//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @SuppressWarnings("unused") @Test(enabled = false) public void performance()
public virtual void performance()
{
long start, end;
int nbRep = 5;
int nbTests = 10;
for (int looprep = 0; looprep < nbRep; looprep++)
{
Console.WriteLine("Calibration time");
start = DateTimeHelper.CurrentUnixTimeMillis();
for (int i = 0; i < nbTests; i++)
{
ImmutableRatesProvider multicurve1 = CALIBRATOR.calibrate(GROUP_DEFINITION_NO_INFO, MARKET_QUOTES, REF_DATA);
}
end = DateTimeHelper.CurrentUnixTimeMillis();
Console.WriteLine(" |--> calibration only: " + (end - start) + " ms for " + nbTests + " runs.");
start = DateTimeHelper.CurrentUnixTimeMillis();
for (int i = 0; i < nbTests; i++)
{
ImmutableRatesProvider multicurve1 = CALIBRATOR.calibrate(GROUP_DEFINITION, MARKET_QUOTES, REF_DATA);
}
end = DateTimeHelper.CurrentUnixTimeMillis();
Console.WriteLine(" |--> calibration and Jacobian: " + (end - start) + " ms for " + nbTests + " runs.");
start = DateTimeHelper.CurrentUnixTimeMillis();
for (int i = 0; i < nbTests; i++)
{
ImmutableRatesProvider multicurve1 = CALIBRATOR.calibrate(GROUP_DEFINITION_PV_SENSI, MARKET_QUOTES, REF_DATA);
}
end = DateTimeHelper.CurrentUnixTimeMillis();
Console.WriteLine(" |--> calibration, Jacobian and PV sensi MQ: " + (end - start) + " ms for " + nbTests + " runs.");
}
}
/// <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);
}
private RatesCurveGroup buildGroup(RatesCurveGroupDefinition groupDefn, RatesCurveCalibrator calibrator, MarketData marketData, ReferenceData refData)
{
// perform the calibration
ImmutableRatesProvider calibratedProvider = calibrator.calibrate(groupDefn, marketData, refData);
return(RatesCurveGroup.of(groupDefn.Name, calibratedProvider.DiscountCurves, calibratedProvider.IndexCurves));
}
//-------------------------------------------------------------------------
public virtual void test_currencyExposure()
{
double eps = 1.0e-14;
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
// USD
MultiCurrencyAmount computedUSD = test.currencyExposure(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov);
PointSensitivities pointUSD = test.presentValueSensitivity(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov).build();
MultiCurrencyAmount expectedUSD = prov.currencyExposure(pointUSD.convertedTo(USD, prov)).plus(CurrencyAmount.of(FX_RESET_NOTIONAL_EXCHANGE_REC_USD.Currency, test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov)));
assertFalse(computedUSD.contains(GBP)); // 0 GBP
assertEquals(computedUSD.getAmount(USD).Amount, expectedUSD.getAmount(USD).Amount, eps * NOTIONAL);
// GBP
MultiCurrencyAmount computedGBP = test.currencyExposure(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, prov);
PointSensitivities pointGBP = test.presentValueSensitivity(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, prov).build();
MultiCurrencyAmount expectedGBP = prov.currencyExposure(pointGBP.convertedTo(GBP, prov)).plus(CurrencyAmount.of(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP.Currency, test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, prov)));
assertFalse(computedGBP.contains(USD)); // 0 USD
assertEquals(computedGBP.getAmount(GBP).Amount, expectedGBP.getAmount(GBP).Amount, eps * NOTIONAL);
// FD approximation
FxMatrix fxMatrixUp = FxMatrix.of(GBP, USD, FX_RATE + EPS_FD);
ImmutableRatesProvider provUp = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(fxMatrixUp).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
double expectedFdUSD = -(test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, provUp) - test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov)) * FX_RATE * FX_RATE / EPS_FD;
assertEquals(computedUSD.getAmount(USD).Amount, expectedFdUSD, EPS_FD * NOTIONAL);
double expectedFdGBP = (test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, provUp) - test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, prov)) / EPS_FD;
assertEquals(computedGBP.getAmount(GBP).Amount, expectedFdGBP, EPS_FD * NOTIONAL);
}
public virtual void test_currencyExposureOnFixing_noTimeSeries()
{
double eps = 1.0e-14;
LocalDate valuationDate = date(2014, 6, 27);
LocalDate paymentDate = date(2014, 7, 1);
LocalDate fixingDate = date(2014, 6, 27);
