Examples of LiborMarketModelDisplacedDiffusionProviderDiscount

com.opengamma.analytics.financial.provider.description.interestrate.LiborMarketModelDisplacedDiffusionProviderDiscount
Class describing a "market" with discounting, forward, price index and credit curves. The forward rate are computed as the ratio of discount factors stored in YieldAndDiscountCurve.

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

      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 LiborMarketModelDisplacedDiffusionProviderDiscount marketDscBumpedPlus = new LiborMarketModelDisplacedDiffusionProviderDiscount(lmm.getMulticurveProvider().withDiscountFactor(ccy,
            dscBumpedPlus), lmm.getLMMParameters(), lmm.getLMMCurrency());
        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 LiborMarketModelDisplacedDiffusionProviderDiscount marketDscBumpedMinus = new LiborMarketModelDisplacedDiffusionProviderDiscount(lmm.getMulticurveProvider().withDiscountFactor(ccy,
            dscBumpedMinus), lmm.getLMMParameters(), lmm.getLMMCurrency());
        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 = lmm.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 = lmm.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = lmm.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 fwdBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final LiborMarketModelDisplacedDiffusionProviderDiscount marketFwdBumpedPlus = new LiborMarketModelDisplacedDiffusionProviderDiscount(lmm.getMulticurveProvider().withForward(index,
            fwdBumpedPlus), lmm.getLMMParameters(), lmm.getLMMCurrency());
        final MultipleCurrencyAmount pvBumpedPlus = 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 LiborMarketModelDisplacedDiffusionProviderDiscount marketFwdBumpedMinus = new LiborMarketModelDisplacedDiffusionProviderDiscount(lmm.getMulticurveProvider().withForward(index,
            fwdBumpedMinus), lmm.getLMMParameters(), lmm.getLMMCurrency());
        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 = lmm.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 = lmm.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = lmm.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 fwdBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final LiborMarketModelDisplacedDiffusionProviderDiscount marketFwdBumpedPlus = new LiborMarketModelDisplacedDiffusionProviderDiscount(lmm.getMulticurveProvider().withForward(index,
            fwdBumpedPlus), lmm.getLMMParameters(), lmm.getLMMCurrency());
        final MultipleCurrencyAmount pvBumpedPlus = 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 LiborMarketModelDisplacedDiffusionProviderDiscount marketFwdBumpedMinus = new LiborMarketModelDisplacedDiffusionProviderDiscount(lmm.getMulticurveProvider().withForward(index,
            fwdBumpedMinus), lmm.getLMMParameters(), lmm.getLMMCurrency());
        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);

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

    final double[][] pvLmmSensi = METHOD_LMM.presentValueLMMSensitivity(SWAPTION_PAYER_LONG, LMM_MULTICURVES);


    final double shift = 1.0E-6;
    final LiborMarketModelDisplacedDiffusionParameters parameterShiftPlus = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParametersShiftVol(REFERENCE_DATE,
        SWAP_PAYER_DEFINITION.getIborLeg(), shift);
    final LiborMarketModelDisplacedDiffusionProviderDiscount bundleShiftPlus = new LiborMarketModelDisplacedDiffusionProviderDiscount(MULTICURVES, parameterShiftPlus, EUR);
    final MultipleCurrencyAmount pvShiftPlus = METHOD_LMM.presentValue(SWAPTION_PAYER_LONG, bundleShiftPlus);
    final LiborMarketModelDisplacedDiffusionParameters parameterShiftMinus = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParametersShiftVol(REFERENCE_DATE,
        SWAP_PAYER_DEFINITION.getIborLeg(), -shift);
    final LiborMarketModelDisplacedDiffusionProviderDiscount bundleShiftMinus = new LiborMarketModelDisplacedDiffusionProviderDiscount(MULTICURVES, parameterShiftMinus, EUR);
    final MultipleCurrencyAmount pvShiftMinus = METHOD_LMM.presentValue(SWAPTION_PAYER_LONG, bundleShiftMinus);
    final double pvLmmSensiTotExpected = (pvShiftPlus.getAmount(EUR) - pvShiftMinus.getAmount(EUR)) / (2 * shift);
    double pvLmmSensiTot = 0.0;
    for (final double[] element : pvLmmSensi) {
      for (int loopfact = 0; loopfact < pvLmmSensi[0].length; loopfact++) {

