// calculates market quote sum PV01 for one scenario
internal MultiCurrencyAmount pv01MarketQuoteSum(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider, refData);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
CurrencyParameterSensitivities quoteSensitivity = MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider);
return(quoteSensitivity.total().multipliedBy(ONE_BASIS_POINT));
}
// calculates market quote parallel IR01 for one scenario
internal MultiCurrencyAmount ir01MarketQuoteParallel(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
PointSensitivities pointSensitivity = tradePricer.presentValueOnSettleSensitivity(trade, ratesProvider, refData);
CurrencyParameterSensitivity parameterSensitivity = ratesProvider.singleDiscountCurveParameterSensitivity(pointSensitivity, trade.Product.Currency);
CurrencyParameterSensitivities irSensitivity = MARKET_QUOTE_SENS.sensitivity(CurrencyParameterSensitivities.of(parameterSensitivity), ratesProvider);
return(irSensitivity.total().multipliedBy(ONE_BASIS_POINT));
}
public virtual void test_pv01_quote()
{
PointSensitivities pvPointSens = TRADE_PRICER.presentValueSensitivity(RESOLVED_TRADE, RATES_PROVIDER);
CurrencyParameterSensitivities pvParamSens = RATES_PROVIDER.parameterSensitivity(pvPointSens);
CurrencyParameterSensitivities expectedPv01Bucketed = MQ_CALC.sensitivity(pvParamSens, RATES_PROVIDER).multipliedBy(ONE_BP);
MultiCurrencyAmount expectedPv01Sum = expectedPv01Bucketed.total();
assertEquals(CALC.pv01MarketQuoteSum(RESOLVED_TRADE, RATES_LOOKUP, MARKET_DATA), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Sum)));
assertEquals(CALC.pv01MarketQuoteSum(RESOLVED_TRADE, RATES_PROVIDER), expectedPv01Sum);
assertEquals(CALC.pv01MarketQuoteBucketed(RESOLVED_TRADE, RATES_LOOKUP, MARKET_DATA), ScenarioArray.of(ImmutableList.of(expectedPv01Bucketed)));
assertEquals(CALC.pv01MarketQuoteBucketed(RESOLVED_TRADE, RATES_PROVIDER), expectedPv01Bucketed);
}
public virtual void test_pv01_calibrated()
{
PointSensitivities pvPointSens = TRADE_PRICER.presentValueSensitivity(RESOLVED_TRADE, RATES_PROVIDER);
CurrencyParameterSensitivities pvParamSens = RATES_PROVIDER.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(ONE_BP);
CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(ONE_BP);
assertEquals(CALC.pv01CalibratedSum(RESOLVED_TRADE, RATES_LOOKUP, MARKET_DATA), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(CALC.pv01CalibratedSum(RESOLVED_TRADE, RATES_PROVIDER), expectedPv01Cal);
assertEquals(CALC.pv01CalibratedBucketed(RESOLVED_TRADE, RATES_LOOKUP, MARKET_DATA), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
assertEquals(CALC.pv01CalibratedBucketed(RESOLVED_TRADE, RATES_PROVIDER), expectedPv01CalBucketed);
}
public virtual void test_pv01()
{
ScenarioMarketData md = FxSingleBarrierOptionTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
BlackFxSingleBarrierOptionTradePricer pricer = BlackFxSingleBarrierOptionTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivityRatesStickyStrike(RTRADE, provider, VOLS);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4);
assertEquals(FxSingleBarrierOptionTradeCalculations.DEFAULT.pv01RatesCalibratedSum(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(FxSingleBarrierOptionTradeCalculations.DEFAULT.pv01RatesCalibratedBucketed(RTRADE, RATES_LOOKUP, FX_OPTION_LOOKUP, md, BLACK), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
}
public virtual void test_pv01()
{
ScenarioMarketData md = SwapTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
DiscountingSwapTradePricer pricer = DiscountingSwapTradePricer.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);