FxResetNotionalExchange resetNotionalUSD = FxResetNotionalExchange.of(CurrencyAmount.of(USD, NOTIONAL), paymentDate, FxIndexObservation.of(GBP_USD_WM, fixingDate, REF_DATA));
FxResetNotionalExchange resetNotionalGBP = FxResetNotionalExchange.of(CurrencyAmount.of(GBP, -NOTIONAL), paymentDate, FxIndexObservation.of(GBP_USD_WM, fixingDate, REF_DATA));
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(valuationDate).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
// USD
MultiCurrencyAmount computedUSD = test.currencyExposure(resetNotionalUSD, prov);
PointSensitivities pointUSD = test.presentValueSensitivity(resetNotionalUSD, prov).build();
MultiCurrencyAmount expectedUSD = prov.currencyExposure(pointUSD.convertedTo(USD, prov)).plus(CurrencyAmount.of(resetNotionalUSD.Currency, test.presentValue(resetNotionalUSD, prov)));
assertFalse(computedUSD.contains(GBP)); // 0 GBP
assertEquals(computedUSD.getAmount(USD).Amount, expectedUSD.getAmount(USD).Amount, eps * NOTIONAL);
// GBP
MultiCurrencyAmount computedGBP = test.currencyExposure(resetNotionalGBP, prov);
PointSensitivities pointGBP = test.presentValueSensitivity(resetNotionalGBP, prov).build();
MultiCurrencyAmount expectedGBP = prov.currencyExposure(pointGBP.convertedTo(GBP, prov)).plus(CurrencyAmount.of(resetNotionalGBP.Currency, test.presentValue(resetNotionalGBP, prov)));
assertFalse(computedGBP.contains(USD)); // 0 USD
assertEquals(computedGBP.getAmount(GBP).Amount, expectedGBP.getAmount(GBP).Amount, eps * NOTIONAL);
// FD approximation
FxMatrix fxMatrixUp = FxMatrix.of(GBP, USD, FX_RATE + EPS_FD);
ImmutableRatesProvider provUp = ImmutableRatesProvider.builder(valuationDate).fxRateProvider(fxMatrixUp).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
double expectedFdUSD = -(test.presentValue(resetNotionalUSD, provUp) - test.presentValue(resetNotionalUSD, prov)) * FX_RATE * FX_RATE / EPS_FD;
assertEquals(computedUSD.getAmount(USD).Amount, expectedFdUSD, EPS_FD * NOTIONAL);
double expectedFdGBP = (test.presentValue(resetNotionalGBP, provUp) - test.presentValue(resetNotionalGBP, prov)) / EPS_FD;
assertEquals(computedGBP.getAmount(GBP).Amount, expectedFdGBP, EPS_FD * NOTIONAL);
}
public virtual void test_currentCash_zero()
{
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
double cc = test.currentCash(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov);
assertEquals(cc, 0d);
}
public virtual void test_currentCash_zero()
{
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(GBP, DISCOUNT_CURVE_GBP).build();
DiscountingNotionalExchangePricer test = DiscountingNotionalExchangePricer.DEFAULT;
double computed = test.currentCash(NOTIONAL_EXCHANGE_REC_GBP, prov);
assertEquals(computed, 0d);
}
//-------------------------------------------------------------------------
public override DoubleArray apply(DoubleArray x)
{
// create child provider from matrix
ImmutableRatesProvider childProvider = providerGenerator.generate(x);
// calculate value for each trade using the child provider
return(DoubleArray.of(trades.Count, i => measures.value(trades[i], childProvider)));
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="knownProvider"> the underlying known provider </param>
/// <param name="curveDefinitions"> the curve definitions </param>
/// <param name="curveMetadata"> the curve metadata </param>
/// <param name="discountCurveNames"> the map of discount curves </param>
/// <param name="forwardCurveNames"> the map of index forward curves </param>
private ImmutableRatesProviderGenerator(ImmutableRatesProvider knownProvider, IList <CurveDefinition> curveDefinitions, IList <CurveMetadata> curveMetadata, SetMultimap <CurveName, Currency> discountCurveNames, SetMultimap <CurveName, Index> forwardCurveNames)
{
this.knownProvider = ArgChecker.notNull(knownProvider, "knownProvider");
this.curveDefinitions = ImmutableList.copyOf(ArgChecker.notNull(curveDefinitions, "curveDefinitions"));
this.curveMetadata = ImmutableList.copyOf(ArgChecker.notNull(curveMetadata, "curveMetadata"));
this.discountCurveNames = ImmutableSetMultimap.copyOf(ArgChecker.notNull(discountCurveNames, "discountCurveNames"));
this.forwardCurveNames = ImmutableSetMultimap.copyOf(ArgChecker.notNull(forwardCurveNames, "forwardCurveNames"));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calibrates a single curve group, containing one or more curves.
