private void presentValueSensitivityRawDataParallelSensitivity(SabrParametersSwaptionVolatilities sabrCalibrated, TenorRawOptionData dataRaw)
{
PointSensitivities points = LEG_PRICER.presentValueSensitivityModelParamsSabr(FLOOR_LEG, MULTICURVE, sabrCalibrated).build();
CurrencyParameterSensitivities sabrParametersSurfaceSensitivities = sabrCalibrated.parameterSensitivity(points);
CurrencyParameterSensitivity parallelSensitivitiesSurface = RDSC.parallelSensitivity(sabrParametersSurfaceSensitivities, sabrCalibrated);
DoubleArray sensitivityArray = parallelSensitivitiesSurface.Sensitivity;
double fdShift = 1.0E-6;
int surfacePointIndex = 0;
for (int loopexpiry = 0; loopexpiry < EXPIRIES.size(); loopexpiry++)
{
for (int looptenor = 0; looptenor < TENORS.size(); looptenor++)
{
Tenor tenor = TENORS.get(looptenor);
Pair <DoubleArray, DoubleArray> ds = dataRaw.getData(tenor).availableSmileAtExpiry(EXPIRIES.get(loopexpiry));
if (!ds.First.Empty)
{
double[] pv = new double[2]; // pv with shift up and down
for (int loopsign = 0; loopsign < 2; loopsign++)
{
TenorRawOptionData dataShifted = SabrSwaptionCalibratorSmileTestUtils.rawDataShiftSmile(TENORS, EXPIRIES, ValueType.SIMPLE_MONEYNESS, MONEYNESS, ValueType.NORMAL_VOLATILITY, DATA_ARRAY_FULL, looptenor, loopexpiry, (2 * loopsign - 1) * fdShift);
SabrParametersSwaptionVolatilities calibratedShifted = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, dataShifted, MULTICURVE, BETA_SURFACE, SHIFT_SABR_SURFACE);
pv[loopsign] = LEG_PRICER.presentValue(FLOOR_LEG, MULTICURVE, calibratedShifted).Amount;
}
double sensitivityFd = (pv[1] - pv[0]) / (2 * fdShift); // FD sensitivity computation
SabrSwaptionCalibratorSmileTestUtils.checkAcceptable(sensitivityFd, sensitivityArray.get(surfacePointIndex), 0.10, "Tenor/Expiry: " + TENORS.get(looptenor) + " / " + EXPIRIES.get(loopexpiry));
surfacePointIndex++;
}
}
}
}
private static TenorRawOptionData rawData(double[][][] dataArray)
{
IDictionary <Tenor, RawOptionData> raw = new SortedDictionary <Tenor, RawOptionData>();
for (int looptenor = 0; looptenor < dataArray.Length; looptenor++)
{
DoubleMatrix matrix = DoubleMatrix.ofUnsafe(dataArray[looptenor]);
raw[TENORS.get(looptenor)] = RawOptionData.of(EXPIRIES, MONEYNESS, SIMPLE_MONEYNESS, matrix, NORMAL_VOLATILITY);
}
return(TenorRawOptionData.of(raw));
}
/// <summary>
/// Create a <seealso cref="RawOptionData"/> object for calibration from data.
/// </summary>
/// <param name="tenors"> the list of tenors </param>
/// <param name="expiries"> the list of expiries </param>
/// <param name="strikeLikeType"> the type of the strike-like dimension </param>
/// <param name="strikeLikeData"> the data related to the strike-like dimension </param>
/// <param name="dataType"> the type of the data </param>
/// <param name="dataArray"> the array with the raw data, including potential Double.NaN for missing data. </param>
/// <returns> the raw option data object </returns>
public static TenorRawOptionData rawData(IList <Tenor> tenors, IList <Period> expiries, ValueType strikeLikeType, DoubleArray strikeLikeData, ValueType dataType, double[][][] dataArray)
{
IDictionary <Tenor, RawOptionData> raw = new SortedDictionary <Tenor, RawOptionData>();
for (int looptenor = 0; looptenor < dataArray.Length; looptenor++)
{
DoubleMatrix matrix = DoubleMatrix.ofUnsafe(dataArray[looptenor]);
raw[tenors[looptenor]] = RawOptionData.of(expiries, strikeLikeData, strikeLikeType, matrix, dataType);
}
return(TenorRawOptionData.of(raw));
}
/// <summary>
/// Create a <seealso cref="RawOptionData"/> object for calibration from data and shift one point.
