/// <summary>
/// Calculates the present value sensitivity of the FX barrier option product.
/// <para>
/// The present value sensitivity of the product is the sensitivity of <seealso cref="#presentValue"/> to
/// the underlying curve parameters.
/// </para>
/// <para>
/// The sensitivity is computed by bump and re-price.
///
/// </para>
/// </summary>
/// <param name="option"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <param name="baseTreeData"> the trinomial tree data </param>
/// <returns> the present value of the product </returns>
public virtual CurrencyParameterSensitivities presentValueSensitivityRates(ResolvedFxSingleBarrierOption option, RatesProvider ratesProvider, BlackFxOptionVolatilities volatilities, RecombiningTrinomialTreeData baseTreeData)
{
ArgChecker.isTrue(baseTreeData.NumberOfSteps == calibrator.NumberOfSteps, "the number of steps mismatch between pricer and trinomial tree data");
double shift = 1.0e-5;
CurrencyAmount pvBase = presentValue(option, ratesProvider, volatilities, baseTreeData);
ResolvedFxVanillaOption underlyingOption = option.UnderlyingOption;
ResolvedFxSingle underlyingFx = underlyingOption.Underlying;
CurrencyPair currencyPair = underlyingFx.CurrencyPair;
ImmutableRatesProvider immRatesProvider = ratesProvider.toImmutableRatesProvider();
ImmutableMap <Currency, Curve> baseCurves = immRatesProvider.DiscountCurves;
CurrencyParameterSensitivities result = CurrencyParameterSensitivities.empty();
foreach (KeyValuePair <Currency, Curve> entry in baseCurves.entrySet())
{
if (currencyPair.contains(entry.Key))
{
Curve curve = entry.Value;
int nParams = curve.ParameterCount;
DoubleArray sensitivity = DoubleArray.of(nParams, i =>
{
Curve dscBumped = curve.withParameter(i, curve.getParameter(i) + shift);
IDictionary <Currency, Curve> mapBumped = new Dictionary <Currency, Curve>(baseCurves);
mapBumped[entry.Key] = dscBumped;
ImmutableRatesProvider providerDscBumped = immRatesProvider.toBuilder().discountCurves(mapBumped).build();
double pvBumped = presentValue(option, providerDscBumped, volatilities).Amount;
return((pvBumped - pvBase.Amount) / shift);
});
result = result.combinedWith(curve.createParameterSensitivity(pvBase.Currency, sensitivity));
}
}
return(result);
}
//-------------------------------------------------------------------------
// computes diagonal part
private CurrencyParameterSensitivities sensitivityDiagonal(RatesProvider provider, System.Func <ImmutableRatesProvider, CurrencyAmount> valueFn)
{
ImmutableRatesProvider immProv = provider.toImmutableRatesProvider();
CurrencyAmount valueInit = valueFn(immProv);
CurrencyParameterSensitivities discounting = sensitivity(immProv, immProv.DiscountCurves, (@base, bumped) => @base.toBuilder().discountCurves(bumped).build(), valueFn, valueInit);
CurrencyParameterSensitivities forward = sensitivity(immProv, immProv.IndexCurves, (@base, bumped) => @base.toBuilder().indexCurves(bumped).build(), valueFn, valueInit);
return(discounting.combinedWith(forward));
}
public virtual void test_ratesProvider()
{
ImmutableMap <Currency, CurveId> discounts = ImmutableMap.of(USD, CURVE_ID_DSC);
ImmutableMap <Index, CurveId> forwards = ImmutableMap.of(USD_FED_FUND, CURVE_ID_DSC, USD_LIBOR_3M, CURVE_ID_FWD, US_CPI_U, CURVE_ID_FWD);
RatesMarketDataLookup test = RatesMarketDataLookup.of(discounts, forwards);
