/// <summary>
/// Test for the case where publication lag=0, effective offset=0 (GBP conventions) and no cutoff period.
/// The arithmetic average coupons are used mainly in USD. This test is more for completeness than a real case.
/// </summary>
public virtual void rateGbpNoCutOffSensitivity()
{
OvernightIndexRates mockRates = mock(typeof(OvernightIndexRates));
when(mockRates.Index).thenReturn(GBP_SONIA);
SimpleRatesProvider simpleProv = new SimpleRatesProvider(mockRates);
for (int i = 0; i < GBP_OBS.Length; i++)
{
when(mockRates.rate(GBP_OBS[i])).thenReturn(FIXING_RATES[i]);
OvernightRateSensitivity sensitivity = OvernightRateSensitivity.of(GBP_OBS[i], GBP_SONIA.Currency, 1d);
when(mockRates.ratePointSensitivity(GBP_OBS[i])).thenReturn(sensitivity);
}
OvernightAveragedRateComputation ro = OvernightAveragedRateComputation.of(GBP_SONIA, START_DATE, END_DATE, 0, REF_DATA);
ForwardOvernightAveragedRateComputationFn obsFn = ForwardOvernightAveragedRateComputationFn.DEFAULT;
PointSensitivityBuilder sensitivityBuilderComputed = obsFn.rateSensitivity(ro, DUMMY_ACCRUAL_START_DATE, DUMMY_ACCRUAL_END_DATE, simpleProv);
PointSensitivities sensitivityComputed = sensitivityBuilderComputed.build().normalized();
double?[] sensitivityExpected = computedSensitivityFD(ro, GBP_SONIA, GBP_OBS);
assertEquals(sensitivityComputed.Sensitivities.size(), sensitivityExpected.Length);
for (int i = 0; i < sensitivityExpected.Length; ++i)
{
assertEquals(sensitivityComputed.Sensitivities.get(i).Sensitivity, sensitivityExpected[i], EPS_FD);
}
}
// node sensitivity function
private System.Func <DoubleArray, DoubleMatrix> createJacobianFunction(SabrIborCapletFloorletVolatilityCalibrationDefinition sabrDefinition, RatesProvider ratesProvider, SabrParametersIborCapletFloorletVolatilities volatilities, IList <ResolvedIborCapFloorLeg> capList, IList <double> priceList, Currency currency)
{
int nCaps = capList.Count;
SabrParameters sabrParams = volatilities.Parameters;
CurveName alphaName = sabrParams.AlphaCurve.Name;
CurveName betaName = sabrParams.BetaCurve.Name;
CurveName rhoName = sabrParams.RhoCurve.Name;
CurveName nuName = sabrParams.NuCurve.Name;
System.Func <DoubleArray, DoubleMatrix> jacobianFunction = (DoubleArray x) =>
{
SabrParametersIborCapletFloorletVolatilities volsNew = updateParameters(sabrDefinition, volatilities, x);
double[][] jacobian = new double[nCaps][];
for (int i = 0; i < nCaps; ++i)
{
PointSensitivities point = sabrPricer.presentValueSensitivityModelParamsSabr(capList[i], ratesProvider, volsNew).build();
CurrencyParameterSensitivities sensi = volsNew.parameterSensitivity(point);
double targetPriceInv = 1d / priceList[i];
DoubleArray sensitivities = sensi.getSensitivity(alphaName, currency).Sensitivity;
if (sabrDefinition.BetaCurve.Present)
{ // beta fixed
sensitivities = sensitivities.concat(sensi.getSensitivity(rhoName, currency).Sensitivity);
}
else
{ // rho fixed
sensitivities = sensitivities.concat(sensi.getSensitivity(betaName, currency).Sensitivity);
}
jacobian[i] = sensitivities.concat(sensi.getSensitivity(nuName, currency).Sensitivity).multipliedBy(targetPriceInv).toArray();
}
return(DoubleMatrix.ofUnsafe(jacobian));
};
return(jacobianFunction);
}
public virtual void presentValueSensitivity()
{
// March
PointSensitivities pointMar = TRADE_PRICER.presentValueSensitivity(FUTURE_TRADE_MAR, LED_PROVIDER).multipliedBy(ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiMar = LED_PROVIDER.parameterSensitivity(pointMar);
double[] sensiIssuerMar = new double[] { -4.795692708445902, -20.78121586131013, -77.30767169573404, -160.71777740512184, -230.44416935116368, -333.3307694739688, -426.3036155523117, -568.5365085703306, -104079.34097674876, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0 };
double[] sensiRepoMar = new double[] { 0.0, 0.0, 0.0, 0.0, 1370.1400848092012, 335.54451056551886, 0.0, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(sensiMar.getSensitivity(ISSUER_CURVE_NAME, JPY).Sensitivity.toArray(), sensiIssuerMar, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(sensiMar.getSensitivity(REPO_CURVE_NAME, JPY).Sensitivity.toArray(), sensiRepoMar, TOL));
// June
PointSensitivities pointJun = TRADE_PRICER.presentValueSensitivity(FUTURE_TRADE_JUN, LED_PROVIDER).multipliedBy(ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiJun = LED_PROVIDER.parameterSensitivity(pointJun);
