Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.cleaned()

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    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    InterestRateCurveSensitivity pvcsLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_FLOOR_SPREAD, sabrBundleCor);
    pvcsLong = pvcsLong.cleaned();
    InterestRateCurveSensitivity pvcsShort = METHOD_CMS_SPREAD.presentValueCurveSensitivity(cmsCapSpreadShort, sabrBundleCor);
    pvcsShort = pvcsShort.multipliedBy(-1);
    pvcsShort = pvcsShort.cleaned();
    AssertSensivityObjects.assertEquals("CMS floor spread: Long/Short parity", pvcsLong, pvcsShort, TOLERANCE_PRICE);
  }

  @Test
  /**
 
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   */
  public void presentValueCurveSensitivityCapFloorParity() {
    final SABRInterestRateCorrelationParameters sabrCorrelation = SABRInterestRateCorrelationParameters.from(SABR_PARAMETERS, CORRELATION_FUNCTION);
    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    InterestRateCurveSensitivity pvcsCapLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
    pvcsCapLong = pvcsCapLong.cleaned();
    InterestRateCurveSensitivity pvcsFloorLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_FLOOR_SPREAD, sabrBundleCor);
    pvcsFloorLong = pvcsFloorLong.cleaned();
    final CouponCMS cms1 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_1, SETTLEMENT_TIME);
    final CouponCMS cms2 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_2, SETTLEMENT_TIME);
    final CouponFixed cpnStrike = new CouponFixed(CUR, PAYMENT_TIME, FUNDING_CURVE_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);
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    final SABRInterestRateCorrelationParameters sabrCorrelation = SABRInterestRateCorrelationParameters.from(SABR_PARAMETERS, CORRELATION_FUNCTION);
    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    InterestRateCurveSensitivity pvcsCapLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
    pvcsCapLong = pvcsCapLong.cleaned();
    InterestRateCurveSensitivity pvcsFloorLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_FLOOR_SPREAD, sabrBundleCor);
    pvcsFloorLong = pvcsFloorLong.cleaned();
    final CouponCMS cms1 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_1, SETTLEMENT_TIME);
    final CouponCMS cms2 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_2, SETTLEMENT_TIME);
    final CouponFixed cpnStrike = new CouponFixed(CUR, PAYMENT_TIME, FUNDING_CURVE_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);
    InterestRateCurveSensitivity pvcsCMS1 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms1, sabrBundleCor);
    pvcsCMS1 = pvcsCMS1.cleaned();
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    pvcsFloorLong = pvcsFloorLong.cleaned();
    final CouponCMS cms1 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_1, SETTLEMENT_TIME);
    final CouponCMS cms2 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_2, SETTLEMENT_TIME);
    final CouponFixed cpnStrike = new CouponFixed(CUR, PAYMENT_TIME, FUNDING_CURVE_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);
    InterestRateCurveSensitivity pvcsCMS1 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms1, sabrBundleCor);
    pvcsCMS1 = pvcsCMS1.cleaned();
    InterestRateCurveSensitivity pvcsCMS2 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms2, sabrBundleCor);
    pvcsCMS2 = pvcsCMS2.cleaned();
    final InterestRateCurveSensitivity pvcsStrike = METHOD_CPN_FIXED.presentValueCurveSensitivity(cpnStrike, sabrBundleCor);
    InterestRateCurveSensitivity pvcsParity1 = pvcsCMS1.plus(pvcsCMS2.plus(pvcsStrike).multipliedBy(-1));
    pvcsParity1 = pvcsParity1.cleaned();
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    final CouponCMS cms2 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_2, SETTLEMENT_TIME);
    final CouponFixed cpnStrike = new CouponFixed(CUR, PAYMENT_TIME, FUNDING_CURVE_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);
    InterestRateCurveSensitivity pvcsCMS1 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms1, sabrBundleCor);
    pvcsCMS1 = pvcsCMS1.cleaned();
    InterestRateCurveSensitivity pvcsCMS2 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms2, sabrBundleCor);
    pvcsCMS2 = pvcsCMS2.cleaned();
    final InterestRateCurveSensitivity pvcsStrike = METHOD_CPN_FIXED.presentValueCurveSensitivity(cpnStrike, sabrBundleCor);
    InterestRateCurveSensitivity pvcsParity1 = pvcsCMS1.plus(pvcsCMS2.plus(pvcsStrike).multipliedBy(-1));
    pvcsParity1 = pvcsParity1.cleaned();
    InterestRateCurveSensitivity pvcsParity2 = pvcsCapLong.plus(pvcsFloorLong.multipliedBy(-1));
    pvcsParity2 = pvcsParity2.cleaned();
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    pvcsCMS1 = pvcsCMS1.cleaned();
    InterestRateCurveSensitivity pvcsCMS2 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms2, sabrBundleCor);
    pvcsCMS2 = pvcsCMS2.cleaned();
    final InterestRateCurveSensitivity pvcsStrike = METHOD_CPN_FIXED.presentValueCurveSensitivity(cpnStrike, sabrBundleCor);
    InterestRateCurveSensitivity pvcsParity1 = pvcsCMS1.plus(pvcsCMS2.plus(pvcsStrike).multipliedBy(-1));
    pvcsParity1 = pvcsParity1.cleaned();
    InterestRateCurveSensitivity pvcsParity2 = pvcsCapLong.plus(pvcsFloorLong.multipliedBy(-1));
    pvcsParity2 = pvcsParity2.cleaned();
    AssertSensivityObjects.assertEquals("CMS spread: curve sensitivity - Cap/Floor parity", pvcsParity1, pvcsParity2, TOLERANCE_PRICE);
  }
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    pvcsCMS2 = pvcsCMS2.cleaned();
    final InterestRateCurveSensitivity pvcsStrike = METHOD_CPN_FIXED.presentValueCurveSensitivity(cpnStrike, sabrBundleCor);
    InterestRateCurveSensitivity pvcsParity1 = pvcsCMS1.plus(pvcsCMS2.plus(pvcsStrike).multipliedBy(-1));
    pvcsParity1 = pvcsParity1.cleaned();
    InterestRateCurveSensitivity pvcsParity2 = pvcsCapLong.plus(pvcsFloorLong.multipliedBy(-1));
    pvcsParity2 = pvcsParity2.cleaned();
    AssertSensivityObjects.assertEquals("CMS spread: curve sensitivity - Cap/Floor parity", pvcsParity1, pvcsParity2, TOLERANCE_PRICE);
  }

