public virtual void bucketedCs01SingleNodeCurveTest()
{
ImmutableCreditRatesProvider ratesProviderNoCredit = ImmutableCreditRatesProvider.builder().valuationDate(VALUATION_DATE).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, RECOVERY_CURVE)).discountCurves(ImmutableMap.of(USD, YIELD_CURVE)).build();
QuoteId quoteId = QuoteId.of(StandardId.of("OG", END2.ToString()));
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofParSpread(DatesCdsTemplate.of(START, END2, CDS_CONV), quoteId, LEGAL_ENTITY);
ImmutableMarketData marketData = ImmutableMarketData.builder(VALUATION_DATE).addValue(quoteId, DEAL_SPREAD * ONE_BP).build();
IsdaCreditCurveDefinition definition = IsdaCreditCurveDefinition.of(CREDIT_CURVE_NAME, USD, VALUATION_DATE, ACT_365F, ImmutableList.of(node), true, false);
LegalEntitySurvivalProbabilities creditCurve = BUILDER.calibrate(definition, marketData, ratesProviderNoCredit, REF_DATA);
ImmutableCreditRatesProvider ratesProvider = ImmutableCreditRatesProvider.builder().valuationDate(VALUATION_DATE).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, RECOVERY_CURVE)).discountCurves(ImmutableMap.of(USD, YIELD_CURVE)).creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY, USD), creditCurve)).build();
double[] expectedFd = new double[] { -6.876275937539589E-4, 1.1832215762730414E-4, 0.0012340982402658796, 0.002784985575488008, 0.005287295115619095, 2429.636217554099, 3101.303324461041 };
CurrencyParameterSensitivity analytic = CS01_AN.bucketedCs01(CDS2, ImmutableList.copyOf(MARKET_CDS), ratesProvider, REF_DATA);
CurrencyParameterSensitivity fd = CS01_FD.bucketedCs01(CDS2, ImmutableList.copyOf(MARKET_CDS), ratesProvider, REF_DATA);
assertEquals(fd.Currency, USD);
assertEquals(fd.MarketDataName, CurveName.of("impliedSpreads"));
assertEquals(fd.ParameterCount, NUM_MARKET_CDS);
assertEquals(fd.ParameterMetadata, CDS_METADATA);
assertTrue(DoubleArrayMath.fuzzyEquals(fd.Sensitivity.multipliedBy(ONE_BP).toArray(), expectedFd, NOTIONAL * TOL));
assertEquals(analytic.Currency, USD);
assertEquals(analytic.MarketDataName, CurveName.of("impliedSpreads"));
assertEquals(analytic.ParameterCount, NUM_MARKET_CDS);
assertEquals(analytic.ParameterMetadata, CDS_METADATA);
assertTrue(DoubleArrayMath.fuzzyEquals(analytic.Sensitivity.toArray(), fd.Sensitivity.toArray(), NOTIONAL * ONE_BP * 10d));
}
// calculates calibrated bucketed IR01 for one scenario
internal CurrencyParameterSensitivity ir01CalibratedBucketed(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
PointSensitivities pointSensitivity = tradePricer.presentValueOnSettleSensitivity(trade, ratesProvider, refData);
CurrencyParameterSensitivity irSensitivity = ratesProvider.singleDiscountCurveParameterSensitivity(pointSensitivity, trade.Product.Currency);
return(irSensitivity.multipliedBy(ONE_BASIS_POINT));
}
public virtual void formatForDisplay()
{
CurrencyParameterSensitivity sensitivity = CurrencyParameterSensitivity.of(CurveName.of("foo"), Currency.AED, DoubleArray.of(1, 2, 3));
string str = CurrencyParameterSensitivityValueFormatter.INSTANCE.formatForDisplay(sensitivity);