LocalDate valDate = date(2015, 6, 30);
Curve dscCurve = ConstantCurve.of(Curves.discountFactors(CURVE_ID_DSC.CurveName, ACT_360), 1d);
Curve fwdCurve = ConstantCurve.of(Curves.discountFactors(CURVE_ID_FWD.CurveName, ACT_360), 2d);
MarketData md = ImmutableMarketData.of(valDate, ImmutableMap.of(CURVE_ID_DSC, dscCurve, CURVE_ID_FWD, fwdCurve));
RatesProvider ratesProvider = test.ratesProvider(md);
assertEquals(ratesProvider.ValuationDate, valDate);
assertEquals(ratesProvider.findData(CURVE_ID_DSC.CurveName), dscCurve);
assertEquals(ratesProvider.findData(CURVE_ID_FWD.CurveName), fwdCurve);
assertEquals(ratesProvider.findData(CurveName.of("Rubbish")), null);
assertEquals(ratesProvider.IborIndices, ImmutableSet.of(USD_LIBOR_3M));
assertEquals(ratesProvider.OvernightIndices, ImmutableSet.of(USD_FED_FUND));
assertEquals(ratesProvider.PriceIndices, ImmutableSet.of(US_CPI_U));
assertEquals(ratesProvider.TimeSeriesIndices, ImmutableSet.of());
// check discount factors
SimpleDiscountFactors df = (SimpleDiscountFactors)ratesProvider.discountFactors(USD);
assertEquals(df.Curve.Name, dscCurve.Name);
assertThrowsIllegalArg(() => ratesProvider.discountFactors(GBP));
// check Ibor
DiscountIborIndexRates ibor = (DiscountIborIndexRates)ratesProvider.iborIndexRates(USD_LIBOR_3M);
SimpleDiscountFactors iborDf = (SimpleDiscountFactors)ibor.DiscountFactors;
assertEquals(iborDf.Curve.Name, fwdCurve.Name);
assertThrowsIllegalArg(() => ratesProvider.iborIndexRates(GBP_LIBOR_3M));
// check Overnight
DiscountOvernightIndexRates on = (DiscountOvernightIndexRates)ratesProvider.overnightIndexRates(USD_FED_FUND);
SimpleDiscountFactors onDf = (SimpleDiscountFactors)on.DiscountFactors;
assertEquals(onDf.Curve.Name, dscCurve.Name);
assertThrowsIllegalArg(() => ratesProvider.overnightIndexRates(GBP_SONIA));
// check price curve must be interpolated
assertThrowsIllegalArg(() => ratesProvider.priceIndexValues(US_CPI_U));
// to immutable
ImmutableRatesProvider expectedImmutable = ImmutableRatesProvider.builder(valDate).fxRateProvider(MarketDataFxRateProvider.of(md)).discountCurve(USD, dscCurve).indexCurve(USD_FED_FUND, dscCurve).indexCurve(USD_LIBOR_3M, fwdCurve).indexCurve(US_CPI_U, fwdCurve).build();
assertEquals(ratesProvider.toImmutableRatesProvider(), expectedImmutable);
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes cross-curve gamma by applying finite difference method to curve delta.
/// <para>
/// This computes the cross-curve gamma, i.e., the second order sensitivities to full curves.
/// Thus the sensitivities of curve delta to other curves are produced.
/// </para>
/// <para>
/// The sensitivities are computed for discount curves, and forward curves for {@code RateIndex} and {@code PriceIndex}.
/// This implementation works only for single currency trades.
///
/// </para>
/// </summary>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="sensitivitiesFn"> the sensitivity function </param>
/// <returns> the cross gamma </returns>
public CrossGammaParameterSensitivities calculateCrossGammaCrossCurve(RatesProvider ratesProvider, System.Func <ImmutableRatesProvider, CurrencyParameterSensitivities> sensitivitiesFn)
{
ImmutableRatesProvider immProv = ratesProvider.toImmutableRatesProvider();
CurrencyParameterSensitivities baseDelta = sensitivitiesFn(immProv); // used to check target sensitivity exits.
