internal static CmsPeriod sutCoupon()
{
FixedIborSwapConvention conv = INDEX.Template.Convention;
ResolvedSwap swap = conv.toTrade(FIXING, START, END, BuySell.BUY, 1d, 0.01).Product.resolve(REF_DATA);
return(CmsPeriod.builder().currency(GBP).notional(NOTIONAL).startDate(START).endDate(END).unadjustedStartDate(START_UNADJUSTED).unadjustedEndDate(END_UNADJUSTED).yearFraction(YEAR_FRACTION).paymentDate(PAYMENT).fixingDate(FIXING).dayCount(ACT_360).index(INDEX).underlyingSwap(swap).build());
}
internal static CmsPeriod sut2()
{
FixedIborSwapConvention conv = INDEX.Template.Convention;
ResolvedSwap swap = conv.toTrade(FIXING.plusDays(1), START.plusDays(1), END.plusDays(1), BuySell.BUY, 1d, 1d).Product.resolve(REF_DATA);
return(CmsPeriod.builder().currency(EUR).notional(NOTIONAL + 1).startDate(START.plusDays(1)).endDate(END.plusDays(1)).unadjustedStartDate(START_UNADJUSTED.plusDays(1)).unadjustedEndDate(END_UNADJUSTED.plusDays(1)).yearFraction(YEAR_FRACTION + 0.01).paymentDate(PAYMENT.plusDays(1)).fixingDate(FIXING.plusDays(1)).floorlet(STRIKE).dayCount(ACT_365F).index(SwapIndices.EUR_EURIBOR_1100_5Y).underlyingSwap(swap).build());
}
/// <summary>
/// Computes the adjustment to the forward rate for a CMS coupon.
/// <para>
/// The adjustment to the forward rate, is the quantity that need to be added to the forward rate to obtain the
/// adjusted forward rate. The adjusted forward rate is the number which used in the same formula used for
/// Ibor coupon pricing (forward * notional * accrual factor * discount factor) will provide the correct present value.
/// </para>
/// <para>
/// For cap or floor the result is the adjustment to the forward rate for the coupon equivalent to the cap/floor,
/// i.e. the coupon with the same dates and index but with no cap or floor strike.
///
/// </para>
/// </summary>
/// <param name="cmsPeriod"> the CMS period, which should be of the type <seealso cref="CmsPeriodType#COUPON"/> </param>
/// <param name="provider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the adjusted forward rate </returns>
public double adjustmentToForwardRate(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities)
{
CmsPeriod coupon = cmsPeriod.toCouponEquivalent();
double adjustedForwardRate = this.adjustedForwardRate(coupon, provider, swaptionVolatilities);
double forward = swapPricer.parRate(coupon.UnderlyingSwap, provider);
return(adjustedForwardRate - forward);
}
public virtual void test_builder_multiCurrencyIndex()
{
CmsPeriod period3 = CmsPeriodTest.sut2();
assertThrowsIllegalArg(() => ResolvedCmsLeg.builder().payReceive(RECEIVE).cmsPeriods(PERIOD_1, period3).build());
CmsPeriod period4 = CmsPeriodTest.sutCoupon();
assertThrowsIllegalArg(() => ResolvedCmsLeg.builder().payReceive(RECEIVE).cmsPeriods(PERIOD_1, period4).build());
}
/// <summary>
/// Computes the adjusted forward rate for a CMS coupon.
/// <para>
/// The adjusted forward rate, is the number such that, multiplied by the notional, the year fraction and the payment
/// date discount factor, it produces the present value. In other terms, it is the number which used in the same
/// formula used for Ibor coupon pricing will provide the correct present value.
/// </para>
/// <para>
/// For period already fixed, this number will be equal to the swap index fixing.
/// </para>
/// <para>
/// For cap or floor the result is the adjusted forward rate for the coupon equivalent to the cap/floor,
/// i.e. the coupon with the same dates and index but with no cap or floor strike.
///
/// </para>
/// </summary>
/// <param name="cmsPeriod"> the CMS period, which should be of the type <seealso cref="CmsPeriodType#COUPON"/> </param>
/// <param name="provider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the adjusted forward rate </returns>
public double adjustedForwardRate(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities)
{
CmsPeriod coupon = cmsPeriod.toCouponEquivalent();
Currency ccy = cmsPeriod.Currency;
double dfPayment = provider.discountFactor(ccy, coupon.PaymentDate);
double pv = presentValue(coupon, provider, swaptionVolatilities).Amount;
return(pv / (coupon.Notional * coupon.YearFraction * dfPayment));
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes the present value curve sensitivity by simple forward rate estimation.