assertThat(str).isEqualTo("1 = 1.00 | 2 = 2.00 | 3 = 3.00 ");
}
public virtual void formatForCsv()
{
CurrencyParameterSensitivity sensitivity = CurrencyParameterSensitivity.of(CurveName.of("foo"), Currency.AED, DoubleArray.of(10, 20, 30));
string str = CurrencyParameterSensitivityValueFormatter.INSTANCE.formatForCsv(sensitivity);
assertThat(str).isEqualTo("1 = 10 | 2 = 20 | 3 = 30");
}
// 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));
}
static MarketQuoteSensitivityCalculatorTest()
{
CurrencyParameterSensitivity sensi1 = CurrencyParameterSensitivity.of(CURVE_NAME_1, USD, SENSI_1);
CurrencyParameterSensitivity sensi2 = CurrencyParameterSensitivity.of(CURVE_NAME_2, GBP, SENSI_2);
ZeroRateDiscountFactors dscIssuer = ZeroRateDiscountFactors.of(USD, DATE, CURVE_1);
ZeroRateDiscountFactors dscRepo = ZeroRateDiscountFactors.of(GBP, DATE, CURVE_2);
PARAMETER_SENSITIVITIES = CurrencyParameterSensitivities.of(sensi1, sensi2);
PROVIDER = ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, USD), dscIssuer)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_SECURITY, GBP), dscRepo)).repoCurveSecurityGroups(ImmutableMap.of(ID_SECURITY, GROUP_REPO_SECURITY)).build();
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivityVolatility()
{
PointSensitivityBuilder pointCaplet = PRICER.presentValueSensitivityModelParamsVolatility(CAPLET_LONG, RATES, VOLS);
CurrencyParameterSensitivity computedCaplet = VOLS.parameterSensitivity(pointCaplet.build()).Sensitivities.get(0);
PointSensitivityBuilder pointFloorlet = PRICER.presentValueSensitivityModelParamsVolatility(FLOORLET_SHORT, RATES, VOLS);
CurrencyParameterSensitivity computedFloorlet = VOLS.parameterSensitivity(pointFloorlet.build()).Sensitivities.get(0);
testSurfaceSensitivity(computedCaplet, VOLS, v => PRICER.presentValue(CAPLET_LONG, RATES, v));
testSurfaceSensitivity(computedFloorlet, VOLS, v => PRICER.presentValue(FLOORLET_SHORT, RATES, v));
}
public virtual void test_parameterSensitivity()
{
double alphaSensi = 2.24, betaSensi = 3.45, rhoSensi = -2.12, nuSensi = -0.56, shiftSensi = 2.5;
SabrParametersIborCapletFloorletVolatilities prov = SabrParametersIborCapletFloorletVolatilities.of(NAME, EUR_EURIBOR_3M, DATE_TIME, PARAM);
for (int i = 0; i < NB_TEST; i++)
{
double expiryTime = prov.relativeTime(TEST_OPTION_EXPIRY[i]);
PointSensitivities point = PointSensitivities.of(IborCapletFloorletSabrSensitivity.of(NAME, expiryTime, ALPHA, EUR, alphaSensi), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime, BETA, EUR, betaSensi), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime, RHO, EUR, rhoSensi), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime, NU, EUR, nuSensi), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime, SHIFT, EUR, shiftSensi));
CurrencyParameterSensitivities sensiComputed = prov.parameterSensitivity(point);
UnitParameterSensitivity alphaSensitivities = prov.Parameters.AlphaCurve.yValueParameterSensitivity(expiryTime);
UnitParameterSensitivity betaSensitivities = prov.Parameters.BetaCurve.yValueParameterSensitivity(expiryTime);
UnitParameterSensitivity rhoSensitivities = prov.Parameters.RhoCurve.yValueParameterSensitivity(expiryTime);
