Examples of SABRHaganAlternativeVolatilityFunction

Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganAlternativeVolatilityFunction

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  private static final double TOLERANCE_PV = 1.0E-2;
  private static final double TOLERANCE_PV_DELTA = 1.0E+0; //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move.

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNoSABRHaganSensi() {
    final SABRInterestRateParameters sabrParameter = SABRDataSets.createSABR1(new SABRHaganAlternativeVolatilityFunction());
    final SABRSwaptionProviderDiscount sabrBundle = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameter, EUR1YEURIBOR6M);
    PVCSSSC.visit(SWAPTION_LONG_PAYER, sabrBundle);
  }
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Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganAlternativeVolatilityFunction

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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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Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganAlternativeVolatilityFunction

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  public void testObject() {
    assertEquals(SABR_DATA.getSABRParameter(), PARAMETERS);
    SABRInterestRateDataBundle other = new SABRInterestRateDataBundle(PARAMETERS, CURVES);
    assertEquals(SABR_DATA, other);
    assertEquals(SABR_DATA.hashCode(), other.hashCode());
    other = new SABRInterestRateDataBundle(new SABRInterestRateParameters(SURFACE, SURFACE, SURFACE, SURFACE, DAYCOUNT, new SABRHaganAlternativeVolatilityFunction()), CURVES);
    assertFalse(other.equals(SABR_DATA));
    other = new SABRInterestRateDataBundle(PARAMETERS, new YieldCurveBundle(new String[] {"Curve1"}, new YieldAndDiscountCurve[] {CURVE}));
    assertFalse(other.equals(SABR_DATA));
  }
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Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganAlternativeVolatilityFunction

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    assertFalse(other.equals(OBJECT));
    other = new SABRInterestRateParameters(ALPHA_SURFACE, BETA_SURFACE, RHO_SURFACE, ALPHA_SURFACE, DAYCOUNT, FUNCTION);
    assertFalse(other.equals(OBJECT));
    other = new SABRInterestRateParameters(ALPHA_SURFACE, BETA_SURFACE, RHO_SURFACE, NU_SURFACE, DayCountFactory.INSTANCE.getDayCount("Act/365"), FUNCTION);
    assertFalse(other.equals(OBJECT));
    other = new SABRInterestRateParameters(ALPHA_SURFACE, BETA_SURFACE, RHO_SURFACE, NU_SURFACE, DAYCOUNT, new SABRHaganAlternativeVolatilityFunction());
    assertFalse(other.equals(OBJECT));
  }
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Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganAlternativeVolatilityFunction

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    // No convexity adjustment
    final PresentValueCalculator pvcNoConvexity = PresentValueCalculator.getInstance();
    final double priceNoConvexity = CMS_COUPON_RECEIVER.accept(pvcNoConvexity, curves);
    assertEquals(priceHagan, priceNoConvexity, 400.0);
    // SABR Hagan alternative volatility function
    final SABRInterestRateParameters sabrParameterHaganAlt = TestsDataSetsSABR.createSABR1(new SABRHaganAlternativeVolatilityFunction());
    final SABRInterestRateDataBundle sabrHaganAltBundle = new SABRInterestRateDataBundle(sabrParameterHaganAlt, curves);
    final double priceHaganAlt = CMS_COUPON_RECEIVER.accept(PVC, sabrHaganAltBundle);
    assertEquals(priceHagan, priceHaganAlt, 40.0);
    // SABR Berestycki volatility function
    final SABRInterestRateParameters sabrParameterBerestycki = TestsDataSetsSABR.createSABR1(new SABRBerestyckiVolatilityFunction());
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Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganAlternativeVolatilityFunction

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    final SABRInterestRateDataBundle sabrHaganBundle = new SABRInterestRateDataBundle(sabrParameterHagan, curves);
    final double priceHagan = SWAPTION_LONG_PAYER.accept(PVC, sabrHaganBundle);
    // From previous run
    assertEquals(1905857.579, priceHagan, 1E-2);
    // SABR Hagan alternative volatility function
    final SABRInterestRateParameters sabrParameterHaganAlt = TestsDataSetsSABR.createSABR1(new SABRHaganAlternativeVolatilityFunction());
    final SABRInterestRateDataBundle sabrHaganAltBundle = new SABRInterestRateDataBundle(sabrParameterHaganAlt, curves);
    final double priceHaganAlt = SWAPTION_LONG_PAYER.accept(PVC, sabrHaganAltBundle);
    assertEquals(priceHagan, priceHaganAlt, 5E+2);
    // SABR Berestycki volatility function
    final SABRInterestRateParameters sabrParameterBerestycki = TestsDataSetsSABR.createSABR1(new SABRBerestyckiVolatilityFunction());
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Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganAlternativeVolatilityFunction

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  private static final SwapFixedCouponDiscountingMethod METHOD_SWAP = SwapFixedCouponDiscountingMethod.getInstance();

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNoSABRHaganSensi() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1(new SABRHaganAlternativeVolatilityFunction());
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    SWAPTION_LONG_PAYER.accept(PVCSC_SABR, sabrBundle);
  }
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Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganAlternativeVolatilityFunction

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  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNoSABRHaganSensi() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1(new SABRHaganAlternativeVolatilityFunction());
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    SWAPTION_LONG_PAYER.accept(PVCSC_SABR, sabrBundle);
  }
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