/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.swaption;
import static com.opengamma.strata.market.curve.interpolator.CurveInterpolators.LINEAR;
import static com.opengamma.strata.pricer.swaption.SwaptionCubeData.ATM_LOGNORMAL_SIMPLE;
import static com.opengamma.strata.pricer.swaption.SwaptionCubeData.DATA_LOGNORMAL_ATM_SIMPLE;
import static com.opengamma.strata.pricer.swaption.SwaptionCubeData.DAY_COUNT;
import static com.opengamma.strata.pricer.swaption.SwaptionCubeData.EXPIRIES_SIMPLE_2;
import static com.opengamma.strata.pricer.swaption.SwaptionCubeData.TENORS_SIMPLE;
import static com.opengamma.strata.product.swap.type.FixedIborSwapConventions.EUR_FIXED_1Y_EURIBOR_6M;
import static org.testng.Assert.assertEquals;
import static org.testng.Assert.assertTrue;
import java.time.LocalDate;
import java.time.Period;
import java.time.ZoneId;
import java.time.ZonedDateTime;
import java.time.temporal.ChronoUnit;
import java.util.ArrayList;
import java.util.List;
import java.util.Map;
import java.util.Optional;
import org.testng.annotations.Test;
import com.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.date.Tenor;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.collect.io.ResourceLocator;
import com.opengamma.strata.collect.tuple.Pair;
import com.opengamma.strata.data.ImmutableMarketData;
import com.opengamma.strata.loader.csv.QuotesCsvLoader;
import com.opengamma.strata.loader.csv.RatesCalibrationCsvLoader;
import com.opengamma.strata.market.ValueType;
import com.opengamma.strata.market.curve.CurveGroupDefinition;
import com.opengamma.strata.market.curve.CurveGroupName;
import com.opengamma.strata.market.observable.QuoteId;
import com.opengamma.strata.market.param.ParameterMetadata;
import com.opengamma.strata.market.surface.ConstantSurface;
import com.opengamma.strata.market.surface.DefaultSurfaceMetadata;
import com.opengamma.strata.market.surface.Surface;
import com.opengamma.strata.market.surface.SurfaceMetadata;
import com.opengamma.strata.market.surface.interpolator.GridSurfaceInterpolator;
import com.opengamma.strata.market.surface.interpolator.SurfaceInterpolator;
import com.opengamma.strata.pricer.curve.CalibrationMeasures;
import com.opengamma.strata.pricer.curve.CurveCalibrator;
import com.opengamma.strata.pricer.impl.option.BlackFormulaRepository;
import com.opengamma.strata.pricer.option.TenorRawOptionData;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer;
import com.opengamma.strata.product.common.BuySell;
import com.opengamma.strata.product.common.PutCall;
import com.opengamma.strata.product.swap.SwapTrade;
/**
* Tests {@link SabrSwaptionCalibrator} for a cube. Reduced and simplify data set to avoid very slow test.
*/
@Test
public class SabrSwaptionCalibratorCubeBlackCleanDataTest {
private static final ReferenceData REF_DATA = ReferenceData.standard();
private static final LocalDate CALIBRATION_DATE = LocalDate.of(2016, 2, 29);
private static final ZonedDateTime CALIBRATION_TIME = CALIBRATION_DATE.atTime(10, 0).atZone(ZoneId.of("Europe/Berlin"));
private static final SabrSwaptionCalibrator SABR_CALIBRATION = SabrSwaptionCalibrator.DEFAULT;
private static final String BASE_DIR = "src/test/resources/";
private static final String GROUPS_FILE = "curve-config/EUR-DSCONOIS-E3BS-E6IRS-group.csv";
private static final String SETTINGS_FILE = "curve-config/EUR-DSCONOIS-E3BS-E6IRS-settings.csv";
private static final String NODES_FILE = "curve-config/EUR-DSCONOIS-E3BS-E6IRS-nodes.csv";
private static final String QUOTES_FILE = "quotes/quotes-simplified-eur.csv";