  @Test
  /**
 
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    final Period capPeriod = Period.ofMonths(6);
    final DayCount capDayCount = DayCountFactory.INSTANCE.getDayCount("ACT/360");
    final AnnuityCapFloorCMSDefinition capDefinition = AnnuityCapFloorCMSDefinition.from(START_DATE, END_DATE, NOTIONAL, USD_SWAP_10Y, capPeriod, capDayCount, false, STRIKE, IS_CAP, CALENDAR);
    final Annuity<? extends Payment> cap = capDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    InterestRateCurveSensitivity pvcsCalculator = new InterestRateCurveSensitivity(cap.accept(PVCSC_SABR, SABR_BUNDLE));
    pvcsCalculator = pvcsCalculator.cleaned();
    InterestRateCurveSensitivity pvcsExpected = new InterestRateCurveSensitivity();
    for (int loopcpn = 0; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
      pvcsExpected = pvcsExpected.plus(new InterestRateCurveSensitivity(cap.getNthPayment(loopcpn).accept(PVCSC_SABR, SABR_BUNDLE)));
    }
    pvcsExpected = pvcsExpected.cleaned();
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    pvcsCalculator = pvcsCalculator.cleaned();
    InterestRateCurveSensitivity pvcsExpected = new InterestRateCurveSensitivity();
    for (int loopcpn = 0; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
      pvcsExpected = pvcsExpected.plus(new InterestRateCurveSensitivity(cap.getNthPayment(loopcpn).accept(PVCSC_SABR, SABR_BUNDLE)));
    }
    pvcsExpected = pvcsExpected.cleaned();
    AssertSensivityObjects.assertEquals("Cap annuity - SABR pv", pvcsExpected, pvcsCalculator, 1.0E-2);
  }

  @Test
  /**
 
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   */
  public void presentValueCurveSensitivityBetweenSettleMaturity() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 20);
    final DepositZero deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    InterestRateCurveSensitivity pvcsMethod = METHOD_DEPOSIT.presentValueCurveSensitivity(deposit, CURVES);
    pvcsMethod = pvcsMethod.cleaned(0.0, 1.0E-4);
    assertEquals("DepositDefinition: present value curve sensitivity", 1, pvcsMethod.getSensitivities().size());
    assertEquals("DepositDefinition: present value curve sensitivity", 1, pvcsMethod.getSensitivities().get(CURVES_NAME[0]).size());
    final double deltaTolerancePrice = 1.0E+2;
    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move. Tolerance increased to cope with numerical imprecision of finite difference.
    final double deltaShift = 1.0E-6;
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