/// <para>
/// The calibration is defined using <seealso cref="RatesCurveGroupDefinition"/>.
/// Observable market data, time-series and FX are also needed to complete the calibration.
/// The valuation date is defined by the market data.
/// </para>
/// <para>
/// The Jacobian matrices are computed and stored in curve metadata.
///
/// </para>
/// </summary>
/// <param name="curveGroupDefn"> the curve group definition </param>
/// <param name="marketData"> the market data required to build a trade for the instrument, including time-series </param>
/// <param name="refData"> the reference data, used to resolve the trades </param>
/// <returns> the rates provider resulting from the calibration </returns>
public ImmutableRatesProvider calibrate(RatesCurveGroupDefinition curveGroupDefn, MarketData marketData, ReferenceData refData)
{
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IDictionary <Index, LocalDateDoubleTimeSeries> timeSeries = marketData.TimeSeriesIds.Where(typeof(IndexQuoteId).isInstance).Select(typeof(IndexQuoteId).cast).collect(toImmutableMap(id => id.Index, id => marketData.getTimeSeries(id)));
ImmutableRatesProvider knownData = ImmutableRatesProvider.builder(marketData.ValuationDate).fxRateProvider(MarketDataFxRateProvider.of(marketData)).timeSeries(timeSeries).build();
return(calibrate(ImmutableList.of(curveGroupDefn), knownData, marketData, refData));
}
//-------------------------------------------------------------------------
// 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_currentCash_onPayment()
{
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(NOTIONAL_EXCHANGE_REC_GBP.PaymentDate).discountCurve(GBP, DISCOUNT_CURVE_GBP).build();
DiscountingNotionalExchangePricer test = DiscountingNotionalExchangePricer.DEFAULT;
double notional = NOTIONAL_EXCHANGE_REC_GBP.PaymentAmount.Amount;
double computed = test.currentCash(NOTIONAL_EXCHANGE_REC_GBP, prov);
assertEquals(computed, notional);
}
//-------------------------------------------------------------------------
public override DoubleMatrix apply(DoubleArray x)
{
// create child provider from matrix
ImmutableRatesProvider provider = providerGenerator.generate(x);
// calculate derivative for each trade using the child provider
int size = trades.Count;
return(DoubleMatrix.ofArrayObjects(size, size, i => measures.derivative(trades[i], provider, curveOrder)));
}
//-------------------------------------------------------------------------
public virtual void test_currencyExposure()
{
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(GBP, DISCOUNT_CURVE_GBP).build();
DiscountingNotionalExchangePricer test = DiscountingNotionalExchangePricer.DEFAULT;
MultiCurrencyAmount computed = test.currencyExposure(NOTIONAL_EXCHANGE_REC_GBP, prov);
PointSensitivities point = test.presentValueSensitivity(NOTIONAL_EXCHANGE_REC_GBP, prov).build();
MultiCurrencyAmount expected = prov.currencyExposure(point).plus(CurrencyAmount.of(NOTIONAL_EXCHANGE_REC_GBP.Currency, test.presentValue(NOTIONAL_EXCHANGE_REC_GBP, prov)));
assertEquals(computed, expected);
}
static DiscountingFraProductPricerTest()
{
CurveInterpolator interp = CurveInterpolators.DOUBLE_QUADRATIC;
DoubleArray time_gbp = DoubleArray.of(0.0, 0.1, 0.25, 0.5, 0.75, 1.0, 2.0);
DoubleArray rate_gbp = DoubleArray.of(0.0160, 0.0165, 0.0155, 0.0155, 0.0155, 0.0150, 0.014);
InterpolatedNodalCurve dscCurve = InterpolatedNodalCurve.of(Curves.zeroRates("GBP-Discount", DAY_COUNT), time_gbp, rate_gbp, interp);
DoubleArray time_index = DoubleArray.of(0.0, 0.25, 0.5, 1.0);
DoubleArray rate_index = DoubleArray.of(0.0180, 0.0180, 0.0175, 0.0165);
InterpolatedNodalCurve indexCurve = InterpolatedNodalCurve.of(Curves.zeroRates("GBP-GBPIBOR3M", DAY_COUNT), time_index, rate_index, interp);
IMM_PROV = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(GBP, dscCurve).iborIndexCurve(GBP_LIBOR_3M, indexCurve).build();
}
public virtual void test_presentValueSensitivity_dfCurve_FD()
{
double eps = 1.0e-6;
