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

Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters

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    // SABR sensitivity vs finite difference
    final double pvLongPayer = METHOD_EXTRAPOLATION.presentValue(SWAPTION_LONG_PAYER_HIGH, SABR_MULTICURVES).getAmount(EUR);
    final DoublesPair expectedExpiryTenor = new DoublesPair(SWAPTION_LONG_PAYER_HIGH.getTimeToExpiry(), ANNUITY_TENOR_YEAR);
    final double shift = 0.000005;
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = SABRDataSets.createSABR1AlphaBumped(shift);
    final SABRSwaptionProviderDiscount sabrBundleAlphaBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
    final double pvLongPayerAlphaBumped = METHOD_EXTRAPOLATION.presentValue(SWAPTION_LONG_PAYER_HIGH, sabrBundleAlphaBumped).getAmount(EUR);
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pvLongPayer) / shift;
    assertEquals("Number of alpha sensitivity", pvsLongPayer.getAlpha().getMap().keySet().size(), 1);
    assertEquals("Alpha sensitivity expiry/tenor", pvsLongPayer.getAlpha().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsLongPayer.getAlpha().getMap().get(expectedExpiryTenor), 2.0E+3);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped(shift);
    final SABRSwaptionProviderDiscount sabrBundleRhoBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
    final double pvLongPayerRhoBumped = METHOD_EXTRAPOLATION.presentValue(SWAPTION_LONG_PAYER_HIGH, sabrBundleRhoBumped).getAmount(EUR);
    final double expectedRhoSensi = (pvLongPayerRhoBumped - pvLongPayer) / shift;
    assertEquals("Number of rho sensitivity", pvsLongPayer.getRho().getMap().keySet().size(), 1);
    assertEquals("Rho sensitivity expiry/tenor", pvsLongPayer.getRho().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Rho sensitivity value", expectedRhoSensi, pvsLongPayer.getRho().getMap().get(expectedExpiryTenor), 2.0E+0);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped(shift);
    final SABRSwaptionProviderDiscount sabrBundleNuBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
    final double pvLongPayerNuBumped = METHOD_EXTRAPOLATION.presentValue(SWAPTION_LONG_PAYER_HIGH, sabrBundleNuBumped).getAmount(EUR);
    final double expectedNuSensi = (pvLongPayerNuBumped - pvLongPayer) / shift;
    assertEquals("Number of nu sensitivity", pvsLongPayer.getNu().getMap().keySet().size(), 1);
    assertEquals("Nu sensitivity expiry/tenor", pvsLongPayer.getNu().getMap().keySet().contains(expectedExpiryTenor), true);
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  private static final CouponCMSGenericMethod METHOD_GENERIC = new CouponCMSGenericMethod(METHOD_CAP);

  @Test
  public void presentValueSABRReplicationPayerReceiver() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double priceReceiver = CMS_COUPON_RECEIVER.accept(PVC_SABR, sabrBundle);
    final double pricePayer = CMS_COUPON_PAYER.accept(PVC_SABR, sabrBundle);
    assertEquals("Payer/receiver", priceReceiver, -pricePayer);
  }
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  /**
   * Tests the method against the present value curve sensitivity calculator.
   */
  public void presentValueSABRReplicationCurveSensitivityMethodVsCalculator() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final InterestRateCurveSensitivity pvsMethod = METHOD.presentValueCurveSensitivity(CMS_COUPON_PAYER, sabrBundle);
    final Map<String, List<DoublesPair>> pvsCalculator = CMS_COUPON_PAYER.accept(PVCSC_SABR, sabrBundle);
    assertEquals("Coupon CMS SABR: method and calculator", pvsMethod.getSensitivities(), pvsCalculator);
  }
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  /**
   * Test the present value sensitivity to the rates.
   */
  public void presentValueSABRReplicationCurveSensitivity() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    // Swaption sensitivity
    InterestRateCurveSensitivity pvsReceiver = METHOD.presentValueCurveSensitivity(CMS_COUPON_RECEIVER, sabrBundle);
    // Present value sensitivity comparison with finite difference.
    final double deltaTolerance = 1E+2; //Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move.