double[] sensiIssuerJun = new double[] { -11.453989553600326, -23.489264982865656, -101.06640809190962, -195.09367993719025, -313.2622179286758, -439.5002117284386, -557.2262990208807, -785.8225833901945, -70871.70775675304, -35397.369780751746, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0 };
double[] sensiRepoJun = new double[] { 0.0, 0.0, 0.0, 0.0, 0.0, 3012.223890022257, 2421.5917547237764, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(sensiJun.getSensitivity(ISSUER_CURVE_NAME, JPY).Sensitivity.toArray(), sensiIssuerJun, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(sensiJun.getSensitivity(REPO_CURVE_NAME, JPY).Sensitivity.toArray(), sensiRepoJun, TOL));
// September
PointSensitivities pointSep = TRADE_PRICER.presentValueSensitivity(FUTURE_TRADE_SEP, LED_PROVIDER).multipliedBy(ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiSep = LED_PROVIDER.parameterSensitivity(pointSep);
double[] sensiIssuerSep = new double[] { -6.287268294968501, -27.244672992830814, -101.35221390528456, -210.7048653341435, -302.1178394458564, -437.0046427203812, -558.8942763935072, -745.3650144370276, -36876.05192905092, -73138.88023068209, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0 };
double[] sensiRepoSep = new double[] { 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 7209.056180693215, 2065.3493968426155 };
assertTrue(DoubleArrayMath.fuzzyEquals(sensiSep.getSensitivity(ISSUER_CURVE_NAME, JPY).Sensitivity.toArray(), sensiIssuerSep, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(sensiSep.getSensitivity(REPO_CURVE_NAME, JPY).Sensitivity.toArray(), sensiRepoSep, TOL));
}
// market quote sum PV01 for one scenario
internal MultiCurrencyAmount pv01MarketQuoteSum(ResolvedSwapTrade trade, RatesProvider ratesProvider)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
return(MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider).total().multipliedBy(ONE_BASIS_POINT));
}
public virtual void test_currencyExposureOnFixing_noTimeSeries()
{
double eps = 1.0e-14;
LocalDate valuationDate = date(2014, 6, 27);
LocalDate paymentDate = date(2014, 7, 1);
LocalDate fixingDate = date(2014, 6, 27);
FxResetNotionalExchange resetNotionalUSD = FxResetNotionalExchange.of(CurrencyAmount.of(USD, NOTIONAL), paymentDate, FxIndexObservation.of(GBP_USD_WM, fixingDate, REF_DATA));
FxResetNotionalExchange resetNotionalGBP = FxResetNotionalExchange.of(CurrencyAmount.of(GBP, -NOTIONAL), paymentDate, FxIndexObservation.of(GBP_USD_WM, fixingDate, REF_DATA));
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(valuationDate).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
// USD
MultiCurrencyAmount computedUSD = test.currencyExposure(resetNotionalUSD, prov);
PointSensitivities pointUSD = test.presentValueSensitivity(resetNotionalUSD, prov).build();
MultiCurrencyAmount expectedUSD = prov.currencyExposure(pointUSD.convertedTo(USD, prov)).plus(CurrencyAmount.of(resetNotionalUSD.Currency, test.presentValue(resetNotionalUSD, prov)));
assertFalse(computedUSD.contains(GBP)); // 0 GBP
assertEquals(computedUSD.getAmount(USD).Amount, expectedUSD.getAmount(USD).Amount, eps * NOTIONAL);
// GBP
MultiCurrencyAmount computedGBP = test.currencyExposure(resetNotionalGBP, prov);
PointSensitivities pointGBP = test.presentValueSensitivity(resetNotionalGBP, prov).build();
MultiCurrencyAmount expectedGBP = prov.currencyExposure(pointGBP.convertedTo(GBP, prov)).plus(CurrencyAmount.of(resetNotionalGBP.Currency, test.presentValue(resetNotionalGBP, prov)));
assertFalse(computedGBP.contains(USD)); // 0 USD
assertEquals(computedGBP.getAmount(GBP).Amount, expectedGBP.getAmount(GBP).Amount, eps * NOTIONAL);
// FD approximation
FxMatrix fxMatrixUp = FxMatrix.of(GBP, USD, FX_RATE + EPS_FD);
ImmutableRatesProvider provUp = ImmutableRatesProvider.builder(valuationDate).fxRateProvider(fxMatrixUp).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
double expectedFdUSD = -(test.presentValue(resetNotionalUSD, provUp) - test.presentValue(resetNotionalUSD, prov)) * FX_RATE * FX_RATE / EPS_FD;
assertEquals(computedUSD.getAmount(USD).Amount, expectedFdUSD, EPS_FD * NOTIONAL);
double expectedFdGBP = (test.presentValue(resetNotionalGBP, provUp) - test.presentValue(resetNotionalGBP, prov)) / EPS_FD;
assertEquals(computedGBP.getAmount(GBP).Amount, expectedFdGBP, EPS_FD * NOTIONAL);
}
public virtual void parSpreadSensitivity()
{
// March
PointSensitivities pointMar = TRADE_PRICER.parSpreadSensitivity(FUTURE_TRADE_MAR, LED_PROVIDER).multipliedBy(HUNDRED * ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiMar = LED_PROVIDER.parameterSensitivity(pointMar);
