Examples of SABRSwaptionProviderDiscount

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

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      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 SABRSwaptionProviderDiscount marketDscBumpedPlus = new SABRSwaptionProviderDiscount(sabr.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedPlus), sabr.getSABRParameter(),
            sabr.getSABRGenerator());
        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 SABRSwaptionProviderDiscount marketDscBumpedMinus = new SABRSwaptionProviderDiscount(sabr.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedMinus), sabr.getSABRParameter(),
            sabr.getSABRGenerator());
        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 = sabr.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 = sabr.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = sabr.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 SABRSwaptionProviderDiscount marketFwdBumpedPlus = new SABRSwaptionProviderDiscount(sabr.getMulticurveProvider().withForward(index, fwdBumpedPlus), sabr.getSABRParameter(),
            sabr.getSABRGenerator());
        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 SABRSwaptionProviderDiscount marketFwdBumpedMinus = new SABRSwaptionProviderDiscount(sabr.getMulticurveProvider().withForward(index, fwdBumpedMinus), sabr.getSABRParameter(),
            sabr.getSABRGenerator());
        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 = sabr.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 = sabr.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = sabr.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 SABRSwaptionProviderDiscount marketFwdBumpedPlus = new SABRSwaptionProviderDiscount(sabr.getMulticurveProvider().withForward(index, fwdBumpedPlus), sabr.getSABRParameter(),
            sabr.getSABRGenerator());
        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 SABRSwaptionProviderDiscount marketFwdBumpedMinus = new SABRSwaptionProviderDiscount(sabr.getMulticurveProvider().withForward(index, fwdBumpedMinus), sabr.getSABRParameter(),
            sabr.getSABRGenerator());
        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.SABRSwaptionProviderDiscount

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  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.provider.description.interestrate.SABRSwaptionProviderDiscount

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    final double pvLongPayer = METHOD_SWPT_SABR.presentValue(SWAPTION_LONG_PAYER, SABR_MULTICURVES).getAmount(EUR);
    final double shift = 1.0E-8;
    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_SABR.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, 1.0E+1);
    // 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_SABR.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, 5.0E-1);
    // 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_SABR.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);
    assertEquals("Nu sensitivity value", pvsLongPayer.getNu().getMap().get(expectedExpiryTenor), expectedNuSensi, 1.0E+0);
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProviderDiscount

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    final double maturity = CMS_CAP_LONG.getUnderlyingSwap().getFixedLeg().getNthPayment(CMS_CAP_LONG.getUnderlyingSwap().getFixedLeg().getNumberOfPayments() - 1).getPaymentTime()
        - CMS_CAP_LONG.getSettlementTime();
    final DoublesPair expectedExpiryTenor = new DoublesPair(CMS_CAP_LONG.getFixingTime(), maturity);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
    final SABRSwaptionProviderDiscount sabrBundleAlphaBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
    final double pvLongPayerAlphaBumped = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, sabrBundleAlphaBumped).getAmount(EUR);
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / 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), TOLERANCE_PV_DELTA);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped();
    final SABRSwaptionProviderDiscount sabrBundleRhoBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
    final double pvLongPayerRhoBumped = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, sabrBundleRhoBumped).getAmount(EUR);
    final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / 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", expectedRhoSensi, pvsCapLong.getRho().getMap().get(expectedExpiryTenor), TOLERANCE_PV_DELTA);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped();
    final SABRSwaptionProviderDiscount sabrBundleNuBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
    final double pvLongPayerNuBumped = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, sabrBundleNuBumped).getAmount(EUR);
    final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
    assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 1);
    assertTrue("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor));
    assertEquals("Nu sensitivity value", expectedNuSensi, pvsCapLong.getNu().getMap().get(expectedExpiryTenor), TOLERANCE_PV_DELTA);
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProviderDiscount

