/// <summary>
/// Calibrate a single curve to 4 points. Use the resulting calibrated curves as starting point of the computation
/// of a Jacobian. Compare the direct Jacobian and the one reconstructed from trades.
/// </summary>
public virtual void direct_one_curve()
{
/* Create trades */
IList <ResolvedTrade> trades = new List <ResolvedTrade>();
IList <LocalDate> nodeDates = new List <LocalDate>();
for (int looptenor = 0; looptenor < TENORS_STD_1.Length; looptenor++)
{
ResolvedSwapTrade t0 = EUR_FIXED_1Y_EURIBOR_6M.createTrade(VALUATION_DATE, TENORS_STD_1[looptenor], BuySell.BUY, 1.0, 0.0, REF_DATA).resolve(REF_DATA);
double rate = MARKET_QUOTE.value(t0, MULTICURVE_EUR_SINGLE_CALIBRATED);
ResolvedSwapTrade t = EUR_FIXED_1Y_EURIBOR_6M.createTrade(VALUATION_DATE, TENORS_STD_1[looptenor], BuySell.BUY, 1.0, rate, REF_DATA).resolve(REF_DATA);
nodeDates.Add(t.Product.EndDate);
trades.Add(t);
}
/* Par rate sensitivity */
System.Func <ResolvedTrade, CurrencyParameterSensitivities> sensitivityFunction = (t) => MULTICURVE_EUR_SINGLE_CALIBRATED.parameterSensitivity(PRICER_SWAP_PRODUCT.parRateSensitivity(((ResolvedSwapTrade)t).Product, MULTICURVE_EUR_SINGLE_CALIBRATED).build());
DoubleMatrix jiComputed = CurveSensitivityUtils.jacobianFromMarketQuoteSensitivities(LIST_CURVE_NAMES_1, trades, sensitivityFunction);
DoubleMatrix jiExpected = MULTICURVE_EUR_SINGLE_CALIBRATED.findData(EUR_SINGLE_NAME).get().Metadata.findInfo(CurveInfoType.JACOBIAN).get().JacobianMatrix;
/* Comparison */
assertEquals(jiComputed.rowCount(), jiExpected.rowCount());
assertEquals(jiComputed.columnCount(), jiExpected.columnCount());
for (int i = 0; i < jiComputed.rowCount(); i++)
{
for (int j = 0; j < jiComputed.columnCount(); j++)
{
assertEquals(jiComputed.get(i, j), jiExpected.get(i, j), TOLERANCE_JAC);
}
}
}
/// <summary>
/// Start from a generic zero-coupon curve. Compute the (inverse) Jacobian matrix using linear projection to a small
/// number of points and the Jacobian utility. Compare the direct Jacobian obtained by calibrating a curve
/// based on the trades with market quotes computed from the zero-coupon curve.
/// </summary>
public virtual void with_rebucketing_one_curve()
{
/* Create trades */
IList <ResolvedTrade> trades = new List <ResolvedTrade>();
IList <LocalDate> nodeDates = new List <LocalDate>();
double[] marketQuotes = new double[TENORS_STD_1.Length];
for (int looptenor = 0; looptenor < TENORS_STD_1.Length; looptenor++)
{
ResolvedSwapTrade t0 = EUR_FIXED_1Y_EURIBOR_6M.createTrade(VALUATION_DATE, TENORS_STD_1[looptenor], BuySell.BUY, 1.0, 0.0, REF_DATA).resolve(REF_DATA);
marketQuotes[looptenor] = MARKET_QUOTE.value(t0, MULTICURVE_EUR_SINGLE_INPUT);
ResolvedSwapTrade t = EUR_FIXED_1Y_EURIBOR_6M.createTrade(VALUATION_DATE, TENORS_STD_1[looptenor], BuySell.BUY, 1.0, marketQuotes[looptenor], REF_DATA).resolve(REF_DATA);