double[] sensiIssuerMar = new double[] { -4.795692708445902E-6, -2.0781215861310126E-5, -7.730767169573405E-5, -1.6071777740512183E-4, -2.3044416935116369E-4, -3.333307694739688E-4, -4.263036155523118E-4, -5.685365085703306E-4, -0.10407934097674876, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0 };
double[] sensiRepoMar = new double[] { 0.0, 0.0, 0.0, 0.0, 0.001370140084809201, 3.3554451056551886E-4, 0.0, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(sensiMar.getSensitivity(ISSUER_CURVE_NAME, JPY).Sensitivity.toArray(), sensiIssuerMar, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(sensiMar.getSensitivity(REPO_CURVE_NAME, JPY).Sensitivity.toArray(), sensiRepoMar, TOL));
// June
PointSensitivities pointJun = TRADE_PRICER.parSpreadSensitivity(FUTURE_TRADE_JUN, LED_PROVIDER).multipliedBy(HUNDRED * ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiJun = LED_PROVIDER.parameterSensitivity(pointJun);
double[] sensiIssuerJun = new double[] { -1.1453989553600325E-5, -2.348926498286566E-5, -1.0106640809190963E-4, -1.9509367993719023E-4, -3.132622179286758E-4, -4.395002117284386E-4, -5.572262990208806E-4, -7.858225833901946E-4, -0.07087170775675304, -0.03539736978075175, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0 };
double[] sensiRepoJun = new double[] { 0.0, 0.0, 0.0, 0.0, 0.0, 0.003012223890022257, 0.0024215917547237764, 0.0 };
assertTrue(DoubleArrayMath.fuzzyEquals(sensiJun.getSensitivity(ISSUER_CURVE_NAME, JPY).Sensitivity.toArray(), sensiIssuerJun, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(sensiJun.getSensitivity(REPO_CURVE_NAME, JPY).Sensitivity.toArray(), sensiRepoJun, TOL));
// September
PointSensitivities pointSep = TRADE_PRICER.parSpreadSensitivity(FUTURE_TRADE_SEP, LED_PROVIDER).multipliedBy(HUNDRED * ONE_BASIS_POINT);
CurrencyParameterSensitivities sensiSep = LED_PROVIDER.parameterSensitivity(pointSep);
double[] sensiIssuerSep = new double[] { -6.287268294968501E-6, -2.7244672992830814E-5, -1.0135221390528455E-4, -2.1070486533414349E-4, -3.021178394458564E-4, -4.370046427203812E-4, -5.588942763935072E-4, -7.453650144370277E-4, -0.03687605192905092, -0.07313888023068209, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0 };
double[] sensiRepoSep = new double[] { 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.007209056180693214, 0.0020653493968426154 };
assertTrue(DoubleArrayMath.fuzzyEquals(sensiSep.getSensitivity(ISSUER_CURVE_NAME, JPY).Sensitivity.toArray(), sensiIssuerSep, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(sensiSep.getSensitivity(REPO_CURVE_NAME, JPY).Sensitivity.toArray(), sensiRepoSep, TOL));
}
public virtual void test_rateSensitivity()
{
IborIndexRates mockIbor = mock(typeof(IborIndexRates));
SimpleRatesProvider prov = new SimpleRatesProvider();
prov.IborRates = mockIbor;
IList <IborAveragedFixing> fixings = new List <IborAveragedFixing>();
double totalWeight = 0.0d;
for (int i = 0; i < OBSERVATIONS.Length; i++)
{
IborIndexObservation obs = OBSERVATIONS[i];
IborAveragedFixing fixing = IborAveragedFixing.builder().observation(obs).weight(WEIGHTS[i]).build();
fixings.Add(fixing);
totalWeight += WEIGHTS[i];
when(mockIbor.ratePointSensitivity(obs)).thenReturn(SENSITIVITIES[i]);
}
PointSensitivities expected = PointSensitivities.of(ImmutableList.of(IborRateSensitivity.of(OBSERVATIONS[0], WEIGHTS[0] / totalWeight), IborRateSensitivity.of(OBSERVATIONS[1], WEIGHTS[1] / totalWeight), IborRateSensitivity.of(OBSERVATIONS[2], WEIGHTS[2] / totalWeight), IborRateSensitivity.of(OBSERVATIONS[3], WEIGHTS[3] / totalWeight)));
IborAveragedRateComputation ro = IborAveragedRateComputation.of(fixings);
ForwardIborAveragedRateComputationFn obsFn = ForwardIborAveragedRateComputationFn.DEFAULT;
PointSensitivityBuilder test = obsFn.rateSensitivity(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, prov);
assertEquals(test.build(), expected);
}
public virtual void test_marginIndexSensitivity()
{
PointSensitivities point = OPTION_PRICER.priceSensitivityRatesStickyStrike(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS);
PointSensitivities computed = OPTION_PRICER.marginIndexSensitivity(FUTURE_OPTION_PRODUCT, point);
assertEquals(computed, point.multipliedBy(FUTURE_OPTION_PRODUCT.UnderlyingFuture.Notional));
}
// market quote bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedFraTrade trade, RatesProvider ratesProvider)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
return(MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider).multipliedBy(ONE_BASIS_POINT));