ImmutableRatesProvider prov = RatesProviderDataSets.MULTI_GBP_USD_SIMPLE;
RatesFiniteDifferenceSensitivityCalculator cal = new RatesFiniteDifferenceSensitivityCalculator(eps);
DiscountingFraProductPricer pricer = DiscountingFraProductPricer.DEFAULT;
ResolvedFra fraExp = RFRA;
PointSensitivities point = pricer.presentValueSensitivity(fraExp, prov);
CurrencyParameterSensitivities computed = prov.parameterSensitivity(point);
CurrencyParameterSensitivities expected = cal.sensitivity(prov, p => pricer.presentValue(fraExp, p));
assertTrue(computed.equalWithTolerance(expected, eps * FRA.Notional));
}
public virtual void test_currentCash_onPayment()
{
double eps = 1.0e-14;
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(FX_RESET_NOTIONAL_EXCHANGE_REC_USD.PaymentDate).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
double rate = prov.fxIndexRates(FX_RESET_NOTIONAL_EXCHANGE_REC_USD.Observation.Index).rate(FX_RESET_NOTIONAL_EXCHANGE_REC_USD.Observation, FX_RESET_NOTIONAL_EXCHANGE_REC_USD.ReferenceCurrency);
double ccUSD = test.currentCash(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov);
assertEquals(ccUSD, NOTIONAL * rate, eps);
double ccGBP = test.currentCash(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, prov);
assertEquals(ccGBP, -NOTIONAL / rate, eps);
}
/// <summary>
/// Calibrates a list of curve groups, each containing one or more curves.
/// <para>
/// The calibration is defined using a list of <seealso cref="RatesCurveGroupDefinition"/>.
/// Observable market data and existing known data are also needed to complete the calibration.
/// </para>
/// <para>
/// A curve must only exist in one group.
///
/// </para>
/// </summary>
/// <param name="allGroupsDefn"> the curve group definitions </param>
/// <param name="knownData"> the starting data for the calibration </param>
/// <param name="marketData"> the market data required to build a trade for the instrument </param>
/// <param name="refData"> the reference data, used to resolve the trades </param>
/// <returns> the rates provider resulting from the calibration </returns>
public ImmutableRatesProvider calibrate(IList <RatesCurveGroupDefinition> allGroupsDefn, ImmutableRatesProvider knownData, MarketData marketData, ReferenceData refData)
{
// this method effectively takes one CurveGroupDefinition
// the list is a split of the definition, not multiple independent definitions
if (!knownData.ValuationDate.Equals(marketData.ValuationDate))
{
throw new System.ArgumentException(Messages.format("Valuation dates do not match: {} and {}", knownData.ValuationDate, marketData.ValuationDate));
}
// perform calibration one group at a time, building up the result by mutating these variables
ImmutableRatesProvider providerCombined = knownData;
ImmutableList <CurveParameterSize> orderPrev = ImmutableList.of();
ImmutableMap <CurveName, JacobianCalibrationMatrix> jacobians = ImmutableMap.of();
foreach (RatesCurveGroupDefinition groupDefn in allGroupsDefn)
{
if (groupDefn.Entries.Empty)
{
continue;
}
RatesCurveGroupDefinition groupDefnBound = groupDefn.bindTimeSeries(knownData.ValuationDate, knownData.TimeSeries);
// combine all data in the group into flat lists
ImmutableList <ResolvedTrade> trades = groupDefnBound.resolvedTrades(marketData, refData);
ImmutableList <double> initialGuesses = groupDefnBound.initialGuesses(marketData);
ImmutableList <CurveParameterSize> orderGroup = toOrder(groupDefnBound);
ImmutableList <CurveParameterSize> orderPrevAndGroup = ImmutableList.builder <CurveParameterSize>().addAll(orderPrev).addAll(orderGroup).build();
// calibrate
RatesProviderGenerator providerGenerator = ImmutableRatesProviderGenerator.of(providerCombined, groupDefnBound, refData);
DoubleArray calibratedGroupParams = calibrateGroup(providerGenerator, trades, initialGuesses, orderGroup);
ImmutableRatesProvider calibratedProvider = providerGenerator.generate(calibratedGroupParams);
// use calibration to build Jacobian matrices
if (groupDefnBound.ComputeJacobian)