/// </summary>
/// <param name="cmsPeriod"> the CMS </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivity(CmsPeriod cmsPeriod, RatesProvider provider)
{
Currency ccy = cmsPeriod.Currency;
LocalDate valuationDate = provider.ValuationDate;
if (valuationDate.isAfter(cmsPeriod.PaymentDate))
{
return(PointSensitivityBuilder.none());
}
LocalDate fixingDate = cmsPeriod.FixingDate;
double dfPayment = provider.discountFactor(ccy, cmsPeriod.PaymentDate);
if (!fixingDate.isAfter(valuationDate))
{ // Using fixing
double?fixedRate = provider.timeSeries(cmsPeriod.Index).get(fixingDate);
if (fixedRate.HasValue)
{
double payoff = 0d;
switch (cmsPeriod.CmsPeriodType)
{
case CAPLET:
payoff = Math.Max(fixedRate.Value - cmsPeriod.Strike, 0d);
break;
case FLOORLET:
payoff = Math.Max(cmsPeriod.Strike - fixedRate.Value, 0d);
break;
case COUPON:
payoff = fixedRate.Value;
break;
default:
throw new System.ArgumentException("unsupported CMS type");
}
return(provider.discountFactors(ccy).zeroRatePointSensitivity(cmsPeriod.PaymentDate).multipliedBy(payoff * cmsPeriod.Notional * cmsPeriod.YearFraction));
}
else if (fixingDate.isBefore(valuationDate))
{
throw new System.ArgumentException(Messages.format("Unable to get fixing for {} on date {}, no time-series supplied", cmsPeriod.Index, fixingDate));
}
}
if (!cmsPeriod.CmsPeriodType.Equals(CmsPeriodType.COUPON))
{
throw new System.ArgumentException("Unable to price cap or floor in this pricer");
}
// Using forward
ResolvedSwap swap = cmsPeriod.UnderlyingSwap;
ZeroRateSensitivity dfPaymentdr = provider.discountFactors(ccy).zeroRatePointSensitivity(cmsPeriod.PaymentDate);
double forward = swapPricer.parRate(swap, provider);
PointSensitivityBuilder forwardSensi = swapPricer.parRateSensitivity(swap, provider);
return(forwardSensi.multipliedBy(dfPayment).combinedWith(dfPaymentdr.multipliedBy(forward)).multipliedBy(cmsPeriod.Notional * cmsPeriod.YearFraction));
}
/// <summary>
/// Computes the forward rate associated to the swap underlying the CMS period.
/// <para>
/// Returns a value only if the period has not fixed yet. If the fixing date is on or before the valuation date,
/// an <seealso cref="IllegalArgumentException"/> is thrown.
///
/// </para>
/// </summary>
/// <param name="cmsPeriod"> the CMS </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the forward rate </returns>
public virtual double forwardRate(CmsPeriod cmsPeriod, RatesProvider provider)
{
LocalDate fixingDate = cmsPeriod.FixingDate;
LocalDate valuationDate = provider.ValuationDate;
if (!fixingDate.isAfter(valuationDate))
{ // Using fixing
throw new System.ArgumentException("Forward rate is availaible only for valuation date after the fixing date");
}
ResolvedSwap swap = cmsPeriod.UnderlyingSwap;
return(swapPricer.parRate(swap, provider));
}
public virtual void test_resolve()
{
CmsLeg baseFloor = CmsLeg.builder().floorSchedule(FLOOR).index(INDEX).notional(NOTIONAL).payReceive(PAY).paymentSchedule(SCHEDULE_EUR).build();
ResolvedCmsLeg resolvedFloor = baseFloor.resolve(REF_DATA);
LocalDate end1 = LocalDate.of(2016, 10, 21);
LocalDate fixing1 = EUR_EURIBOR_6M.calculateFixingFromEffective(START, REF_DATA);
LocalDate fixing2 = EUR_EURIBOR_6M.calculateFixingFromEffective(end1, REF_DATA);
LocalDate fixing3 = EUR_EURIBOR_6M.calculateFixingFromEffective(END, REF_DATA);
LocalDate endDate = SCHEDULE_EUR.calculatedEndDate().adjusted(REF_DATA);
CmsPeriod period1 = CmsPeriod.builder().currency(EUR).floorlet(FLOOR.InitialValue).notional(-NOTIONAL.InitialValue).index(INDEX).startDate(START).endDate(end1).unadjustedStartDate(START).unadjustedEndDate(end1).fixingDate(fixing1).paymentDate(end1).yearFraction(EUR_EURIBOR_6M.DayCount.yearFraction(START, end1)).dayCount(EUR_EURIBOR_6M.DayCount).underlyingSwap(createUnderlyingSwap(fixing1)).build();
CmsPeriod period2 = CmsPeriod.builder().currency(EUR).floorlet(FLOOR.Steps[0].Value.ModifyingValue).notional(-NOTIONAL.Steps[0].Value.ModifyingValue).index(INDEX).startDate(end1).endDate(endDate).unadjustedStartDate(end1).unadjustedEndDate(END).fixingDate(fixing2).paymentDate(endDate).yearFraction(EUR_EURIBOR_6M.DayCount.yearFraction(end1, endDate)).dayCount(EUR_EURIBOR_6M.DayCount).underlyingSwap(createUnderlyingSwap(fixing2)).build();
assertEquals(resolvedFloor.Currency, EUR);
assertEquals(resolvedFloor.StartDate, baseFloor.StartDate.adjusted(REF_DATA));