}
public CurrencyParameterSensitivities sensitivities(T trade, RatesProvider provider)
{
PointSensitivities pts = sensitivityFn.apply(trade, provider);
CurrencyParameterSensitivities ps = provider.parameterSensitivity(pts);
return(MQC.sensitivity(ps, provider));
}
private void presentValueSensitivityRawDataParallelSensitivity(SabrParametersSwaptionVolatilities sabrCalibrated, TenorRawOptionData dataRaw)
{
PointSensitivities points = LEG_PRICER.presentValueSensitivityModelParamsSabr(FLOOR_LEG, MULTICURVE, sabrCalibrated).build();
CurrencyParameterSensitivities sabrParametersSurfaceSensitivities = sabrCalibrated.parameterSensitivity(points);
CurrencyParameterSensitivity parallelSensitivitiesSurface = RDSC.parallelSensitivity(sabrParametersSurfaceSensitivities, sabrCalibrated);
DoubleArray sensitivityArray = parallelSensitivitiesSurface.Sensitivity;
double fdShift = 1.0E-6;
int surfacePointIndex = 0;
for (int loopexpiry = 0; loopexpiry < EXPIRIES.size(); loopexpiry++)
{
for (int looptenor = 0; looptenor < TENORS.size(); looptenor++)
{
Tenor tenor = TENORS.get(looptenor);
Pair <DoubleArray, DoubleArray> ds = dataRaw.getData(tenor).availableSmileAtExpiry(EXPIRIES.get(loopexpiry));
if (!ds.First.Empty)
{
double[] pv = new double[2]; // pv with shift up and down
for (int loopsign = 0; loopsign < 2; loopsign++)
{
TenorRawOptionData dataShifted = SabrSwaptionCalibratorSmileTestUtils.rawDataShiftSmile(TENORS, EXPIRIES, ValueType.SIMPLE_MONEYNESS, MONEYNESS, ValueType.NORMAL_VOLATILITY, DATA_ARRAY_FULL, looptenor, loopexpiry, (2 * loopsign - 1) * fdShift);
SabrParametersSwaptionVolatilities calibratedShifted = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, dataShifted, MULTICURVE, BETA_SURFACE, SHIFT_SABR_SURFACE);
pv[loopsign] = LEG_PRICER.presentValue(FLOOR_LEG, MULTICURVE, calibratedShifted).Amount;
}
double sensitivityFd = (pv[1] - pv[0]) / (2 * fdShift); // FD sensitivity computation
SabrSwaptionCalibratorSmileTestUtils.checkAcceptable(sensitivityFd, sensitivityArray.get(surfacePointIndex), 0.10, "Tenor/Expiry: " + TENORS.get(looptenor) + " / " + EXPIRIES.get(loopexpiry));
surfacePointIndex++;
}
}
}
}
public virtual void test_presentValueSensitivityModelParamsSabr_parity()
{
PointSensitivities pvSensiRecLong = SWAPTION_PRICER.presentValueSensitivityModelParamsSabr(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS).build();
PointSensitivities pvSensiRecShort = SWAPTION_PRICER.presentValueSensitivityModelParamsSabr(SWAPTION_REC_SHORT, RATE_PROVIDER, VOLS).build();
PointSensitivities pvSensiPayLong = SWAPTION_PRICER.presentValueSensitivityModelParamsSabr(SWAPTION_PAY_LONG, RATE_PROVIDER, VOLS).build();
PointSensitivities pvSensiPayShort = SWAPTION_PRICER.presentValueSensitivityModelParamsSabr(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS).build();
assertSensitivity(pvSensiRecLong, pvSensiRecShort, SabrParameterType.ALPHA, -1);
assertSensitivity(pvSensiPayLong, pvSensiPayShort, SabrParameterType.ALPHA, -1);
assertSensitivity(pvSensiRecLong, pvSensiPayLong, SabrParameterType.ALPHA, 1);
assertSensitivity(pvSensiPayShort, pvSensiPayShort, SabrParameterType.ALPHA, 1);
assertSensitivity(pvSensiRecLong, pvSensiRecShort, SabrParameterType.BETA, -1);
assertSensitivity(pvSensiPayLong, pvSensiPayShort, SabrParameterType.BETA, -1);
assertSensitivity(pvSensiRecLong, pvSensiPayLong, SabrParameterType.BETA, 1);
assertSensitivity(pvSensiPayShort, pvSensiPayShort, SabrParameterType.BETA, 1);
assertSensitivity(pvSensiRecLong, pvSensiRecShort, SabrParameterType.RHO, -1);
assertSensitivity(pvSensiPayLong, pvSensiPayShort, SabrParameterType.RHO, -1);
assertSensitivity(pvSensiRecLong, pvSensiPayLong, SabrParameterType.RHO, 1);
assertSensitivity(pvSensiPayShort, pvSensiPayShort, SabrParameterType.RHO, 1);
assertSensitivity(pvSensiRecLong, pvSensiRecShort, SabrParameterType.NU, -1);
assertSensitivity(pvSensiPayLong, pvSensiPayShort, SabrParameterType.NU, -1);
assertSensitivity(pvSensiRecLong, pvSensiPayLong, SabrParameterType.NU, 1);
assertSensitivity(pvSensiPayShort, pvSensiPayShort, SabrParameterType.NU, 1);
}
public virtual void presentValueSensitivity_zspread_aftermaturity()
{
PointSensitivities sensiComputed = PRICER.presentValueSensitivityWithZSpread(BILL_PAST, PROVIDER, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0);
PointSensitivities sensiExpected = PointSensitivities.empty();
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, TOLERANCE_PV));
}
public virtual void presentValueSensitivity_aftermaturity()
