Package com.opengamma.analytics.financial.interestrate.swaption.derivative

Examples of com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionPhysicalFixedIbor.accept()

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      throw new IllegalStateException("Expecting a single payment in the currency of the swaption");
    }
    final Currency currency = definition.getCurrency();
    final PresentValueBlackCalculator pvCalculator = PresentValueBlackCalculator.getInstance();
    final YieldCurveWithBlackSwaptionBundle tomorrowData = SWAPTION_ROLLDOWN.rollDown(data, shiftTime);
    final double result = swaptionTomorrow.accept(pvCalculator, tomorrowData) - swaptionToday.accept(pvCalculator, data) + paymentToday.getAmount(currency);
    return MultipleCurrencyAmount.of(CurrencyAmount.of(currency, result));
  }

  public MultipleCurrencyAmount getTheta(final SwaptionCashFixedIborDefinition definition, final ZonedDateTime date, final String[] yieldCurveNames,
      final YieldCurveWithBlackSwaptionBundle data, final int daysForward) {
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    final SwaptionPhysicalFixedIbor swaptionLongReceiverHighStrike = swaptionDefinitionLongReceiverHighStrike.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount priceLongPayer = METHOD_SABR_EXTRAPOLATION.presentValue(swaptionLongPayerHighStrike, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceShortPayer = METHOD_SABR_EXTRAPOLATION.presentValue(swaptionShortPayerHighStrike, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceLongReceiver = METHOD_SABR_EXTRAPOLATION.presentValue(swaptionLongReceiverHighStrike, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceLongPayerSABR = swaptionLongPayerHighStrike.accept(PVSSXC, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceLongReceiverSABR = swaptionLongReceiverHighStrike.accept(PVSSXC, SABR_MULTICURVES);
    assertEquals("Swaption SABR extrapolation: extrapolation limit", priceLongPayerSABR.getAmount(EUR), priceLongPayer.getAmount(EUR), TOLERANCE_PV);
    assertEquals("Swaption SABR extrapolation: extrapolation limit", priceLongReceiverSABR.getAmount(EUR), priceLongReceiver.getAmount(EUR), TOLERANCE_PV);
    assertEquals("Swaption SABR extrapolation: long/short parity", priceLongPayer.getAmount(EUR), -priceShortPayer.getAmount(EUR), TOLERANCE_PV);
  }
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    final MultipleCurrencyAmount theta = THETAC.getTheta(SWAPTION_DEFINITION_LONG_REC, REFERENCE_DATE, CURVES_NAME, CURVES_BLACK, 1);
    final SwaptionPhysicalFixedIbor swaptionToday = SWAPTION_DEFINITION_LONG_REC.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionPhysicalFixedIbor swaptionTomorrow = SWAPTION_DEFINITION_LONG_REC.toDerivative(REFERENCE_DATE.plusDays(1), CURVES_NAME);
    final double pvToday = swaptionToday.accept(PVC_BLACK, CURVES_BLACK);
    final YieldCurveBundle tomorrowData = SWAPTION_ROLLDOWN.rollDown(CURVES_BLACK, TimeCalculator.getTimeBetween(REFERENCE_DATE, REFERENCE_DATE.plusDays(1)));
    final double pvTomorrow = swaptionTomorrow.accept(PVC_BLACK, tomorrowData);
    assertEquals("ThetaCalculator: fixed-coupon swap", pvTomorrow - pvToday, theta.getAmount(SWAPTION_DEFINITION_LONG_REC.getCurrency()), TOLERANCE_PV);
    assertEquals("ThetaCalculator: fixed-coupon swap", 1, theta.getCurrencyAmounts().length);
  }
}
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    final SwaptionPhysicalFixedIbor swaptionLongReceiverHighStrike = swaptionDefinitionLongReceiverHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double priceLongPayer = METHOD_EXTRAPOLATION.presentValue(swaptionLongPayerHighStrike, sabrBundle);
    final double priceShortPayer = METHOD_EXTRAPOLATION.presentValue(swaptionShortPayerHighStrike, sabrBundle);
    final double priceLongReceiver = METHOD_EXTRAPOLATION.presentValue(swaptionLongReceiverHighStrike, sabrBundle);
    final double priceLongPayerSABR = swaptionLongPayerHighStrike.accept(PVC_NO_EXTRA, sabrBundle);
    final double priceLongReceiverSABR = swaptionLongReceiverHighStrike.accept(PVC_NO_EXTRA, sabrBundle);
    assertEquals("Swaption SABR extrapolation: extrapolation limit", priceLongPayerSABR, priceLongPayer, 1E-1);
    assertEquals("Swaption SABR extrapolation: extrapolation limit", priceLongReceiverSABR, priceLongReceiver, 1E-1);
    assertEquals("Swaption SABR extrapolation: long/short parity", priceLongPayer, -priceShortPayer, 1E-2);
  }
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    final IndexSwap index365 = new IndexSwap(FIXED_PAYMENT_PERIOD, DayCountFactory.INSTANCE.getDayCount("Actual/365"), IBOR_INDEX, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition swap365 = SwapFixedIborDefinition.from(SETTLEMENT_DATE, index365, NOTIONAL, rate365, FIXED_IS_PAYER, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaption365Definition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap365, IS_LONG);
    final SwaptionPhysicalFixedIbor swaption365 = swaption365Definition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double price360 = swaption360.accept(PVC, sabrBundle);
    final double price365 = swaption365.accept(PVC, sabrBundle);
    assertEquals(price360, price365, 1E-2);
  }

