//-------------------------------------------------------------------------
/// <summary>
/// Runs the calibration of SABR on swaptions and print on the console the present value, bucketed PV01 and
/// the bucketed Vega of a 18M x 4Y swaption.
/// </summary>
/// <param name="args"> -s to use the spares data </param>
public static void Main(string[] args)
{
long start, end;
// Swaption description
BuySell payer = BuySell.BUY;
Period expiry = Period.ofMonths(18);
double notional = 1_000_000;
double strike = 0.0100;
Tenor tenor = Tenor.TENOR_4Y;
LocalDate expiryDate = EUR_FIXED_1Y_EURIBOR_6M.FloatingLeg.StartDateBusinessDayAdjustment.adjust(CALIBRATION_DATE.plus(expiry), REF_DATA);
SwapTrade underlying = EUR_FIXED_1Y_EURIBOR_6M.createTrade(expiryDate, tenor, payer, notional, strike, REF_DATA);
Swaption swaption = Swaption.builder().expiryDate(AdjustableDate.of(expiryDate)).expiryTime(LocalTime.of(11, 0x0)).expiryZone(ZoneId.of("Europe/Berlin")).underlying(underlying.Product).longShort(LongShort.LONG).swaptionSettlement(PhysicalSwaptionSettlement.DEFAULT).build();
ResolvedSwaption resolvedSwaption = swaption.resolve(REF_DATA);
// select data
TenorRawOptionData data = DATA_FULL;
if (args.Length > 0)
{
if (args[0].Equals("-s"))
{
data = DATA_SPARSE;
}
}
start = DateTimeHelper.CurrentUnixTimeMillis();
// Curve calibration
RatesProvider multicurve = CALIBRATOR.calibrate(CONFIGS, MARKET_QUOTES, REF_DATA);
end = DateTimeHelper.CurrentUnixTimeMillis();
Console.WriteLine("Curve calibration time: " + (end - start) + " ms.");
// SABR calibration
start = DateTimeHelper.CurrentUnixTimeMillis();
double beta = 0.50;
SurfaceMetadata betaMetadata = DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).zValueType(ValueType.SABR_BETA).surfaceName("Beta").build();
Surface betaSurface = ConstantSurface.of(betaMetadata, beta);
double shift = 0.0300;
Surface shiftSurface = ConstantSurface.of("SABR-Shift", shift);
SabrParametersSwaptionVolatilities sabr = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, data, multicurve, betaSurface, shiftSurface);
end = DateTimeHelper.CurrentUnixTimeMillis();
Console.WriteLine("SABR calibration time: " + (end - start) + " ms.");
// Price and risk
Console.WriteLine("Risk measures: ");
start = DateTimeHelper.CurrentUnixTimeMillis();
CurrencyAmount pv = SWAPTION_PRICER.presentValue(resolvedSwaption, multicurve, sabr);
Console.WriteLine(" |-> PV: " + pv.ToString());
PointSensitivities deltaPts = SWAPTION_PRICER.presentValueSensitivityRatesStickyModel(resolvedSwaption, multicurve, sabr).build();
CurrencyParameterSensitivities deltaBucketed = multicurve.parameterSensitivity(deltaPts);
Console.WriteLine(" |-> Delta bucketed: " + deltaBucketed.ToString());
PointSensitivities vegaPts = SWAPTION_PRICER.presentValueSensitivityModelParamsSabr(resolvedSwaption, multicurve, sabr).build();
Console.WriteLine(" |-> Vega point: " + vegaPts.ToString());
CurrencyParameterSensitivities vegaBucketed = sabr.parameterSensitivity(vegaPts);
for (int i = 0; i < vegaBucketed.size(); i++)
{
Console.WriteLine(" |-> Vega bucketed: " + vegaBucketed.Sensitivities.get(i));
}
end = DateTimeHelper.CurrentUnixTimeMillis();
Console.WriteLine("PV and risk time: " + (end - start) + " ms.");
}