{
PointSensitivities sensiComputed = PRICER.presentValueSensitivity(BILL_PAST, PROVIDER);
PointSensitivities sensiExpected = PointSensitivities.empty();
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, TOLERANCE_PV));
}
internal override DoubleArray computedBucketedCs01(ResolvedCdsTrade trade, IList <ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)
{
checkCdsBucket(trade, bucketCds);
ResolvedCds product = trade.Product;
Currency currency = product.Currency;
StandardId legalEntityId = product.LegalEntityId;
LocalDate valuationDate = ratesProvider.ValuationDate;
int nBucket = bucketCds.Count;
DoubleArray impSp = impliedSpread(bucketCds, ratesProvider, refData);
NodalCurve creditCurveBase = Calibrator.calibrate(bucketCds, impSp, DoubleArray.filled(nBucket), CurveName.of("baseImpliedCreditCurve"), valuationDate, ratesProvider.discountFactors(currency), ratesProvider.recoveryRates(legalEntityId), refData);
IsdaCreditDiscountFactors df = IsdaCreditDiscountFactors.of(currency, valuationDate, creditCurveBase);
CreditRatesProvider ratesProviderBase = ratesProvider.toImmutableCreditRatesProvider().toBuilder().creditCurves(ImmutableMap.of(Pair.of(legalEntityId, currency), LegalEntitySurvivalProbabilities.of(legalEntityId, df))).build();
double[][] res = new double[nBucket][];
PointSensitivities pointPv = Pricer.presentValueOnSettleSensitivity(trade, ratesProviderBase, refData);
DoubleArray vLambda = ratesProviderBase.singleCreditCurveParameterSensitivity(pointPv, legalEntityId, currency).Sensitivity;
for (int i = 0; i < nBucket; i++)
{
PointSensitivities pointSp = Pricer.parSpreadSensitivity(bucketCds[i], ratesProviderBase, refData);
res[i] = ratesProviderBase.singleCreditCurveParameterSensitivity(pointSp, legalEntityId, currency).Sensitivity.toArray();
}
DoubleMatrix jacT = MATRIX_ALGEBRA.getTranspose(DoubleMatrix.ofUnsafe(res));
LUDecompositionResult luRes = DECOMPOSITION.apply(jacT);
DoubleArray vS = luRes.solve(vLambda);
return(vS);
}
//-------------------------------------------------------------------------
public virtual void test_currencyExposure()
{
double eps = 1.0e-14;
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(FX_MATRIX).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
DiscountingFxResetNotionalExchangePricer test = new DiscountingFxResetNotionalExchangePricer();
// USD
MultiCurrencyAmount computedUSD = test.currencyExposure(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov);
PointSensitivities pointUSD = test.presentValueSensitivity(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov).build();
MultiCurrencyAmount expectedUSD = prov.currencyExposure(pointUSD.convertedTo(USD, prov)).plus(CurrencyAmount.of(FX_RESET_NOTIONAL_EXCHANGE_REC_USD.Currency, test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov)));
assertFalse(computedUSD.contains(GBP)); // 0 GBP
assertEquals(computedUSD.getAmount(USD).Amount, expectedUSD.getAmount(USD).Amount, eps * NOTIONAL);
// GBP
MultiCurrencyAmount computedGBP = test.currencyExposure(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, prov);
PointSensitivities pointGBP = test.presentValueSensitivity(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, prov).build();
MultiCurrencyAmount expectedGBP = prov.currencyExposure(pointGBP.convertedTo(GBP, prov)).plus(CurrencyAmount.of(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP.Currency, test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, prov)));
assertFalse(computedGBP.contains(USD)); // 0 USD
assertEquals(computedGBP.getAmount(GBP).Amount, expectedGBP.getAmount(GBP).Amount, eps * NOTIONAL);
// FD approximation
FxMatrix fxMatrixUp = FxMatrix.of(GBP, USD, FX_RATE + EPS_FD);
ImmutableRatesProvider provUp = ImmutableRatesProvider.builder(VAL_DATE).fxRateProvider(fxMatrixUp).discountCurve(GBP, DISCOUNT_CURVE_GBP).discountCurve(USD, DISCOUNT_CURVE_USD).build();
double expectedFdUSD = -(test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, provUp) - test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_REC_USD, prov)) * FX_RATE * FX_RATE / EPS_FD;
assertEquals(computedUSD.getAmount(USD).Amount, expectedFdUSD, EPS_FD * NOTIONAL);
double expectedFdGBP = (test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, provUp) - test.presentValue(FX_RESET_NOTIONAL_EXCHANGE_PAY_GBP, prov)) / EPS_FD;
assertEquals(computedGBP.getAmount(GBP).Amount, expectedFdGBP, EPS_FD * NOTIONAL);
}
/// <summary>
/// Test present value sensitivity for AFMA FRA discounting method.