{
jacobians = updateJacobiansForGroup(calibratedProvider, trades, orderGroup, orderPrev, orderPrevAndGroup, jacobians);
}
ImmutableMap <CurveName, DoubleArray> sensitivityToMarketQuote = ImmutableMap.of();
if (groupDefnBound.ComputePvSensitivityToMarketQuote)
{
ImmutableRatesProvider providerWithJacobian = providerGenerator.generate(calibratedGroupParams, jacobians);
sensitivityToMarketQuote = sensitivityToMarketQuoteForGroup(providerWithJacobian, trades, orderGroup);
}
orderPrev = orderPrevAndGroup;
// use Jacobians to build output curves
providerCombined = providerGenerator.generate(calibratedGroupParams, jacobians, sensitivityToMarketQuote);
}
// return the calibrated provider
return(providerCombined);
}
// computes the sensitivity of baseDeltaSingle to Curve
internal CrossGammaParameterSensitivity computeGammaForCurve(CurrencyParameterSensitivity baseDeltaSingle, Curve curve, System.Func <Curve, ImmutableRatesProvider> ratesProviderFn, System.Func <ImmutableRatesProvider, CurrencyParameterSensitivities> sensitivitiesFn)
{
System.Func <DoubleArray, DoubleArray> function = (DoubleArray t) =>
{
Curve newCurve = replaceParameters(curve, t);
ImmutableRatesProvider newRates = ratesProviderFn(newCurve);
CurrencyParameterSensitivities sensiMulti = sensitivitiesFn(newRates);
return(sensiMulti.getSensitivity(baseDeltaSingle.MarketDataName, baseDeltaSingle.Currency).Sensitivity);
};
int nParams = curve.ParameterCount;
DoubleMatrix sensi = fd.differentiate(function).apply(DoubleArray.of(nParams, n => curve.getParameter(n)));
IList <ParameterMetadata> metadata = IntStream.range(0, nParams).mapToObj(i => curve.getParameterMetadata(i)).collect(toImmutableList());
return(CrossGammaParameterSensitivity.of(baseDeltaSingle.MarketDataName, baseDeltaSingle.ParameterMetadata, curve.Name, metadata, baseDeltaSingle.Currency, sensi));
}
static CurveSensitivityUtilsJacobianTest()
{
Tenor[] tenors = new Tenor[] { Tenor.TENOR_1D, Tenor.TENOR_1M, Tenor.TENOR_3M, Tenor.TENOR_6M, Tenor.TENOR_1Y, Tenor.TENOR_2Y, Tenor.TENOR_3Y, Tenor.TENOR_4Y, Tenor.TENOR_5Y, Tenor.TENOR_7Y, Tenor.TENOR_10Y, Tenor.TENOR_15Y, Tenor.TENOR_20Y, Tenor.TENOR_30Y };
IList <TenorParameterMetadata> metadataList = new List <TenorParameterMetadata>();
for (int looptenor = 0; looptenor < tenors.Length; looptenor++)
{
metadataList.Add(TenorParameterMetadata.of(tenors[looptenor]));
}
DoubleArray rate_eur = DoubleArray.of(0.0160, 0.0165, 0.0155, 0.0155, 0.0155, 0.0150, 0.0150, 0.0160, 0.0165, 0.0155, 0.0155, 0.0155, 0.0150, 0.0140);
InterpolatedNodalCurve curve_single_eur = InterpolatedNodalCurve.builder().metadata(DefaultCurveMetadata.builder().curveName(EUR_SINGLE_NAME).parameterMetadata(metadataList).dayCount(ACT_365F).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).build()).xValues(TIME_EUR).yValues(rate_eur).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).interpolator(CurveInterpolators.LINEAR).build();
MULTICURVE_EUR_SINGLE_INPUT = ImmutableRatesProvider.builder(VALUATION_DATE).discountCurve(EUR, curve_single_eur).iborIndexCurve(EUR_EURIBOR_6M, curve_single_eur).build();
LIST_CURVE_NAMES_1.Add(CurveParameterSize.of(EUR_SINGLE_NAME, TIME_EUR.size()));
}
public virtual void check_equivalent_notional()
{
ImmutableRatesProvider multicurve = CALIBRATOR.calibrate(GROUP_DEFINITION_PV_SENSI, MARKET_QUOTES, REF_DATA);
// Create notional equivalent for a basis trade
ResolvedSwapTrade trade = ThreeLegBasisSwapConventions.EUR_FIXED_1Y_EURIBOR_3M_EURIBOR_6M.createTrade(VALUATION_DATE, Period.ofMonths(7), Tenor.TENOR_6Y, BuySell.SELL, 1_000_000, 0.03, REF_DATA).resolve(REF_DATA);
PointSensitivities pts = PRICER_SWAP_TRADE.presentValueSensitivity(trade, multicurve);
CurrencyParameterSensitivities ps = multicurve.parameterSensitivity(pts);
CurrencyParameterSensitivities mqs = MQSC.sensitivity(ps, multicurve);
CurrencyParameterSensitivities notionalEquivalent = NEC.notionalEquivalent(mqs, multicurve);
// Check metadata are same as market quote sensitivities.