private static final CurveGroupDefinition CONFIGS =
RatesCalibrationCsvLoader.load(
ResourceLocator.of(BASE_DIR + GROUPS_FILE),
ResourceLocator.of(BASE_DIR + SETTINGS_FILE),
ResourceLocator.of(BASE_DIR + NODES_FILE)).get(CurveGroupName.of("EUR-DSCONOIS-E3BS-E6IRS"));
private static final Map<QuoteId, Double> MAP_MQ =
QuotesCsvLoader.load(CALIBRATION_DATE, ImmutableList.of(ResourceLocator.of(BASE_DIR + QUOTES_FILE)));
private static final ImmutableMarketData MARKET_QUOTES = ImmutableMarketData.of(CALIBRATION_DATE, MAP_MQ);
private static final CalibrationMeasures CALIBRATION_MEASURES = CalibrationMeasures.PAR_SPREAD;
private static final CurveCalibrator CALIBRATOR = CurveCalibrator.of(1e-9, 1e-9, 100, CALIBRATION_MEASURES);
private static final RatesProvider MULTICURVE = CALIBRATOR.calibrate(CONFIGS, MARKET_QUOTES, REF_DATA);
private static final DiscountingSwapProductPricer SWAP_PRICER = DiscountingSwapProductPricer.DEFAULT;
private static final DoubleArray MONEYNESS =
DoubleArray.of(-0.0100, -0.0050, -0.0025, 0.0000, 0.0025, 0.0050, 0.0100, 0.0200);
private static final List<Period> EXPIRIES = new ArrayList<>();
private static final List<Tenor> TENORS = new ArrayList<>();
static {
EXPIRIES.add(Period.ofMonths(1));
EXPIRIES.add(Period.ofMonths(6));
EXPIRIES.add(Period.ofYears(1));
TENORS.add(Tenor.TENOR_1Y);
TENORS.add(Tenor.TENOR_2Y);
}
private static final double[][][] DATA_LOGNORMAL = {
{ {0.60, 0.58, 0.565, 0.555, 0.55, 0.545, 0.545, 0.55},
{0.60, 0.58, 0.565, 0.555, 0.55, 0.545, 0.545, 0.55},
{0.60, 0.58, 0.565, 0.555, 0.55, 0.545, 0.545, 0.55}},
{ {0.60, 0.58, 0.565, 0.555, 0.55, 0.545, 0.545, 0.55},
{0.60, 0.58, 0.565, 0.555, 0.55, 0.545, 0.545, 0.55},
{0.60, 0.58, 0.565, 0.555, 0.55, 0.545, 0.545, 0.55}}
};
private static final TenorRawOptionData DATA_SPARSE = SabrSwaptionCalibratorSmileTestUtils
.rawData(TENORS, EXPIRIES, ValueType.SIMPLE_MONEYNESS, MONEYNESS, ValueType.BLACK_VOLATILITY, DATA_LOGNORMAL);
private static final SurfaceInterpolator INTERPOLATOR_2D = GridSurfaceInterpolator.of(LINEAR, LINEAR);
private static final SwaptionVolatilitiesName NAME_SABR = SwaptionVolatilitiesName.of("Calibrated-SABR");
private static final SabrSwaptionDefinition DEFINITION =
SabrSwaptionDefinition.of(NAME_SABR, EUR_FIXED_1Y_EURIBOR_6M, DAY_COUNT, INTERPOLATOR_2D);
private static final double TOLERANCE_PRICE_CALIBRATION_LS = 1.0E-3; // Calibration Least Square; result not exact
private static final double TOLERANCE_PRICE_CALIBRATION_ROOT = 1.0E-6; // Calibration root finding
private static final double TOLERANCE_PARAM_SENSITIVITY = 4.0E-2;
private static final double TOLERANCE_EXPIRY = 1.0E-6;
@Test
public void log_normal_cube() {
double beta = 0.50;
Surface betaSurface = ConstantSurface.of("Beta", beta)
.withMetadata(DefaultSurfaceMetadata.builder()
.xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION)
.zValueType(ValueType.SABR_BETA).surfaceName("Beta").build());
double shift = 0.0000;
Surface shiftSurface = ConstantSurface.of("Shift", shift)
.withMetadata(DefaultSurfaceMetadata.builder()
.xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).surfaceName("Shift").build());
SabrParametersSwaptionVolatilities calibrated = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(
DEFINITION, CALIBRATION_TIME, DATA_SPARSE, MULTICURVE, betaSurface, shiftSurface);
for (int looptenor = 0; looptenor < TENORS.size(); looptenor++) {
double tenor = TENORS.get(looptenor).get(ChronoUnit.YEARS);
for (int loopexpiry = 0; loopexpiry < EXPIRIES.size(); loopexpiry++) {
