public virtual void present_value_sensitivity_payer_receiver_parity()
{
PointSensitivities pvptLongPay = PRICER_SWAPTION_BLACK.presentValueSensitivityRatesStickyStrike(SWAPTION_LONG_PAY, MULTI_USD, BLACK_VOLS_USD_STD).build();
PointSensitivities pvptShortRec = PRICER_SWAPTION_BLACK.presentValueSensitivityRatesStickyStrike(SWAPTION_SHORT_REC, MULTI_USD, BLACK_VOLS_USD_STD).build();
PointSensitivities pvptSwapRec = PRICER_SWAP.presentValueSensitivity(RSWAP_PAY, MULTI_USD).build();
CurrencyParameterSensitivities pvpsLongPay = MULTI_USD.parameterSensitivity(pvptLongPay);
CurrencyParameterSensitivities pvpsShortRec = MULTI_USD.parameterSensitivity(pvptShortRec);
CurrencyParameterSensitivities pvpsSwapRec = MULTI_USD.parameterSensitivity(pvptSwapRec);
assertTrue(pvpsLongPay.combinedWith(pvpsShortRec).equalWithTolerance(pvpsSwapRec, TOLERANCE_PV_DELTA));
}
private void calibration_market_quote_sensitivity_check(System.Func <MarketData, RatesProvider> calibrator, double shift)
{
double notional = 100_000_000.0;
double spread = 0.0050;
SwapTrade trade = IborIborSwapConventions.USD_LIBOR_3M_LIBOR_6M.createTrade(VAL_DATE, Period.ofMonths(8), Tenor.TENOR_7Y, BuySell.BUY, notional, spread, REF_DATA);
RatesProvider result = calibrator(ALL_QUOTES);
ResolvedSwap product = trade.Product.resolve(REF_DATA);
PointSensitivityBuilder pts = SWAP_PRICER.presentValueSensitivity(product, result);
CurrencyParameterSensitivities ps = result.parameterSensitivity(pts.build());
CurrencyParameterSensitivities mqs = MQC.sensitivity(ps, result);
double pv0 = SWAP_PRICER.presentValue(product, result).getAmount(USD).Amount;
double[] mqsDscComputed = mqs.getSensitivity(DSCON_CURVE_NAME, USD).Sensitivity.toArray();
for (int i = 0; i < DSC_NB_NODES; i++)
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> map = new java.util.HashMap<>(ALL_QUOTES.getValues());
IDictionary <MarketDataId <object>, object> map = new Dictionary <MarketDataId <object>, object>(ALL_QUOTES.Values);
map[QuoteId.of(StandardId.of(SCHEME, DSC_ID_VALUE[i]))] = DSC_MARKET_QUOTES[i] + shift;
ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map);
RatesProvider rpShifted = calibrator(marketData);
double pvS = SWAP_PRICER.presentValue(product, rpShifted).getAmount(USD).Amount;
assertEquals(mqsDscComputed[i], (pvS - pv0) / shift, TOLERANCE_PV_DELTA, "DSC - node " + i);
}
double[] mqsFwd3Computed = mqs.getSensitivity(FWD3_CURVE_NAME, USD).Sensitivity.toArray();
for (int i = 0; i < FWD3_NB_NODES; i++)
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> map = new java.util.HashMap<>(ALL_QUOTES.getValues());
IDictionary <MarketDataId <object>, object> map = new Dictionary <MarketDataId <object>, object>(ALL_QUOTES.Values);
map[QuoteId.of(StandardId.of(SCHEME, FWD3_ID_VALUE[i]))] = FWD3_MARKET_QUOTES[i] + shift;
ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map);
RatesProvider rpShifted = calibrator(marketData);
double pvS = SWAP_PRICER.presentValue(product, rpShifted).getAmount(USD).Amount;
assertEquals(mqsFwd3Computed[i], (pvS - pv0) / shift, TOLERANCE_PV_DELTA, "FWD3 - node " + i);
}
double[] mqsFwd6Computed = mqs.getSensitivity(FWD6_CURVE_NAME, USD).Sensitivity.toArray();
for (int i = 0; i < FWD6_NB_NODES; i++)
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.Map<com.opengamma.strata.data.MarketDataId<?>, Object> map = new java.util.HashMap<>(ALL_QUOTES.getValues());
