//-------------------------------------------------------------------------
/// <summary>
/// Computes the present value curve sensitivity by simple forward rate estimation.
/// </summary>
/// <param name="cmsPeriod"> the CMS </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivity(CmsPeriod cmsPeriod, RatesProvider provider)
{
Currency ccy = cmsPeriod.Currency;
LocalDate valuationDate = provider.ValuationDate;
if (valuationDate.isAfter(cmsPeriod.PaymentDate))
{
return(PointSensitivityBuilder.none());
}
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(provider.discountFactors(ccy).zeroRatePointSensitivity(cmsPeriod.PaymentDate).multipliedBy(payoff * 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
ResolvedSwap swap = cmsPeriod.UnderlyingSwap;
ZeroRateSensitivity dfPaymentdr = provider.discountFactors(ccy).zeroRatePointSensitivity(cmsPeriod.PaymentDate);
double forward = swapPricer.parRate(swap, provider);
PointSensitivityBuilder forwardSensi = swapPricer.parRateSensitivity(swap, provider);
return(forwardSensi.multipliedBy(dfPayment).combinedWith(dfPaymentdr.multipliedBy(forward)).multipliedBy(cmsPeriod.Notional * cmsPeriod.YearFraction));
}
public virtual void test_presentValueSensitivityRatesStickyStrike_parity()
{
CurrencyParameterSensitivities pvSensiRecLong = RATE_PROVIDER.parameterSensitivity(PRICER_SWAPTION.presentValueSensitivityRatesStickyStrike(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS).build());
CurrencyParameterSensitivities pvSensiRecShort = RATE_PROVIDER.parameterSensitivity(PRICER_SWAPTION.presentValueSensitivityRatesStickyStrike(SWAPTION_REC_SHORT, RATE_PROVIDER, VOLS).build());
CurrencyParameterSensitivities pvSensiPayLong = RATE_PROVIDER.parameterSensitivity(PRICER_SWAPTION.presentValueSensitivityRatesStickyStrike(SWAPTION_PAY_LONG, RATE_PROVIDER, VOLS).build());
CurrencyParameterSensitivities pvSensiPayShort = RATE_PROVIDER.parameterSensitivity(PRICER_SWAPTION.presentValueSensitivityRatesStickyStrike(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS).build());
assertTrue(pvSensiRecLong.equalWithTolerance(pvSensiRecShort.multipliedBy(-1d), NOTIONAL * TOL));
assertTrue(pvSensiPayLong.equalWithTolerance(pvSensiPayShort.multipliedBy(-1d), NOTIONAL * TOL));
double forward = PRICER_SWAP.parRate(RSWAP_REC, RATE_PROVIDER);
PointSensitivityBuilder forwardSensi = PRICER_SWAP.parRateSensitivity(RSWAP_REC, RATE_PROVIDER);
double annuityCash = PRICER_SWAP.LegPricer.annuityCash(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), forward);
double annuityCashDeriv = PRICER_SWAP.LegPricer.annuityCashDerivative(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), forward).getDerivative(0);
double discount = RATE_PROVIDER.discountFactor(USD, SETTLE_DATE);
PointSensitivityBuilder discountSensi = RATE_PROVIDER.discountFactors(USD).zeroRatePointSensitivity(SETTLE_DATE);
PointSensitivities expecedPoint = discountSensi.multipliedBy(annuityCash * (forward - STRIKE)).combinedWith(forwardSensi.multipliedBy(discount * annuityCash + discount * annuityCashDeriv * (forward - STRIKE))).build();
CurrencyParameterSensitivities expected = RATE_PROVIDER.parameterSensitivity(expecedPoint);
assertTrue(expected.equalWithTolerance(pvSensiPayLong.combinedWith(pvSensiRecLong.multipliedBy(-1d)), NOTIONAL * TOL));
assertTrue(expected.equalWithTolerance(pvSensiRecShort.combinedWith(pvSensiPayShort.multipliedBy(-1d)), NOTIONAL * TOL));
}
/// <summary>
/// Calibrate a single curve to 4 points. Use the resulting calibrated curves as starting point of the computation
/// of a Jacobian. Compare the direct Jacobian and the one reconstructed from trades.