/// </summary>
public virtual void test_presentValueSensitivity_AFMA()
{
RateComputationFn<RateComputation> mockObs = mock(typeof(RateComputationFn));
DiscountFactors mockDf = mock(typeof(DiscountFactors));
SimpleRatesProvider simpleProv = new SimpleRatesProvider(VAL_DATE, mockDf);
ResolvedFra fraExp = RFRA_AFMA;
double forwardRate = 0.05;
double discountRate = 0.025;
double paymentTime = 0.3;
double discountFactor = Math.Exp(-discountRate * paymentTime);
LocalDate fixingDate = FRA_AFMA.StartDate;
IborIndexObservation obs = IborIndexObservation.of(FRA.Index, fixingDate, REF_DATA);
PointSensitivityBuilder sens = IborRateSensitivity.of(obs, 1d);
when(mockDf.discountFactor(fraExp.PaymentDate)).thenReturn(discountFactor);
when(mockDf.zeroRatePointSensitivity(fraExp.PaymentDate)).thenReturn(ZeroRateSensitivity.of(fraExp.Currency, paymentTime, -discountFactor * paymentTime));
when(mockObs.rateSensitivity(fraExp.FloatingRate, fraExp.StartDate, fraExp.EndDate, simpleProv)).thenReturn(sens);
when(mockObs.rate(fraExp.FloatingRate, FRA_AFMA.StartDate, FRA_AFMA.EndDate, simpleProv)).thenReturn(forwardRate);
DiscountingFraProductPricer test = new DiscountingFraProductPricer(mockObs);
PointSensitivities sensitivity = test.presentValueSensitivity(fraExp, simpleProv);
double eps = 1.e-7;
double fdDscSense = dscSensitivity(RFRA_AFMA, forwardRate, discountFactor, paymentTime, eps);
double fdSense = presentValueFwdSensitivity(RFRA_AFMA, forwardRate, discountFactor, eps);
ImmutableList<PointSensitivity> sensitivities = sensitivity.Sensitivities;
assertEquals(sensitivities.size(), 2);
IborRateSensitivity sensitivity0 = (IborRateSensitivity) sensitivities.get(0);
assertEquals(sensitivity0.Index, FRA_AFMA.Index);
assertEquals(sensitivity0.Observation.FixingDate, fixingDate);
assertEquals(sensitivity0.Sensitivity, fdSense, FRA_AFMA.Notional * eps);
ZeroRateSensitivity sensitivity1 = (ZeroRateSensitivity) sensitivities.get(1);
assertEquals(sensitivity1.Currency, FRA_AFMA.Currency);
assertEquals(sensitivity1.YearFraction, paymentTime);
assertEquals(sensitivity1.Sensitivity, fdDscSense, FRA_AFMA.Notional * eps);
}
public virtual void test_priceSensitivity_from_generic_provider()
{
BondFutureVolatilities volProvider = BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, SURFACE);
PointSensitivities expected = OPTION_PRICER.priceSensitivityRatesStickyStrike(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS);
PointSensitivities computed = OPTION_PRICER.priceSensitivity(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, volProvider);
assertEquals(computed, expected);
}
//-------------------------------------------------------------------------
public virtual void present_value_sensitivity_FD()
{
PointSensitivities pvpt = PRICER_SWAPTION_BLACK.presentValueSensitivityRatesStickyStrike(SWAPTION_SHORT_REC, MULTI_USD, BLACK_VOLS_CST_USD).build();
CurrencyParameterSensitivities pvpsAd = MULTI_USD.parameterSensitivity(pvpt);
CurrencyParameterSensitivities pvpsFd = FINITE_DIFFERENCE_CALCULATOR.sensitivity(MULTI_USD, (p) => PRICER_SWAPTION_BLACK.presentValue(SWAPTION_SHORT_REC, p, BLACK_VOLS_CST_USD));
assertTrue(pvpsAd.equalWithTolerance(pvpsFd, TOLERANCE_PV_DELTA));
}
public virtual void test_priceSensitivity()
{
PointSensitivities point = PRICER.priceSensitivity(FUTURE, PROVIDER);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(point);
CurrencyParameterSensitivities expected = FD_CAL.sensitivity(PROVIDER, (p) => CurrencyAmount.of(USD, PRICER.price(FUTURE, (p))));
assertTrue(computed.equalWithTolerance(expected, 10d * EPS));
}
// calculates the sensitivity
private CurrencyParameterSensitivity calculateCurveSensitivity(ResolvedFraTrade trade, RatesMarketData marketData, CurveId curveId, Curve bumpedCurve)
{