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

  public void presentValueDDSensitivity() {
    final double[] pvDDSensi = METHOD_LMM.presentValueDDSensitivity(SWAPTION_PAYER_LONG, LMM_MULTICURVES);
    final double shift = 1.0E-6;
    final LiborMarketModelDisplacedDiffusionParameters parameterShiftPlus = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParametersShiftDis(REFERENCE_DATE,
        SWAP_PAYER_DEFINITION.getIborLeg(), shift);
    final LiborMarketModelDisplacedDiffusionProviderDiscount bundleShiftPlus = new LiborMarketModelDisplacedDiffusionProviderDiscount(MULTICURVES, parameterShiftPlus, EUR);
    final MultipleCurrencyAmount pvShiftPlus = METHOD_LMM.presentValue(SWAPTION_PAYER_LONG, bundleShiftPlus);
    final LiborMarketModelDisplacedDiffusionParameters parameterShiftMinus = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParametersShiftDis(REFERENCE_DATE,
        SWAP_PAYER_DEFINITION.getIborLeg(), -shift);
    final LiborMarketModelDisplacedDiffusionProviderDiscount bundleShiftMinus = new LiborMarketModelDisplacedDiffusionProviderDiscount(MULTICURVES, parameterShiftMinus, EUR);
    final MultipleCurrencyAmount pvShiftMinus = METHOD_LMM.presentValue(SWAPTION_PAYER_LONG, bundleShiftMinus);
    final double pvDDSensiTotExpected = (pvShiftPlus.getAmount(EUR) - pvShiftMinus.getAmount(EUR)) / (2 * shift);
    double pvDDSensiTot = 0.0;
    for (final double element : pvDDSensi) {
      pvDDSensiTot += element;

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

    final Period expTenor = Period.ofYears(10);
    final ZonedDateTime expiryDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, expTenor, EURIBOR6M, TARGET);
    final ZonedDateTime settleDate = ScheduleCalculator.getAdjustedDate(expiryDate, EURIBOR6M.getSpotLag(), TARGET);
    final LiborMarketModelDisplacedDiffusionParameters parametersLMM = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(REFERENCE_DATE,
        SwapFixedIborDefinition.from(settleDate, swapTenor, EUR1YEURIBOR3M, NOTIONAL, 0.0, FIXED_IS_PAYER).getIborLeg());
    final LiborMarketModelDisplacedDiffusionProviderDiscount lmmMulticurves = new LiborMarketModelDisplacedDiffusionProviderDiscount(MULTICURVES, parametersLMM, EUR);


    final double startRate = 0.03;
    final double[] rate = new double[nbTest];
    final SwapFixedIborDefinition[] swapDefinition = new SwapFixedIborDefinition[nbTest];
    final SwaptionPhysicalFixedIborDefinition[] swaptionDefinition = new SwaptionPhysicalFixedIborDefinition[nbTest];

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

  @Test
  public void presentValueIbor() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 8, 18);
    final AnnuityCouponIborRatchet annuityRatchetIbor = ANNUITY_RATCHET_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    final LiborMarketModelDisplacedDiffusionParameters parameterLMM = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(referenceDate, ANNUITY_RATCHET_FIXED_DEFINITION);
    final LiborMarketModelDisplacedDiffusionProviderDiscount bundleLMM = new LiborMarketModelDisplacedDiffusionProviderDiscount(MULTICURVES, parameterLMM, EUR);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    final MultipleCurrencyAmount pvMC = methodMC.presentValue(annuityRatchetIbor, EUR, bundleLMM);
    final double pvMCPreviousRun = 7675269.115;
    assertEquals("Annuity Ratchet Ibor - LMM - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(EUR), TOLERANCE_PV);

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

    iborFirstFixed[0] = ratchetFixed.getNthPayment(0);
    for (int loopcpn = 1; loopcpn < ibor.getNumberOfPayments(); loopcpn++) {
      iborFirstFixed[loopcpn] = ibor.getNthPayment(loopcpn);
    }
    final LiborMarketModelDisplacedDiffusionParameters parameterLMM = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(REFERENCE_DATE, ratchetFixedDefinition);
    final LiborMarketModelDisplacedDiffusionProviderDiscount bundleLMM = new LiborMarketModelDisplacedDiffusionProviderDiscount(MULTICURVES, parameterLMM, EUR);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final MultipleCurrencyAmount pvIborMC = methodMC.presentValue(ratchetFixed, EUR, bundleLMM);
    final MultipleCurrencyAmount pvIborExpected = new Annuity<Payment>(iborFirstFixed).accept(PVDC, MULTICURVES);
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in Ibor leg", pvIborExpected.getAmount(EUR), pvIborMC.getAmount(EUR), TOLERANCE_PV_MC);
    // For 500,000 path the difference is xxx

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

    final int nbPath = 12500;
    final AnnuityCouponIborRatchetDefinition annuityRatchetIbor20Definition = AnnuityCouponIborRatchetDefinition.withFirstCouponIborGearing(SETTLEMENT_DATE, Period.ofYears(5), NOTIONAL, EURIBOR3M,
        IS_PAYER, MAIN_COEF, FLOOR_COEF, CAP_COEF, TARGET);
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 8, 18);
    final LiborMarketModelDisplacedDiffusionParameters parameterLMM = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(referenceDate, annuityRatchetIbor20Definition);
    final LiborMarketModelDisplacedDiffusionProviderDiscount LMMmulticurves = new LiborMarketModelDisplacedDiffusionProviderDiscount(MULTICURVES, parameterLMM, EUR);
    final AnnuityCouponIborRatchet annuityRatchetIbor20 = annuityRatchetIbor20Definition.toDerivative(referenceDate, FIXING_TS);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final MultipleCurrencyAmount[] pvMC = new MultipleCurrencyAmount[nbTest];
    //    InterestRateCurveSensitivity[] pvcsMC = new InterestRateCurveSensitivity[nbTest];

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