foreach (CurrencyParameterSensitivity sensi in mqs.Sensitivities)
{
assertEquals(notionalEquivalent.getSensitivity(sensi.MarketDataName, sensi.Currency).ParameterMetadata, sensi.ParameterMetadata);
}
// Check sensitivity: trade sensitivity = sum(notional equivalent sensitivities)
int totalNbParameters = 0;
IDictionary <CurveName, IList <ResolvedTrade> > equivalentTrades = new Dictionary <CurveName, IList <ResolvedTrade> >();
ImmutableList <CurveDefinition> curveGroups = GROUP_DEFINITION.CurveDefinitions;
ImmutableList.Builder <CurveParameterSize> builder = ImmutableList.builder();
foreach (CurveDefinition entry in curveGroups)
{
totalNbParameters += entry.ParameterCount;
DoubleArray notionalCurve = notionalEquivalent.getSensitivity(entry.Name, Currency.EUR).Sensitivity;
ImmutableList <CurveNode> nodes = entry.Nodes;
IList <ResolvedTrade> resolvedTradesCurve = new List <ResolvedTrade>();
for (int i = 0; i < nodes.size(); i++)
{
resolvedTradesCurve.Add(nodes.get(i).resolvedTrade(notionalCurve.get(i), MARKET_QUOTES, REF_DATA));
}
equivalentTrades[entry.Name] = resolvedTradesCurve;
builder.add(entry.toCurveParameterSize());
}
ImmutableList <CurveParameterSize> order = builder.build(); // order of the curves
DoubleArray totalSensitivity = DoubleArray.filled(totalNbParameters);
foreach (KeyValuePair <CurveName, IList <ResolvedTrade> > entry in equivalentTrades.SetOfKeyValuePairs())
{
foreach (ResolvedTrade t in entry.Value)
{
totalSensitivity = totalSensitivity.plus(PV_MEASURES.derivative(t, multicurve, order));
}
}
DoubleArray instrumentSensi = PV_MEASURES.derivative(trade, multicurve, order);
assertTrue(totalSensitivity.equalWithTolerance(instrumentSensi, TOLERANCE_PV_DELTA));
}
private double sumMod(ImmutableRatesProvider provider)
{
double result = 0.0;
// Index
ImmutableMap <Index, Curve> mapIndex = provider.IndexCurves;
foreach (KeyValuePair <Index, Curve> entry in mapIndex.entrySet())
{
if (entry.Key is IborIndex)
{
InterpolatedNodalCurve curveInt = checkInterpolated(entry.Value);
result += sumSingle(curveInt);
}
}
return(result);
}
//-------------------------------------------------------------------------
public virtual void test_forecastValueSensitivity()
{
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
FxResetNotionalExchange[] expanded = new FxResetNotionalExchange[] { FX_RESET_NOTIONAL_EXCHANGE_REC_USD, FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP };
for (int i = 0; i < 2; ++i)
{
FxResetNotionalExchange fxReset = expanded[i];
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
PointSensitivityBuilder pointSensitivityComputed = test.forecastValueSensitivity(expanded[i], prov);
CurrencyParameterSensitivities parameterSensitivityComputed = prov.parameterSensitivity(pointSensitivityComputed.build());
CurrencyParameterSensitivities parameterSensitivityExpected = FD_CALCULATOR.sensitivity(prov, (p) => CurrencyAmount.of(fxReset.Currency, test.forecastValue(fxReset, (p))));
assertTrue(parameterSensitivityComputed.equalWithTolerance(parameterSensitivityExpected, Math.Abs(expanded[i].Notional) * EPS_FD * 10.0));
}
}
public virtual void check_pv_sensitivity()
{
ImmutableRatesProvider multicurve = CALIBRATOR.calibrate(GROUP_DEFINITION_PV_SENSI, MARKET_QUOTES, REF_DATA);
// the trades used for calibration
IDictionary <CurveName, IList <Trade> > trades = new Dictionary <CurveName, IList <Trade> >();
IDictionary <CurveName, IList <ResolvedTrade> > resolvedTrades = new Dictionary <CurveName, IList <ResolvedTrade> >();
ImmutableList <CurveDefinition> curveGroups = GROUP_DEFINITION.CurveDefinitions;
ImmutableList.Builder <CurveParameterSize> builder = ImmutableList.builder();