assertEquals(resolvedFloor.EndDate, baseFloor.EndDate.adjusted(REF_DATA));
assertEquals(resolvedFloor.Index, INDEX);
assertEquals(resolvedFloor.PayReceive, PAY);
assertEquals(resolvedFloor.CmsPeriods.size(), 2);
assertEquals(resolvedFloor.CmsPeriods.get(0), period1);
assertEquals(resolvedFloor.CmsPeriods.get(1), period2);
CmsLeg baseFloorEnd = CmsLeg.builder().floorSchedule(FLOOR).fixingRelativeTo(FixingRelativeTo.PERIOD_END).index(INDEX).notional(NOTIONAL).payReceive(PAY).paymentSchedule(SCHEDULE_EUR).build();
ResolvedCmsLeg resolvedFloorEnd = baseFloorEnd.resolve(REF_DATA);
CmsPeriod period1End = CmsPeriod.builder().currency(EUR).floorlet(FLOOR.InitialValue).notional(-NOTIONAL.InitialValue).index(INDEX).startDate(START).endDate(end1).unadjustedStartDate(START).unadjustedEndDate(end1).fixingDate(fixing2).paymentDate(end1).yearFraction(EUR_EURIBOR_6M.DayCount.yearFraction(START, end1)).dayCount(EUR_EURIBOR_6M.DayCount).underlyingSwap(createUnderlyingSwap(fixing2)).build();
CmsPeriod period2End = CmsPeriod.builder().currency(EUR).floorlet(FLOOR.Steps[0].Value.ModifyingValue).notional(-NOTIONAL.Steps[0].Value.ModifyingValue).index(INDEX).startDate(end1).endDate(endDate).unadjustedStartDate(end1).unadjustedEndDate(END).fixingDate(fixing3).paymentDate(endDate).yearFraction(EUR_EURIBOR_6M.DayCount.yearFraction(end1, endDate)).dayCount(EUR_EURIBOR_6M.DayCount).underlyingSwap(createUnderlyingSwap(fixing3)).build();
assertEquals(resolvedFloorEnd.Currency, EUR);
assertEquals(resolvedFloorEnd.StartDate, baseFloor.StartDate.adjusted(REF_DATA));
assertEquals(resolvedFloorEnd.EndDate, baseFloor.EndDate.adjusted(REF_DATA));
assertEquals(resolvedFloorEnd.Index, INDEX);
assertEquals(resolvedFloorEnd.PayReceive, PAY);
assertEquals(resolvedFloorEnd.CmsPeriods.size(), 2);
assertEquals(resolvedFloorEnd.CmsPeriods.get(0), period1End);
assertEquals(resolvedFloorEnd.CmsPeriods.get(1), period2End);
CmsLeg baseCap = CmsLeg.builder().index(INDEX).capSchedule(CAP).notional(NOTIONAL).payReceive(PAY).paymentSchedule(SCHEDULE_EUR).paymentDateOffset(PAYMENT_OFFSET).build();
ResolvedCmsLeg resolvedCap = baseCap.resolve(REF_DATA);
CmsPeriod periodCap1 = CmsPeriod.builder().currency(EUR).notional(-NOTIONAL.InitialValue).index(INDEX).caplet(CAP.InitialValue).startDate(START).endDate(end1).unadjustedStartDate(START).unadjustedEndDate(end1).fixingDate(fixing1).paymentDate(PAYMENT_OFFSET.adjust(end1, REF_DATA)).yearFraction(EUR_EURIBOR_6M.DayCount.yearFraction(START, end1)).dayCount(EUR_EURIBOR_6M.DayCount).underlyingSwap(createUnderlyingSwap(fixing1)).build();
CmsPeriod periodCap2 = CmsPeriod.builder().currency(EUR).notional(-NOTIONAL.Steps[0].Value.ModifyingValue).index(INDEX).caplet(CAP.InitialValue).startDate(end1).endDate(endDate).unadjustedStartDate(end1).unadjustedEndDate(END).fixingDate(fixing2).paymentDate(PAYMENT_OFFSET.adjust(endDate, REF_DATA)).yearFraction(EUR_EURIBOR_6M.DayCount.yearFraction(end1, endDate)).dayCount(EUR_EURIBOR_6M.DayCount).underlyingSwap(createUnderlyingSwap(fixing2)).build();
assertEquals(resolvedCap.Currency, EUR);
assertEquals(resolvedCap.StartDate, baseCap.StartDate.adjusted(REF_DATA));
assertEquals(resolvedCap.EndDate, baseCap.EndDate.adjusted(REF_DATA));
assertEquals(resolvedCap.Index, INDEX);
assertEquals(resolvedCap.PayReceive, PAY);
assertEquals(resolvedCap.CmsPeriods.size(), 2);
assertEquals(resolvedCap.CmsPeriods.get(0), periodCap1);
assertEquals(resolvedCap.CmsPeriods.get(1), periodCap2);
}
public virtual void test_toCouponEquivalent()
{
CmsPeriod caplet = sutCap();
CmsPeriod cpnEquivalent = caplet.toCouponEquivalent();
assertEquals(cpnEquivalent.CmsPeriodType, CmsPeriodType.COUPON);
assertEquals(caplet.Currency, cpnEquivalent.Currency);
assertEquals(caplet.StartDate, cpnEquivalent.StartDate);
assertEquals(caplet.EndDate, cpnEquivalent.EndDate);
assertEquals(caplet.UnadjustedStartDate, cpnEquivalent.UnadjustedStartDate);
assertEquals(caplet.UnadjustedEndDate, cpnEquivalent.UnadjustedEndDate);
assertEquals(caplet.FixingDate, cpnEquivalent.FixingDate);
assertEquals(caplet.PaymentDate, cpnEquivalent.PaymentDate);
assertEquals(caplet.Index, cpnEquivalent.Index);
assertEquals(caplet.Notional, cpnEquivalent.Notional);
assertEquals(caplet.YearFraction, cpnEquivalent.YearFraction);
assertEquals(caplet.DayCount, cpnEquivalent.DayCount);
}
/// <summary>
/// Explains the present value of the CMS period.