MarketData bumpedMarketData = marketData.MarketData.withValue(curveId, bumpedCurve);
RatesProvider bumpedRatesProvider = marketData.withMarketData(bumpedMarketData).ratesProvider();
PointSensitivities pointSensitivities = tradePricer.presentValueSensitivity(trade, bumpedRatesProvider);
CurrencyParameterSensitivities paramSensitivities = bumpedRatesProvider.parameterSensitivity(pointSensitivities);
return(Iterables.getOnlyElement(paramSensitivities.Sensitivities));
}
public virtual void test_presentValueSensitivityModelParamsSabr_afterMaturity()
{
PointSensitivities sensiRec = SWAPTION_PRICER.presentValueSensitivityModelParamsSabr(SWAPTION_REC_LONG, RATE_PROVIDER_AFTER_MATURITY, VOLS_AFTER_MATURITY).build();
assertEquals(sensiRec.Sensitivities.size(), 0);
PointSensitivities sensiPay = SWAPTION_PRICER.presentValueSensitivityModelParamsSabr(SWAPTION_PAY_SHORT, RATE_PROVIDER_AFTER_MATURITY, VOLS_AFTER_MATURITY).build();
assertEquals(sensiPay.Sensitivities.size(), 0);
}
/// <summary>
/// Test par spread sensitivity for AFMA FRA Discounting method.
/// </summary>
public virtual void test_parSpreadSensitivity_AFMA()
{
PointSensitivities sensiSpread = DEFAULT_PRICER.parSpreadSensitivity(RFRA_AFMA, IMM_PROV);
CurrencyParameterSensitivities sensiComputed = IMM_PROV.parameterSensitivity(sensiSpread);
CurrencyParameterSensitivities sensiExpected = CAL_FD.sensitivity(IMM_PROV, (p) => CurrencyAmount.of(FRA_AFMA.Currency, DEFAULT_PRICER.parSpread(RFRA_AFMA, (p))));
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, EPS_FD));
PointSensitivities sensiRate = DEFAULT_PRICER.parRateSensitivity(RFRA_AFMA, IMM_PROV);
assertTrue(sensiSpread.equalWithTolerance(sensiRate, EPS_FD));
}
private System.Func <ResolvedCdsTrade, DoubleArray> getParSpreadSensitivityFunction(CreditRatesProvider ratesProvider, CurveName curveName, Currency currency, ReferenceData refData)
{
System.Func <ResolvedCdsTrade, DoubleArray> func = (ResolvedCdsTrade trade) =>
{
PointSensitivities point = tradePricer.parSpreadSensitivity(trade, ratesProvider, refData);
return(ratesProvider.parameterSensitivity(point).getSensitivity(curveName, currency).Sensitivity);
};
return(func);
}
public virtual void present_value_sensitivity_long_short_parity()
{
PointSensitivities pvptLong = PRICER_SWAPTION_BLACK.presentValueSensitivityRatesStickyStrike(SWAPTION_LONG_REC, MULTI_USD, BLACK_VOLS_USD_STD).build();
PointSensitivities pvptShort = PRICER_SWAPTION_BLACK.presentValueSensitivityRatesStickyStrike(SWAPTION_SHORT_REC, MULTI_USD, BLACK_VOLS_USD_STD).build();
CurrencyParameterSensitivities pvpsLong = MULTI_USD.parameterSensitivity(pvptLong);
CurrencyParameterSensitivities pvpsShort = MULTI_USD.parameterSensitivity(pvptShort);
assertTrue(pvpsLong.equalWithTolerance(pvpsShort.multipliedBy(-1.0), TOLERANCE_PV_DELTA));
}
//-------------------------------------------------------------------------
public virtual void test_currencyExposure()
{
ImmutableRatesProvider prov = ImmutableRatesProvider.builder(VAL_DATE).discountCurve(GBP, DISCOUNT_CURVE_GBP).build();
DiscountingNotionalExchangePricer test = DiscountingNotionalExchangePricer.DEFAULT;
MultiCurrencyAmount computed = test.currencyExposure(NOTIONAL_EXCHANGE_REC_GBP, prov);
PointSensitivities point = test.presentValueSensitivity(NOTIONAL_EXCHANGE_REC_GBP, prov).build();
MultiCurrencyAmount expected = prov.currencyExposure(point).plus(CurrencyAmount.of(NOTIONAL_EXCHANGE_REC_GBP.Currency, test.presentValue(NOTIONAL_EXCHANGE_REC_GBP, prov)));
assertEquals(computed, expected);
}
public virtual void regression_curveSensitivity()
{
PointSensitivities point = PRICER.presentValueSensitivityRates(SWAPTION_PAY_LONG, RATE_PROVIDER, HW_PROVIDER).build();
CurrencyParameterSensitivities computed = RATE_PROVIDER.parameterSensitivity(point);
double[] dscExp = new double[] { 0.0, 0.0, 0.0, 0.0, -1.4127023229222856E7, -1.744958350376594E7 };