foreach (CurveDefinition entry in curveGroups)
{
ImmutableList <CurveNode> nodes = entry.Nodes;
IList <Trade> tradesCurve = new List <Trade>();
IList <ResolvedTrade> resolvedTradesCurve = new List <ResolvedTrade>();
foreach (CurveNode node in nodes)
{
tradesCurve.Add(node.trade(1d, MARKET_QUOTES, REF_DATA));
resolvedTradesCurve.Add(node.resolvedTrade(1d, MARKET_QUOTES, REF_DATA));
}
trades[entry.Name] = tradesCurve;
resolvedTrades[entry.Name] = resolvedTradesCurve;
builder.add(entry.toCurveParameterSize());
}
ImmutableList <CurveParameterSize> order = builder.build(); // order of the curves
// Check CurveInfo present and sensitivity as expected
IDictionary <CurveName, DoubleArray> mqsGroup = new Dictionary <CurveName, DoubleArray>();
int nodeIndex = 0;
foreach (CurveParameterSize cps in order)
{
int nbParameters = cps.ParameterCount;
double[] mqsCurve = new double[nbParameters];
for (int looptrade = 0; looptrade < nbParameters; looptrade++)
{
DoubleArray mqsNode = PV_MEASURES.derivative(resolvedTrades[cps.Name][looptrade], multicurve, order);
mqsCurve[looptrade] = mqsNode.get(nodeIndex);
nodeIndex++;
}
Optional <Curve> curve = multicurve.findData(cps.Name);
DoubleArray pvSensitivityExpected = DoubleArray.ofUnsafe(mqsCurve);
mqsGroup[cps.Name] = pvSensitivityExpected;
assertTrue(curve.Present);
assertTrue(curve.get().Metadata.findInfo(CurveInfoType.PV_SENSITIVITY_TO_MARKET_QUOTE).Present);
DoubleArray pvSensitivityMetadata = curve.get().Metadata.findInfo(CurveInfoType.PV_SENSITIVITY_TO_MARKET_QUOTE).get();
assertTrue(pvSensitivityExpected.equalWithTolerance(pvSensitivityMetadata, 1.0E-10));
}
}
// modified sensitivity function - sensitivities are computed only for ibor index curves
private CurrencyParameterSensitivities sensiModFn(ImmutableRatesProvider provider)
{
CurrencyParameterSensitivities sensi = CurrencyParameterSensitivities.empty();
// Index
ImmutableMap <Index, Curve> mapIndex = provider.IndexCurves;
foreach (KeyValuePair <Index, Curve> entry in mapIndex.entrySet())
{
if (entry.Key is IborIndex)
{
InterpolatedNodalCurve curveInt = checkInterpolated(entry.Value);
double sumSqrt = sumMod(provider);
sensi = sensi.combinedWith(CurrencyParameterSensitivity.of(curveInt.Name, USD, DoubleArray.of(curveInt.ParameterCount, i => 2d * sumSqrt * curveInt.XValues.get(i))));
}
}
return(sensi);
}
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);
}
// computes the sensitivity with respect to the curves
private CurrencyParameterSensitivities sensitivity <T>(ImmutableRatesProvider provider, IDictionary <T, Curve> baseCurves, System.Func <ImmutableRatesProvider, IDictionary <T, Curve>, ImmutableRatesProvider> storeBumpedFn, System.Func <ImmutableRatesProvider, CurrencyAmount> valueFn, CurrencyAmount valueInit)
{
CurrencyParameterSensitivities result = CurrencyParameterSensitivities.empty();
foreach (KeyValuePair <T, Curve> entry in baseCurves.SetOfKeyValuePairs())
{
Curve curve = entry.Value;
DoubleArray sensitivity = DoubleArray.of(curve.ParameterCount, i =>
{
Curve dscBumped = curve.withParameter(i, curve.getParameter(i) + shift);
IDictionary <T, Curve> mapBumped = new Dictionary <T, Curve>(baseCurves);
mapBumped[entry.Key] = dscBumped;
ImmutableRatesProvider providerDscBumped = storeBumpedFn(provider, mapBumped);
return((valueFn(providerDscBumped).Amount - valueInit.Amount) / shift);
});
result = result.combinedWith(curve.createParameterSensitivity(valueInit.Currency, sensitivity));
}
return(result);
}
/// <summary>
/// Test parameter sensitivity with finite difference sensitivity calculator. No cutoff period. </summary>
