + loopvol + " - difference:" + (hwSensitivityExpected[loopvol] - hwSensitivity[loopvol]),
          hwSensitivityExpected[loopvol], hwSensitivity[loopvol], 1.0E-0);
      volatilityBumped[loopvol] = PARAMETERS_HW.getVolatility()[loopvol];
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    Validate.notNull(swaption);
    Validate.notNull(curves);
    if (!(curves instanceof SABRInterestRateDataBundle)) {
      throw new UnsupportedOperationException("The PresentValueSABRHullWhiteMonteCarloCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");
    }
    final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(DEFAULT_MEAN_REVERSION, new double[] {0.01}, new double[0]);
    final SwaptionPhysicalHullWhiteCalibrationObjective objective = new SwaptionPhysicalHullWhiteCalibrationObjective(hwParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
    // Calibration instruments
    calibrationEngine.addInstrument(swaption, METHOD_SWAPTION_SABR);
    // Calibration
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