public virtual void test_mergedWith_map_mergeAndAdd()
{
CurveSensitivities base1 = sut();
CurveSensitivities base2 = sut2();
CurveSensitivities test = base1.mergedWith(base2.TypedSensitivities);
assertEquals(test.Info, base1.Info);
assertEquals(test.TypedSensitivities.Keys, ImmutableSet.of(ZERO_RATE_DELTA, ZERO_RATE_GAMMA));
assertEquals(test.TypedSensitivities.get(ZERO_RATE_DELTA), SENSI1.multipliedBy(2));
assertEquals(test.TypedSensitivities.get(ZERO_RATE_GAMMA), SENSI2);
}
public virtual void test_presentValueSensitivity_parity()
{
CurrencyParameterSensitivities pvSensiRecLong = RATE_PROVIDER.parameterSensitivity(PRICER.presentValueSensitivityRates(SWAPTION_REC_LONG, RATE_PROVIDER, HW_PROVIDER).build());
CurrencyParameterSensitivities pvSensiRecShort = RATE_PROVIDER.parameterSensitivity(PRICER.presentValueSensitivityRates(SWAPTION_REC_SHORT, RATE_PROVIDER, HW_PROVIDER).build());
CurrencyParameterSensitivities pvSensiPayLong = RATE_PROVIDER.parameterSensitivity(PRICER.presentValueSensitivityRates(SWAPTION_PAY_LONG, RATE_PROVIDER, HW_PROVIDER).build());
CurrencyParameterSensitivities pvSensiPayShort = RATE_PROVIDER.parameterSensitivity(PRICER.presentValueSensitivityRates(SWAPTION_PAY_SHORT, RATE_PROVIDER, HW_PROVIDER).build());
assertTrue(pvSensiRecLong.equalWithTolerance(pvSensiRecShort.multipliedBy(-1d), NOTIONAL * TOL));
assertTrue(pvSensiPayLong.equalWithTolerance(pvSensiPayShort.multipliedBy(-1d), NOTIONAL * TOL));
PointSensitivities expectedPoint = SWAP_PRICER.presentValueSensitivity(RSWAP_PAY, RATE_PROVIDER).build();
CurrencyParameterSensitivities expected = RATE_PROVIDER.parameterSensitivity(expectedPoint);
assertTrue(expected.equalWithTolerance(pvSensiPayLong.combinedWith(pvSensiRecLong.multipliedBy(-1d)), NOTIONAL * TOL));
assertTrue(expected.equalWithTolerance(pvSensiRecShort.combinedWith(pvSensiPayShort.multipliedBy(-1d)), NOTIONAL * TOL));
}
public virtual void test_presentValueSensitivity_parity()
{
CurrencyParameterSensitivities pvSensiRecLong = RATE_PROVIDER.parameterSensitivity(SWAPTION_PRICER.presentValueSensitivityRatesStickyModel(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS).build());
CurrencyParameterSensitivities pvSensiRecShort = RATE_PROVIDER.parameterSensitivity(SWAPTION_PRICER.presentValueSensitivityRatesStickyModel(SWAPTION_REC_SHORT, RATE_PROVIDER, VOLS).build());
CurrencyParameterSensitivities pvSensiPayLong = RATE_PROVIDER.parameterSensitivity(SWAPTION_PRICER.presentValueSensitivityRatesStickyModel(SWAPTION_PAY_LONG, RATE_PROVIDER, VOLS).build());
CurrencyParameterSensitivities pvSensiPayShort = RATE_PROVIDER.parameterSensitivity(SWAPTION_PRICER.presentValueSensitivityRatesStickyModel(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS).build());
assertTrue(pvSensiRecLong.equalWithTolerance(pvSensiRecShort.multipliedBy(-1d), NOTIONAL * TOL));
assertTrue(pvSensiPayLong.equalWithTolerance(pvSensiPayShort.multipliedBy(-1d), NOTIONAL * TOL));
CurrencyParameterSensitivities pvSensiSwap = RATE_PROVIDER.parameterSensitivity(SWAP_PRICER.presentValueSensitivity(RSWAP_PAY, RATE_PROVIDER).build());
assertTrue(pvSensiSwap.equalWithTolerance(pvSensiPayLong.combinedWith(pvSensiRecLong.multipliedBy(-1d)), NOTIONAL * TOL));
assertTrue(pvSensiSwap.equalWithTolerance(pvSensiRecShort.combinedWith(pvSensiPayShort.multipliedBy(-1d)), NOTIONAL * TOL));
}
public virtual void present_value_sensitivity_long_short_parity()
{
PointSensitivities pvptLong = PRICER_SWAPTION_BLACK.presentValueSensitivityRatesStickyStrike(SWAPTION_LONG_REC, MULTI_USD, BLACK_VOLS_USD_STD).build();
