/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="cmsParams"> the CMS parameters </param>
internal CmsMeasureCalculations(CmsSabrExtrapolationParams cmsParams)
{
SabrExtrapolationReplicationCmsPeriodPricer periodPricer = SabrExtrapolationReplicationCmsPeriodPricer.of(cmsParams.CutOffStrike, cmsParams.Mu);
SabrExtrapolationReplicationCmsLegPricer legPricer = new SabrExtrapolationReplicationCmsLegPricer(periodPricer);
SabrExtrapolationReplicationCmsProductPricer productPricer = new SabrExtrapolationReplicationCmsProductPricer(legPricer);
SabrExtrapolationReplicationCmsTradePricer tradePricer = new SabrExtrapolationReplicationCmsTradePricer(productPricer);
this.tradePricer = ArgChecker.notNull(tradePricer, "tradePricer");
}
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_presentValue()
{
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))));
MultiCurrencyAmount expectedPv = pricer.presentValue(RTRADE, provider, VOLS);
MultiCurrencyAmount expectedCurrencyExposure = pricer.currencyExposure(RTRADE, provider, VOLS);
MultiCurrencyAmount expectedCurrentCash = pricer.currentCash(RTRADE, provider, VOLS);
CmsTradeCalculations calcs = CmsTradeCalculations.of(CMS_MODEL);
assertEquals(calcs.presentValue(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv)));
assertEquals(calcs.currencyExposure(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrencyExposure)));
assertEquals(calcs.currentCash(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedCurrentCash)));
}
/// <summary>
/// Creates an instance specifying the SABR pricer.
/// </summary>
/// <param name="tradePricer"> the pricer for <seealso cref="ResolvedCmsTrade"/> </param>
public CmsTradeCalculations(SabrExtrapolationReplicationCmsTradePricer tradePricer)
{
this.calc = new CmsMeasureCalculations(tradePricer);
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="tradePricer"> the pricer function for <seealso cref="ResolvedCmsTrade"/> </param>
internal CmsMeasureCalculations(SabrExtrapolationReplicationCmsTradePricer tradePricer)
{
this.tradePricer = ArgChecker.notNull(tradePricer, "tradePricer");
}