/// </summary>
/// <param name="tenors"> the list of tenors </param>
/// <param name="expiries"> the list of expiries </param>
/// <param name="strikeLikeType"> the type of the strike-like dimension </param>
/// <param name="strikeLikeData"> the data related to the strike-like dimension </param>
/// <param name="dataType"> the type of the data </param>
/// <param name="dataArray"> the array with the raw data, including potential Double.NaN for missing data. </param>
/// <param name="i"> the index of the tenor to shift </param>
/// <param name="j"> the index of the expiry to shift </param>
/// <param name="k"> the index of the strike-like dimension to shift </param>
/// <param name="shift"> the size of the shift </param>
/// <returns> the raw option data object </returns>
public static TenorRawOptionData rawDataShiftPoint(IList <Tenor> tenors, IList <Period> expiries, ValueType strikeLikeType, DoubleArray strikeLikeData, ValueType dataType, double[][][] dataArray, int i, int j, int k, double shift)
{
IDictionary <Tenor, RawOptionData> raw = new SortedDictionary <Tenor, RawOptionData>();
for (int looptenor = 0; looptenor < dataArray.Length; looptenor++)
{
double[][] shiftedData = java.util.dataArray[looptenor].Select(row => row.clone()).ToArray(l => new double[l][]); // deep copy of 2d array
if (looptenor == i)
{
shiftedData[j][k] += shift;
}
DoubleMatrix matrix = DoubleMatrix.ofUnsafe(shiftedData);
raw[tenors[looptenor]] = RawOptionData.of(expiries, strikeLikeData, strikeLikeType, matrix, dataType);
}
return(TenorRawOptionData.of(raw));
}
//-------------------------------------------------------------------------
/// <summary>
/// Runs the calibration of swaptions and print the calibrated smile results on the console.
/// </summary>
/// <param name="args"> -s to use the sparse data, i.e. a cube with missing data points </param>
public static void Main(string[] args)
{
// select data
TenorRawOptionData data = DATA_FULL;
if (args.Length > 0)
{
if (args[0].Equals("-s"))
{
data = DATA_SPARSE;
}
}
Console.WriteLine("Start calibration");
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("Shift", shift);
SabrParametersSwaptionVolatilities calibrated = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, data, MULTICURVE, betaSurface, shiftSurface);
Console.WriteLine("End calibration");
/* Graph calibration */
int nbStrikesGraph = 50;
double moneyMin = -0.0250;
double moneyMax = +0.0300;
double[] moneyGraph = new double[nbStrikesGraph + 1];
for (int i = 0; i < nbStrikesGraph + 1; i++)
{
moneyGraph[i] = moneyMin + i * (moneyMax - moneyMin) / nbStrikesGraph;
}
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][][] strikesGraph = new double[NB_TENORS][NB_EXPIRIES][nbStrikesGraph + 1];
double[][][] strikesGraph = RectangularArrays.ReturnRectangularDoubleArray(NB_TENORS, NB_EXPIRIES, nbStrikesGraph + 1);
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][][] volLNGraph = new double[NB_TENORS][NB_EXPIRIES][nbStrikesGraph + 1];
double[][][] volLNGraph = RectangularArrays.ReturnRectangularDoubleArray(NB_TENORS, NB_EXPIRIES, nbStrikesGraph + 1);
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][][] volNGraph = new double[NB_TENORS][NB_EXPIRIES][nbStrikesGraph + 1];
double[][][] volNGraph = RectangularArrays.ReturnRectangularDoubleArray(NB_TENORS, NB_EXPIRIES, nbStrikesGraph + 1);
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] parRate = new double[NB_TENORS][NB_EXPIRIES];
double[][] parRate = RectangularArrays.ReturnRectangularDoubleArray(NB_TENORS, NB_EXPIRIES);
for (int looptenor = 0; looptenor < TENORS.size(); looptenor++)
{
double tenor = TENORS.get(looptenor).get(ChronoUnit.YEARS);
for (int loopexpiry = 0; loopexpiry < EXPIRIES.size(); loopexpiry++)
{
LocalDate expiry = EUR_FIXED_1Y_EURIBOR_6M.FloatingLeg.StartDateBusinessDayAdjustment.adjust(CALIBRATION_DATE.plus(EXPIRIES.get(loopexpiry)), REF_DATA);
LocalDate effectiveDate = EUR_FIXED_1Y_EURIBOR_6M.calculateSpotDateFromTradeDate(expiry, REF_DATA);