PointSensitivities pvptShort = PRICER_SWAPTION_BLACK.presentValueSensitivityRatesStickyStrike(SWAPTION_SHORT_REC, MULTI_USD, BLACK_VOLS_USD_STD).build();
CurrencyParameterSensitivities pvpsLong = MULTI_USD.parameterSensitivity(pvptLong);
CurrencyParameterSensitivities pvpsShort = MULTI_USD.parameterSensitivity(pvptShort);
assertTrue(pvpsLong.equalWithTolerance(pvpsShort.multipliedBy(-1.0), TOLERANCE_PV_DELTA));
}
public virtual void test_presentValueSensitivityRatesStickyStrike_parity()
{
CurrencyParameterSensitivities pvSensiRecLong = RATE_PROVIDER.parameterSensitivity(PRICER_SWAPTION.presentValueSensitivityRatesStickyStrike(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS).build());
CurrencyParameterSensitivities pvSensiRecShort = RATE_PROVIDER.parameterSensitivity(PRICER_SWAPTION.presentValueSensitivityRatesStickyStrike(SWAPTION_REC_SHORT, RATE_PROVIDER, VOLS).build());
CurrencyParameterSensitivities pvSensiPayLong = RATE_PROVIDER.parameterSensitivity(PRICER_SWAPTION.presentValueSensitivityRatesStickyStrike(SWAPTION_PAY_LONG, RATE_PROVIDER, VOLS).build());
CurrencyParameterSensitivities pvSensiPayShort = RATE_PROVIDER.parameterSensitivity(PRICER_SWAPTION.presentValueSensitivityRatesStickyStrike(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS).build());
assertTrue(pvSensiRecLong.equalWithTolerance(pvSensiRecShort.multipliedBy(-1d), NOTIONAL * TOL));
assertTrue(pvSensiPayLong.equalWithTolerance(pvSensiPayShort.multipliedBy(-1d), NOTIONAL * TOL));
double forward = PRICER_SWAP.parRate(RSWAP_REC, RATE_PROVIDER);
PointSensitivityBuilder forwardSensi = PRICER_SWAP.parRateSensitivity(RSWAP_REC, RATE_PROVIDER);
double annuityCash = PRICER_SWAP.LegPricer.annuityCash(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), forward);
double annuityCashDeriv = PRICER_SWAP.LegPricer.annuityCashDerivative(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), forward).getDerivative(0);
double discount = RATE_PROVIDER.discountFactor(USD, SETTLE_DATE);
PointSensitivityBuilder discountSensi = RATE_PROVIDER.discountFactors(USD).zeroRatePointSensitivity(SETTLE_DATE);
PointSensitivities expecedPoint = discountSensi.multipliedBy(annuityCash * (forward - STRIKE)).combinedWith(forwardSensi.multipliedBy(discount * annuityCash + discount * annuityCashDeriv * (forward - STRIKE))).build();
CurrencyParameterSensitivities expected = RATE_PROVIDER.parameterSensitivity(expecedPoint);
assertTrue(expected.equalWithTolerance(pvSensiPayLong.combinedWith(pvSensiRecLong.multipliedBy(-1d)), NOTIONAL * TOL));
assertTrue(expected.equalWithTolerance(pvSensiRecShort.combinedWith(pvSensiPayShort.multipliedBy(-1d)), NOTIONAL * TOL));
}
public virtual void test_pv01()
{
FxVanillaOptionTradeCalculationFunction function = new FxVanillaOptionTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
BlackFxVanillaOptionTradePricer pricer = BlackFxVanillaOptionTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivityRatesStickyStrike(RTRADE, provider, VOLS);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01 = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedBucketedPv01 = 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(expectedPv01)))).containsEntry(Measures.PV01_CALIBRATED_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedBucketedPv01))));
}
public virtual void test_pv01_calibrated()
{
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);