/// <para>
/// This returns explanatory information about the calculation.
///
/// </para>
/// </summary>
/// <param name="period"> the product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the volatilities </param>
/// <param name="builder"> the builder to populate </param>
public void explainPresentValue(CmsPeriod period, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities, ExplainMapBuilder builder)
{
string type = period.CmsPeriodType.ToString();
Currency ccy = period.Currency;
LocalDate paymentDate = period.PaymentDate;
builder.put(ExplainKey.ENTRY_TYPE, "Cms" + type + "Period");
builder.put(ExplainKey.STRIKE_VALUE, period.Strike);
builder.put(ExplainKey.NOTIONAL, CurrencyAmount.of(ccy, period.Notional));
builder.put(ExplainKey.PAYMENT_DATE, period.PaymentDate);
builder.put(ExplainKey.DISCOUNT_FACTOR, ratesProvider.discountFactor(ccy, paymentDate));
builder.put(ExplainKey.START_DATE, period.StartDate);
builder.put(ExplainKey.END_DATE, period.EndDate);
builder.put(ExplainKey.FIXING_DATE, period.FixingDate);
builder.put(ExplainKey.ACCRUAL_YEAR_FRACTION, period.YearFraction);
builder.put(ExplainKey.PRESENT_VALUE, presentValue(period, ratesProvider, swaptionVolatilities));
builder.put(ExplainKey.FORWARD_RATE, swapPricer.parRate(period.UnderlyingSwap, ratesProvider));
builder.put(ExplainKey.CONVEXITY_ADJUSTED_RATE, adjustedForwardRate(period, ratesProvider, swaptionVolatilities));
}
public virtual void test_builder_coupon()
{
CmsPeriod testCoupon = sutCoupon();
assertFalse(testCoupon.Caplet.HasValue);
assertFalse(testCoupon.Floorlet.HasValue);
assertEquals(testCoupon.CmsPeriodType, CmsPeriodType.COUPON);
assertEquals(testCoupon.Currency, GBP);
assertEquals(testCoupon.StartDate, START);
assertEquals(testCoupon.EndDate, END);
assertEquals(testCoupon.UnadjustedStartDate, START_UNADJUSTED);
assertEquals(testCoupon.UnadjustedEndDate, END_UNADJUSTED);
assertEquals(testCoupon.FixingDate, FIXING);
assertEquals(testCoupon.PaymentDate, PAYMENT);
assertEquals(testCoupon.Index, INDEX);
assertEquals(testCoupon.Notional, NOTIONAL);
assertEquals(testCoupon.YearFraction, YEAR_FRACTION);
assertEquals(testCoupon.DayCount, ACT_360);
assertEquals(testCoupon.Strike, 0d);
}
public virtual void test_builder_floor()
{
CmsPeriod testFloorlet = sutFloor();
assertFalse(testFloorlet.Caplet.HasValue);
assertEquals(testFloorlet.Floorlet.Value, STRIKE);
assertEquals(testFloorlet.CmsPeriodType, CmsPeriodType.FLOORLET);
assertEquals(testFloorlet.Currency, GBP);
assertEquals(testFloorlet.StartDate, START);
assertEquals(testFloorlet.EndDate, END);
assertEquals(testFloorlet.UnadjustedStartDate, START_UNADJUSTED);
assertEquals(testFloorlet.UnadjustedEndDate, END_UNADJUSTED);
assertEquals(testFloorlet.FixingDate, FIXING);
assertEquals(testFloorlet.PaymentDate, PAYMENT);
assertEquals(testFloorlet.Index, INDEX);
assertEquals(testFloorlet.Notional, NOTIONAL);
assertEquals(testFloorlet.YearFraction, YEAR_FRACTION);
assertEquals(testFloorlet.DayCount, ACT_360);
assertEquals(testFloorlet.Strike, STRIKE);
}
public CmsDeltaIntegrantProvider(SabrExtrapolationReplicationCmsPeriodPricer outerInstance, CmsPeriod cmsPeriod, ResolvedSwap swap, SabrSwaptionVolatilities swaptionVolatilities, double forward, double strike, double timeToExpiry, double tenor, double cutOffStrike, double eta) : base(outerInstance, cmsPeriod, swap, swaptionVolatilities, forward, strike, timeToExpiry, tenor, cutOffStrike, eta)
{
this.outerInstance = outerInstance;
this.nnp_Renamed = nnp(forward);
}
public CmsIntegrantProvider(SabrExtrapolationReplicationCmsPeriodPricer outerInstance, CmsPeriod cmsPeriod, ResolvedSwap swap, SabrSwaptionVolatilities swaptionVolatilities, double forward, double strike, double timeToExpiry, double tenor, double cutOffStrike, double eta)
{
this.outerInstance = outerInstance;
ResolvedSwapLeg fixedLeg = swap.getLegs(SwapLegType.FIXED).get(0);
this.nbFixedPeriod = fixedLeg.PaymentPeriods.size();
this.nbFixedPaymentYear = (int)(long)Math.Round(1d / ((RatePaymentPeriod)fixedLeg.PaymentPeriods.get(0)).AccrualPeriods.get(0).YearFraction, MidpointRounding.AwayFromZero);
this.tau = 1d / nbFixedPaymentYear;
