// test diagonal part against finite difference approximation computed from pv
public virtual void swap_exampleTest()
{
LocalDate start = LocalDate.of(2014, 3, 10);
LocalDate end = LocalDate.of(2021, 3, 10);
double notional = 1.0e6;
ResolvedSwap swap = FixedIborSwapConventions.USD_FIXED_6M_LIBOR_3M.toTrade(RatesProviderDataSets.VAL_DATE_2014_01_22, start, end, BuySell.BUY, notional, 0.005).Product.resolve(REF_DATA);
DiscountingSwapProductPricer pricer = DiscountingSwapProductPricer.DEFAULT;
System.Func <ImmutableRatesProvider, CurrencyAmount> pvFunction = p => pricer.presentValue(swap, USD, p);
System.Func <ImmutableRatesProvider, CurrencyParameterSensitivities> sensiFunction = p =>
{
PointSensitivities sensi = pricer.presentValueSensitivity(swap, p).build();
return(p.parameterSensitivity(sensi));
};
CurrencyParameterSensitivities expected = sensitivityDiagonal(RatesProviderDataSets.MULTI_CPI_USD, pvFunction);
CurrencyParameterSensitivities computed = CENTRAL.calculateCrossGammaIntraCurve(RatesProviderDataSets.MULTI_CPI_USD, sensiFunction).diagonal();
assertTrue(computed.equalWithTolerance(expected, Math.Sqrt(EPS) * notional));
CurrencyParameterSensitivities computedFromCross = CENTRAL.calculateCrossGammaCrossCurve(RatesProviderDataSets.MULTI_CPI_USD, sensiFunction).diagonal();
assertTrue(computed.equalWithTolerance(computedFromCross, TOL));
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="swapPricer"> the pricer for <seealso cref="Swap"/> </param>
public VolatilitySwaptionCashParYieldProductPricer(DiscountingSwapProductPricer swapPricer)
{
this.swapPricer = ArgChecker.notNull(swapPricer, "swapPricer");
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="swapPricer"> the pricer for <seealso cref="ResolvedSwap"/> </param>
public DiscountingCmsPeriodPricer(DiscountingSwapProductPricer swapPricer)
{
this.swapPricer = ArgChecker.notNull(swapPricer, "legPricer");
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="swapPricer"> the pricer for <seealso cref="Swap"/> </param>
public VolatilitySwaptionPhysicalProductPricer(DiscountingSwapProductPricer swapPricer)
{
this.swapPricer = ArgChecker.notNull(swapPricer, "swapPricer");
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="swapPricer"> the pricer for <seealso cref="Swap"/> </param>
public NormalSwaptionPhysicalProductPricer(DiscountingSwapProductPricer swapPricer) : base(swapPricer)
{
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="swapPricer"> the pricer for <seealso cref="Swap"/> </param>
public NormalSwaptionCashParYieldProductPricer(DiscountingSwapProductPricer swapPricer) : base(swapPricer)
{
}
private SabrExtrapolationReplicationCmsPeriodPricer(DiscountingSwapProductPricer swapPricer, double cutOffStrike, double mu)
{
this.swapPricer = ArgChecker.notNull(swapPricer, "swapPricer");
this.cutOffStrike = cutOffStrike;
this.mu = ArgChecker.notNegativeOrZero(mu, "mu");
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains the pricer.
/// </summary>
/// <param name="swapPricer"> the pricer for underlying swap </param>
/// <param name="cutOffStrike"> the cut-off strike value </param>
/// <param name="mu"> the tail thickness </param>
/// <returns> the pricer </returns>
public static SabrExtrapolationReplicationCmsPeriodPricer of(DiscountingSwapProductPricer swapPricer, double cutOffStrike, double mu)
{
return(new SabrExtrapolationReplicationCmsPeriodPricer(swapPricer, cutOffStrike, mu));
}
private BlackFlatCmsPeriodPricer(DiscountingSwapProductPricer swapPricer)
{
this.swapPricer = ArgChecker.notNull(swapPricer, "swapPricer");
}
/// <summary>
/// Obtains the pricer.
/// </summary>
/// <param name="swapPricer"> the pricer for underlying swap </param>
/// <returns> the pricer </returns>
public static BlackFlatCmsPeriodPricer of(DiscountingSwapProductPricer swapPricer)
{
return(new BlackFlatCmsPeriodPricer(swapPricer));
}