/// </summary>
public virtual void direct_one_curve()
{
/* Create trades */
IList <ResolvedTrade> trades = new List <ResolvedTrade>();
IList <LocalDate> nodeDates = new List <LocalDate>();
for (int looptenor = 0; looptenor < TENORS_STD_1.Length; looptenor++)
{
ResolvedSwapTrade t0 = EUR_FIXED_1Y_EURIBOR_6M.createTrade(VALUATION_DATE, TENORS_STD_1[looptenor], BuySell.BUY, 1.0, 0.0, REF_DATA).resolve(REF_DATA);
double rate = MARKET_QUOTE.value(t0, MULTICURVE_EUR_SINGLE_CALIBRATED);
ResolvedSwapTrade t = EUR_FIXED_1Y_EURIBOR_6M.createTrade(VALUATION_DATE, TENORS_STD_1[looptenor], BuySell.BUY, 1.0, rate, REF_DATA).resolve(REF_DATA);
nodeDates.Add(t.Product.EndDate);
trades.Add(t);
}
/* Par rate sensitivity */
System.Func <ResolvedTrade, CurrencyParameterSensitivities> sensitivityFunction = (t) => MULTICURVE_EUR_SINGLE_CALIBRATED.parameterSensitivity(PRICER_SWAP_PRODUCT.parRateSensitivity(((ResolvedSwapTrade)t).Product, MULTICURVE_EUR_SINGLE_CALIBRATED).build());
DoubleMatrix jiComputed = CurveSensitivityUtils.jacobianFromMarketQuoteSensitivities(LIST_CURVE_NAMES_1, trades, sensitivityFunction);
DoubleMatrix jiExpected = MULTICURVE_EUR_SINGLE_CALIBRATED.findData(EUR_SINGLE_NAME).get().Metadata.findInfo(CurveInfoType.JACOBIAN).get().JacobianMatrix;
/* Comparison */
assertEquals(jiComputed.rowCount(), jiExpected.rowCount());
assertEquals(jiComputed.columnCount(), jiExpected.columnCount());
for (int i = 0; i < jiComputed.rowCount(); i++)
{
for (int j = 0; j < jiComputed.columnCount(); j++)
{
assertEquals(jiComputed.get(i, j), jiExpected.get(i, j), TOLERANCE_JAC);
}
}
}
//-------------------------------------------------------------------------
public virtual void calibration_transition_coherence_par_rate()
{
RatesProvider provider = CalibrationEurStandard.calibrateEurStandard(VAL_DATE, DSC_MARKET_QUOTES, DSC_OIS_TENORS, FWD3_FIXING_QUOTE, FWD3_FRA_QUOTES, FWD3_IRS_QUOTES, FWD3_FRA_TENORS, FWD3_IRS_TENORS, FWD6_FIXING_QUOTE, FWD6_FRA_QUOTES, FWD6_IRS_QUOTES, FWD6_FRA_TENORS, FWD6_IRS_TENORS);
/* Curve Discounting/EUR-EONIA */
string[] dscIdValues = CalibrationEurStandard.dscIdValues(DSC_OIS_TENORS);
/* Curve EUR-EURIBOR-3M */
double[] fwd3MarketQuotes = CalibrationEurStandard.fwdMarketQuotes(FWD3_FIXING_QUOTE, FWD3_FRA_QUOTES, FWD3_IRS_QUOTES);
string[] fwd3IdValue = CalibrationEurStandard.fwdIdValue(3, FWD3_FIXING_QUOTE, FWD3_FRA_QUOTES, FWD3_IRS_QUOTES, FWD3_FRA_TENORS, FWD3_IRS_TENORS);
/* Curve EUR-EURIBOR-6M */
double[] fwd6MarketQuotes = CalibrationEurStandard.fwdMarketQuotes(FWD6_FIXING_QUOTE, FWD6_FRA_QUOTES, FWD6_IRS_QUOTES);
string[] fwd6IdValue = CalibrationEurStandard.fwdIdValue(6, FWD6_FIXING_QUOTE, FWD6_FRA_QUOTES, FWD6_IRS_QUOTES, FWD6_FRA_TENORS, FWD6_IRS_TENORS);
