public virtual void present_value_delta_payer_receiver_parity()
{
CurrencyAmount pvDeltaLongPay = PRICER_SWAPTION_BLACK.presentValueDelta(SWAPTION_LONG_PAY, MULTI_USD, BLACK_VOLS_USD_STD);
CurrencyAmount pvDeltaShortRec = PRICER_SWAPTION_BLACK.presentValueDelta(SWAPTION_SHORT_REC, MULTI_USD, BLACK_VOLS_USD_STD);
double pvbp = PRICER_SWAP.LegPricer.pvbp(RSWAP_PAY.getLegs(SwapLegType.FIXED).get(0), MULTI_USD);
assertEquals(pvDeltaLongPay.Amount + pvDeltaShortRec.Amount, Math.Abs(pvbp), TOLERANCE_PV);
}
/// <summary>
/// Computes cash flow equivalent of swap.
/// <para>
/// The swap should be a fix-for-Ibor swap without compounding, and its swap legs
/// should not involve {@code PaymentEvent}.
/// </para>
/// <para>
/// The return type is {@code ResolvedSwapLeg} in which individual payments are
/// represented in terms of {@code NotionalExchange}.
///
/// </para>
/// </summary>
/// <param name="swap"> the swap product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the cash flow equivalent </returns>
public static ResolvedSwapLeg cashFlowEquivalentSwap(ResolvedSwap swap, RatesProvider ratesProvider)
{
validateSwap(swap);
ResolvedSwapLeg cfFixed = cashFlowEquivalentFixedLeg(swap.getLegs(SwapLegType.FIXED).get(0), ratesProvider);
ResolvedSwapLeg cfIbor = cashFlowEquivalentIborLeg(swap.getLegs(SwapLegType.IBOR).get(0), ratesProvider);
ResolvedSwapLeg leg = ResolvedSwapLeg.builder().paymentEvents(Stream.concat(cfFixed.PaymentEvents.stream(), cfIbor.PaymentEvents.stream()).collect(Collectors.toList())).payReceive(PayReceive.RECEIVE).type(SwapLegType.OTHER).build();
return(leg);
}
//-------------------------------------------------------------------------
public virtual void present_value_formula()
{
double forward = PRICER_SWAP.parRate(RSWAP_REC, MULTI_USD);
double pvbp = PRICER_SWAP.LegPricer.pvbp(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), MULTI_USD);
double volatility = BLACK_VOLS_USD_STD.volatility(SWAPTION_LONG_REC.Expiry, SWAP_TENOR_YEAR, STRIKE, forward);
double expiry = BLACK_VOLS_USD_STD.relativeTime(SWAPTION_LONG_REC.Expiry);
double pvExpected = Math.Abs(pvbp) * BlackFormulaRepository.price(forward, STRIKE, expiry, volatility, false);
CurrencyAmount pvComputed = PRICER_SWAPTION_BLACK.presentValue(SWAPTION_LONG_REC, MULTI_USD, BLACK_VOLS_USD_STD);
assertEquals(pvComputed.Currency, USD);
assertEquals(pvComputed.Amount, pvExpected, TOLERANCE_PV);
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
CurrencyAmount computedRec = SWAPTION_PRICER.presentValue(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
CurrencyAmount computedPay = SWAPTION_PRICER.presentValue(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS);
double forward = SWAP_PRICER.parRate(RSWAP_REC, RATE_PROVIDER);
double pvbp = SWAP_PRICER.LegPricer.pvbp(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), RATE_PROVIDER);
double volatility = VOLS.volatility(SWAPTION_REC_LONG.Expiry, TENOR_YEAR, RATE, forward);
double maturity = VOLS.relativeTime(SWAPTION_REC_LONG.Expiry);
double expectedRec = pvbp * BlackFormulaRepository.price(forward + SwaptionSabrRateVolatilityDataSet.SHIFT, RATE + SwaptionSabrRateVolatilityDataSet.SHIFT, maturity, volatility, false);
double expectedPay = -pvbp *BlackFormulaRepository.price(forward + SwaptionSabrRateVolatilityDataSet.SHIFT, RATE + SwaptionSabrRateVolatilityDataSet.SHIFT, maturity, volatility, true);
assertEquals(computedRec.Currency, USD);
assertEquals(computedRec.Amount, expectedRec, NOTIONAL * TOL);
assertEquals(computedPay.Currency, USD);
assertEquals(computedPay.Amount, expectedPay, NOTIONAL * TOL);
}
/// <summary>
/// Calculates the present value of the swaption product.