this.eta = eta;
SabrFormulaData sabrPoint = SabrFormulaData.of(swaptionVolatilities.alpha(timeToExpiry, tenor), swaptionVolatilities.beta(timeToExpiry, tenor), swaptionVolatilities.rho(timeToExpiry, tenor), swaptionVolatilities.nu(timeToExpiry, tenor));
this.shift = swaptionVolatilities.shift(timeToExpiry, tenor);
this.sabrExtrapolation = SabrExtrapolationRightFunction.of(forward + shift, timeToExpiry, sabrPoint, cutOffStrike + shift, outerInstance.mu);
this.putCall = cmsPeriod.CmsPeriodType.Equals(CmsPeriodType.FLOORLET) ? PutCall.PUT : PutCall.CALL;
this.strike = strike;
this.factor = g(forward) / h(forward);
this.g0 = new double[4];
g0[0] = nbFixedPeriod * tau;
g0[1] = -0.5 * nbFixedPeriod * (nbFixedPeriod + 1.0d) * tau * tau;
g0[2] = -2.0d / 3.0d * g0[1] * (nbFixedPeriod + 2.0d) * tau;
g0[3] = -3.0d / 4.0d * g0[2] * (nbFixedPeriod + 2.0d) * tau;
}
/// <summary>
/// Computes the present value sensitivity to strike by replication in SABR framework with extrapolation on the right.
/// </summary>
/// <param name="cmsPeriod"> the CMS </param>
/// <param name="provider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public double presentValueSensitivityStrike(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities)
{
ArgChecker.isFalse(cmsPeriod.CmsPeriodType.Equals(CmsPeriodType.COUPON), "presentValueSensitivityStrike is not relevant for CMS coupon");
Currency ccy = cmsPeriod.Currency;
SwapIndex index = cmsPeriod.Index;
if (provider.ValuationDate.isAfter(cmsPeriod.PaymentDate))
{
return(0d);
}
ResolvedSwap swap = cmsPeriod.UnderlyingSwap;
double dfPayment = provider.discountFactor(ccy, cmsPeriod.PaymentDate);
ZonedDateTime valuationDate = swaptionVolatilities.ValuationDateTime;
LocalDate fixingDate = cmsPeriod.FixingDate;
double tenor = swaptionVolatilities.tenor(swap.StartDate, swap.EndDate);
ZonedDateTime expiryDate = fixingDate.atTime(index.FixingTime).atZone(index.FixingZone);
double expiryTime = swaptionVolatilities.relativeTime(expiryDate);
double strike = cmsPeriod.Strike;
double shift = swaptionVolatilities.shift(expiryTime, tenor);
if (!fixingDate.isAfter(valuationDate.toLocalDate()))
{
double?fixedRate = provider.timeSeries(cmsPeriod.Index).get(fixingDate);
if (fixedRate.HasValue)
{
double payoff = 0d;
switch (cmsPeriod.CmsPeriodType)
{
case CAPLET:
payoff = fixedRate.Value >= strike ? -1d : 0d;
break;
case FLOORLET:
payoff = fixedRate.Value < strike ? 1d : 0d;
break;
default:
throw new System.ArgumentException("unsupported CMS type");
}
return(payoff * cmsPeriod.Notional * cmsPeriod.YearFraction * dfPayment);
}
else if (fixingDate.isBefore(valuationDate.toLocalDate()))
{
throw new System.ArgumentException(Messages.format("Unable to get fixing for {} on date {}, no time-series supplied", cmsPeriod.Index, fixingDate));
}
}
double forward = swapPricer.parRate(swap, provider);
double eta = index.Template.Convention.FixedLeg.DayCount.relativeYearFraction(cmsPeriod.PaymentDate, swap.StartDate);
CmsIntegrantProvider intProv = new CmsIntegrantProvider(this, cmsPeriod, swap, swaptionVolatilities, forward, strike, expiryTime, tenor, cutOffStrike, eta);
double factor = dfPayment * intProv.g(forward) / intProv.h(forward);
RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(ABS_TOL, REL_TOL_STRIKE, NUM_ITER);
double[] kpkpp = intProv.kpkpp(strike);
double firstPart;
double thirdPart;
System.Func <double, double> integrant = intProv.integrantDualDelta();
if (intProv.PutCall.Call)
{
firstPart = -kpkpp[0] * intProv.bs(strike);
thirdPart = integrateCall(integrator, integrant, swaptionVolatilities, forward, strike, expiryTime, tenor);
}
else
{
firstPart = -kpkpp[0] * intProv.bs(strike);
thirdPart = -integrator.integrate(integrant, -shift + ZERO_SHIFT, strike).Value;
}
double secondPart = intProv.k(strike) * intProv.SabrExtrapolation.priceDerivativeStrike(strike + shift, intProv.PutCall);
return(cmsPeriod.Notional * cmsPeriod.YearFraction * factor * (firstPart + secondPart + thirdPart));
}
/// <summary>
/// Computes the present value sensitivity to SABR parameters by replication in SABR framework with extrapolation on the right.