LocalDate endDate = effectiveDate.plus(TENORS.get(looptenor));
SwapTrade swap = EUR_FIXED_1Y_EURIBOR_6M.toTrade(CALIBRATION_DATE, effectiveDate, endDate, BuySell.BUY, 1.0, 0.0);
parRate[looptenor][loopexpiry] = SWAP_PRICER.parRate(swap.resolve(REF_DATA).Product, MULTICURVE);
ZonedDateTime expiryDateTime = expiry.atTime(11, 0).atZone(ZoneId.of("Europe/Berlin"));
double time = calibrated.relativeTime(expiryDateTime);
for (int i = 0; i < nbStrikesGraph + 1; i++)
{
strikesGraph[looptenor][loopexpiry][i] = parRate[looptenor][loopexpiry] + moneyGraph[i];
volLNGraph[looptenor][loopexpiry][i] = calibrated.volatility(expiryDateTime, tenor, strikesGraph[looptenor][loopexpiry][i], parRate[looptenor][loopexpiry]);
volNGraph[looptenor][loopexpiry][i] = NormalFormulaRepository.impliedVolatilityFromBlackApproximated(parRate[looptenor][loopexpiry] + shift, strikesGraph[looptenor][loopexpiry][i] + shift, time, volLNGraph[looptenor][loopexpiry][i]);
}
}
}
/* Graph export */
string svn = "Moneyness";
for (int looptenor = 0; looptenor < TENORS.size(); looptenor++)
{
for (int loopexpiry = 0; loopexpiry < EXPIRIES.size(); loopexpiry++)
{
svn = svn + ", Strike_" + EXPIRIES.get(loopexpiry).ToString() + "x" + TENORS.get(looptenor).ToString() + ", NormalVol_" + EXPIRIES.get(loopexpiry).ToString() + "x" + TENORS.get(looptenor).ToString();
}
}
svn = svn + "\n";
for (int i = 0; i < nbStrikesGraph + 1; i++)
{
svn = svn + moneyGraph[i];
for (int looptenor = 0; looptenor < TENORS.size(); looptenor++)
{
for (int loopexpiry = 0; loopexpiry < EXPIRIES.size(); loopexpiry++)
{
svn = svn + ", " + strikesGraph[looptenor][loopexpiry][i];
svn = svn + ", " + volNGraph[looptenor][loopexpiry][i];
}
}
svn = svn + "\n";
}
Console.WriteLine(svn);
}
/// <summary>
/// Check that the sensitivities of parameters with respect to data is stored in the metadata.
/// Compare the sensitivities to a finite difference approximation.
/// This test is relatively slow as it calibrates the full surface multiple times.
/// </summary>
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void log_normal_cube_sensitivity()
public virtual void log_normal_cube_sensitivity()
{
double beta = 1.0;
Surface betaSurface = ConstantSurface.of("Beta", beta).withMetadata(DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).zValueType(ValueType.SABR_BETA).surfaceName("Beta").build());
double shift = 0.0000;
Surface shiftSurface = ConstantSurface.of("Shift", shift).withMetadata(DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).surfaceName("Shift").build());
SabrParametersSwaptionVolatilities calibrated = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, DATA_SPARSE, MULTICURVE, betaSurface, shiftSurface);
double fdShift = 1.0E-5;
SurfaceMetadata alphaMetadata = calibrated.Parameters.AlphaSurface.Metadata;
Optional <IList <ParameterMetadata> > alphaParameterMetadataOption = alphaMetadata.ParameterMetadata;
assertTrue(alphaParameterMetadataOption.Present);
IList <ParameterMetadata> alphaParameterMetadata = alphaParameterMetadataOption.get();
IList <DoubleArray> alphaJacobian = calibrated.DataSensitivityAlpha.get();
SurfaceMetadata rhoMetadata = calibrated.Parameters.RhoSurface.Metadata;
Optional <IList <ParameterMetadata> > rhoParameterMetadataOption = rhoMetadata.ParameterMetadata;
assertTrue(rhoParameterMetadataOption.Present);
IList <ParameterMetadata> rhoParameterMetadata = rhoParameterMetadataOption.get();
IList <DoubleArray> rhoJacobian = calibrated.DataSensitivityRho.get();
SurfaceMetadata nuMetadata = calibrated.Parameters.NuSurface.Metadata;
Optional <IList <ParameterMetadata> > nuParameterMetadataOption = nuMetadata.ParameterMetadata;
assertTrue(nuParameterMetadataOption.Present);
IList <ParameterMetadata> nuParameterMetadata = nuParameterMetadataOption.get();
IList <DoubleArray> nuJacobian = calibrated.DataSensitivityNu.get();
int surfacePointIndex = 0;
for (int loopexpiry = 0; loopexpiry < EXPIRIES.Count; loopexpiry++)
{