/// <para>
/// The result is expressed using the currency of the swapion.
///
/// </para>
/// </summary>
/// <param name="swaption"> the product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(ResolvedSwaption swaption, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
validate(swaption, ratesProvider, hwProvider);
ResolvedSwap swap = swaption.Underlying;
LocalDate expiryDate = swaption.ExpiryDate;
if (expiryDate.isBefore(ratesProvider.ValuationDate))
{ // Option has expired already
return(CurrencyAmount.of(swap.Legs.get(0).Currency, 0d));
}
ResolvedSwapLeg cashFlowEquiv = CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap, ratesProvider);
int nPayments = cashFlowEquiv.PaymentEvents.size();
double[] alpha = new double[nPayments];
double[] discountedCashFlow = new double[nPayments];
for (int loopcf = 0; loopcf < nPayments; loopcf++)
{
NotionalExchange payment = (NotionalExchange)cashFlowEquiv.PaymentEvents.get(loopcf);
LocalDate maturityDate = payment.PaymentDate;
alpha[loopcf] = hwProvider.alpha(ratesProvider.ValuationDate, expiryDate, expiryDate, maturityDate);
discountedCashFlow[loopcf] = paymentPricer.presentValueAmount(payment.Payment, ratesProvider);
}
double omega = (swap.getLegs(SwapLegType.FIXED).get(0).PayReceive.Pay ? -1d : 1d);
double kappa = computeKappa(hwProvider, discountedCashFlow, alpha, omega);
double pv = 0.0;
for (int loopcf = 0; loopcf < nPayments; loopcf++)
{
pv += discountedCashFlow[loopcf] * NORMAL.getCDF(omega * (kappa + alpha[loopcf]));
}
return(CurrencyAmount.of(cashFlowEquiv.Currency, pv * (swaption.LongShort.Long ? 1d : -1d)));
}
public virtual void test_presentValue_parity()
{
CurrencyAmount pvRecLong = PRICER.presentValue(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
CurrencyAmount pvRecShort = PRICER.presentValue(SWAPTION_REC_SHORT, RATE_PROVIDER, VOLS);
CurrencyAmount pvPayLong = PRICER.presentValue(SWAPTION_PAY_LONG, RATE_PROVIDER, VOLS);
CurrencyAmount pvPayShort = PRICER.presentValue(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS);
assertEquals(pvRecLong.Amount, -pvRecShort.Amount, NOTIONAL * TOL);
assertEquals(pvPayLong.Amount, -pvPayShort.Amount, NOTIONAL * TOL);
double forward = SWAP_PRICER.parRate(RSWAP_REC, RATE_PROVIDER);
double annuityCash = SWAP_PRICER.LegPricer.annuityCash(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), forward);
double discount = RATE_PROVIDER.discountFactor(EUR, SETTLE);
double expected = discount * annuityCash * (forward - RATE);
assertEquals(pvPayLong.Amount - pvRecLong.Amount, expected, NOTIONAL * TOL);
assertEquals(pvPayShort.Amount - pvRecShort.Amount, -expected, NOTIONAL * TOL);
}
//-------------------------------------------------------------------------
// checking that at least one leg is a fixed leg and returning the first one
private ResolvedSwapLeg fixedLeg(ResolvedSwap swap)
{
IList <ResolvedSwapLeg> fixedLegs = swap.getLegs(SwapLegType.FIXED);
if (fixedLegs.Count == 0)
{
throw new System.ArgumentException("Swap must contain a fixed leg");
}
return(fixedLegs[0]);
}
/// <summary>
/// Checks that there is exactly one fixed leg and returns it.