/* All quotes for the curve calibration */
MarketData allQuotes = CalibrationEurStandard.allQuotes(VAL_DATE, DSC_MARKET_QUOTES, dscIdValues, fwd3MarketQuotes, fwd3IdValue, fwd6MarketQuotes, fwd6IdValue);
/* All nodes by groups. */
RatesCurveGroupDefinition config = CalibrationEurStandard.config(DSC_OIS_TENORS, dscIdValues, FWD3_FRA_TENORS, FWD3_IRS_TENORS, fwd3IdValue, FWD6_FRA_TENORS, FWD6_IRS_TENORS, fwd6IdValue);
ImmutableList <CurveDefinition> definitions = config.CurveDefinitions;
// Test PV Dsc
ImmutableList <CurveNode> dscNodes = definitions.get(0).Nodes;
IList <ResolvedTrade> dscTrades = new List <ResolvedTrade>();
for (int i = 0; i < dscNodes.size(); i++)
{
dscTrades.Add(dscNodes.get(i).resolvedTrade(1d, allQuotes, REF_DATA));
}
// OIS
for (int loopnode = 0; loopnode < DSC_MARKET_QUOTES.Length; loopnode++)
{
PointSensitivities pts = SWAP_PRICER.parRateSensitivity(((ResolvedSwapTrade)dscTrades[loopnode]).Product, provider).build();
CurrencyParameterSensitivities ps = provider.parameterSensitivity(pts);
CurrencyParameterSensitivities mqs = MQC.sensitivity(ps, provider);
assertEquals(mqs.size(), 3); // Calibration of all curves simultaneously
CurrencyParameterSensitivity mqsDsc = mqs.getSensitivity(CalibrationEurStandard.DSCON_CURVE_NAME, EUR);
assertTrue(mqsDsc.MarketDataName.Equals(CalibrationEurStandard.DSCON_CURVE_NAME));
assertTrue(mqsDsc.Currency.Equals(EUR));
DoubleArray mqsData = mqsDsc.Sensitivity;
assertEquals(mqsData.size(), DSC_MARKET_QUOTES.Length);
for (int i = 0; i < mqsData.size(); i++)
{
assertEquals(mqsData.get(i), (i == loopnode) ? 1.0 : 0.0, TOLERANCE_DELTA);
}
}
// Test PV Fwd3
ImmutableList <CurveNode> fwd3Nodes = definitions.get(1).Nodes;
IList <ResolvedTrade> fwd3Trades = new List <ResolvedTrade>();
for (int i = 0; i < fwd3Nodes.size(); i++)
{
fwd3Trades.Add(fwd3Nodes.get(i).resolvedTrade(1d, allQuotes, REF_DATA));
}
for (int loopnode = 0; loopnode < fwd3MarketQuotes.Length; loopnode++)
{
PointSensitivities pts = null;
if (fwd3Trades[loopnode] is ResolvedIborFixingDepositTrade)
{
pts = PRICER_FIXING.parSpreadSensitivity(((ResolvedIborFixingDepositTrade)fwd3Trades[loopnode]).Product, provider);
}
if (fwd3Trades[loopnode] is ResolvedFraTrade)
{
pts = PRICER_FRA.parSpreadSensitivity(((ResolvedFraTrade)fwd3Trades[loopnode]).Product, provider);
}
if (fwd3Trades[loopnode] is ResolvedSwapTrade)
{
pts = SWAP_PRICER.parSpreadSensitivity(((ResolvedSwapTrade)fwd3Trades[loopnode]).Product, provider).build();
}
CurrencyParameterSensitivities ps = provider.parameterSensitivity(pts);
CurrencyParameterSensitivities mqs = MQC.sensitivity(ps, provider);