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    final double pvLongPayer = METHOD.presentValue(CMS_COUPON_RECEIVER, SABR_BUNDLE).getAmount();
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(CMS_COUPON_RECEIVER.getFixingTime(), ANNUITY_TENOR_YEAR + 1.0 / 365.0);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = TestsDataSetsSABR.createSABR1AlphaBumped(shiftAlpha);
    final SABRInterestRateDataBundle sabrBundleAlphaBumped = new SABRInterestRateDataBundle(sabrParameterAlphaBumped, CURVES);
    final double pvLongPayerAlphaBumped = METHOD.presentValue(CMS_COUPON_RECEIVER, sabrBundleAlphaBumped).getAmount();
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pvLongPayer) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsReceiver.getAlpha().getMap().keySet().size(), 1);
    assertEquals("Alpha sensitivity expiry/tenor", pvsReceiver.getAlpha().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsReceiver.getAlpha().getMap().get(expectedExpiryTenor), 150.0);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = TestsDataSetsSABR.createSABR1RhoBumped();
    final SABRInterestRateDataBundle sabrBundleRhoBumped = new SABRInterestRateDataBundle(sabrParameterRhoBumped, CURVES);
    final double pvLongPayerRhoBumped = METHOD.presentValue(CMS_COUPON_RECEIVER, sabrBundleRhoBumped).getAmount();
    final double expectedRhoSensi = (pvLongPayerRhoBumped - pvLongPayer) / shift;
    assertEquals("Number of rho sensitivity", pvsReceiver.getRho().getMap().keySet().size(), 1);
    assertEquals("Rho sensitivity expiry/tenor", pvsReceiver.getRho().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Rho sensitivity value", pvsReceiver.getRho().getMap().get(expectedExpiryTenor), expectedRhoSensi, 2.0);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = TestsDataSetsSABR.createSABR1NuBumped();
    final SABRInterestRateDataBundle sabrBundleNuBumped = new SABRInterestRateDataBundle(sabrParameterNuBumped, CURVES);
    final double pvLongPayerNuBumped = METHOD.presentValue(CMS_COUPON_RECEIVER, sabrBundleNuBumped).getAmount();
    final double expectedNuSensi = (pvLongPayerNuBumped - pvLongPayer) / shift;
    assertEquals("Number of nu sensitivity", pvsReceiver.getNu().getMap().keySet().size(), 1);
    assertEquals("Nu sensitivity expiry/tenor", pvsReceiver.getNu().getMap().keySet().contains(expectedExpiryTenor), true);
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    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(CAP_LONG.getFixingTime(), CAP_LONG.getFixingPeriodEndTime() - CAP_LONG.getFixingPeriodStartTime());
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
    final SABRCapProviderDiscount sabrBundleAlphaBumped = new SABRCapProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EURIBOR3M);
    final MultipleCurrencyAmount pvLongPayerAlphaBumped = METHOD_CAP_X.presentValue(CAP_LONG, sabrBundleAlphaBumped);
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped.getAmount(EUR) - pv.getAmount(EUR)) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 1);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor), 1.5E-0);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped();
    final SABRCapProviderDiscount sabrBundleRhoBumped = new SABRCapProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EURIBOR3M);
    final MultipleCurrencyAmount pvLongPayerRhoBumped = METHOD_CAP_X.presentValue(CAP_LONG, sabrBundleRhoBumped);
    final double expectedRhoSensi = (pvLongPayerRhoBumped.getAmount(EUR) - pv.getAmount(EUR)) / shift;
    assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 1);
    assertEquals("Rho sensitivity expiry/tenor", pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Rho sensitivity value", pvsCapLong.getRho().getMap().get(expectedExpiryTenor), expectedRhoSensi, 1.0E-2);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped();
    final SABRCapProviderDiscount sabrBundleNuBumped = new SABRCapProviderDiscount(MULTICURVES, sabrParameterNuBumped, EURIBOR3M);
    final MultipleCurrencyAmount pvLongPayerNuBumped = METHOD_CAP_X.presentValue(CAP_LONG, sabrBundleNuBumped);
    final double expectedNuSensi = (pvLongPayerNuBumped.getAmount(EUR) - pv.getAmount(EUR)) / shift;
    assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 1);
    assertEquals("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor), true);
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    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(CAP_HIGH_LONG.getFixingTime(), CAP_HIGH_LONG.getFixingPeriodEndTime() - CAP_HIGH_LONG.getFixingPeriodStartTime());
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
    final SABRCapProviderDiscount sabrBundleAlphaBumped = new SABRCapProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EURIBOR3M);
    final MultipleCurrencyAmount pvLongPayerAlphaBumped = METHOD_CAP_X.presentValue(CAP_HIGH_LONG, sabrBundleAlphaBumped);