UnitParameterSensitivity nuSensitivities = prov.Parameters.NuCurve.yValueParameterSensitivity(expiryTime);
UnitParameterSensitivity shiftSensitivities = prov.Parameters.ShiftCurve.yValueParameterSensitivity(expiryTime);
CurrencyParameterSensitivity alphaSensiObj = sensiComputed.getSensitivity(IborCapletFloorletSabrRateVolatilityDataSet.META_ALPHA.CurveName, EUR);
CurrencyParameterSensitivity betaSensiObj = sensiComputed.getSensitivity(IborCapletFloorletSabrRateVolatilityDataSet.META_BETA.CurveName, EUR);
CurrencyParameterSensitivity rhoSensiObj = sensiComputed.getSensitivity(IborCapletFloorletSabrRateVolatilityDataSet.META_RHO.CurveName, EUR);
CurrencyParameterSensitivity nuSensiObj = sensiComputed.getSensitivity(IborCapletFloorletSabrRateVolatilityDataSet.META_NU.CurveName, EUR);
CurrencyParameterSensitivity shiftSensiObj = sensiComputed.getSensitivity(IborCapletFloorletSabrRateVolatilityDataSet.META_SHIFT.CurveName, EUR);
DoubleArray alphaNodeSensiComputed = alphaSensiObj.Sensitivity;
DoubleArray betaNodeSensiComputed = betaSensiObj.Sensitivity;
DoubleArray rhoNodeSensiComputed = rhoSensiObj.Sensitivity;
DoubleArray nuNodeSensiComputed = nuSensiObj.Sensitivity;
DoubleArray shiftNodeSensiComputed = shiftSensiObj.Sensitivity;
assertEquals(alphaSensitivities.Sensitivity.size(), alphaNodeSensiComputed.size());
assertEquals(betaSensitivities.Sensitivity.size(), betaNodeSensiComputed.size());
assertEquals(rhoSensitivities.Sensitivity.size(), rhoNodeSensiComputed.size());
assertEquals(nuSensitivities.Sensitivity.size(), nuNodeSensiComputed.size());
assertEquals(shiftSensitivities.Sensitivity.size(), shiftNodeSensiComputed.size());
for (int k = 0; k < alphaNodeSensiComputed.size(); ++k)
{
assertEquals(alphaNodeSensiComputed.get(k), alphaSensitivities.Sensitivity.get(k) * alphaSensi, TOLERANCE_VOL);
}
for (int k = 0; k < betaNodeSensiComputed.size(); ++k)
{
assertEquals(betaNodeSensiComputed.get(k), betaSensitivities.Sensitivity.get(k) * betaSensi, TOLERANCE_VOL);
}
for (int k = 0; k < rhoNodeSensiComputed.size(); ++k)
{
assertEquals(rhoNodeSensiComputed.get(k), rhoSensitivities.Sensitivity.get(k) * rhoSensi, TOLERANCE_VOL);
}
for (int k = 0; k < nuNodeSensiComputed.size(); ++k)
{
assertEquals(nuNodeSensiComputed.get(k), nuSensitivities.Sensitivity.get(k) * nuSensi, TOLERANCE_VOL);
}
for (int k = 0; k < shiftNodeSensiComputed.size(); ++k)
{
assertEquals(shiftNodeSensiComputed.get(k), shiftSensitivities.Sensitivity.get(k) * shiftSensi, TOLERANCE_VOL);
}
}
}
private void testSurfaceSensitivity(CurrencyParameterSensitivity computed, NormalIborCapletFloorletExpiryStrikeVolatilities vols, System.Func <IborCapletFloorletVolatilities, CurrencyAmount> valueFn)
{
double pvBase = valueFn(vols).Amount;
InterpolatedNodalSurface surfaceBase = (InterpolatedNodalSurface)vols.Surface;
int nParams = surfaceBase.ParameterCount;
for (int i = 0; i < nParams; ++i)
{
DoubleArray zBumped = surfaceBase.ZValues.with(i, surfaceBase.ZValues.get(i) + EPS_FD);
InterpolatedNodalSurface surfaceBumped = surfaceBase.withZValues(zBumped);