/// </summary>
/// <param name="swap"> the swap </param>
/// <returns> the fixed leg </returns>
protected internal virtual ResolvedSwapLeg fixedLeg(ResolvedSwap swap)
{
ArgChecker.isFalse(swap.CrossCurrency, "Swap must be single currency");
// find fixed leg
IList <ResolvedSwapLeg> fixedLegs = swap.getLegs(SwapLegType.FIXED);
if (fixedLegs.Count == 0)
{
throw new System.ArgumentException("Swap must contain a fixed leg");
}
return(fixedLegs[0]);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity to piecewise constant volatility parameters of the Hull-White model.
/// </summary>
/// <param name="swaption"> the product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <returns> the present value Hull-White model parameter sensitivity of the swaption product </returns>
public virtual DoubleArray presentValueSensitivityModelParamsHullWhite(ResolvedSwaption swaption, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
validate(swaption, ratesProvider, hwProvider);
ResolvedSwap swap = swaption.Underlying;
LocalDate expiryDate = swaption.ExpiryDate;
if (expiryDate.isBefore(ratesProvider.ValuationDate))
{ // Option has expired already
return(DoubleArray.EMPTY);
}
ResolvedSwapLeg cashFlowEquiv = CashFlowEquivalentCalculator.cashFlowEquivalentSwap(swap, ratesProvider);
int nPayments = cashFlowEquiv.PaymentEvents.size();
double[] alpha = new double[nPayments];
double[][] alphaAdjoint = new double[nPayments][];
double[] discountedCashFlow = new double[nPayments];
for (int loopcf = 0; loopcf < nPayments; loopcf++)
{
NotionalExchange payment = (NotionalExchange)cashFlowEquiv.PaymentEvents.get(loopcf);
ValueDerivatives valueDeriv = hwProvider.alphaAdjoint(ratesProvider.ValuationDate, expiryDate, expiryDate, payment.PaymentDate);
alpha[loopcf] = valueDeriv.Value;
alphaAdjoint[loopcf] = valueDeriv.Derivatives.toArray();
discountedCashFlow[loopcf] = paymentPricer.presentValueAmount(payment.Payment, ratesProvider);
}
double omega = (swap.getLegs(SwapLegType.FIXED).get(0).PayReceive.Pay ? -1d : 1d);
double kappa = computeKappa(hwProvider, discountedCashFlow, alpha, omega);
int nParams = alphaAdjoint[0].Length;
if (Math.Abs(kappa) > 1d / SMALL)
{ // decays exponentially
return(DoubleArray.filled(nParams));
}
double[] pvSensi = new double[nParams];
double sign = (swaption.LongShort.Long ? 1d : -1d);
for (int i = 0; i < nParams; ++i)
{
for (int loopcf = 0; loopcf < nPayments; loopcf++)
{
pvSensi[i] += sign * discountedCashFlow[loopcf] * NORMAL.getPDF(omega * (kappa + alpha[loopcf])) * omega * alphaAdjoint[loopcf][i];
}
}
return(DoubleArray.ofUnsafe(pvSensi));
}
//-------------------------------------------------------------------------
public virtual void present_value_formula()
{
double forward = PRICER_SWAP.parRate(RSWAP_REC, MULTI_USD);
double pvbp = PRICER_SWAP.LegPricer.pvbp(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), MULTI_USD);
double volatility = NORMAL_VOLS_USD_STD.volatility(SWAPTION_LONG_REC.Expiry, SWAP_TENOR_YEAR, STRIKE, forward);
NormalFunctionData normalData = NormalFunctionData.of(forward, Math.Abs(pvbp), volatility);
double expiry = NORMAL_VOLS_USD_STD.relativeTime(SWAPTION_LONG_REC.Expiry);
