static MarketQuoteSensitivityCalculatorTest()
{
CurrencyParameterSensitivity sensi1 = CurrencyParameterSensitivity.of(CURVE_NAME_1, USD, SENSI_1);
CurrencyParameterSensitivity sensi2 = CurrencyParameterSensitivity.of(CURVE_NAME_2, GBP, SENSI_2);
ZeroRateDiscountFactors dscIssuer = ZeroRateDiscountFactors.of(USD, DATE, CURVE_1);
ZeroRateDiscountFactors dscRepo = ZeroRateDiscountFactors.of(GBP, DATE, CURVE_2);
PARAMETER_SENSITIVITIES = CurrencyParameterSensitivities.of(sensi1, sensi2);
PROVIDER = ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, USD), dscIssuer)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_SECURITY, GBP), dscRepo)).repoCurveSecurityGroups(ImmutableMap.of(ID_SECURITY, GROUP_REPO_SECURITY)).build();
}
public virtual void test_singleDiscountCurveParameterSensitivity()
{
ZeroRateSensitivity zeroPt = ZeroRateSensitivity.of(USD, 10d, 5d);
CreditCurveZeroRateSensitivity creditPt = CreditCurveZeroRateSensitivity.of(LEGAL_ENTITY_ABC, JPY, 2d, 3d);
FxForwardSensitivity fxPt = FxForwardSensitivity.of(CurrencyPair.of(JPY, USD), USD, LocalDate.of(2017, 2, 14), 15d);
CreditRatesProvider test = ImmutableCreditRatesProvider.builder().creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY_ABC, USD), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_ABC, CRD_ABC_USD), Pair.of(LEGAL_ENTITY_ABC, JPY), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_ABC, CRD_ABC_JPY), Pair.of(LEGAL_ENTITY_DEF, JPY), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_DEF, CRD_DEF))).discountCurves(ImmutableMap.of(USD, DSC_USD, JPY, DSC_JPY)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY_ABC, RR_ABC, LEGAL_ENTITY_DEF, RR_DEF)).valuationDate(VALUATION).build();
CurrencyParameterSensitivities computed = CurrencyParameterSensitivities.of(test.singleDiscountCurveParameterSensitivity(zeroPt.combinedWith(creditPt).combinedWith(fxPt).build(), USD));
CurrencyParameterSensitivities expected = DSC_USD.parameterSensitivity(zeroPt);
assertTrue(computed.equalWithTolerance(expected, 1.0e-14));
}
public virtual void parellelCs01FromNodesTest()
{
double fromExcel = 4238.557409;
CurrencyAmount fd = CS01_FD.parallelCs01(CDS1, RATES_PROVIDER, REF_DATA);
CurrencyAmount analytic = CS01_AN.parallelCs01(CDS1, RATES_PROVIDER, REF_DATA);
assertEquals(fd.Currency, USD);
assertEquals(fd.Amount * ONE_BP, fromExcel, TOL * NOTIONAL);
assertEquals(analytic.Currency, USD);
assertEquals(analytic.Amount * ONE_BP, fd.Amount * ONE_BP, ONE_BP * NOTIONAL);
// equivalence to market quote sensitivity for par spread quote
PointSensitivities point = PRICER.presentValueOnSettleSensitivity(CDS1, RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity paramSensi = RATES_PROVIDER.singleCreditCurveParameterSensitivity(point, LEGAL_ENTITY, USD);
CurrencyParameterSensitivities quoteSensi = QUOTE_CAL.sensitivity(CurrencyParameterSensitivities.of(paramSensi), RATES_PROVIDER);
double cs01FromQuoteSensi = quoteSensi.Sensitivities.get(0).Sensitivity.sum();
assertEquals(cs01FromQuoteSensi * ONE_BP, analytic.Amount * ONE_BP, TOL * NOTIONAL);
}
public virtual void parellelCs01WithNodesIndexTest()
{
CurrencyAmount fdSingle = CS01_FD.parallelCs01(CDS2, RATES_PROVIDER, REF_DATA);
CurrencyAmount analyticSingle = CS01_AN.parallelCs01(CDS2, RATES_PROVIDER, REF_DATA);
CurrencyAmount fd = CS01_FD.parallelCs01(CDS_INDEX, RATES_PROVIDER, REF_DATA);
CurrencyAmount analytic = CS01_AN.parallelCs01(CDS_INDEX, RATES_PROVIDER, REF_DATA);
assertEquals(fd.Currency, USD);
assertEquals(fd.Amount, fdSingle.Amount * INDEX_FACTOR, TOL * NOTIONAL);
assertEquals(analytic.Amount, analyticSingle.Amount * INDEX_FACTOR, TOL * NOTIONAL);
assertEquals(analytic.Currency, USD);
// equivalence to market quote sensitivity for par spread quote
PointSensitivities point = PRICER_INDEX.presentValueOnSettleSensitivity(CDS_INDEX, RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity paramSensi = RATES_PROVIDER.singleCreditCurveParameterSensitivity(point, INDEX_ID, USD);
CurrencyParameterSensitivities quoteSensi = QUOTE_CAL.sensitivity(CurrencyParameterSensitivities.of(paramSensi), RATES_PROVIDER);
