//-------------------------------------------------------------------------
public virtual void test_priceSensitivity()
{
PointSensitivities point = FUTURE_PRICER.priceSensitivity(FUTURE_PRODUCT, PROVIDER);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point);
CurrencyParameterSensitivities expected = FD_CAL.sensitivity(PROVIDER, (p) => CurrencyAmount.of(USD, FUTURE_PRICER.price(FUTURE_PRODUCT, (p))));
assertTrue(computed.equalWithTolerance(expected, EPS * 10.0));
}
public virtual void priceSensitivity()
{
// March
PointSensitivities pointMar = PRODUCT_PRICER.priceSensitivity(FUTURE_PRODUCT_MAR, LED_PROVIDER).multipliedBy(HUNDRED * ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiMar = LED_PROVIDER.parameterSensitivity(pointMar);
double[] sensiIssuerMar = new double[] { -4.795692708445902E-6, -2.0781215861310126E-5, -7.730767169573405E-5, -1.6071777740512183E-4, -2.3044416935116369E-4, -3.333307694739688E-4, -4.263036155523118E-4, -5.685365085703306E-4, -0.10407934097674876, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0 };
double[] sensiRepoMar = new double[] { 0.0, 0.0, 0.0, 0.0, 0.001370140084809201, 3.3554451056551886E-4, 0.0, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(sensiMar.getSensitivity(ISSUER_CURVE_NAME, JPY).Sensitivity.toArray(), sensiIssuerMar, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(sensiMar.getSensitivity(REPO_CURVE_NAME, JPY).Sensitivity.toArray(), sensiRepoMar, TOL));
// June
PointSensitivities pointJun = PRODUCT_PRICER.priceSensitivity(FUTURE_PRODUCT_JUN, LED_PROVIDER).multipliedBy(HUNDRED * ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiJun = LED_PROVIDER.parameterSensitivity(pointJun);
double[] sensiIssuerJun = new double[] { -1.1453989553600325E-5, -2.348926498286566E-5, -1.0106640809190963E-4, -1.9509367993719023E-4, -3.132622179286758E-4, -4.395002117284386E-4, -5.572262990208806E-4, -7.858225833901946E-4, -0.07087170775675304, -0.03539736978075175, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0 };
double[] sensiRepoJun = new double[] { 0.0, 0.0, 0.0, 0.0, 0.0, 0.003012223890022257, 0.0024215917547237764, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(sensiJun.getSensitivity(ISSUER_CURVE_NAME, JPY).Sensitivity.toArray(), sensiIssuerJun, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(sensiJun.getSensitivity(REPO_CURVE_NAME, JPY).Sensitivity.toArray(), sensiRepoJun, TOL));
// September
PointSensitivities pointSep = PRODUCT_PRICER.priceSensitivity(FUTURE_PRODUCT_SEP, LED_PROVIDER).multipliedBy(HUNDRED * ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiSep = LED_PROVIDER.parameterSensitivity(pointSep);
double[] sensiIssuerSep = new double[] { -6.287268294968501E-6, -2.7244672992830814E-5, -1.0135221390528455E-4, -2.1070486533414349E-4, -3.021178394458564E-4, -4.370046427203812E-4, -5.588942763935072E-4, -7.453650144370277E-4, -0.03687605192905092, -0.07313888023068209, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0 };
double[] sensiRepoSep = new double[] { 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.007209056180693214, 0.0020653493968426154 };
assertTrue(DoubleArrayMath.fuzzyEquals(sensiSep.getSensitivity(ISSUER_CURVE_NAME, JPY).Sensitivity.toArray(), sensiIssuerSep, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(sensiSep.getSensitivity(REPO_CURVE_NAME, JPY).Sensitivity.toArray(), sensiRepoSep, TOL));
}
//-------------------------------------------------------------------------
public virtual void presentValueSensitivity()
{
PointSensitivities sensiComputed = PRICER.presentValueSensitivity(BILL, PROVIDER);
PointSensitivities sensiExpected = IssuerCurveDiscountFactors.of(DSC_FACTORS_ISSUER, GROUP_ISSUER).zeroRatePointSensitivity(MATURITY_DATE).multipliedBy(NOTIONAL.Amount).build();
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, TOLERANCE_PV));
CurrencyParameterSensitivities paramSensiComputed = PROVIDER.parameterSensitivity(sensiComputed);
CurrencyParameterSensitivities paramSensiExpected = FD_CALC.sensitivity(PROVIDER, p => PRICER.presentValue(BILL, p));
assertTrue(paramSensiComputed.equalWithTolerance(paramSensiExpected, EPS * NOTIONAL_AMOUNT));