double[] fwdExp = new double[] { 0.0, 0.0, 0.0, 0.0, -2.0295973516660026E8, 4.12336887967829E8 };
assertTrue(DoubleArrayMath.fuzzyEquals(computed.getSensitivity(HullWhiteIborFutureDataSet.DSC_NAME, EUR).Sensitivity.toArray(), dscExp, NOTIONAL * TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(computed.getSensitivity(HullWhiteIborFutureDataSet.FWD6_NAME, EUR).Sensitivity.toArray(), fwdExp, NOTIONAL * TOL));
}
public virtual void test_priceSensitivity_from_future_price()
{
double futurePrice = 1.1d;
PointSensitivities point = OPTION_PRICER.priceSensitivityRatesStickyStrike(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS, futurePrice);
CurrencyParameterSensitivities computed = RATE_PROVIDER.parameterSensitivity(point);
double delta = OPTION_PRICER.deltaStickyStrike(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS, futurePrice);
CurrencyParameterSensitivities expected = RATE_PROVIDER.parameterSensitivity(FUTURE_PRICER.priceSensitivity(FUTURE_OPTION_PRODUCT.UnderlyingFuture, RATE_PROVIDER)).multipliedBy(delta);
assertTrue(computed.equalWithTolerance(expected, TOL));
}
private void calibration_market_quote_sensitivity_check(System.Func <ImmutableMarketData, RatesProvider> calibrator, double shift)
{
double notional = 100_000_000.0;
double fx = 1.1111;
double fxPts = 0.0012;
ResolvedFxSwapTrade trade = EUR_USD.createTrade(VAL_DATE, Period.ofWeeks(6), Period.ofMonths(5), BuySell.BUY, notional, fx, fxPts, REF_DATA).resolve(REF_DATA);
RatesProvider result = CALIBRATOR.calibrate(CURVE_GROUP_CONFIG, ALL_QUOTES, REF_DATA);
PointSensitivities pts = FX_PRICER.presentValueSensitivity(trade.Product, result);
CurrencyParameterSensitivities ps = result.parameterSensitivity(pts);
CurrencyParameterSensitivities mqs = MQC.sensitivity(ps, result);
double pvUsd = FX_PRICER.presentValue(trade.Product, result).getAmount(USD).Amount;
double pvEur = FX_PRICER.presentValue(trade.Product, result).getAmount(EUR).Amount;
double[] mqsUsd1Computed = mqs.getSensitivity(USD_DSCON_CURVE_NAME, USD).Sensitivity.toArray();
for (int i = 0; i < USD_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, USD_DSC_ID_VALUE[i]))] = USD_DSC_MARKET_QUOTES[i] + shift;
ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map);
RatesProvider rpShifted = calibrator(marketData);
double pvS = FX_PRICER.presentValue(trade.Product, rpShifted).getAmount(USD).Amount;
assertEquals(mqsUsd1Computed[i], (pvS - pvUsd) / shift, TOLERANCE_PV_DELTA);
}
double[] mqsUsd2Computed = mqs.getSensitivity(USD_DSCON_CURVE_NAME, EUR).Sensitivity.toArray();
for (int i = 0; i < USD_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, USD_DSC_ID_VALUE[i]))] = USD_DSC_MARKET_QUOTES[i] + shift;
ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map);
RatesProvider rpShifted = calibrator(marketData);
double pvS = FX_PRICER.presentValue(trade.Product, rpShifted).getAmount(EUR).Amount;
assertEquals(mqsUsd2Computed[i], (pvS - pvEur) / shift, TOLERANCE_PV_DELTA);
}
double[] mqsEur1Computed = mqs.getSensitivity(EUR_DSC_CURVE_NAME, USD).Sensitivity.toArray();
for (int i = 0; i < EUR_DSC_NB_NODES; i++)
{
assertEquals(mqsEur1Computed[i], 0.0, TOLERANCE_PV_DELTA);
}
double[] mqsEur2Computed = mqs.getSensitivity(EUR_DSC_CURVE_NAME, EUR).Sensitivity.toArray();
for (int i = 0; i < EUR_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, EUR_DSC_ID_VALUE[i]))] = EUR_DSC_MARKET_QUOTES[i] + shift;
ImmutableMarketData marketData = ImmutableMarketData.of(VAL_DATE, map);
RatesProvider rpShifted = calibrator(marketData);
double pvS = FX_PRICER.presentValue(trade.Product, rpShifted).getAmount(EUR).Amount;
assertEquals(mqsEur2Computed[i], (pvS - pvEur) / shift, TOLERANCE_PV_DELTA, "Node " + i);
}
}
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));
}