nodeDates.Add(t.Product.EndDate);
trades.Add(t);
}
System.Func <ResolvedTrade, CurrencyParameterSensitivities> sensitivityFunction = (t) => CurveSensitivityUtils.linearRebucketing(MULTICURVE_EUR_SINGLE_INPUT.parameterSensitivity(PRICER_SWAP_PRODUCT.parRateSensitivity(((ResolvedSwapTrade)t).Product, MULTICURVE_EUR_SINGLE_INPUT).build()), nodeDates, VALUATION_DATE);
/* Market quotes for comparison */
IDictionary <QuoteId, double> mqCmp = new Dictionary <QuoteId, double>();
for (int looptenor = 0; looptenor < TENORS_STD_1.Length; looptenor++)
{
mqCmp[QuoteId.of(StandardId.of(OG_TICKER, TICKERS_STD_1[looptenor]))] = marketQuotes[looptenor];
}
ImmutableMarketData marketQuotesObject = ImmutableMarketData.of(VALUATION_DATE, mqCmp);
RatesProvider multicurveCmp = CALIBRATOR.calibrate(GROUPS_IN_1, marketQuotesObject, REF_DATA);
/* Comparison */
DoubleMatrix jiComputed = CurveSensitivityUtils.jacobianFromMarketQuoteSensitivities(LIST_CURVE_NAMES_1, trades, sensitivityFunction);
DoubleMatrix jiExpected = multicurveCmp.findData(EUR_SINGLE_NAME).get().Metadata.findInfo(CurveInfoType.JACOBIAN).get().JacobianMatrix;
assertEquals(jiComputed.rowCount(), jiExpected.rowCount());
assertEquals(jiComputed.columnCount(), jiExpected.columnCount());
for (int i = 0; i < jiComputed.rowCount(); i++)
{
for (int j = 0; j < jiComputed.columnCount(); j++)
{
assertEquals(jiComputed.get(i, j), jiExpected.get(i, j), TOLERANCE_JAC_APPROX);
// The comparison is not perfect due to the incoherences introduced by the re-bucketing
}
}
}
/// <summary>
/// Calibrate a single curve to 4 points. Use the resulting calibrated curves as starting point of the computation
/// of a Jacobian. Compare the direct Jacobian and the one reconstructed from trades.
/// </summary>
public virtual void direct_two_curves()
{
JacobianCalibrationMatrix jiObject = MULTICURVE_EUR_2_CALIBRATED.findData(EUR_DSCON_OIS).get().Metadata.findInfo(CurveInfoType.JACOBIAN).get();
ImmutableList <CurveParameterSize> order = jiObject.Order; // To obtain the order of the curves in the jacobian
/* Create trades */
IList <ResolvedTrade> tradesDsc = new List <ResolvedTrade>();
for (int looptenor = 0; looptenor < TENORS_STD_2_OIS.Length; looptenor++)
{
ResolvedSwapTrade t0 = EUR_FIXED_1Y_EONIA_OIS.createTrade(VALUATION_DATE, TENORS_STD_2_OIS[looptenor], BuySell.BUY, 1.0, 0.0, REF_DATA).resolve(REF_DATA);
double rate = MARKET_QUOTE.value(t0, MULTICURVE_EUR_2_CALIBRATED);
ResolvedSwapTrade t = EUR_FIXED_1Y_EONIA_OIS.createTrade(VALUATION_DATE, TENORS_STD_2_OIS[looptenor], BuySell.BUY, 1.0, rate, REF_DATA).resolve(REF_DATA);
tradesDsc.Add(t);
}
IList <ResolvedTrade> tradesE3 = new List <ResolvedTrade>();
// Fixing
IborFixingDepositConvention c = IborFixingDepositConvention.of(EUR_EURIBOR_6M);
ResolvedIborFixingDepositTrade fix0 = c.createTrade(VALUATION_DATE, EUR_EURIBOR_6M.Tenor.Period, BuySell.BUY, 1.0, 0.0, REF_DATA).resolve(REF_DATA);