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivity()
{
PointSensitivityBuilder point = PRICER.presentValueSensitivity(PRODUCT, PROVIDER);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point.build());
CurrencyParameterSensitivities expected = FD_CAL.sensitivity(PROVIDER, p => PRICER.presentValue(PRODUCT, p));
assertTrue(computed.equalWithTolerance(expected, 30d * NOTIONAL * EPS));
}
public virtual void test_presentValueSensitivity_afterFix()
{
PointSensitivityBuilder pointInterp = PRICER.presentValueSensitivity(PERIOD_INTERP, IRP_AFTER_FIX, ICDF_AFTER_FIX);
CurrencyParameterSensitivities computedInterp1 = LEDP_AFTER_FIX.parameterSensitivity(pointInterp.build());
CurrencyParameterSensitivities computedInterp2 = IRP_AFTER_FIX.parameterSensitivity(pointInterp.build());
PointSensitivityBuilder pointMonthly = PRICER.presentValueSensitivity(PERIOD_MONTHLY, IRP_AFTER_FIX, ICDF_AFTER_FIX);
CurrencyParameterSensitivities computedMonthly1 = LEDP_AFTER_FIX.parameterSensitivity(pointMonthly.build());
CurrencyParameterSensitivities computedMonthly2 = IRP_AFTER_FIX.parameterSensitivity(pointMonthly.build());
CurrencyParameterSensitivities expectedInterp = fdSensitivity(PERIOD_INTERP, IRP_AFTER_FIX, LEDP_AFTER_FIX);
CurrencyParameterSensitivities expectedMonthly = fdSensitivity(PERIOD_MONTHLY, IRP_AFTER_FIX, LEDP_AFTER_FIX);
assertTrue(computedInterp1.combinedWith(computedInterp2).equalWithTolerance(expectedInterp, NOTIONAL * FD_EPS));
assertTrue(computedMonthly1.combinedWith(computedMonthly2).equalWithTolerance(expectedMonthly, NOTIONAL * FD_EPS));
}
public virtual void test_presentValueSensitivity()
{
PointSensitivities point = TRADE_PRICER.presentValueSensitivity(FUTURE_TRADE, PROVIDER);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point);
CurrencyParameterSensitivities expected = FD_CAL.sensitivity(PROVIDER, (p) => TRADE_PRICER.presentValue(FUTURE_TRADE, (p), SETTLE_PRICE));
assertTrue(computed.equalWithTolerance(expected, 10.0 * EPS * NOTIONAL * QUANTITY));
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivity()
{
PointSensitivities point = OPTION_TRADE_PRICER.presentValueSensitivityRates(OPTION_TRADE, RATE_PROVIDER, VOLS);
CurrencyParameterSensitivities computed = RATE_PROVIDER.parameterSensitivity(point);
double futurePrice = FUTURE_PRICER.price(OPTION_PRODUCT.UnderlyingFuture, RATE_PROVIDER);
double strike = OPTION_PRODUCT.StrikePrice;
double expiryTime = ACT_365F.relativeYearFraction(VAL_DATE, OPTION_PRODUCT.ExpiryDate);
double logMoneyness = Math.Log(strike / futurePrice);
double logMoneynessUp = Math.Log(strike / (futurePrice + EPS));
double logMoneynessDw = Math.Log(strike / (futurePrice - EPS));
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double volUp = SURFACE.zValue(expiryTime, logMoneynessUp);
double volDw = SURFACE.zValue(expiryTime, logMoneynessDw);
double volSensi = 0.5 * (volUp - volDw) / EPS;
double vega = BlackFormulaRepository.vega(futurePrice, strike, expiryTime, vol);
CurrencyParameterSensitivities sensiVol = RATE_PROVIDER.parameterSensitivity(FUTURE_PRICER.priceSensitivity(OPTION_PRODUCT.UnderlyingFuture, RATE_PROVIDER)).multipliedBy(-vega * volSensi * NOTIONAL * QUANTITY);
CurrencyParameterSensitivities expected = FD_CAL.sensitivity(RATE_PROVIDER, (p) => OPTION_TRADE_PRICER.presentValue(OPTION_TRADE, (p), VOLS, REFERENCE_PRICE));
assertTrue(computed.equalWithTolerance(expected.combinedWith(sensiVol), 30d * EPS * NOTIONAL * QUANTITY));
}
public virtual void test_pv01_quote()
{
BillTradeCalculationFunction <BillTrade> function = BillTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
DiscountingBillTradePricer pricer = DiscountingBillTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
CurrencyParameterSensitivities expectedPv01CalBucketed = MQ_CALC.sensitivity(pvParamSens, provider).multipliedBy(1e-4);
MultiCurrencyAmount expectedPv01Cal = expectedPv01CalBucketed.total();
ISet <Measure> measures = ImmutableSet.of(Measures.PV01_MARKET_QUOTE_SUM, Measures.PV01_MARKET_QUOTE_BUCKETED);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PV01_MARKET_QUOTE_SUM, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)))).containsEntry(Measures.PV01_MARKET_QUOTE_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed))));