EuropeanVanillaOption option = EuropeanVanillaOption.of(STRIKE, expiry, PutCall.PUT);
double pvExpected = NORMAL.getPriceFunction(option).apply(normalData);
CurrencyAmount pvComputed = PRICER_SWAPTION_NORMAL.presentValue(SWAPTION_LONG_REC, MULTI_USD, NORMAL_VOLS_USD_STD);
assertEquals(pvComputed.Currency, USD);
assertEquals(pvComputed.Amount, pvExpected, TOLERANCE_PV);
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
CurrencyAmount pvRecComputed = PRICER_SWAPTION.presentValue(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
CurrencyAmount pvPayComputed = PRICER_SWAPTION.presentValue(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS);
double forward = PRICER_SWAP.parRate(RSWAP_REC, RATE_PROVIDER);
double annuityCash = PRICER_SWAP.LegPricer.annuityCash(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), forward);
double volatility = VOLS.volatility(SWAPTION_REC_LONG.Expiry, SWAP_TENOR_YEAR, STRIKE, forward);
double discount = RATE_PROVIDER.discountFactor(USD, SETTLE_DATE);
NormalFunctionData normalData = NormalFunctionData.of(forward, annuityCash * discount, volatility);
double expiry = VOLS.relativeTime(SWAPTION_REC_LONG.Expiry);
EuropeanVanillaOption optionRec = EuropeanVanillaOption.of(STRIKE, expiry, PutCall.PUT);
EuropeanVanillaOption optionPay = EuropeanVanillaOption.of(STRIKE, expiry, PutCall.CALL);
double pvRecExpected = NORMAL.getPriceFunction(optionRec).apply(normalData);
double pvPayExpected = -NORMAL.getPriceFunction(optionPay).apply(normalData);
assertEquals(pvRecComputed.Currency, USD);
assertEquals(pvRecComputed.Amount, pvRecExpected, NOTIONAL * TOL);
assertEquals(pvPayComputed.Currency, USD);
assertEquals(pvPayComputed.Amount, pvPayExpected, NOTIONAL * TOL);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the swaption product.
/// <para>
/// The present value sensitivity of the product is the sensitivity of the present value to
/// the underlying curves.
///
/// </para>
/// </summary>
/// <param name="swaption"> the product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <returns> the point sensitivity to the rate curves </returns>
public virtual PointSensitivityBuilder presentValueSensitivityRates(ResolvedSwaption swaption, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
validate(swaption, ratesProvider, hwProvider);
ResolvedSwap swap = swaption.Underlying;
LocalDate expiryDate = swaption.ExpiryDate;
if (expiryDate.isBefore(ratesProvider.ValuationDate))
{ // Option has expired already
return(PointSensitivityBuilder.none());
}
ImmutableMap <Payment, PointSensitivityBuilder> cashFlowEquivSensi = CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(swap, ratesProvider);
ImmutableList <Payment> list = cashFlowEquivSensi.Keys.asList();
ImmutableList <PointSensitivityBuilder> listSensi = cashFlowEquivSensi.values().asList();
int nPayments = list.size();
double[] alpha = new double[nPayments];
double[] discountedCashFlow = new double[nPayments];
for (int loopcf = 0; loopcf < nPayments; loopcf++)
{
Payment payment = list.get(loopcf);
alpha[loopcf] = hwProvider.alpha(ratesProvider.ValuationDate, expiryDate, expiryDate, payment.Date);