NormalIborCapletFloorletExpiryStrikeVolatilities volsBumped = NormalIborCapletFloorletExpiryStrikeVolatilities.of(vols.Index, vols.ValuationDateTime, surfaceBumped);
double fd = (valueFn(volsBumped).Amount - pvBase) / EPS_FD;
assertEquals(computed.Sensitivity.get(i), fd, NOTIONAL * EPS_FD);
}
}
public virtual void parellelCs01FromNodesTest()
{
double fromExcel = 4238.557409;
CurrencyAmount fd = CS01_FD.parallelCs01(CDS1, RATES_PROVIDER, REF_DATA);
CurrencyAmount analytic = CS01_AN.parallelCs01(CDS1, RATES_PROVIDER, REF_DATA);
assertEquals(fd.Currency, USD);
assertEquals(fd.Amount * ONE_BP, fromExcel, TOL * NOTIONAL);
assertEquals(analytic.Currency, USD);
assertEquals(analytic.Amount * ONE_BP, fd.Amount * ONE_BP, ONE_BP * NOTIONAL);
// equivalence to market quote sensitivity for par spread quote
PointSensitivities point = PRICER.presentValueOnSettleSensitivity(CDS1, RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity paramSensi = RATES_PROVIDER.singleCreditCurveParameterSensitivity(point, LEGAL_ENTITY, USD);
CurrencyParameterSensitivities quoteSensi = QUOTE_CAL.sensitivity(CurrencyParameterSensitivities.of(paramSensi), RATES_PROVIDER);
double cs01FromQuoteSensi = quoteSensi.Sensitivities.get(0).Sensitivity.sum();
assertEquals(cs01FromQuoteSensi * ONE_BP, analytic.Amount * ONE_BP, TOL * NOTIONAL);
}
public virtual void test_parameterSensitivity()
{
double alphaSensi = 2.24, betaSensi = 3.45, rhoSensi = -2.12, nuSensi = -0.56;
SabrParametersSwaptionVolatilities prov = SabrParametersSwaptionVolatilities.of(NAME, CONV, DATE_TIME, PARAM);
for (int i = 0; i < NB_TEST; i++)
{
double expiryTime = prov.relativeTime(TEST_OPTION_EXPIRY[i]);
PointSensitivities point = PointSensitivities.of(SwaptionSabrSensitivity.of(NAME, expiryTime, TEST_TENOR[i], ALPHA, USD, alphaSensi), SwaptionSabrSensitivity.of(NAME, expiryTime, TEST_TENOR[i], BETA, USD, betaSensi), SwaptionSabrSensitivity.of(NAME, expiryTime, TEST_TENOR[i], RHO, USD, rhoSensi), SwaptionSabrSensitivity.of(NAME, expiryTime, TEST_TENOR[i], NU, USD, nuSensi));
CurrencyParameterSensitivities sensiComputed = prov.parameterSensitivity(point);
UnitParameterSensitivity alphaSensitivities = prov.Parameters.AlphaSurface.zValueParameterSensitivity(expiryTime, TEST_TENOR[i]);
UnitParameterSensitivity betaSensitivities = prov.Parameters.BetaSurface.zValueParameterSensitivity(expiryTime, TEST_TENOR[i]);
UnitParameterSensitivity rhoSensitivities = prov.Parameters.RhoSurface.zValueParameterSensitivity(expiryTime, TEST_TENOR[i]);
UnitParameterSensitivity nuSensitivities = prov.Parameters.NuSurface.zValueParameterSensitivity(expiryTime, TEST_TENOR[i]);
CurrencyParameterSensitivity alphaSensiObj = sensiComputed.getSensitivity(SwaptionSabrRateVolatilityDataSet.META_ALPHA.SurfaceName, USD);
CurrencyParameterSensitivity betaSensiObj = sensiComputed.getSensitivity(SwaptionSabrRateVolatilityDataSet.META_BETA_USD.SurfaceName, USD);
CurrencyParameterSensitivity rhoSensiObj = sensiComputed.getSensitivity(SwaptionSabrRateVolatilityDataSet.META_RHO.SurfaceName, USD);