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    final double maturity = CMS_COUPON.getUnderlyingSwap().getFixedLeg().getNthPayment(CMS_COUPON.getUnderlyingSwap().getFixedLeg().getNumberOfPayments() - 1).getPaymentTime()
        - CMS_COUPON.getSettlementTime();
    final DoublesPair expectedExpiryTenor = new DoublesPair(CMS_COUPON.getFixingTime(), maturity);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
    final SABRSwaptionProviderDiscount sabrBundleAlphaBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
    final double pvLongPayerAlphaBumped = METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, sabrBundleAlphaBumped).getAmount(EUR);
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsCpn.getAlpha().getMap().keySet().size(), 1);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCpn.getAlpha().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsCpn.getAlpha().getMap().get(expectedExpiryTenor), TOLERANCE_PV_DELTA);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped();
    final SABRSwaptionProviderDiscount sabrBundleRhoBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
    final double pvLongPayerRhoBumped = METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, sabrBundleRhoBumped).getAmount(EUR);
    final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
    assertEquals("Number of rho sensitivity", pvsCpn.getRho().getMap().keySet().size(), 1);
    assertEquals("Rho sensitivity expiry/tenor", pvsCpn.getRho().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Rho sensitivity value", expectedRhoSensi, pvsCpn.getRho().getMap().get(expectedExpiryTenor), TOLERANCE_PV_DELTA);
    // Nu sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped();
    final SABRSwaptionProviderDiscount sabrBundleNuBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
    final double pvLongPayerNuBumped = METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, sabrBundleNuBumped).getAmount(EUR);
    final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
    assertEquals("Number of nu sensitivity", pvsCpn.getNu().getMap().keySet().size(), 1);
    assertTrue("Nu sensitivity expiry/tenor", pvsCpn.getNu().getMap().keySet().contains(expectedExpiryTenor));
    assertEquals("Nu sensitivity value", expectedNuSensi, pvsCpn.getNu().getMap().get(expectedExpiryTenor), TOLERANCE_PV_DELTA);
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProviderDiscount

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    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);
    assertEquals("Nu sensitivity value", expectedNuSensi, pvsLongPayer.getNu().getMap().get(expectedExpiryTenor), 5.0E+1);
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProviderDiscount

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  }

  @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.provider.description.interestrate.SABRSwaptionProviderDiscount

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    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);
    assertEquals("Nu sensitivity value", pvsLongPayer.getNu().getMap().get(expectedExpiryTenor), expectedNuSensi, 1E+3);
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProviderDiscount

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    final MultipleCurrencyAmount pvLongPayer = METHOD_SABR_EXTRAPOLATION.presentValue(SWAPTION_LONG_PAYER_HIGH, SABR_MULTICURVES);
    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 MultipleCurrencyAmount pvLongPayerAlphaBumped = METHOD_SABR_EXTRAPOLATION.presentValue(SWAPTION_LONG_PAYER_HIGH, sabrBundleAlphaBumped);
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped.getAmount(EUR) - pvLongPayer.getAmount(EUR)) / 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);
    // Beta sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterBetaBumped = SABRDataSets.createSABR1BetaBumped(shift);
    final SABRSwaptionProviderDiscount sabrBundleBetaBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterBetaBumped, EUR1YEURIBOR6M);
    final MultipleCurrencyAmount pvLongPayerBetaBumped = METHOD_SABR_EXTRAPOLATION.presentValue(SWAPTION_LONG_PAYER_HIGH, sabrBundleBetaBumped);
    final double expectedBetaSensi = (pvLongPayerBetaBumped.getAmount(EUR) - pvLongPayer.getAmount(EUR)) / shift;
    assertEquals("Number of Beta sensitivity", pvsLongPayer.getBeta().getMap().keySet().size(), 1);
    assertEquals("Beta sensitivity expiry/tenor", pvsLongPayer.getBeta().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Beta sensitivity value", expectedBetaSensi, pvsLongPayer.getBeta().getMap().get(expectedExpiryTenor), 1.5E+3);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped(shift);
    final SABRSwaptionProviderDiscount sabrBundleRhoBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
    final MultipleCurrencyAmount pvLongPayerRhoBumped = METHOD_SABR_EXTRAPOLATION.presentValue(SWAPTION_LONG_PAYER_HIGH, sabrBundleRhoBumped);
    final double expectedRhoSensi = (pvLongPayerRhoBumped.getAmount(EUR) - pvLongPayer.getAmount(EUR)) / 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), 3.0E+0);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped(shift);
    final SABRSwaptionProviderDiscount sabrBundleNuBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
    final MultipleCurrencyAmount pvLongPayerNuBumped = METHOD_SABR_EXTRAPOLATION.presentValue(SWAPTION_LONG_PAYER_HIGH, sabrBundleNuBumped);
    final double expectedNuSensi = (pvLongPayerNuBumped.getAmount(EUR) - pvLongPayer.getAmount(EUR)) / shift;
    assertEquals("Number of nu sensitivity", pvsLongPayer.getNu().getMap().keySet().size(), 1);
    assertEquals("Nu sensitivity expiry/tenor", pvsLongPayer.getNu().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Nu sensitivity value", expectedNuSensi, pvsLongPayer.getNu().getMap().get(expectedExpiryTenor), 5.0E+1);
View Full Code Here