IDictionary <MarketDataId <object>, object> map = new Dictionary <MarketDataId <object>, object>(ALL_QUOTES.Values);
map[QuoteId.of(StandardId.of(SCHEME, FWD6_ID_VALUE[i]))] = FWD6_MARKET_QUOTES[i] + shift;
ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map);
RatesProvider rpShifted = calibrator(marketData);
double pvS = SWAP_PRICER.presentValue(product, rpShifted).getAmount(USD).Amount;
assertEquals(mqsFwd6Computed[i], (pvS - pv0) / shift, TOLERANCE_PV_DELTA, "FWD6 - node " + i);
}
}
public virtual void test_presentValueSensitivity_parity()
{
CurrencyParameterSensitivities pvSensiRecLong = RATE_PROVIDER.parameterSensitivity(PRICER.presentValueSensitivityRates(SWAPTION_REC_LONG, RATE_PROVIDER, HW_PROVIDER).build());
CurrencyParameterSensitivities pvSensiRecShort = RATE_PROVIDER.parameterSensitivity(PRICER.presentValueSensitivityRates(SWAPTION_REC_SHORT, RATE_PROVIDER, HW_PROVIDER).build());
CurrencyParameterSensitivities pvSensiPayLong = RATE_PROVIDER.parameterSensitivity(PRICER.presentValueSensitivityRates(SWAPTION_PAY_LONG, RATE_PROVIDER, HW_PROVIDER).build());
CurrencyParameterSensitivities pvSensiPayShort = RATE_PROVIDER.parameterSensitivity(PRICER.presentValueSensitivityRates(SWAPTION_PAY_SHORT, RATE_PROVIDER, HW_PROVIDER).build());
assertTrue(pvSensiRecLong.equalWithTolerance(pvSensiRecShort.multipliedBy(-1d), NOTIONAL * TOL));
assertTrue(pvSensiPayLong.equalWithTolerance(pvSensiPayShort.multipliedBy(-1d), NOTIONAL * TOL));
PointSensitivities expectedPoint = SWAP_PRICER.presentValueSensitivity(RSWAP_PAY, RATE_PROVIDER).build();
CurrencyParameterSensitivities expected = RATE_PROVIDER.parameterSensitivity(expectedPoint);
assertTrue(expected.equalWithTolerance(pvSensiPayLong.combinedWith(pvSensiRecLong.multipliedBy(-1d)), NOTIONAL * TOL));
assertTrue(expected.equalWithTolerance(pvSensiRecShort.combinedWith(pvSensiPayShort.multipliedBy(-1d)), NOTIONAL * TOL));
}
// 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));
}
public virtual void test_presentValueSensitivity_parity()
{
CurrencyParameterSensitivities pvSensiRecLong = RATE_PROVIDER.parameterSensitivity(SWAPTION_PRICER.presentValueSensitivityRatesStickyModel(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS).build());
CurrencyParameterSensitivities pvSensiRecShort = RATE_PROVIDER.parameterSensitivity(SWAPTION_PRICER.presentValueSensitivityRatesStickyModel(SWAPTION_REC_SHORT, RATE_PROVIDER, VOLS).build());
CurrencyParameterSensitivities pvSensiPayLong = RATE_PROVIDER.parameterSensitivity(SWAPTION_PRICER.presentValueSensitivityRatesStickyModel(SWAPTION_PAY_LONG, RATE_PROVIDER, VOLS).build());
CurrencyParameterSensitivities pvSensiPayShort = RATE_PROVIDER.parameterSensitivity(SWAPTION_PRICER.presentValueSensitivityRatesStickyModel(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS).build());
assertTrue(pvSensiRecLong.equalWithTolerance(pvSensiRecShort.multipliedBy(-1d), NOTIONAL * TOL));
assertTrue(pvSensiPayLong.equalWithTolerance(pvSensiPayShort.multipliedBy(-1d), NOTIONAL * TOL));
CurrencyParameterSensitivities pvSensiSwap = RATE_PROVIDER.parameterSensitivity(SWAP_PRICER.presentValueSensitivity(RSWAP_PAY, RATE_PROVIDER).build());
assertTrue(pvSensiSwap.equalWithTolerance(pvSensiPayLong.combinedWith(pvSensiRecLong.multipliedBy(-1d)), NOTIONAL * TOL));
assertTrue(pvSensiSwap.equalWithTolerance(pvSensiRecShort.combinedWith(pvSensiPayShort.multipliedBy(-1d)), NOTIONAL * TOL));
}