}
public virtual void test_pv01()
{
BondFutureOptionTradeCalculationFunction <BondFutureOptionTrade> function = BondFutureOptionTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
LegalEntityDiscountingProvider provider = LED_LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
BlackBondFutureOptionMarginedTradePricer pricer = BlackBondFutureOptionMarginedTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivityRates(RTRADE, provider, VOLS);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4);
ISet <Measure> measures = ImmutableSet.of(Measures.PV01_CALIBRATED_SUM, Measures.PV01_CALIBRATED_BUCKETED);
assertThat(function.calculate(TRADE, measures, PARAMS, md, REF_DATA)).containsEntry(Measures.PV01_CALIBRATED_SUM, Result.success(MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)))).containsEntry(Measures.PV01_CALIBRATED_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed))));
}
//-------------------------------------------------------------------------
public virtual void test_pvsensi_settle_before_val()
{
PointSensitivities pvsensiComputed = PRICER_TRADE.presentValueSensitivity(BILL_TRADE_SETTLE_BEFORE_VAL, PROVIDER);
PointSensitivities pvsensiExpected = PRICER_PRODUCT.presentValueSensitivity(BILL_PRODUCT.resolve(REF_DATA), PROVIDER).multipliedBy(QUANTITY);
assertTrue(pvsensiComputed.equalWithTolerance(pvsensiExpected, TOLERANCE_PVSENSI));
CurrencyParameterSensitivities paramSensiComputed = PROVIDER.parameterSensitivity(pvsensiComputed);
CurrencyParameterSensitivities paramSensiExpected = FD_CALC.sensitivity(PROVIDER, p => PRICER_TRADE.presentValue(BILL_TRADE_SETTLE_BEFORE_VAL, p));
assertTrue(paramSensiComputed.equalWithTolerance(paramSensiExpected, EPS * NOTIONAL_AMOUNT * QUANTITY));
}
public virtual void test_pv01_quote()
{
FixedCouponBondTradeCalculationFunction <FixedCouponBondTrade> function = FixedCouponBondTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
DiscountingFixedCouponBondTradePricer pricer = DiscountingFixedCouponBondTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
CurrencyParameterSensitivities expectedPv01CalBucketed = MQ_CALC.sensitivity(pvParamSens, provider).multipliedBy(1e-4);
MultiCurrencyAmount expectedPv01Cal = expectedPv01CalBucketed.total();
ISet <Measure> measures = ImmutableSet.of(Measures.PV01_MARKET_QUOTE_SUM, Measures.PV01_MARKET_QUOTE_BUCKETED);
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.calc.Measure, com.opengamma.strata.collect.result.Result<?>> computed = function.calculate(TRADE, measures, PARAMS, md, REF_DATA);
IDictionary <Measure, Result <object> > computed = function.calculate(TRADE, measures, PARAMS, md, REF_DATA);
MultiCurrencyScenarioArray sumComputed = (MultiCurrencyScenarioArray)computed[Measures.PV01_MARKET_QUOTE_SUM].Value;
ScenarioArray <CurrencyParameterSensitivities> bucketedComputed = (ScenarioArray <CurrencyParameterSensitivities>)computed[Measures.PV01_MARKET_QUOTE_BUCKETED].Value;
assertEquals(sumComputed.ScenarioCount, 1);
assertEquals(sumComputed.get(0).Currencies, ImmutableSet.of(GBP));
assertTrue(DoubleMath.fuzzyEquals(sumComputed.get(0).getAmount(GBP).Amount, expectedPv01Cal.getAmount(GBP).Amount, 1.0e-10));
assertEquals(bucketedComputed.ScenarioCount, 1);
assertTrue(bucketedComputed.get(0).equalWithTolerance(expectedPv01CalBucketed, 1.0e-10));
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivityFromCleanPrice_standard()
{
PointSensitivities point = PRICER.presentValueSensitivityFromCleanPrice(TRADE_STANDARD, RATES_PROVIDER, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE);
CurrencyParameterSensitivities computed = ISSUER_RATES_PROVIDER.parameterSensitivity(point).combinedWith(RATES_PROVIDER.parameterSensitivity(point));
CurrencyParameterSensitivities expected = FD_CAL.sensitivity(RATES_PROVIDER, p => PRICER.presentValueFromCleanPrice(TRADE_STANDARD, p, ISSUER_RATES_PROVIDER, REF_DATA, TRADE_PRICE)).combinedWith(FD_CAL.sensitivity(ISSUER_RATES_PROVIDER, p => PRICER.presentValueFromCleanPrice(TRADE_STANDARD, RATES_PROVIDER, p, REF_DATA, TRADE_PRICE)));
assertTrue(computed.equalWithTolerance(expected, NOTIONAL * QUANTITY * EPS));
}