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

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      assertEquals("Sensitivity swaption pv to rho", pvss1.getRho().getMap().get(expiryMaturity), pvss.getRho().getMap().get(expiryMaturity), 1E-2);
      assertEquals("Sensitivity swaption pv to nu", pvss1.getNu().getMap().get(expiryMaturity), pvss.getNu().getMap().get(expiryMaturity), 1E-2);
    }
    // SABR parameters sensitivity (parallel shift check)
    SABRInterestRateParameters sabrParameterShift;
    SABRSwaptionProviderDiscount sabrBundleShift;
    final LiborMarketModelDisplacedDiffusionParameters lmmParametersShift = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParametersDisplacementAngle(REFERENCE_DATE,
        swapCalibrationDefinition[swapTenorYear.length - 1].getIborLeg(), 0.10, Math.PI / 2);
    final SuccessiveRootFinderLMMDDCalibrationObjective objectiveShift = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParametersShift, EUR);
    final CalibrationEngineWithCalculators<SABRSwaptionProviderInterface> calibrationEngineShift = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objectiveShift);
    calibrationEngineShift.addInstrument(swaptionCalibration2, PVSSC);
    final LiborMarketModelDisplacedDiffusionProvider lmmBundleShift = new LiborMarketModelDisplacedDiffusionProvider(MULTICURVES, lmmParametersShift, EUR);

    double alphaVegaTotalComputed = 0.0;
    assertEquals("Number of alpha sensitivity", pvss.getAlpha().getMap().keySet().size(), swaptionCalibration.length);
    for (final SwaptionPhysicalFixedIbor element : swaptionCalibration) {
      final DoublesPair expiryMaturity = new DoublesPair(element.getTimeToExpiry(), element.getMaturityTime());
      alphaVegaTotalComputed += pvss.getAlpha().getMap().get(expiryMaturity);
    }
    final double shiftAlpha = 0.00001;
    sabrParameterShift = SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
    sabrBundleShift = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterShift, EUR1YEURIBOR6M);
    calibrationEngineShift.calibrate(sabrBundleShift);
    final MultipleCurrencyAmount pvAmortizedShiftAlpha = METHOD_LMM.presentValue(swaptionAmortized, lmmBundleShift);
    final double alphaVegaTotalExpected = (pvAmortizedShiftAlpha.getAmount(EUR) - pvAmortized.getAmount(EUR)) / shiftAlpha;
    assertEquals("Alpha sensitivity value", alphaVegaTotalExpected, alphaVegaTotalComputed, 5 * TOLERANCE_PV_DELTA);

    double rhoVegaTotalComputed = 0.0;
    assertEquals("Number of alpha sensitivity", pvss.getRho().getMap().keySet().size(), swaptionCalibration.length);
    for (final SwaptionPhysicalFixedIbor element : swaptionCalibration) {
      final DoublesPair expiryMaturity = new DoublesPair(element.getTimeToExpiry(), element.getMaturityTime());
      rhoVegaTotalComputed += pvss.getRho().getMap().get(expiryMaturity);
    }
    final double shiftRho = 0.00001;
    sabrParameterShift = SABRDataSets.createSABR1RhoBumped(shiftRho);
    sabrBundleShift = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterShift, EUR1YEURIBOR6M);
    calibrationEngineShift.calibrate(sabrBundleShift);
    final MultipleCurrencyAmount pvAmortizedShiftRho = METHOD_LMM.presentValue(swaptionAmortized, lmmBundleShift);
    final double rhoVegaTotalExpected = (pvAmortizedShiftRho.getAmount(EUR) - pvAmortized.getAmount(EUR)) / shiftRho;
    assertEquals("Rho sensitivity value", rhoVegaTotalExpected, rhoVegaTotalComputed, TOLERANCE_PV_DELTA);

    double nuVegaTotalComputed = 0.0;
    assertEquals("Number of alpha sensitivity", pvss.getNu().getMap().keySet().size(), swaptionCalibration.length);
    for (final SwaptionPhysicalFixedIbor element : swaptionCalibration) {
      final DoublesPair expiryMaturity = new DoublesPair(element.getTimeToExpiry(), element.getMaturityTime());
      nuVegaTotalComputed += pvss.getNu().getMap().get(expiryMaturity);
    }
    final double shiftNu = 0.00001;
    sabrParameterShift = SABRDataSets.createSABR1NuBumped(shiftNu);
    sabrBundleShift = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterShift, EUR1YEURIBOR6M);
    calibrationEngineShift.calibrate(sabrBundleShift);
    final MultipleCurrencyAmount pvAmortizedShiftNu = METHOD_LMM.presentValue(swaptionAmortized, lmmBundleShift);
    final double nuVegaTotalExpected = (pvAmortizedShiftNu.getAmount(EUR) - pvAmortized.getAmount(EUR)) / shiftNu;
    assertEquals("Nu sensitivity value", nuVegaTotalExpected, nuVegaTotalComputed, TOLERANCE_PV_DELTA);

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