for (int looptenor = 0; looptenor < TENORS.Count; looptenor++)
{
Tenor tenor = TENORS[looptenor];
double tenorYears = tenor.get(ChronoUnit.YEARS);
LocalDate expiry = EUR_FIXED_1Y_EURIBOR_6M.FloatingLeg.StartDateBusinessDayAdjustment.adjust(CALIBRATION_DATE.plus(EXPIRIES[loopexpiry]), REF_DATA);
ZonedDateTime expiryDateTime = expiry.atTime(11, 0).atZone(ZoneId.of("Europe/Berlin"));
double time = calibrated.relativeTime(expiryDateTime);
Pair <DoubleArray, DoubleArray> ds = DATA_SPARSE.getData(tenor).availableSmileAtExpiry(EXPIRIES[loopexpiry]);
if (!ds.First.Empty)
{
int availableDataIndex = 0;
ParameterMetadata alphaPM = alphaParameterMetadata[surfacePointIndex];
assertTrue(alphaPM is SwaptionSurfaceExpiryTenorParameterMetadata);
SwaptionSurfaceExpiryTenorParameterMetadata pmAlphaSabr = (SwaptionSurfaceExpiryTenorParameterMetadata)alphaPM;
assertEquals(tenorYears, pmAlphaSabr.Tenor);
assertEquals(time, pmAlphaSabr.YearFraction, TOLERANCE_EXPIRY);
DoubleArray alphaSensitivityToData = alphaJacobian[surfacePointIndex];
ParameterMetadata rhoPM = rhoParameterMetadata[surfacePointIndex];
assertTrue(rhoPM is SwaptionSurfaceExpiryTenorParameterMetadata);
SwaptionSurfaceExpiryTenorParameterMetadata pmRhoSabr = (SwaptionSurfaceExpiryTenorParameterMetadata)rhoPM;
assertEquals(tenorYears, pmRhoSabr.Tenor);
assertEquals(time, pmRhoSabr.YearFraction, TOLERANCE_EXPIRY);
DoubleArray rhoSensitivityToData = rhoJacobian[surfacePointIndex];
ParameterMetadata nuPM = nuParameterMetadata[surfacePointIndex];
assertTrue(nuPM is SwaptionSurfaceExpiryTenorParameterMetadata);
SwaptionSurfaceExpiryTenorParameterMetadata pmNuSabr = (SwaptionSurfaceExpiryTenorParameterMetadata)nuPM;
assertEquals(tenorYears, pmNuSabr.Tenor);
assertEquals(time, pmNuSabr.YearFraction, TOLERANCE_EXPIRY);
DoubleArray nuSensitivityToData = nuJacobian[surfacePointIndex];
for (int loopmoney = 0; loopmoney < MONEYNESS.size(); loopmoney++)
{
if (!double.IsNaN(DATA_LOGNORMAL[looptenor][loopexpiry][loopmoney]))
{
double[] alphaShifted = new double[2];
double[] rhoShifted = new double[2];
double[] nuShifted = new double[2];
for (int loopsign = 0; loopsign < 2; loopsign++)
{
TenorRawOptionData dataShifted = SabrSwaptionCalibratorSmileTestUtils.rawDataShiftPoint(TENORS, EXPIRIES, ValueType.SIMPLE_MONEYNESS, MONEYNESS, ValueType.BLACK_VOLATILITY, DATA_LOGNORMAL, looptenor, loopexpiry, loopmoney, (2 * loopsign - 1) * fdShift);
SabrParametersSwaptionVolatilities calibratedShifted = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, dataShifted, MULTICURVE, betaSurface, shiftSurface);
alphaShifted[loopsign] = calibratedShifted.Parameters.AlphaSurface.zValue(time, tenorYears);
rhoShifted[loopsign] = calibratedShifted.Parameters.RhoSurface.zValue(time, tenorYears);
nuShifted[loopsign] = calibratedShifted.Parameters.NuSurface.zValue(time, tenorYears);
}
double alphaSensitivityComputed = alphaSensitivityToData.get(availableDataIndex);
double alphaSensitivityExpected = (alphaShifted[1] - alphaShifted[0]) / (2 * fdShift);
checkAcceptable(alphaSensitivityComputed, alphaSensitivityExpected, TOLERANCE_PARAM_SENSITIVITY, "Alpha: " + looptenor + " / " + loopexpiry + " / " + loopmoney);
double rhoSensitivityComputed = rhoSensitivityToData.get(availableDataIndex);
double rhoSensitivityExpected = (rhoShifted[1] - rhoShifted[0]) / (2 * fdShift);
checkAcceptable(rhoSensitivityComputed, rhoSensitivityExpected, TOLERANCE_PARAM_SENSITIVITY, "Rho: " + looptenor + " / " + loopexpiry + " / " + loopmoney);
double nuSensitivityComputed = nuSensitivityToData.get(availableDataIndex);
double nuSensitivityExpected = (nuShifted[1] - nuShifted[0]) / (2 * fdShift);
checkAcceptable(nuSensitivityComputed, nuSensitivityExpected, TOLERANCE_PARAM_SENSITIVITY, "Nu: " + looptenor + " / " + loopexpiry + " / " + loopmoney);
availableDataIndex++;
}
}
surfacePointIndex++;
}
}
}
}
//-------------------------------------------------------------------------
/// <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.");
}
