Package com.opengamma.analytics.financial.provider.description.interestrate

Examples of com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface

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   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final SwaptionCashFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    Currency ccy = swaption.getCurrency();
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double nominal = Math.abs(annuityFixed.getNthPayment(0).getNotional());
    final double discountFactorSettle = multicurves.getDiscountFactor(ccy, swaption.getSettlementTime());
    final double annuityPhysical = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), multicurves) / nominal;
    final double strike = swaption.getStrike();
    final double forward = swaption.getUnderlyingSwap().accept(PRDC, multicurves);
    // Linear approximation
    final double[] alpha = new double[2];
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      final double discountFactor = inflation.getDiscountFactor(swap.getFirstLeg().getCurrency(), cpn.getPaymentTime());
      final double tenor = cpn.getPaymentAccrualFactors().length;
      final double notional = ((CouponInflation) swap.getSecondLeg().getNthPayment(0)).getNotional();
      return Math.pow(pvInflationLeg / discountFactor / notional + 1, 1 / tenor) - 1 - cpn.getRate();
    }
    final MulticurveProviderInterface multicurves = inflation.getMulticurveProvider();
    return -multicurves.getFxRates().convert(swap.accept(PVMC, multicurves), swap.getFirstLeg().getCurrency()).getAmount() / swap.getFirstLeg().accept(PVMQSC, multicurves);
  }
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   */
  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final int nbStrikes = _strikeMoneyness.length;
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = _parametersInit.copy();
    final SuccessiveLeastSquareLMMDDCalibrationObjective objective = new SuccessiveLeastSquareLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveLeastSquareLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveLeastSquareLMMDDCalibrationEngine<>(objective, nbStrikes);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption, _strikeMoneyness);
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  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final int nbStrikes = _strikeMoneyness.length;
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = _parametersInit.copy();
    final SuccessiveLeastSquareLMMDDCalibrationObjective objective = new SuccessiveLeastSquareLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveLeastSquareLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveLeastSquareLMMDDCalibrationEngine<>(objective, nbStrikes);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption, _strikeMoneyness);
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  public Triple<MultipleCurrencyAmount, PresentValueSABRSensitivityDataBundle, MultipleCurrencyMulticurveSensitivity> presentValueAndSensitivity(final SwaptionPhysicalFixedIbor swaption,
      final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final int nbStrikes = _strikeMoneyness.length;
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = _parametersInit.copy();
    final SuccessiveLeastSquareLMMDDCalibrationObjective objective = new SuccessiveLeastSquareLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveLeastSquareLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveLeastSquareLMMDDCalibrationEngine<>(objective, nbStrikes);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption, _strikeMoneyness);
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   */
  private static final SwapFixedCouponDiscountingMethod METHOD_SWAP = SwapFixedCouponDiscountingMethod.getInstance();

  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);
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   * @return The present value curve sensitivity.
   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final SwaptionCashFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final Currency ccy = swaption.getCurrency();
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRDC, multicurves);
    // Derivative of the forward with respect to the rates.
    final MulticurveSensitivity forwardDr = swaption.getUnderlyingSwap().accept(PRCSDC, multicurves);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // Derivative of the cash annuity with respect to the forward.
    final double pvbpDf = METHOD_SWAP.getAnnuityCashDerivative(swaption.getUnderlyingSwap(), forward);
    // Implementation note: strictly speaking, the strike equivalent is curve dependent; that dependency is ignored.
    final double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, swaption.getStrike(), forward);
    final double discountFactorSettle = multicurves.getDiscountFactor(ccy, swaption.getSettlementTime());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
    final double sensiDF = -swaption.getSettlementTime() * discountFactorSettle * pvbp * bsAdjoint[0];
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(swaption.getSettlementTime(), sensiDF));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(multicurves.getName(ccy), list);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    result = result.plus(forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * bsAdjoint[0] + pvbp * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1]))));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
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   * @return The present value SABR sensitivity.
   */
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final SwaptionCashFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final Currency ccy = swaption.getCurrency();
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRDC, multicurves);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    final double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, swaption.getStrike(), forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
    final double discountFactorSettle = multicurves.getDiscountFactor(ccy, swaption.getSettlementTime());
    final double omega = (swaption.isLong() ? 1.0 : -1.0);
    sensi.addAlpha(expiryMaturity, omega * discountFactorSettle * pvbp * bsAdjoint[2] * volatilityAdjoint[3]);
    sensi.addBeta(expiryMaturity, omega * discountFactorSettle * pvbp * bsAdjoint[2] * volatilityAdjoint[4]);
    sensi.addRho(expiryMaturity, omega * discountFactorSettle * pvbp * bsAdjoint[2] * volatilityAdjoint[5]);
    sensi.addNu(expiryMaturity, omega * discountFactorSettle * pvbp * bsAdjoint[2] * volatilityAdjoint[6]);
 
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    _currencyPair = currencyPair;
  }

  @Override
  public BlackForexFlatProvider copy() {
    MulticurveProviderInterface multicurveProvider = _multicurveProvider.copy();
    return new BlackForexFlatProvider(multicurveProvider, _volatility, _currencyPair);
  }
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    _currencyPair = currencyPair;
  }

  @Override
  public BlackForexVannaVolgaProvider copy() {
    MulticurveProviderInterface multicurveProvider = _multicurveProvider.copy();
    return new BlackForexVannaVolgaProvider(multicurveProvider, _smile, _currencyPair);
  }
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