public virtual void rateChfNoCutOffParameterSensitivity()
{
LocalDate[] valuationDate = new LocalDate[] { date(2015, 1, 1), date(2015, 1, 8) };
DoubleArray time = DoubleArray.of(0.0, 0.5, 1.0, 2.0, 5.0, 10.0);
DoubleArray rate = DoubleArray.of(0.0100, 0.0110, 0.0115, 0.0130, 0.0135, 0.0135);
for (int loopvaldate = 0; loopvaldate < 2; loopvaldate++)
{
Curve onCurve = InterpolatedNodalCurve.of(Curves.zeroRates("ON", ACT_ACT_ISDA), time, rate, INTERPOLATOR);
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(valuationDate[loopvaldate]).overnightIndexCurve(CHF_TOIS, onCurve, TIME_SERIES).build();
OvernightAveragedRateComputation ro = OvernightAveragedRateComputation.of(CHF_TOIS, START_DATE, END_DATE, 0, REF_DATA);
ForwardOvernightAveragedRateComputationFn obsFn = ForwardOvernightAveragedRateComputationFn.DEFAULT;
PointSensitivityBuilder sensitivityBuilderComputed = obsFn.rateSensitivity(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, prov);
CurrencyParameterSensitivities parameterSensitivityComputed = prov.parameterSensitivity(sensitivityBuilderComputed.build());
CurrencyParameterSensitivities parameterSensitivityExpected = CAL_FD.sensitivity(prov, (p) => CurrencyAmount.of(CHF_TOIS.Currency, obsFn.rate(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, (p))));
assertTrue(parameterSensitivityComputed.equalWithTolerance(parameterSensitivityExpected, EPS_FD * 10.0));
}
}
private static Pair <MultiCurrencyAmount[], CurrencyParameterSensitivities[]> computation(IDictionary <CurveGroupName, RatesCurveGroupDefinition> configs, ResolvedSwapTrade[] swaps)
{
int nbSwaps = swaps.Length;
/* Calibrate curves */
ImmutableRatesProvider multicurve = CALIBRATOR.calibrate(configs[CONFIG_NAME], MARKET_QUOTES, REF_DATA);
/* Computes PV and bucketed PV01 */
MultiCurrencyAmount[] pv = new MultiCurrencyAmount[nbSwaps];
CurrencyParameterSensitivities[] mqs = new CurrencyParameterSensitivities[nbSwaps];
for (int loopswap = 0; loopswap < nbSwaps; loopswap++)
{
pv[loopswap] = PRICER_SWAP.presentValue(swaps[loopswap], multicurve);
PointSensitivities pts = PRICER_SWAP.presentValueSensitivity(swaps[loopswap], multicurve);
CurrencyParameterSensitivities ps = multicurve.parameterSensitivity(pts);
mqs[loopswap] = MQC.sensitivity(ps, multicurve);
}
return(Pair.of(pv, mqs));
}
/// <summary>
/// Obtains a generator from an existing provider and definition.
/// </summary>
/// <param name="knownProvider"> the underlying known provider </param>
/// <param name="groupDefn"> the curve group definition </param>
/// <param name="refData"> the reference data to use </param>
/// <returns> the generator </returns>
public static ImmutableRatesProviderGenerator of(ImmutableRatesProvider knownProvider, RatesCurveGroupDefinition groupDefn, ReferenceData refData)
{
IList <CurveDefinition> curveDefns = new List <CurveDefinition>();
IList <CurveMetadata> curveMetadata = new List <CurveMetadata>();
SetMultimap <CurveName, Currency> discountNames = HashMultimap.create();
SetMultimap <CurveName, Index> indexNames = HashMultimap.create();
foreach (CurveDefinition curveDefn in groupDefn.CurveDefinitions)
{
curveDefns.Add(curveDefn);
curveMetadata.Add(curveDefn.metadata(knownProvider.ValuationDate, refData));
CurveName curveName = curveDefn.Name;
// A curve group is guaranteed to include an entry for every definition
RatesCurveGroupEntry entry = groupDefn.findEntry(curveName).get();
ISet <Currency> ccy = entry.DiscountCurrencies;
discountNames.putAll(curveName, ccy);
indexNames.putAll(curveName, entry.Indices);
}
return(new ImmutableRatesProviderGenerator(knownProvider, curveDefns, curveMetadata, discountNames, indexNames));
}