assertEquals(mqs.size(), 3); // Calibration of all curves simultaneously
CurrencyParameterSensitivity mqsDsc = mqs.getSensitivity(CalibrationEurStandard.DSCON_CURVE_NAME, EUR);
CurrencyParameterSensitivity mqsFwd3 = mqs.getSensitivity(CalibrationEurStandard.FWD3_CURVE_NAME, EUR);
DoubleArray mqsDscData = mqsDsc.Sensitivity;
assertEquals(mqsDscData.size(), DSC_MARKET_QUOTES.Length);
for (int i = 0; i < mqsDscData.size(); i++)
{
assertEquals(mqsDscData.get(i), 0.0, TOLERANCE_DELTA);
}
DoubleArray mqsFwd3Data = mqsFwd3.Sensitivity;
assertEquals(mqsFwd3Data.size(), fwd3MarketQuotes.Length);
for (int i = 0; i < mqsFwd3Data.size(); i++)
{
assertEquals(mqsFwd3Data.get(i), (i == loopnode) ? 1.0 : 0.0, TOLERANCE_DELTA);
}
}
// Test PV Fwd6
ImmutableList <CurveNode> fwd6Nodes = definitions.get(2).Nodes;
IList <ResolvedTrade> fwd6Trades = new List <ResolvedTrade>();
for (int i = 0; i < fwd6Nodes.size(); i++)
{
fwd6Trades.Add(fwd6Nodes.get(i).resolvedTrade(1d, allQuotes, REF_DATA));
}
for (int loopnode = 0; loopnode < fwd6MarketQuotes.Length; loopnode++)
{
PointSensitivities pts = null;
if (fwd6Trades[loopnode] is ResolvedIborFixingDepositTrade)
{
pts = PRICER_FIXING.parSpreadSensitivity(((ResolvedIborFixingDepositTrade)fwd6Trades[loopnode]).Product, provider);
}
if (fwd6Trades[loopnode] is ResolvedFraTrade)
{
pts = PRICER_FRA.parSpreadSensitivity(((ResolvedFraTrade)fwd6Trades[loopnode]).Product, provider);
}
if (fwd6Trades[loopnode] is ResolvedSwapTrade)
{
pts = SWAP_PRICER.parSpreadSensitivity(((ResolvedSwapTrade)fwd6Trades[loopnode]).Product, provider).build();
}
CurrencyParameterSensitivities ps = provider.parameterSensitivity(pts);
CurrencyParameterSensitivities mqs = MQC.sensitivity(ps, provider);
assertEquals(mqs.size(), 3);
CurrencyParameterSensitivity mqsDsc = mqs.getSensitivity(CalibrationEurStandard.DSCON_CURVE_NAME, EUR);
CurrencyParameterSensitivity mqsFwd3 = mqs.getSensitivity(CalibrationEurStandard.FWD3_CURVE_NAME, EUR);
CurrencyParameterSensitivity mqsFwd6 = mqs.getSensitivity(CalibrationEurStandard.FWD6_CURVE_NAME, EUR);
DoubleArray mqsDscData = mqsDsc.Sensitivity;
assertEquals(mqsDscData.size(), DSC_MARKET_QUOTES.Length);
for (int i = 0; i < mqsDscData.size(); i++)
{
assertEquals(mqsDscData.get(i), 0.0, TOLERANCE_DELTA);
}
DoubleArray mqsFwd3Data = mqsFwd3.Sensitivity;
assertEquals(mqsFwd3Data.size(), fwd3MarketQuotes.Length);
for (int i = 0; i < mqsFwd3Data.size(); i++)
{
assertEquals(mqsFwd3Data.get(i), 0.0, TOLERANCE_DELTA);
}
DoubleArray mqsFwd6Data = mqsFwd6.Sensitivity;
assertEquals(mqsFwd6Data.size(), fwd6MarketQuotes.Length);
for (int i = 0; i < mqsFwd6Data.size(); i++)
{
assertEquals(mqsFwd6Data.get(i), (i == loopnode) ? 1.0 : 0.0, TOLERANCE_DELTA);
}
}
}