/// </summary>
/// <param name="cmsPeriod"> the CMS </param>
/// <param name="provider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public PointSensitivityBuilder presentValueSensitivityModelParamsSabr(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities)
{
Currency ccy = cmsPeriod.Currency;
SwapIndex index = cmsPeriod.Index;
ResolvedSwap swap = cmsPeriod.UnderlyingSwap;
double dfPayment = provider.discountFactor(ccy, cmsPeriod.PaymentDate);
ZonedDateTime valuationDate = swaptionVolatilities.ValuationDateTime;
LocalDate fixingDate = cmsPeriod.FixingDate;
ZonedDateTime expiryDate = fixingDate.atTime(index.FixingTime).atZone(index.FixingZone);
double tenor = swaptionVolatilities.tenor(swap.StartDate, swap.EndDate);
if (provider.ValuationDate.isAfter(cmsPeriod.PaymentDate))
{
return(PointSensitivityBuilder.none());
}
if (!fixingDate.isAfter(valuationDate.toLocalDate()))
{
double?fixedRate = provider.timeSeries(cmsPeriod.Index).get(fixingDate);
if (fixedRate.HasValue)
{
return(PointSensitivityBuilder.none());
}
else if (fixingDate.isBefore(valuationDate.toLocalDate()))
{
throw new System.ArgumentException(Messages.format("Unable to get fixing for {} on date {}, no time-series supplied", cmsPeriod.Index, fixingDate));
}
}
double expiryTime = swaptionVolatilities.relativeTime(expiryDate);
double shift = swaptionVolatilities.shift(expiryTime, tenor);
double strikeCpn = cmsPeriod.CmsPeriodType.Equals(CmsPeriodType.COUPON) ? -shift : cmsPeriod.Strike;
double forward = swapPricer.parRate(swap, provider);
double eta = index.Template.Convention.FixedLeg.DayCount.relativeYearFraction(cmsPeriod.PaymentDate, swap.StartDate);
CmsIntegrantProvider intProv = new CmsIntegrantProvider(this, cmsPeriod, swap, swaptionVolatilities, forward, strikeCpn, expiryTime, tenor, cutOffStrike, eta);
double factor = dfPayment / intProv.h(forward) * intProv.g(forward);
double factor2 = factor * intProv.k(strikeCpn);
double[] strikePartPrice = intProv.SabrExtrapolation.priceAdjointSabr(Math.Max(0d, strikeCpn + shift), intProv.PutCall).Derivatives.multipliedBy(factor2).toArray();
RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(ABS_TOL, REL_TOL_VEGA, NUM_ITER);
double[] totalSensi = new double[4];
for (int loopparameter = 0; loopparameter < 4; loopparameter++)
{
double integralPart = 0d;
System.Func <double, double> integrant = intProv.integrantVega(loopparameter);
try
{
if (intProv.PutCall.Call)
{
integralPart = dfPayment * integrateCall(integrator, integrant, swaptionVolatilities, forward, strikeCpn, expiryTime, tenor);
}
else
{
integralPart = -dfPayment *integrator.integrate(integrant, -shift + ZERO_SHIFT, strikeCpn);
}
}
catch (Exception e)
{
throw new Exception(e);
}
totalSensi[loopparameter] = (strikePartPrice[loopparameter] + integralPart) * cmsPeriod.Notional * cmsPeriod.YearFraction;
}
SwaptionVolatilitiesName name = swaptionVolatilities.Name;
return(PointSensitivityBuilder.of(SwaptionSabrSensitivity.of(name, expiryTime, tenor, ALPHA, ccy, totalSensi[0]), SwaptionSabrSensitivity.of(name, expiryTime, tenor, BETA, ccy, totalSensi[1]), SwaptionSabrSensitivity.of(name, expiryTime, tenor, RHO, ccy, totalSensi[2]), SwaptionSabrSensitivity.of(name, expiryTime, tenor, NU, ccy, totalSensi[3])));
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes the present value curve sensitivity by replication in SABR framework with extrapolation on the right.