discountedCashFlow[loopcf] = paymentPricer.presentValueAmount(payment, ratesProvider);
}
double omega = (swap.getLegs(SwapLegType.FIXED).get(0).PayReceive.Pay ? -1d : 1d);
double kappa = computeKappa(hwProvider, discountedCashFlow, alpha, omega);
PointSensitivityBuilder point = PointSensitivityBuilder.none();
for (int loopcf = 0; loopcf < nPayments; loopcf++)
{
Payment payment = list.get(loopcf);
double cdf = NORMAL.getCDF(omega * (kappa + alpha[loopcf]));
point = point.combinedWith(paymentPricer.presentValueSensitivity(payment, ratesProvider).multipliedBy(cdf));
if (!listSensi.get(loopcf).Equals(PointSensitivityBuilder.none()))
{
point = point.combinedWith(listSensi.get(loopcf).multipliedBy(cdf * ratesProvider.discountFactor(payment.Currency, payment.Date)));
}
}
return(swaption.LongShort.Long ? point : point.multipliedBy(-1d));
}
public CmsIntegrantProvider(SabrExtrapolationReplicationCmsPeriodPricer outerInstance, CmsPeriod cmsPeriod, ResolvedSwap swap, SabrSwaptionVolatilities swaptionVolatilities, double forward, double strike, double timeToExpiry, double tenor, double cutOffStrike, double eta)
{
this.outerInstance = outerInstance;
ResolvedSwapLeg fixedLeg = swap.getLegs(SwapLegType.FIXED).get(0);
this.nbFixedPeriod = fixedLeg.PaymentPeriods.size();
this.nbFixedPaymentYear = (int)(long)Math.Round(1d / ((RatePaymentPeriod)fixedLeg.PaymentPeriods.get(0)).AccrualPeriods.get(0).YearFraction, MidpointRounding.AwayFromZero);
this.tau = 1d / nbFixedPaymentYear;
this.eta = eta;
SabrFormulaData sabrPoint = SabrFormulaData.of(swaptionVolatilities.alpha(timeToExpiry, tenor), swaptionVolatilities.beta(timeToExpiry, tenor), swaptionVolatilities.rho(timeToExpiry, tenor), swaptionVolatilities.nu(timeToExpiry, tenor));
this.shift = swaptionVolatilities.shift(timeToExpiry, tenor);
this.sabrExtrapolation = SabrExtrapolationRightFunction.of(forward + shift, timeToExpiry, sabrPoint, cutOffStrike + shift, outerInstance.mu);
this.putCall = cmsPeriod.CmsPeriodType.Equals(CmsPeriodType.FLOORLET) ? PutCall.PUT : PutCall.CALL;
this.strike = strike;
this.factor = g(forward) / h(forward);
this.g0 = new double[4];
g0[0] = nbFixedPeriod * tau;
g0[1] = -0.5 * nbFixedPeriod * (nbFixedPeriod + 1.0d) * tau * tau;
g0[2] = -2.0d / 3.0d * g0[1] * (nbFixedPeriod + 2.0d) * tau;
g0[3] = -3.0d / 4.0d * g0[2] * (nbFixedPeriod + 2.0d) * tau;
}
//-------------------------------------------------------------------------
private static void validateSwap(ResolvedSwap swap)
{
ArgChecker.isTrue(swap.Legs.size() == 2, "swap should have 2 legs");
ArgChecker.isTrue(swap.getLegs(SwapLegType.FIXED).size() == 1, "swap should have unique fixed leg");
ArgChecker.isTrue(swap.getLegs(SwapLegType.IBOR).size() == 1, "swap should have unique Ibor leg");
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes cash flow equivalent and sensitivity of swap.
/// <para>
/// The swap should be a fix-for-Ibor swap without compounding, and its swap legs should not involve {@code PaymentEvent}.
/// </para>
/// <para>
/// The return type is a map of {@code NotionalExchange} and {@code PointSensitivityBuilder}.
