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

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

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   * Tests present value with respect to a hard-coded value. Tests against the explicit formula. Tests long/short parity and payer/receiver/swap parity.
   */
  @Test
  public void testPresentValue() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    // Swaption pricing.
    final double priceLongPayer = SWAPTION_LONG_PAYER.accept(PVC, sabrBundle);
    final double priceShortPayer = SWAPTION_SHORT_PAYER.accept(PVC, sabrBundle);
    final double priceLongReceiver = SWAPTION_LONG_RECEIVER.accept(PVC, sabrBundle);
    final double priceShortReceiver = SWAPTION_SHORT_RECEIVER.accept(PVC, sabrBundle);
    // From previous run
    final double expectedPriceLongPayer = 4973866.250;
    assertEquals(expectedPriceLongPayer, priceLongPayer, 1E-2);
    final double pvbp = METHOD_SWAP.presentValueBasisPoint(SWAP_PAYER, curves.getCurve(FUNDING_CURVE_NAME));
    final double forward = SWAP_PAYER.accept(PRC, curves);
    final double maturity = SWAP_PAYER.getFirstLeg().getNthPayment(SWAP_PAYER.getFirstLeg().getNumberOfPayments() - 1).getPaymentTime() - SWAPTION_LONG_PAYER.getSettlementTime();
    assertEquals(maturity, ANNUITY_TENOR_YEAR, 1E-2);
    final double volatility = sabrParameter.getVolatility(SWAPTION_LONG_PAYER.getTimeToExpiry(), maturity, RATE, forward);
    final BlackFunctionData data = new BlackFunctionData(forward, pvbp, volatility);
    final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(SWAPTION_LONG_PAYER);
    final double expectedPrice = func.evaluate(data);
    assertEquals(expectedPrice, priceLongPayer, 1E-2);
    // Long/Short parity
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   * Test the absence of arbitrage between swaptions with same cash-flows but different conventions.
   */
  @Test
  public void testPresentValueConventionArbitrage() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double rate360 = 0.0360;
    final IndexSwap index360 = new IndexSwap(FIXED_PAYMENT_PERIOD, DayCountFactory.INSTANCE.getDayCount("Actual/360"), IBOR_INDEX, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition swap360 = SwapFixedIborDefinition.from(SETTLEMENT_DATE, index360, NOTIONAL, rate360, FIXED_IS_PAYER, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaption360Definition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap360, IS_LONG);
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  /**
   * Tests the method against the present value calculator.
   */
  public void presentValueMethodVsCalculator() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double pvMethod = METHOD.presentValue(SWAPTION_LONG_PAYER, sabrBundle).getAmount();
    final double pvCalculator = SWAPTION_LONG_PAYER.accept(PVC, sabrBundle);
    assertEquals("Swaption physical SABR: present value : method and calculator", pvMethod, pvCalculator);
  }
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  /**
   * Tests the method against the present value curve sensitivity calculator.
   */
  public void presentValueCurveSensitivityMethodVsCalculator() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final InterestRateCurveSensitivity pvsMethod = METHOD.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, sabrBundle);
    final Map<String, List<DoublesPair>> pvsCalculator = SWAPTION_LONG_PAYER.accept(PVCSC_SABR, sabrBundle);
    assertEquals("Swaption physical SABR: present value curve sensitivity: method and calculator", pvsMethod.getSensitivities(), pvsCalculator);
  }
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  }

  @Test
  public void testPresentValueCurveSensitivity() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    // Swaption sensitivity
    final InterestRateCurveSensitivity pvsLongPayer = METHOD.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, sabrBundle);
    final InterestRateCurveSensitivity pvsShortPayer = METHOD.presentValueCurveSensitivity(SWAPTION_SHORT_PAYER, sabrBundle);
    // Long/short parity
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  }