/// </summary>
/// <param name="cmsPeriod"> the CMS </param>
/// <param name="provider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public PointSensitivityBuilder presentValueSensitivityRates(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities)
{
Currency ccy = cmsPeriod.Currency;
if (provider.ValuationDate.isAfter(cmsPeriod.PaymentDate))
{
return(PointSensitivityBuilder.none());
}
SwapIndex index = cmsPeriod.Index;
ResolvedSwap swap = cmsPeriod.UnderlyingSwap;
double dfPayment = provider.discountFactor(ccy, cmsPeriod.PaymentDate);
ZonedDateTime valuationDate = swaptionVolatilities.ValuationDateTime;
LocalDate fixingDate = cmsPeriod.FixingDate;
double expiryTime = swaptionVolatilities.relativeTime(fixingDate.atTime(index.FixingTime).atZone(index.FixingZone));
double tenor = swaptionVolatilities.tenor(swap.StartDate, swap.EndDate);
double shift = swaptionVolatilities.shift(expiryTime, tenor);
double strikeCpn = cmsPeriod.CmsPeriodType.Equals(CmsPeriodType.COUPON) ? -shift : cmsPeriod.Strike;
if (!fixingDate.isAfter(valuationDate.toLocalDate()))
{
double?fixedRate = provider.timeSeries(cmsPeriod.Index).get(fixingDate);
if (fixedRate.HasValue)
{
double payoff = payOff(cmsPeriod.CmsPeriodType, strikeCpn, fixedRate.Value);
return(provider.discountFactors(ccy).zeroRatePointSensitivity(cmsPeriod.PaymentDate).multipliedBy(payoff * cmsPeriod.Notional * cmsPeriod.YearFraction));
}
else if (fixingDate.isBefore(valuationDate.toLocalDate()))
{
throw new System.ArgumentException(Messages.format("Unable to get fixing for {} on date {}, no time-series supplied", cmsPeriod.Index, fixingDate));
}
}
double forward = swapPricer.parRate(swap, provider);
double eta = index.Template.Convention.FixedLeg.DayCount.relativeYearFraction(cmsPeriod.PaymentDate, swap.StartDate);
CmsDeltaIntegrantProvider intProv = new CmsDeltaIntegrantProvider(this, cmsPeriod, swap, swaptionVolatilities, forward, strikeCpn, expiryTime, tenor, cutOffStrike, eta);
RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(ABS_TOL, REL_TOL, NUM_ITER);
double[] bs = intProv.bsbsp(strikeCpn);
double[] n = intProv.Nnp;
double strikePartPrice = intProv.k(strikeCpn) * n[0] * bs[0];
double integralPartPrice = 0d;
double integralPart = 0d;
System.Func <double, double> integrant = intProv.integrant();
System.Func <double, double> integrantDelta = intProv.integrantDelta();
try
{
if (intProv.PutCall.Call)
{
integralPartPrice = integrateCall(integrator, integrant, swaptionVolatilities, forward, strikeCpn, expiryTime, tenor);
integralPart = dfPayment * integrateCall(integrator, integrantDelta, swaptionVolatilities, forward, strikeCpn, expiryTime, tenor);
}
else
{
integralPartPrice = -integrator.integrate(integrant, -shift + ZERO_SHIFT, strikeCpn).Value;
integralPart = -dfPayment *integrator.integrate(integrantDelta, -shift, strikeCpn);
}
}
catch (Exception e)
{
throw new MathException(e);
}
double deltaPD = strikePartPrice + integralPartPrice;
if (cmsPeriod.CmsPeriodType.Equals(CmsPeriodType.COUPON))
{
deltaPD -= shift;
}
deltaPD *= cmsPeriod.Notional * cmsPeriod.YearFraction;
double strikePart = dfPayment * intProv.k(strikeCpn) * (n[1] * bs[0] + n[0] * bs[1]);
double deltaFwd = (strikePart + integralPart) * cmsPeriod.Notional * cmsPeriod.YearFraction;
PointSensitivityBuilder sensiFwd = swapPricer.parRateSensitivity(swap, provider).multipliedBy(deltaFwd);
PointSensitivityBuilder sensiDf = provider.discountFactors(ccy).zeroRatePointSensitivity(cmsPeriod.PaymentDate).multipliedBy(deltaPD);
return(sensiFwd.combinedWith(sensiDf));
}
public virtual void test_builder_nonNullCapFloor()
{
assertThrowsIllegalArg(() => CmsPeriod.builder().caplet(STRIKE).floorlet(STRIKE).startDate(START).endDate(END).index(INDEX).notional(NOTIONAL).yearFraction(YEAR_FRACTION).dayCount(ACT_360).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes the present value by replication in SABR framework with extrapolation on the right.
/// </summary>
/// <param name="cmsPeriod"> the CMS </param>
/// <param name="provider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value </returns>
public CurrencyAmount presentValue(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities)
{
Currency ccy = cmsPeriod.Currency;
if (provider.ValuationDate.isAfter(cmsPeriod.PaymentDate))
{
return(CurrencyAmount.zero(ccy));
}
SwapIndex index = cmsPeriod.Index;
ResolvedSwap swap = cmsPeriod.UnderlyingSwap;
double dfPayment = provider.discountFactor(ccy, cmsPeriod.PaymentDate);
ZonedDateTime valuationDate = swaptionVolatilities.ValuationDateTime;
LocalDate fixingDate = cmsPeriod.FixingDate;
double expiryTime = swaptionVolatilities.relativeTime(fixingDate.atTime(index.FixingTime).atZone(index.FixingZone));
double tenor = swaptionVolatilities.tenor(swap.StartDate, swap.EndDate);
double shift = swaptionVolatilities.shift(expiryTime, tenor);