CurrencyParameterSensitivity nuSensiObj = sensiComputed.getSensitivity(SwaptionSabrRateVolatilityDataSet.META_NU.SurfaceName, USD);
DoubleArray alphaNodeSensiComputed = alphaSensiObj.Sensitivity;
DoubleArray betaNodeSensiComputed = betaSensiObj.Sensitivity;
DoubleArray rhoNodeSensiComputed = rhoSensiObj.Sensitivity;
DoubleArray nuNodeSensiComputed = nuSensiObj.Sensitivity;
assertEquals(alphaSensitivities.Sensitivity.size(), alphaNodeSensiComputed.size());
assertEquals(betaSensitivities.Sensitivity.size(), betaNodeSensiComputed.size());
assertEquals(rhoSensitivities.Sensitivity.size(), rhoNodeSensiComputed.size());
assertEquals(nuSensitivities.Sensitivity.size(), nuNodeSensiComputed.size());
for (int k = 0; k < alphaNodeSensiComputed.size(); ++k)
{
assertEquals(alphaNodeSensiComputed.get(k), alphaSensitivities.Sensitivity.get(k) * alphaSensi, TOLERANCE_VOL);
}
for (int k = 0; k < betaNodeSensiComputed.size(); ++k)
{
assertEquals(betaNodeSensiComputed.get(k), betaSensitivities.Sensitivity.get(k) * betaSensi, TOLERANCE_VOL);
}
for (int k = 0; k < rhoNodeSensiComputed.size(); ++k)
{
assertEquals(rhoNodeSensiComputed.get(k), rhoSensitivities.Sensitivity.get(k) * rhoSensi, TOLERANCE_VOL);
}
for (int k = 0; k < nuNodeSensiComputed.size(); ++k)
{
assertEquals(nuNodeSensiComputed.get(k), nuSensitivities.Sensitivity.get(k) * nuSensi, TOLERANCE_VOL);
}
}
}
public virtual void parellelCs01WithNodesIndexTest()
{
CurrencyAmount fdSingle = CS01_FD.parallelCs01(CDS2, RATES_PROVIDER, REF_DATA);
CurrencyAmount analyticSingle = CS01_AN.parallelCs01(CDS2, RATES_PROVIDER, REF_DATA);
CurrencyAmount fd = CS01_FD.parallelCs01(CDS_INDEX, RATES_PROVIDER, REF_DATA);
CurrencyAmount analytic = CS01_AN.parallelCs01(CDS_INDEX, RATES_PROVIDER, REF_DATA);
assertEquals(fd.Currency, USD);
assertEquals(fd.Amount, fdSingle.Amount * INDEX_FACTOR, TOL * NOTIONAL);
assertEquals(analytic.Amount, analyticSingle.Amount * INDEX_FACTOR, TOL * NOTIONAL);
assertEquals(analytic.Currency, USD);
// equivalence to market quote sensitivity for par spread quote
PointSensitivities point = PRICER_INDEX.presentValueOnSettleSensitivity(CDS_INDEX, RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity paramSensi = RATES_PROVIDER.singleCreditCurveParameterSensitivity(point, INDEX_ID, USD);
CurrencyParameterSensitivities quoteSensi = QUOTE_CAL.sensitivity(CurrencyParameterSensitivities.of(paramSensi), RATES_PROVIDER);
double cs01FromQuoteSensi = quoteSensi.Sensitivities.get(0).Sensitivity.sum();
assertEquals(cs01FromQuoteSensi, analytic.Amount, TOL * NOTIONAL);
}
public virtual void test_presentValueSensitivityVolatility_after()
{
PointSensitivityBuilder capComputed = PRICER.presentValueSensitivityModelParamsVolatility(CAP, RATES_AFTER, VOLS_AFTER);
PointSensitivityBuilder floorComputed = PRICER.presentValueSensitivityModelParamsVolatility(FLOOR, RATES_AFTER, VOLS_AFTER);
CurrencyParameterSensitivities capExpected = CurrencyParameterSensitivities.empty();
CurrencyParameterSensitivities floorExpected = CurrencyParameterSensitivities.empty();
int nPeriods = CAP.CapletFloorletPeriods.size();
for (int i = 3; i < nPeriods; ++i)
{