  @Test
  public void testPresentValueSABRSensitivity() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    // Swaption sensitivity
    final PresentValueSABRSensitivityDataBundle pvsLongPayer = METHOD.presentValueSABRSensitivity(SWAPTION_LONG_PAYER, sabrBundle);
    PresentValueSABRSensitivityDataBundle pvsShortPayer = METHOD.presentValueSABRSensitivity(SWAPTION_SHORT_PAYER, sabrBundle);
    // Long/short parity
    pvsShortPayer = pvsShortPayer.multiplyBy(-1.0);
    assertEquals(pvsLongPayer.getAlpha(), pvsShortPayer.getAlpha());
    // SABR sensitivity vs finite difference
    final double pvLongPayer = METHOD.presentValue(SWAPTION_LONG_PAYER, sabrBundle).getAmount();
    final double shift = 0.000001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(SWAPTION_LONG_PAYER.getTimeToExpiry(), ANNUITY_TENOR_YEAR);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = TestsDataSetsSABR.createSABR1AlphaBumped(shift);
    final SABRInterestRateDataBundle sabrBundleAlphaBumped = new SABRInterestRateDataBundle(sabrParameterAlphaBumped, curves);
    final double pvLongPayerAlphaBumped = METHOD.presentValue(SWAPTION_LONG_PAYER, sabrBundleAlphaBumped).getAmount();
    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+1);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = TestsDataSetsSABR.createSABR1RhoBumped(shift);
    final SABRInterestRateDataBundle sabrBundleRhoBumped = new SABRInterestRateDataBundle(sabrParameterRhoBumped, curves);
    final double pvLongPayerRhoBumped = METHOD.presentValue(SWAPTION_LONG_PAYER, sabrBundleRhoBumped).getAmount();
    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, 1.0E+0);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = TestsDataSetsSABR.createSABR1NuBumped(shift);
    final SABRInterestRateDataBundle sabrBundleNuBumped = new SABRInterestRateDataBundle(sabrParameterNuBumped, curves);
    final double pvLongPayerNuBumped = METHOD.presentValue(SWAPTION_LONG_PAYER, sabrBundleNuBumped).getAmount();
    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 of relative performance of constructor, toDerivative and pricing. In normal testing, "enabled = false".
   */
  public void constructorPerformance() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    SwapFixedIborDefinition swap = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    SwaptionPhysicalFixedIborDefinition swaptionDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap, IS_LONG);
    SwaptionPhysicalFixedIbor swaption = swaptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    long startTime, endTime;
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@Test(groups = TestGroup.UNIT)
public class SmileFittedSurfaceBuilderTest extends AnalyticsTestBase {

  @Test
  public void testSABR() {
    final SABRInterestRateParameters sabrResults = TestsDataSets.createSABR1();
    final InterpolatedDoublesSurface alphaSurface = sabrResults.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = sabrResults.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = sabrResults.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = sabrResults.getRhoSurface();
    final Map<DoublesPair, DoubleMatrix2D> inverseJacobians = new HashMap<DoublesPair, DoubleMatrix2D>();
    inverseJacobians.put(new DoublesPair(0, 1), new DoubleMatrix2D(new double[][] { {1, 2 }, {3, 4 } }));
    inverseJacobians.put(new DoublesPair(2, 1), new DoubleMatrix2D(new double[][] { {10, 20 }, {30, 40 } }));
    final SABRFittedSurfaces fits = new SABRFittedSurfaces(alphaSurface, betaSurface, nuSurface, rhoSurface, inverseJacobians);
    assertEquals(fits, cycleObject(SABRFittedSurfaces.class, fits));
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    assertEquals(fits, cycleObject(SABRFittedSurfaces.class, fits));
  }

  @Test
  public void testHeston() {
    final SABRInterestRateParameters sabrResults = TestsDataSets.createSABR1();
    final InterpolatedDoublesSurface kappaSurface = sabrResults.getAlphaSurface();
    final InterpolatedDoublesSurface thetaSurface = sabrResults.getBetaSurface();
    final InterpolatedDoublesSurface vol0Surface = sabrResults.getNuSurface();
    final InterpolatedDoublesSurface omegaSurface = sabrResults.getRhoSurface();
    final InterpolatedDoublesSurface rhoSurface = TestsDataSets.createSABR1AlphaBumped().getRhoSurface();
    final Currency currency = Currency.AUD;
    final Map<DoublesPair, DoubleMatrix2D> inverseJacobians = new HashMap<DoublesPair, DoubleMatrix2D>();
    inverseJacobians.put(new DoublesPair(0, 1), new DoubleMatrix2D(new double[][] { {1, 2 }, {3, 4 } }));
    inverseJacobians.put(new DoublesPair(2, 1), new DoubleMatrix2D(new double[][] { {10, 20 }, {30, 40 } }));
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        10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25,
        -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
        10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50,
        0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, INTERPOLATOR_2D);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
  }
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