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped.getAmount(EUR) - pv.getAmount(EUR)) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 1);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor), 1.0E-0);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped();
    final SABRCapProviderDiscount sabrBundleRhoBumped = new SABRCapProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EURIBOR3M);
    final MultipleCurrencyAmount pvLongPayerRhoBumped = METHOD_CAP_X.presentValue(CAP_HIGH_LONG, sabrBundleRhoBumped);
    final double expectedRhoSensi = (pvLongPayerRhoBumped.getAmount(EUR) - pv.getAmount(EUR)) / shift;
    assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 1);
    assertEquals("Rho sensitivity expiry/tenor", pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Rho sensitivity value", pvsCapLong.getRho().getMap().get(expectedExpiryTenor), expectedRhoSensi, 1.0E-1);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped();
    final SABRCapProviderDiscount sabrBundleNuBumped = new SABRCapProviderDiscount(MULTICURVES, sabrParameterNuBumped, EURIBOR3M);
    final MultipleCurrencyAmount pvLongPayerNuBumped = METHOD_CAP_X.presentValue(CAP_HIGH_LONG, sabrBundleNuBumped);
    final double expectedNuSensi = (pvLongPayerNuBumped.getAmount(EUR) - pv.getAmount(EUR)) / shift;
    assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 1);
    assertEquals("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor), true);
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    assertEquals("swaption present value with premium", expectedPriceLongPayer, swaptionPV.getAmount(EUR), TOLERANCE_PV);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNoSABRHaganSensi() {
    final SABRInterestRateParameters sabrParameter2 = SABRDataSets.createSABR1(new SABRHaganAlternativeVolatilityFunction());
    final SABRSwaptionProviderDiscount sabr2 = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameter2, EUR1YEURIBOR6M);
    SWAPTION_LONG_PAYER.accept(PVSSSSC, sabr2);
  }
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    // SABR sensitivity vs finite difference
    final double pvLongPayer = METHOD_SWPT_CASH.presentValue(SWAPTION_LONG_PAYER, SABR_MULTICURVES).getAmount(EUR);
    final double shift = 0.00001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(SWAPTION_LONG_PAYER.getTimeToExpiry(), ANNUITY_TENOR_YEAR);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = SABRDataSets.createSABR1AlphaBumped(shift);
    final SABRSwaptionProviderDiscount sabrBundleAlphaBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
    final double pvLongPayerAlphaBumped = METHOD_SWPT_CASH.presentValue(SWAPTION_LONG_PAYER, sabrBundleAlphaBumped).getAmount(EUR);
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pvLongPayer) / shift;
    assertEquals("Number of alpha sensitivity", pvsLongPayer.getAlpha().getMap().keySet().size(), 1);
    assertEquals("Alpha sensitivity expiry/tenor", pvsLongPayer.getAlpha().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Alpha sensitivity value", pvsLongPayer.getAlpha().getMap().get(expectedExpiryTenor), expectedAlphaSensi, 1.5E+3);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped(shift);
    final SABRSwaptionProviderDiscount sabrBundleRhoBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
    final double pvLongPayerRhoBumped = METHOD_SWPT_CASH.presentValue(SWAPTION_LONG_PAYER, sabrBundleRhoBumped).getAmount(EUR);
    final double expectedRhoSensi = (pvLongPayerRhoBumped - pvLongPayer) / shift;
    assertEquals("Number of rho sensitivity", pvsLongPayer.getRho().getMap().keySet().size(), 1);
    assertEquals("Rho sensitivity expiry/tenor", pvsLongPayer.getRho().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Rho sensitivity value", pvsLongPayer.getRho().getMap().get(expectedExpiryTenor), expectedRhoSensi, 1E+3);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped(shift);
    final SABRSwaptionProviderDiscount sabrBundleNuBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
    final double pvLongPayerNuBumped = METHOD_SWPT_CASH.presentValue(SWAPTION_LONG_PAYER, sabrBundleNuBumped).getAmount(EUR);
    final double expectedNuSensi = (pvLongPayerNuBumped - pvLongPayer) / shift;
    assertEquals("Number of nu sensitivity", pvsLongPayer.getNu().getMap().keySet().size(), 1);
    assertEquals("Nu sensitivity expiry/tenor", pvsLongPayer.getNu().getMap().keySet().contains(expectedExpiryTenor), true);
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  /**
   * Test the present value rate sensitivity against a finite difference computation; strike below the cut-off strike. Test sensitivity long/short parity.
   */
  public void testPresentValueSensitivityBelowCutOff() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    InterestRateCurveSensitivity pvsCapLong = METHOD.presentValueSensitivity(CAP_LONG, sabrBundle);
    final InterestRateCurveSensitivity pvsCapShort = METHOD.presentValueSensitivity(CAP_SHORT, sabrBundle);
    // Long/short parity
    final InterestRateCurveSensitivity pvsCapShort_1 = pvsCapShort.multipliedBy(-1);
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