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_pv01()
{
TermDepositTradeCalculationFunction function = new TermDepositTradeCalculationFunction();
ScenarioMarketData md = marketData();
RatesProvider provider = RATES_LOOKUP.ratesProvider(md.scenario(0));
DiscountingTermDepositProductPricer pricer = DiscountingTermDepositProductPricer.DEFAULT;
ResolvedTermDeposit resolved = TRADE.Product.resolve(REF_DATA);
PointSensitivities pvPointSens = pricer.presentValueSensitivity(resolved, provider);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01 = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedBucketedPv01 = 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(expectedPv01)))).containsEntry(Measures.PV01_CALIBRATED_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedBucketedPv01))));
}
public virtual void test_curveSensitivityMeasures()
{
double oneBp = 1e-4;
PointSensitivities pvPointSens = PRICER.presentValueSensitivity(RTRADE, RATES_PROVIDER, CreditDataSet.REF_DATA);
CurrencyParameterSensitivities pvParamSens = RATES_PROVIDER.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(oneBp);
CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(oneBp);
CurrencyParameterSensitivity expectedCs01Bucketed = CS01_CALC.bucketedCs01(RTRADE, RATES_PROVIDER, CreditDataSet.REF_DATA);
CurrencyAmount expectedCs01Parallel = CS01_CALC.parallelCs01(RTRADE, RATES_PROVIDER, CreditDataSet.REF_DATA);
PointSensitivities pvPointSensOnSettle = PRICER.presentValueOnSettleSensitivity(RTRADE, RATES_PROVIDER, CreditDataSet.REF_DATA);
CurrencyParameterSensitivity ir01 = RATES_PROVIDER.singleDiscountCurveParameterSensitivity(pvPointSensOnSettle, USD);
CurrencyAmount expectedIr01Cal = ir01.total().multipliedBy(oneBp);
CurrencyParameterSensitivity expectedIr01CalBucketed = ir01.multipliedBy(oneBp);
ISet <Measure> measures = ImmutableSet.of(Measures.PV01_CALIBRATED_SUM, Measures.PV01_CALIBRATED_BUCKETED, CreditMeasures.CS01_PARALLEL, CreditMeasures.CS01_BUCKETED, CreditMeasures.IR01_CALIBRATED_PARALLEL, CreditMeasures.IR01_CALIBRATED_BUCKETED);
assertThat(FUNCTION.calculate(TRADE, measures, CreditDataSet.CDS_PARAMS, CreditDataSet.MARKET_DATA, CreditDataSet.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)))).containsEntry(CreditMeasures.CS01_PARALLEL, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedCs01Parallel)))).containsEntry(CreditMeasures.CS01_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedCs01Bucketed)))).containsEntry(CreditMeasures.IR01_CALIBRATED_PARALLEL, Result.success(CurrencyScenarioArray.of(ImmutableList.of(expectedIr01Cal)))).containsEntry(CreditMeasures.IR01_CALIBRATED_BUCKETED, Result.success(ScenarioArray.of(ImmutableList.of(expectedIr01CalBucketed))));
}
public virtual void test_pv01_quote()
{
BondFutureTradeCalculationFunction <BondFutureTrade> function = BondFutureTradeCalculationFunction.TRADE;
ScenarioMarketData md = marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
DiscountingBondFutureTradePricer pricer = DiscountingBondFutureTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
CurrencyParameterSensitivities expectedPv01CalBucketed = MQ_CALC.sensitivity(pvParamSens.multipliedBy(1e-4), provider);
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(USD));
assertTrue(DoubleMath.fuzzyEquals(sumComputed.get(0).getAmount(USD).Amount, expectedPv01Cal.getAmount(USD).Amount, 1.0e-10));
assertEquals(bucketedComputed.ScenarioCount, 1);
assertTrue(bucketedComputed.get(0).equalWithTolerance(expectedPv01CalBucketed, 1.0e-10));
}