double rateFixing = MARKET_QUOTE.value(fix0, MULTICURVE_EUR_2_CALIBRATED);
ResolvedIborFixingDepositTrade fix = c.createTrade(VALUATION_DATE, EUR_EURIBOR_6M.Tenor.Period, BuySell.BUY, 1.0, rateFixing, REF_DATA).resolve(REF_DATA);
tradesE3.Add(fix);
// IRS
for (int looptenor = 0; looptenor < TENORS_STD_2_IRS.Length; looptenor++)
{
ResolvedSwapTrade t0 = EUR_FIXED_1Y_EURIBOR_6M.createTrade(VALUATION_DATE, TENORS_STD_2_IRS[looptenor], BuySell.BUY, 1.0, 0.0, REF_DATA).resolve(REF_DATA);
double rate = MARKET_QUOTE.value(t0, MULTICURVE_EUR_2_CALIBRATED);
ResolvedSwapTrade t = EUR_FIXED_1Y_EURIBOR_6M.createTrade(VALUATION_DATE, TENORS_STD_2_IRS[looptenor], BuySell.BUY, 1.0, rate, REF_DATA).resolve(REF_DATA);
tradesE3.Add(t);
}
IList <ResolvedTrade> trades = new List <ResolvedTrade>();
if (order.get(0).Name.Equals(EUR_DSCON_OIS))
{
((IList <ResolvedTrade>)trades).AddRange(tradesDsc);
((IList <ResolvedTrade>)trades).AddRange(tradesE3);
}
else
{
((IList <ResolvedTrade>)trades).AddRange(tradesE3);
((IList <ResolvedTrade>)trades).AddRange(tradesDsc);
}
/* Par rate sensitivity */
System.Func <ResolvedTrade, CurrencyParameterSensitivities> sensitivityFunction = (t) => MULTICURVE_EUR_2_CALIBRATED.parameterSensitivity((t is ResolvedSwapTrade) ? PRICER_SWAP_PRODUCT.parRateSensitivity(((ResolvedSwapTrade)t).Product, MULTICURVE_EUR_2_CALIBRATED).build() : PRICER_IBORFIX_PRODUCT.parRateSensitivity(((ResolvedIborFixingDepositTrade)t).Product, MULTICURVE_EUR_2_CALIBRATED));
DoubleMatrix jiComputed = CurveSensitivityUtils.jacobianFromMarketQuoteSensitivities(order, trades, sensitivityFunction);
DoubleMatrix jiExpectedDsc = MULTICURVE_EUR_2_CALIBRATED.findData(EUR_DSCON_OIS).get().Metadata.getInfo(CurveInfoType.JACOBIAN).JacobianMatrix;
DoubleMatrix jiExpectedE3 = MULTICURVE_EUR_2_CALIBRATED.findData(EUR_EURIBOR6M_IRS).get().Metadata.getInfo(CurveInfoType.JACOBIAN).JacobianMatrix;
/* Comparison */
assertEquals(jiComputed.rowCount(), jiExpectedDsc.rowCount() + jiExpectedE3.rowCount());
assertEquals(jiComputed.columnCount(), jiExpectedDsc.columnCount());
assertEquals(jiComputed.columnCount(), jiExpectedE3.columnCount());
int shiftDsc = order.get(0).Name.Equals(EUR_DSCON_OIS) ? 0 : jiExpectedE3.rowCount();
for (int i = 0; i < jiExpectedDsc.rowCount(); i++)
{
for (int j = 0; j < jiExpectedDsc.columnCount(); j++)
{
assertEquals(jiComputed.get(i + shiftDsc, j), jiExpectedDsc.get(i, j), TOLERANCE_JAC);
}
}
int shiftE3 = order.get(0).Name.Equals(EUR_DSCON_OIS) ? jiExpectedDsc.rowCount() : 0;
for (int i = 0; i < jiExpectedE3.rowCount(); i++)
{
for (int j = 0; j < jiExpectedDsc.columnCount(); j++)
{
assertEquals(jiComputed.get(i + shiftE3, j), jiExpectedE3.get(i, j), TOLERANCE_JAC);
}
}
}
//-------------------------------------------------------------------------
/// <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.");
}