double cs01FromQuoteSensi = quoteSensi.Sensitivities.get(0).Sensitivity.sum();
assertEquals(cs01FromQuoteSensi, analytic.Amount, TOL * NOTIONAL);
}
public virtual void bucketedCs01Test()
{
double[] expectedFd = new double[] { 0.02446907003406107, 0.1166137422736746, 0.5196553952424576, 1.4989046391578054, 3.5860718603647483, 4233.77162264947, 0.0 };
CurrencyParameterSensitivity fd = CS01_FD.bucketedCs01(CDS1, ImmutableList.copyOf(MARKET_CDS), RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity analytic = CS01_AN.bucketedCs01(CDS1, ImmutableList.copyOf(MARKET_CDS), RATES_PROVIDER, REF_DATA);
assertEquals(fd.Currency, USD);
assertEquals(fd.MarketDataName, CurveName.of("impliedSpreads"));
assertEquals(fd.ParameterCount, NUM_MARKET_CDS);
assertEquals(fd.ParameterMetadata, CDS_METADATA);
assertTrue(DoubleArrayMath.fuzzyEquals(fd.Sensitivity.multipliedBy(ONE_BP).toArray(), expectedFd, NOTIONAL * TOL));
assertEquals(analytic.Currency, USD);
assertEquals(analytic.MarketDataName, CurveName.of("impliedSpreads"));
assertEquals(analytic.ParameterCount, NUM_MARKET_CDS);
assertEquals(analytic.ParameterMetadata, CDS_METADATA);
assertTrue(DoubleArrayMath.fuzzyEquals(analytic.Sensitivity.toArray(), fd.Sensitivity.toArray(), NOTIONAL * ONE_BP * 10d));
PointSensitivities point = PRICER.presentValueOnSettleSensitivity(CDS1, RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity paramSensi = RATES_PROVIDER.singleCreditCurveParameterSensitivity(point, LEGAL_ENTITY, USD);
CurrencyParameterSensitivities quoteSensi = QUOTE_CAL.sensitivity(CurrencyParameterSensitivities.of(paramSensi), RATES_PROVIDER);
assertTrue(DoubleArrayMath.fuzzyEquals(quoteSensi.Sensitivities.get(0).Sensitivity.toArray(), analytic.Sensitivity.toArray(), NOTIONAL * TOL));
}
public virtual void bucketedCs01WithNodesIndexTest()
{
CurrencyParameterSensitivity fdSingle = CS01_FD.bucketedCs01(CDS2, RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity analyticSingle = CS01_AN.bucketedCs01(CDS2, RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity fd = CS01_FD.bucketedCs01(CDS_INDEX, RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity analytic = CS01_AN.bucketedCs01(CDS_INDEX, RATES_PROVIDER, REF_DATA);
assertEquals(fd.Currency, USD);
assertEquals(fd.MarketDataName, CurveName.of("impliedSpreads"));
assertEquals(fd.ParameterCount, NUM_MARKET_CDS);
assertEquals(fd.ParameterMetadata, CDS_INDEX_METADATA);
assertTrue(DoubleArrayMath.fuzzyEquals(fd.Sensitivity.toArray(), fdSingle.Sensitivity.multipliedBy(INDEX_FACTOR).toArray(), NOTIONAL * TOL));
assertEquals(analytic.Currency, USD);
assertEquals(analytic.MarketDataName, CurveName.of("impliedSpreads"));
assertEquals(analytic.ParameterCount, NUM_MARKET_CDS);
assertEquals(analytic.ParameterMetadata, CDS_INDEX_METADATA);
assertTrue(DoubleArrayMath.fuzzyEquals(analytic.Sensitivity.toArray(), analyticSingle.Sensitivity.multipliedBy(INDEX_FACTOR).toArray(), NOTIONAL * TOL));
PointSensitivities point = PRICER_INDEX.presentValueOnSettleSensitivity(CDS_INDEX, RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity paramSensi = RATES_PROVIDER.singleCreditCurveParameterSensitivity(point, INDEX_ID, USD);
CurrencyParameterSensitivities quoteSensi = QUOTE_CAL.sensitivity(CurrencyParameterSensitivities.of(paramSensi), RATES_PROVIDER);
assertTrue(DoubleArrayMath.fuzzyEquals(quoteSensi.Sensitivities.get(0).Sensitivity.toArray(), analytic.Sensitivity.toArray(), NOTIONAL * TOL));
}
// calculates market quote bucketed IR01 for one scenario
internal CurrencyParameterSensitivities ir01MarketQuoteBucketed(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
PointSensitivities pointSensitivity = tradePricer.presentValueOnSettleSensitivity(trade, ratesProvider, refData);
CurrencyParameterSensitivity parameterSensitivity = ratesProvider.singleDiscountCurveParameterSensitivity(pointSensitivity, trade.Product.Currency);
CurrencyParameterSensitivities irSensitivity = MARKET_QUOTE_SENS.sensitivity(CurrencyParameterSensitivities.of(parameterSensitivity), ratesProvider);
return(irSensitivity.multipliedBy(ONE_BASIS_POINT));
}