CrossGammaParameterSensitivities result = CrossGammaParameterSensitivities.empty();
foreach (CurrencyParameterSensitivity baseDeltaSingle in baseDelta.Sensitivities)
{
CrossGammaParameterSensitivities resultInner = CrossGammaParameterSensitivities.empty();
// discount curve
foreach (KeyValuePair <Currency, Curve> entry in immProv.DiscountCurves.entrySet())
{
Currency currency = entry.Key;
Curve curve = entry.Value;
if (baseDelta.findSensitivity(curve.Name, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(baseDeltaSingle, curve, c => immProv.toBuilder().discountCurve(currency, c).build(), sensitivitiesFn);
resultInner = resultInner.combinedWith(gammaSingle);
}
else if (curve.split().size() > 1)
{
ImmutableList <Curve> curves = curve.split();
int nCurves = curves.size();
for (int i = 0; i < nCurves; ++i)
{
int currentIndex = i;
Curve underlyingCurve = curves.get(currentIndex);
if (baseDelta.findSensitivity(underlyingCurve.Name, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(baseDeltaSingle, underlyingCurve, c => immProv.toBuilder().discountCurve(currency, curve.withUnderlyingCurve(currentIndex, c)).build(), sensitivitiesFn);
resultInner = resultInner.combinedWith(gammaSingle);
}
}
}
}
// forward curve
foreach (KeyValuePair <Index, Curve> entry in immProv.IndexCurves.entrySet())
{
Index index = entry.Key;
if (index is RateIndex || index is PriceIndex)
{
Currency currency = getCurrency(index);
Curve curve = entry.Value;
if (baseDelta.findSensitivity(curve.Name, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(baseDeltaSingle, curve, c => immProv.toBuilder().indexCurve(index, c).build(), sensitivitiesFn);
resultInner = resultInner.combinedWith(gammaSingle);
}
else if (curve.split().size() > 1)
{
ImmutableList <Curve> curves = curve.split();
int nCurves = curves.size();
for (int i = 0; i < nCurves; ++i)
{
int currentIndex = i;
Curve underlyingCurve = curves.get(currentIndex);
if (baseDelta.findSensitivity(underlyingCurve.Name, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(baseDeltaSingle, underlyingCurve, c => immProv.toBuilder().indexCurve(index, curve.withUnderlyingCurve(currentIndex, c)).build(), sensitivitiesFn);
resultInner = resultInner.combinedWith(gammaSingle);
}
}
}
}
}
result = result.combinedWith(combineSensitivities(baseDeltaSingle, resultInner));
}
return(result);
}
public virtual void test_builtData()
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.List<com.opengamma.strata.calc.marketdata.PerturbationMapping<?>> perturbationMapping = new java.util.ArrayList<>();
IList <PerturbationMapping <object> > perturbationMapping = new List <PerturbationMapping <object> >();
int nScenarios = 3;
foreach (KeyValuePair <QuoteId, double> entry in MARKET_QUOTES.entrySet())
{
DoubleArray shifts = DoubleArray.of(nScenarios, n => Math.Pow(0.9, n));
ScenarioPerturbation <double> perturb = GenericDoubleShifts.of(ShiftType.SCALED, shifts);
perturbationMapping.Add(PerturbationMapping.of(MarketDataFilter.ofId(entry.Key), perturb));
}
ScenarioDefinition scenarioDefinition = ScenarioDefinition.ofMappings(perturbationMapping);
ImmutableMarketData dataWithSurface = ImmutableMarketData.builder(VALUATION_DATE).addValueMap(MARKET_QUOTES).addValueMap(MARKET_FX_QUOTES).addValue(VOL_ID, EXP_VOLS).addValue(RatesCurveGroupId.of(CURVE_GROUP_NAME), RatesCurveGroup.ofCurves(CURVE_GROUP_DEFINITION, EXP_RATES.toImmutableRatesProvider().DiscountCurves.values())).build();
ScenarioMarketData marketDataCalibrated = StandardComponents.marketDataFactory().createMultiScenario(REQUIREMENTS, SCENARIO_CONFIG, dataWithSurface, REF_DATA, scenarioDefinition);
Results results = CALC_RUNNER.calculateMultiScenario(RULES, TARGETS, COLUMN, marketDataCalibrated, REF_DATA);
CurrencyScenarioArray computed = results.get(0, 0, typeof(CurrencyScenarioArray)).Value;
CurrencyAmount expected = PRICER.presentValue(OPTION_TRADE.resolve(REF_DATA), EXP_RATES, EXP_VOLS).convertedTo(USD, EXP_RATES);
// dependency graph is absent, thus scenarios are not created
assertTrue(computed.ScenarioCount == 1);
assertEquals(computed.get(0), expected);
}
