Examples of CapFloorCMS

Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMS

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   * @param cmsCoupon The CMS coupon.
   * @param sabrData The SABR data bundle. The SABR function need to be the Hagan function.
   * @return The present value sensitivity to SABR parameters.
   */
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final CouponCMS cmsCoupon, final SABRSwaptionProviderInterface sabrData) {
    final CapFloorCMS cap0 = CapFloorCMS.from(cmsCoupon, 0.0, true);
    // A CMS coupon is priced as a cap with strike 0.
    return _capFloorMethod.presentValueSABRSensitivity(cap0, sabrData);
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMS

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   * @param cmsCoupon The CMS coupon.
   * @param sabrData The SABR and curve data.
   * @return The coupon price.
   */
  public CurrencyAmount presentValue(final CouponCMS cmsCoupon, final SABRInterestRateDataBundle sabrData) {
    final CapFloorCMS cap0 = CapFloorCMS.from(cmsCoupon, 0.0, true);
    final CurrencyAmount priceCMSCoupon = _capFloorMethod.presentValue(cap0, sabrData);
    return priceCMSCoupon;
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMS

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   * @param cmsCoupon The CMS coupon.
   * @param sabrData The SABR data bundle. The SABR function need to be the Hagan function.
   * @return The present value sensitivity to curves.
   */
  public InterestRateCurveSensitivity presentValueCurveSensitivity(final CouponCMS cmsCoupon, final SABRInterestRateDataBundle sabrData) {
    final CapFloorCMS cap0 = CapFloorCMS.from(cmsCoupon, 0.0, true);
    // A CMS coupon is priced as a cap with strike 0.
    return _capFloorMethod.presentValueCurveSensitivity(cap0, sabrData);
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMS

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   * @param cmsCoupon The CMS coupon.
   * @param sabrData The SABR data bundle. The SABR function need to be the Hagan function.
   * @return The present value sensitivity to SABR parameters.
   */
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final CouponCMS cmsCoupon, final SABRInterestRateDataBundle sabrData) {
    final CapFloorCMS cap0 = CapFloorCMS.from(cmsCoupon, 0.0, true);
    // A CMS coupon is priced as a cap with strike 0.
    return _capFloorMethod.presentValueSABRSensitivity(cap0, sabrData);
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMS

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    final double forward2 = cmsSpread.getUnderlyingSwap2().accept(PRDC, multicurves);
    CouponCMS cmsCoupon1 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap1(), cmsSpread.getSettlementTime());
    cmsCoupon1 = cmsCoupon1.withNotional(Math.abs(cmsCoupon1.getNotional()));
    CouponCMS cmsCoupon2 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap2(), cmsSpread.getSettlementTime());
    cmsCoupon2 = cmsCoupon2.withNotional(Math.abs(cmsCoupon2.getNotional()));
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, forward1, true);
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, forward2, true);
    final double cmsCoupon1Price = _methodCmsCoupon.presentValue(cmsCoupon1, sabrData).getAmount(ccy);
    final double cmsCoupon2Price = _methodCmsCoupon.presentValue(cmsCoupon2, sabrData).getAmount(ccy);
    final double cmsCap1Price = _methodCmsCap.presentValue(cmsCap1, sabrData).getAmount(ccy);
    final double cmsCap2Price = _methodCmsCap.presentValue(cmsCap2, sabrData).getAmount(ccy);
    final double discountFactorPayment = multicurves.getDiscountFactor(ccy, cmsSpread.getPaymentTime());
    final NormalFunctionData dataCap1 = new NormalFunctionData(cmsCoupon1Price / (discountFactorPayment * cmsCap1.getNotional() * cmsCap1.getPaymentYearFraction()), discountFactorPayment
        * cmsCap1.getNotional() * cmsCap1.getPaymentYearFraction(), 0.0);
    final EuropeanVanillaOption optionCap1 = new EuropeanVanillaOption(forward1, cmsSpread.getFixingTime(), true);
    double cmsCap1ImpliedVolatility = 0;
    try {
      cmsCap1ImpliedVolatility = NORMAL_IMPLIED_VOLATILITY.getImpliedVolatility(dataCap1, optionCap1, cmsCap1Price);
    } catch (final Exception e) {
      //TODO
    }
    final NormalFunctionData dataCap2 = new NormalFunctionData(cmsCoupon2Price / (discountFactorPayment * cmsCap2.getNotional() * cmsCap2.getPaymentYearFraction()), discountFactorPayment
        * cmsCap2.getNotional() * cmsCap2.getPaymentYearFraction(), cmsCap1ImpliedVolatility);
    final EuropeanVanillaOption optionCap2 = new EuropeanVanillaOption(forward2, cmsSpread.getFixingTime(), true);
    double cmsCap2ImpliedVolatility = 0;
    try {
      cmsCap2ImpliedVolatility = NORMAL_IMPLIED_VOLATILITY.getImpliedVolatility(dataCap2, optionCap2, cmsCap2Price);
    } catch (final Exception e) {
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMS

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    final double strike2 = cmsSpread.getUnderlyingSwap2().accept(PRDC, multicurves);
    CouponCMS cmsCoupon1 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap1(), cmsSpread.getSettlementTime());
    cmsCoupon1 = cmsCoupon1.withNotional(Math.abs(cmsCoupon1.getNotional()));
    CouponCMS cmsCoupon2 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap2(), cmsSpread.getSettlementTime());
    cmsCoupon2 = cmsCoupon2.withNotional(Math.abs(cmsCoupon2.getNotional()));
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, strike1, true); // ATM forward cap CMS
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, strike2, true); // ATM forward cap CMS
    final double cmsCoupon1Pv = _methodCmsCoupon.presentValue(cmsCoupon1, sabrData).getAmount(ccy);
    final double cmsCoupon2Pv = _methodCmsCoupon.presentValue(cmsCoupon2, sabrData).getAmount(ccy);
    final double cmsCap1Pv = _methodCmsCap.presentValue(cmsCap1, sabrData).getAmount(ccy);
    final double cmsCap2Pv = _methodCmsCap.presentValue(cmsCap2, sabrData).getAmount(ccy);
    final double discountFactorPayment = multicurves.getDiscountFactor(ccy, cmsSpread.getPaymentTime());
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMS

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    final double forward2 = cmsSpread.getUnderlyingSwap2().accept(PRDC, multicurves);
    CouponCMS cmsCoupon1 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap1(), cmsSpread.getSettlementTime());
    cmsCoupon1 = cmsCoupon1.withNotional(Math.abs(cmsCoupon1.getNotional()));
    CouponCMS cmsCoupon2 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap2(), cmsSpread.getSettlementTime());
    cmsCoupon2 = cmsCoupon2.withNotional(Math.abs(cmsCoupon2.getNotional()));
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, forward1, true);
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, forward2, true);
    final double cmsCoupon1Price = _methodCmsCoupon.presentValue(cmsCoupon1, sabrData).getAmount(ccy);
    final double cmsCoupon2Price = _methodCmsCoupon.presentValue(cmsCoupon2, sabrData).getAmount(ccy);
    final double cmsCap1Price = _methodCmsCap.presentValue(cmsCap1, sabrData).getAmount(ccy);
    final double cmsCap2Price = _methodCmsCap.presentValue(cmsCap2, sabrData).getAmount(ccy);
    final double discountFactorPayment = multicurves.getDiscountFactor(ccy, cmsSpread.getPaymentTime());
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMS

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    final double cmsCoupon2Price = methodCms.presentValue(cmsCoupon2, SABR_MULTICURVES).getAmount(EUR);
    final double expectedRate1 = cmsCoupon1Price / discountFactorPayment / cmsCoupon1.getNotional() / cmsCoupon1.getPaymentYearFraction();
    final double expectedRate2 = cmsCoupon2Price / discountFactorPayment / cmsCoupon2.getNotional() / cmsCoupon2.getPaymentYearFraction();
    final double forward1 = SWAP_1.accept(PRDC, MULTICURVES);
    final double forward2 = SWAP_2.accept(PRDC, MULTICURVES);
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, forward1, true);
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, forward2, true);
    final double cmsCap1Price = methodCmsCap.presentValue(cmsCap1, SABR_MULTICURVES).getAmount(EUR);
    final double cmsCap2Price = methodCmsCap.presentValue(cmsCap2, SABR_MULTICURVES).getAmount(EUR);
    final EuropeanVanillaOption optionCap1 = new EuropeanVanillaOption(forward1, FIXING_TIME, true);
    final NormalFunctionData dataCap1 = new NormalFunctionData(expectedRate1, 1.0, 0.0);
    final double cmsCap1IV = impliedVolatility.getImpliedVolatility(dataCap1, optionCap1, cmsCap1Price / discountFactorPayment / cmsCoupon1.getNotional() / cmsCoupon1.getPaymentYearFraction());
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMS

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    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move.
    final double deltaShift = 1.0E-6;
    final String bumpedCurveName = "Bumped Curve";
    // 1. Forward curve sensitivity
    final String[] CurveNameBumpedForward = {FUNDING_CURVE_NAME, bumpedCurveName };
    final CapFloorCMS capBumpedForward = (CapFloorCMS) CMS_CAP_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedForward);
    final DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < CMS_CAP.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedForward, SABR_BUNDLE, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForward, deltaShift, METHOD);
    assertEquals("Sensitivity finite difference method: number of node", nodeTimesForward.length, sensiForwardMethod.length);
    final List<DoublesPair> sensiPvForward = pvcsCap.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals("Sensitivity CMS cap/floor pv to forward curve: Node " + loopnode, nodeTimesForward[loopnode], pairPv.getFirst(), 1E-8);
      assertEquals("Sensitivity finite difference method: node sensitivity " + loopnode, pairPv.second, sensiForwardMethod[loopnode], deltaTolerancePrice);
    }
    // 2. Discounting curve sensitivity
    final String[] CurveNameBumpedDisc = {bumpedCurveName, FORWARD_CURVE_NAME };
    final CapFloorCMS capBumpedDisc = (CapFloorCMS) CMS_CAP_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedDisc);
    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
    discTime.add(capBumpedDisc.getPaymentTime());
    for (int loopcpn = 0; loopcpn < CMS_CAP.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    final double[] nodeTimesDisc = discTime.toDoubleArray();
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMS

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    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move.
    final double deltaShift = 1.0E-6;
    final String bumpedCurveName = "Bumped Curve";
    // 1. Forward curve sensitivity
    final String[] CurveNameBumpedForward = {FUNDING_CURVE_NAME, bumpedCurveName };
    final CapFloorCMS capBumpedForward = (CapFloorCMS) CMS_FLOOR_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedForward);
    final DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < CMS_FLOOR.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_FLOOR.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedForward, SABR_BUNDLE, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForward, deltaShift, METHOD);
    assertEquals("Sensitivity finite difference method: number of node", nodeTimesForward.length, sensiForwardMethod.length);
    final List<DoublesPair> sensiPvForward = pvcsCap.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals("Sensitivity CMS cap/floor pv to forward curve: Node " + loopnode, nodeTimesForward[loopnode], pairPv.getFirst(), 1E-8);
      assertEquals("Sensitivity finite difference method: node sensitivity " + loopnode, pairPv.second, sensiForwardMethod[loopnode], deltaTolerancePrice);
    }
    // 2. Discounting curve sensitivity
    final String[] CurveNameBumpedDisc = {bumpedCurveName, FORWARD_CURVE_NAME };
    final CapFloorCMS capBumpedDisc = (CapFloorCMS) CMS_FLOOR_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedDisc);
    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
    discTime.add(capBumpedDisc.getPaymentTime());
    for (int loopcpn = 0; loopcpn < CMS_FLOOR.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_FLOOR.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    final double[] nodeTimesDisc = discTime.toDoubleArray();
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