  @Test
  /**
 
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      final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
      final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
      curvesBumpedForward.addAll(curves);
      curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
      final SABRInterestRateDataBundle sabrBundleBumped = new SABRInterestRateDataBundle(sabrParameter, curvesBumpedForward);
      final double bumpedpv = swaptionBumpedForward.accept(PVC, sabrBundleBumped);
      final double res = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempForward.get(i);
      assertEquals("Node " + i, nodeTimesForward[i + 1], pair.getFirst(), 1E-8);
      assertEquals("Node " + i, res, pair.getSecond(), deltaTolerance);
    }
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      final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[i + 1], deltaShift);
      final YieldCurveBundle curvesBumped = new YieldCurveBundle();
      curvesBumped.addAll(curves);
      curvesBumped.setCurve("Bumped Curve", bumpedCurve);
      final SABRInterestRateDataBundle sabrBundleBumped = new SABRInterestRateDataBundle(sabrParameter, curvesBumped);
      final double bumpedpv = swaptionBumpedFunding.accept(PVC, sabrBundleBumped);
      final double res = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempFunding.get(i);
      assertEquals("Node " + i, nodeTimesFunding[i + 1], pair.getFirst(), 1E-8);
      assertEquals("Node " + i, res, pair.getSecond(), deltaTolerance);
    }
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    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " physical swaptions SABR (to derivatives): " + (endTime - startTime) + " ms");
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      swaption.accept(PVC, sabrBundle);
      swaption.accept(PVCSC_SABR, sabrBundle);
      swaption.accept(PVSSC_SABR, sabrBundle);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " physical swaptions SABR (pv+delta+SABR vega): " + (endTime - startTime) + " ms");
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    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " physical swaptions SABR (to derivatives): " + (endTime - startTime) + " ms");
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      swaption.accept(PVC, sabrBundle);
      swaption.accept(PVCSC_SABR, sabrBundle);
      swaption.accept(PVSSC_SABR, sabrBundle);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " physical swaptions SABR (pv+delta+SABR vega): " + (endTime - startTime) + " ms");
    // Performance note: definition construction: 15-Jun-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 45 ms for 1000 swaptions.
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    System.out.println(nbTest + " physical swaptions SABR (to derivatives): " + (endTime - startTime) + " ms");
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      swaption.accept(PVC, sabrBundle);
      swaption.accept(PVCSC_SABR, sabrBundle);
      swaption.accept(PVSSC_SABR, sabrBundle);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " physical swaptions SABR (pv+delta+SABR vega): " + (endTime - startTime) + " ms");
    // Performance note: definition construction: 15-Jun-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 45 ms for 1000 swaptions.
    // Performance note: to derivatives: 15-Jun-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 40 ms for 1000 swaptions.
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