capExpected = capExpected.combinedWith(VOLS_AFTER.parameterSensitivity(PRICER_PERIOD.presentValueSensitivityModelParamsVolatility(CAP.CapletFloorletPeriods.get(i), RATES_AFTER, VOLS_AFTER).build()));
floorExpected = floorExpected.combinedWith(VOLS_AFTER.parameterSensitivity(PRICER_PERIOD.presentValueSensitivityModelParamsVolatility(FLOOR.CapletFloorletPeriods.get(i), RATES_AFTER, VOLS_AFTER).build()));
}
CurrencyParameterSensitivities capSensiComputed = VOLS_AFTER.parameterSensitivity(capComputed.build());
CurrencyParameterSensitivities floorSensiComputed = VOLS_AFTER.parameterSensitivity(floorComputed.build());
CurrencyParameterSensitivity capSensiExpected = capExpected.Sensitivities.get(0);
CurrencyParameterSensitivity floorSensiExpected = floorExpected.Sensitivities.get(0);
assertTrue(DoubleArrayMath.fuzzyEquals(capSensiComputed.Sensitivities.get(0).Sensitivity.toArray(), capSensiExpected.Sensitivity.toArray(), TOL * NOTIONAL_VALUE));
assertTrue(DoubleArrayMath.fuzzyEquals(floorSensiComputed.Sensitivities.get(0).Sensitivity.toArray(), floorSensiExpected.Sensitivity.toArray(), TOL * NOTIONAL_VALUE));
}
public virtual void bucketedCs01Test()
{
double[] expectedFd = new double[] { 0.02446907003406107, 0.1166137422736746, 0.5196553952424576, 1.4989046391578054, 3.5860718603647483, 4233.77162264947, 0.0 };
CurrencyParameterSensitivity fd = CS01_FD.bucketedCs01(CDS1, ImmutableList.copyOf(MARKET_CDS), RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity analytic = CS01_AN.bucketedCs01(CDS1, ImmutableList.copyOf(MARKET_CDS), RATES_PROVIDER, REF_DATA);
assertEquals(fd.Currency, USD);
assertEquals(fd.MarketDataName, CurveName.of("impliedSpreads"));
assertEquals(fd.ParameterCount, NUM_MARKET_CDS);
assertEquals(fd.ParameterMetadata, CDS_METADATA);
assertTrue(DoubleArrayMath.fuzzyEquals(fd.Sensitivity.multipliedBy(ONE_BP).toArray(), expectedFd, NOTIONAL * TOL));
assertEquals(analytic.Currency, USD);
assertEquals(analytic.MarketDataName, CurveName.of("impliedSpreads"));
assertEquals(analytic.ParameterCount, NUM_MARKET_CDS);
assertEquals(analytic.ParameterMetadata, CDS_METADATA);
assertTrue(DoubleArrayMath.fuzzyEquals(analytic.Sensitivity.toArray(), fd.Sensitivity.toArray(), NOTIONAL * ONE_BP * 10d));
PointSensitivities point = PRICER.presentValueOnSettleSensitivity(CDS1, RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity paramSensi = RATES_PROVIDER.singleCreditCurveParameterSensitivity(point, LEGAL_ENTITY, USD);
CurrencyParameterSensitivities quoteSensi = QUOTE_CAL.sensitivity(CurrencyParameterSensitivities.of(paramSensi), RATES_PROVIDER);
assertTrue(DoubleArrayMath.fuzzyEquals(quoteSensi.Sensitivities.get(0).Sensitivity.toArray(), analytic.Sensitivity.toArray(), NOTIONAL * TOL));
}
//-------------------------------------------------------------------------
public virtual void semiParallelGammaValue()
{
ImmutableRatesProvider provider = SINGLE;
Currency curveCurrency = SINGLE_CURRENCY;
DoubleArray y = USD_SINGLE_CURVE.YValues;
int nbNode = y.size();
DoubleArray gammaExpected = DoubleArray.of(nbNode, i =>
{
//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[][][] yBumped = new double[2][2][nbNode];