double strikeCpn = cmsPeriod.CmsPeriodType.Equals(CmsPeriodType.COUPON) ? -shift : cmsPeriod.Strike;
if (!fixingDate.isAfter(valuationDate.toLocalDate()))
{
double?fixedRate = provider.timeSeries(cmsPeriod.Index).get(fixingDate);
if (fixedRate.HasValue)
{
double payoff = payOff(cmsPeriod.CmsPeriodType, strikeCpn, fixedRate.Value);
return(CurrencyAmount.of(ccy, dfPayment * payoff * cmsPeriod.Notional * cmsPeriod.YearFraction));
}
else if (fixingDate.isBefore(valuationDate.toLocalDate()))
{
throw new System.ArgumentException(Messages.format("Unable to get fixing for {} on date {}, no time-series supplied", cmsPeriod.Index, fixingDate));
}
}
double forward = swapPricer.parRate(swap, provider);
if (expiryTime < MIN_TIME)
{
double payoff = payOff(cmsPeriod.CmsPeriodType, strikeCpn, forward);
return(CurrencyAmount.of(ccy, dfPayment * payoff * cmsPeriod.Notional * cmsPeriod.YearFraction));
}
double eta = index.Template.Convention.FixedLeg.DayCount.relativeYearFraction(cmsPeriod.PaymentDate, swap.StartDate);
CmsIntegrantProvider intProv = new CmsIntegrantProvider(this, cmsPeriod, swap, swaptionVolatilities, forward, strikeCpn, expiryTime, tenor, cutOffStrike, eta);
double factor = dfPayment / intProv.h(forward) * intProv.g(forward);
double strikePart = factor * intProv.k(strikeCpn) * intProv.bs(strikeCpn);
RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(ABS_TOL, REL_TOL, NUM_ITER);
double integralPart = 0d;
System.Func <double, double> integrant = intProv.integrant();
try
{
if (intProv.PutCall.Call)
{
integralPart = dfPayment * integrateCall(integrator, integrant, swaptionVolatilities, forward, strikeCpn, expiryTime, tenor);
}
else
{
integralPart = -dfPayment *integrator.integrate(integrant, -shift + ZERO_SHIFT, strikeCpn);
}
}
catch (Exception e)
{
throw new MathException(e);
}
double priceCMS = (strikePart + integralPart);
if (cmsPeriod.CmsPeriodType.Equals(CmsPeriodType.COUPON))
{
priceCMS -= dfPayment * shift;
}
priceCMS *= cmsPeriod.Notional * cmsPeriod.YearFraction;
return(CurrencyAmount.of(ccy, priceCMS));
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes the present value by replication in SABR framework with extrapolation on the right.
/// </summary>
/// <param name="cmsPeriod"> the CMS </param>
/// <param name="provider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value </returns>
public CurrencyAmount presentValue(CmsPeriod cmsPeriod, RatesProvider provider, SwaptionVolatilities swaptionVolatilities)
{
Currency ccy = cmsPeriod.Currency;
LocalDate valuationDate = provider.ValuationDate;
if (valuationDate.isAfter(cmsPeriod.PaymentDate))
{
return(CurrencyAmount.zero(ccy));
}
LocalDate fixingDate = cmsPeriod.FixingDate;
double dfPayment = provider.discountFactor(ccy, cmsPeriod.PaymentDate);
if (!fixingDate.isAfter(valuationDate))
{ // Using fixing
double?fixedRate = provider.timeSeries(cmsPeriod.Index).get(fixingDate);
if (fixedRate.HasValue)
{
double payoff = 0d;
switch (cmsPeriod.CmsPeriodType)
{
case CAPLET:
payoff = Math.Max(fixedRate.Value - cmsPeriod.Strike, 0d);
break;
case FLOORLET:
payoff = Math.Max(cmsPeriod.Strike - fixedRate.Value, 0d);
break;
case COUPON:
payoff = fixedRate.Value;
break;
default:
throw new System.ArgumentException("unsupported CMS type");
}
return(CurrencyAmount.of(ccy, payoff * dfPayment * cmsPeriod.Notional * cmsPeriod.YearFraction));
}
else if (fixingDate.isBefore(valuationDate))
{
throw new System.ArgumentException(Messages.format("Unable to get fixing for {} on date {}, no time-series supplied", cmsPeriod.Index, fixingDate));
}
}
if (!cmsPeriod.CmsPeriodType.Equals(CmsPeriodType.COUPON))
{
throw new System.ArgumentException("Unable to price cap or floor in this pricer");
}
// Using forward
SwapIndex index = cmsPeriod.Index;
ResolvedSwap swap = cmsPeriod.UnderlyingSwap;
ResolvedSwapLeg fixedLeg = swap.getLegs(SwapLegType.FIXED).get(0);
int nbFixedPaymentYear = (int)(long)Math.Round(1d / ((RatePaymentPeriod)fixedLeg.PaymentPeriods.get(0)).AccrualPeriods.get(0).YearFraction, MidpointRounding.AwayFromZero);
int nbFixedPeriod = fixedLeg.PaymentPeriods.size();
double forward = swapPricer.parRate(swap, provider);
double tenor = swaptionVolatilities.tenor(swap.StartDate, swap.EndDate);
double expiryTime = swaptionVolatilities.relativeTime(fixingDate.atTime(index.FixingTime).atZone(index.FixingZone));
double volatility = swaptionVolatilities.volatility(expiryTime, tenor, forward, forward);
ValueDerivatives annuityDerivatives = swapPricer.LegPricer.annuityCash2(nbFixedPaymentYear, nbFixedPeriod, volatility);
double forwardAdjustment = -0.5 * forward * forward * volatility * volatility * expiryTime * annuityDerivatives.getDerivative(1) / annuityDerivatives.getDerivative(0);
return(CurrencyAmount.of(ccy, (forward + forwardAdjustment) * dfPayment * cmsPeriod.Notional * cmsPeriod.YearFraction));
}