assertEquals(SwapTradeCalculations.DEFAULT.pv01CalibratedSum(RTRADE, RATES_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(SwapTradeCalculations.DEFAULT.pv01CalibratedBucketed(RTRADE, RATES_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
}
public virtual void test_pv01_quote()
{
ScenarioMarketData md = BillTradeCalculationFunctionTest.marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
PointSensitivities pvPointSens = PRICER.presentValueSensitivity(RTRADE, provider);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
CurrencyParameterSensitivities expectedPv01CalBucketed = MQ_CALC.sensitivity(pvParamSens, provider).multipliedBy(1e-4);
MultiCurrencyAmount expectedPv01Cal = expectedPv01CalBucketed.total();
assertEquals(BillTradeCalculations.DEFAULT.pv01MarketQuoteSum(RTRADE, LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(BillTradeCalculations.DEFAULT.pv01MarketQuoteBucketed(RTRADE, LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
assertEquals(BillTradeCalculations.DEFAULT.pv01MarketQuoteSum(RTRADE, provider), expectedPv01Cal);
assertEquals(BillTradeCalculations.DEFAULT.pv01MarketQuoteBucketed(RTRADE, provider), expectedPv01CalBucketed);
}
public virtual void test_pv01()
{
ScenarioMarketData md = CmsTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
SabrExtrapolationReplicationCmsTradePricer pricer = new SabrExtrapolationReplicationCmsTradePricer(new SabrExtrapolationReplicationCmsProductPricer(new SabrExtrapolationReplicationCmsLegPricer(SabrExtrapolationReplicationCmsPeriodPricer.of(CMS_MODEL.CutOffStrike, CMS_MODEL.Mu))));
PointSensitivities pvPointSens = pricer.presentValueSensitivityRates(RTRADE, provider, VOLS);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4);
CmsTradeCalculations calcs = CmsTradeCalculations.of(CMS_MODEL);
assertEquals(calcs.pv01RatesCalibratedSum(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(calcs.pv01RatesCalibratedBucketed(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
}
public virtual void test_pv01_quote()
{
ScenarioMarketData md = FixedCouponBondTradeCalculationFunctionTest.marketData();
LegalEntityDiscountingProvider provider = LOOKUP.marketDataView(md.scenario(0)).discountingProvider();
DiscountingFixedCouponBondTradePricer pricer = DiscountingFixedCouponBondTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivity(RTRADE, provider);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
CurrencyParameterSensitivities expectedPv01CalBucketed = MQ_CALC.sensitivity(pvParamSens, provider).multipliedBy(1e-4);
MultiCurrencyAmount expectedPv01Cal = expectedPv01CalBucketed.total();
MultiCurrencyScenarioArray sumComputed = FixedCouponBondTradeCalculations.DEFAULT.pv01MarketQuoteSum(RTRADE, LOOKUP, md);
ScenarioArray <CurrencyParameterSensitivities> bucketedComputed = FixedCouponBondTradeCalculations.DEFAULT.pv01MarketQuoteBucketed(RTRADE, LOOKUP, md);
assertEquals(sumComputed.ScenarioCount, 1);
assertEquals(sumComputed.get(0).Currencies, ImmutableSet.of(GBP));
assertTrue(DoubleMath.fuzzyEquals(sumComputed.get(0).getAmount(GBP).Amount, expectedPv01Cal.getAmount(GBP).Amount, 1.0e-10));
assertEquals(bucketedComputed.ScenarioCount, 1);
assertTrue(bucketedComputed.get(0).equalWithTolerance(expectedPv01CalBucketed, 1.0e-10));
}
// calibrated sum PV01 for one scenario
internal MultiCurrencyAmount pv01RatesCalibratedSum(ResolvedFxVanillaOptionTrade trade, RatesProvider ratesProvider, FxOptionVolatilities volatilities, FxVanillaOptionMethod method)
{
CurrencyParameterSensitivities paramSens = pointSensitivity(trade, ratesProvider, volatilities, method);
return(paramSens.total().multipliedBy(ONE_BASIS_POINT));
}