double[][][] yBumped = RectangularArrays.ReturnRectangularDoubleArray(2, 2, nbNode);
//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[][] pv = new double[2][2];
double[][] pv = RectangularArrays.ReturnRectangularDoubleArray(2, 2);
for (int pmi = 0; pmi < 2; pmi++)
{
for (int pmP = 0; pmP < 2; pmP++)
{
yBumped[pmi][pmP] = y.toArray();
yBumped[pmi][pmP][i] += (pmi == 0 ? 1.0 : -1.0) * FD_SHIFT;
for (int j = 0; j < nbNode; j++)
{
yBumped[pmi][pmP][j] += (pmP == 0 ? 1.0 : -1.0) * FD_SHIFT;
}
Curve curveBumped = USD_SINGLE_CURVE.withYValues(DoubleArray.copyOf(yBumped[pmi][pmP]));
ImmutableRatesProvider providerBumped = provider.toBuilder().discountCurves(provider.DiscountCurves.Keys.collect(toImmutableMap(Function.identity(), k => curveBumped))).indexCurves(provider.IndexCurves.Keys.collect(toImmutableMap(Function.identity(), k => curveBumped))).build();
pv[pmi][pmP] = PRICER_SWAP.presentValue(SWAP, providerBumped).getAmount(USD).Amount;
}
}
return((pv[1][1] - pv[1][0] - pv[0][1] + pv[0][0]) / (4 * FD_SHIFT * FD_SHIFT));
});
CurrencyParameterSensitivity sensitivityComputed = GAMMA_CAL.calculateSemiParallelGamma(USD_SINGLE_CURVE, curveCurrency, c => buildSensitivities(c, provider));
assertEquals(sensitivityComputed.MarketDataName, USD_SINGLE_CURVE.Name);
DoubleArray gammaComputed = sensitivityComputed.Sensitivity;
assertTrue(gammaComputed.equalWithTolerance(gammaExpected, TOLERANCE_GAMMA));
}
public virtual void bucketedCs01WithNodesIndexTest()
{
CurrencyParameterSensitivity fdSingle = CS01_FD.bucketedCs01(CDS2, RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity analyticSingle = CS01_AN.bucketedCs01(CDS2, RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity fd = CS01_FD.bucketedCs01(CDS_INDEX, RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity analytic = CS01_AN.bucketedCs01(CDS_INDEX, RATES_PROVIDER, REF_DATA);
assertEquals(fd.Currency, USD);
assertEquals(fd.MarketDataName, CurveName.of("impliedSpreads"));
assertEquals(fd.ParameterCount, NUM_MARKET_CDS);
assertEquals(fd.ParameterMetadata, CDS_INDEX_METADATA);
assertTrue(DoubleArrayMath.fuzzyEquals(fd.Sensitivity.toArray(), fdSingle.Sensitivity.multipliedBy(INDEX_FACTOR).toArray(), NOTIONAL * TOL));
assertEquals(analytic.Currency, USD);
assertEquals(analytic.MarketDataName, CurveName.of("impliedSpreads"));
assertEquals(analytic.ParameterCount, NUM_MARKET_CDS);
assertEquals(analytic.ParameterMetadata, CDS_INDEX_METADATA);
assertTrue(DoubleArrayMath.fuzzyEquals(analytic.Sensitivity.toArray(), analyticSingle.Sensitivity.multipliedBy(INDEX_FACTOR).toArray(), NOTIONAL * TOL));
PointSensitivities point = PRICER_INDEX.presentValueOnSettleSensitivity(CDS_INDEX, RATES_PROVIDER, REF_DATA);
CurrencyParameterSensitivity paramSensi = RATES_PROVIDER.singleCreditCurveParameterSensitivity(point, INDEX_ID, USD);
CurrencyParameterSensitivities quoteSensi = QUOTE_CAL.sensitivity(CurrencyParameterSensitivities.of(paramSensi), RATES_PROVIDER);
assertTrue(DoubleArrayMath.fuzzyEquals(quoteSensi.Sensitivities.get(0).Sensitivity.toArray(), analytic.Sensitivity.toArray(), NOTIONAL * TOL));
}