///
/// </para>
/// </summary>
/// <param name="swap"> the swap product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the cash flow equivalent and sensitivity </returns>
public static ImmutableMap <Payment, PointSensitivityBuilder> cashFlowEquivalentAndSensitivitySwap(ResolvedSwap swap, RatesProvider ratesProvider)
{
validateSwap(swap);
ImmutableMap <Payment, PointSensitivityBuilder> mapFixed = cashFlowEquivalentAndSensitivityFixedLeg(swap.getLegs(SwapLegType.FIXED).get(0), ratesProvider);
ImmutableMap <Payment, PointSensitivityBuilder> mapIbor = cashFlowEquivalentAndSensitivityIborLeg(swap.getLegs(SwapLegType.IBOR).get(0), ratesProvider);
return(ImmutableMap.builder <Payment, PointSensitivityBuilder>().putAll(mapFixed).putAll(mapIbor).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes the present value by replication in SABR framework with extrapolation on the right.
/// </summary>
/// <param name="cmsPeriod"> the CMS </param>
/// <param name="provider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value </returns>
public CurrencyAmount presentValue(CmsPeriod cmsPeriod, RatesProvider provider, SwaptionVolatilities swaptionVolatilities)
{
Currency ccy = cmsPeriod.Currency;
LocalDate valuationDate = provider.ValuationDate;
if (valuationDate.isAfter(cmsPeriod.PaymentDate))
{
return(CurrencyAmount.zero(ccy));
}
LocalDate fixingDate = cmsPeriod.FixingDate;
double dfPayment = provider.discountFactor(ccy, cmsPeriod.PaymentDate);
if (!fixingDate.isAfter(valuationDate))
{ // Using fixing
double?fixedRate = provider.timeSeries(cmsPeriod.Index).get(fixingDate);
if (fixedRate.HasValue)
{
double payoff = 0d;
switch (cmsPeriod.CmsPeriodType)
{
case CAPLET:
payoff = Math.Max(fixedRate.Value - cmsPeriod.Strike, 0d);
break;
case FLOORLET:
payoff = Math.Max(cmsPeriod.Strike - fixedRate.Value, 0d);
break;
case COUPON:
payoff = fixedRate.Value;
break;
default:
throw new System.ArgumentException("unsupported CMS type");
}
return(CurrencyAmount.of(ccy, payoff * dfPayment * cmsPeriod.Notional * cmsPeriod.YearFraction));
}
else if (fixingDate.isBefore(valuationDate))
{
throw new System.ArgumentException(Messages.format("Unable to get fixing for {} on date {}, no time-series supplied", cmsPeriod.Index, fixingDate));
}
}
if (!cmsPeriod.CmsPeriodType.Equals(CmsPeriodType.COUPON))
{
throw new System.ArgumentException("Unable to price cap or floor in this pricer");
}
// Using forward
SwapIndex index = cmsPeriod.Index;
ResolvedSwap swap = cmsPeriod.UnderlyingSwap;
ResolvedSwapLeg fixedLeg = swap.getLegs(SwapLegType.FIXED).get(0);
int nbFixedPaymentYear = (int)(long)Math.Round(1d / ((RatePaymentPeriod)fixedLeg.PaymentPeriods.get(0)).AccrualPeriods.get(0).YearFraction, MidpointRounding.AwayFromZero);
int nbFixedPeriod = fixedLeg.PaymentPeriods.size();
double forward = swapPricer.parRate(swap, provider);
double tenor = swaptionVolatilities.tenor(swap.StartDate, swap.EndDate);
double expiryTime = swaptionVolatilities.relativeTime(fixingDate.atTime(index.FixingTime).atZone(index.FixingZone));
double volatility = swaptionVolatilities.volatility(expiryTime, tenor, forward, forward);
ValueDerivatives annuityDerivatives = swapPricer.LegPricer.annuityCash2(nbFixedPaymentYear, nbFixedPeriod, volatility);
double forwardAdjustment = -0.5 * forward * forward * volatility * volatility * expiryTime * annuityDerivatives.getDerivative(1) / annuityDerivatives.getDerivative(0);
return(CurrencyAmount.of(ccy, (forward + forwardAdjustment) * dfPayment * cmsPeriod.Notional * cmsPeriod.YearFraction));
}