LocalDate expiry = EUR_FIXED_1Y_EURIBOR_6M.getFloatingLeg().getStartDateBusinessDayAdjustment()
.adjust(CALIBRATION_DATE.plus(EXPIRIES.get(loopexpiry)), REF_DATA);
LocalDate effectiveDate = EUR_FIXED_1Y_EURIBOR_6M.calculateSpotDateFromTradeDate(expiry, REF_DATA);
LocalDate endDate = effectiveDate.plus(TENORS.get(looptenor));
SwapTrade swap = EUR_FIXED_1Y_EURIBOR_6M
.toTrade(CALIBRATION_DATE, effectiveDate, endDate, BuySell.BUY, 1.0, 0.0);
double parRate = SWAP_PRICER.parRate(swap.resolve(REF_DATA).getProduct(), MULTICURVE);
ZonedDateTime expiryDateTime = expiry.atTime(11, 0).atZone(ZoneId.of("Europe/Berlin"));
double time = calibrated.relativeTime(expiryDateTime);
for (int loopmoney = 0; loopmoney < MONEYNESS.size(); loopmoney++) {
if (!Double.isNaN(DATA_LOGNORMAL[looptenor][loopexpiry][loopmoney])) {
double strike = parRate + MONEYNESS.get(loopmoney);
double volBlack = calibrated.volatility(expiryDateTime, tenor, strike, parRate);
double priceComputed = BlackFormulaRepository.price(parRate + shift, parRate + MONEYNESS.get(loopmoney) + shift,
time, volBlack, true);
double priceLogNormal = BlackFormulaRepository.price(parRate, parRate + MONEYNESS.get(loopmoney),
time, DATA_LOGNORMAL[looptenor][loopexpiry][loopmoney], true);
assertEquals(priceComputed, priceLogNormal, TOLERANCE_PRICE_CALIBRATION_LS);
}
}
}
}
}
@Test(enabled = true)
public void log_normal_atm() {
double beta = 0.50;
Surface betaSurface = ConstantSurface.of("Beta", beta)
.withMetadata(DefaultSurfaceMetadata.builder()
.xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION)
.zValueType(ValueType.SABR_BETA).surfaceName("Beta").build());
double shift = 0.0000;
Surface shiftSurface = ConstantSurface.of("Shift", shift)
.withMetadata(DefaultSurfaceMetadata.builder()
.xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).surfaceName("Shift").build());
SabrParametersSwaptionVolatilities calibratedSmile = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(
DEFINITION, CALIBRATION_TIME, DATA_SPARSE, MULTICURVE, betaSurface, shiftSurface);
SabrParametersSwaptionVolatilities calibratedAtm = SABR_CALIBRATION.calibrateAlphaWithAtm(NAME_SABR,
calibratedSmile, MULTICURVE, ATM_LOGNORMAL_SIMPLE, TENORS_SIMPLE, EXPIRIES_SIMPLE_2, INTERPOLATOR_2D);
int nbExp = EXPIRIES_SIMPLE_2.size();
int nbTenor = TENORS_SIMPLE.size();
for (int loopexpiry = 0; loopexpiry < nbExp; loopexpiry++) {
for (int looptenor = 0; looptenor < nbTenor; looptenor++) {
double tenor = TENORS_SIMPLE.get(looptenor).get(ChronoUnit.YEARS);
LocalDate expiry = EUR_FIXED_1Y_EURIBOR_6M.getFloatingLeg().getStartDateBusinessDayAdjustment()
.adjust(CALIBRATION_DATE.plus(EXPIRIES_SIMPLE_2.get(loopexpiry)), REF_DATA);
LocalDate effectiveDate = EUR_FIXED_1Y_EURIBOR_6M.calculateSpotDateFromTradeDate(expiry, REF_DATA);
LocalDate endDate = effectiveDate.plus(TENORS_SIMPLE.get(looptenor));
SwapTrade swap = EUR_FIXED_1Y_EURIBOR_6M
.toTrade(CALIBRATION_DATE, effectiveDate, endDate, BuySell.BUY, 1.0, 0.0);
double parRate = SWAP_PRICER.parRate(swap.resolve(REF_DATA).getProduct(), MULTICURVE);
ZonedDateTime expiryDateTime = expiry.atTime(11, 0).atZone(ZoneId.of("Europe/Berlin"));
double time = calibratedAtm.relativeTime(expiryDateTime);
double volBlack = calibratedAtm.volatility(expiryDateTime, tenor, parRate, parRate);
double priceComputed = calibratedAtm.price(time, tenor, PutCall.CALL, parRate, parRate, volBlack);
double priceBlack = BlackFormulaRepository.price(parRate, parRate, time,
DATA_LOGNORMAL_ATM_SIMPLE[looptenor + loopexpiry * nbTenor], true);
assertEquals(priceComputed, priceBlack, TOLERANCE_PRICE_CALIBRATION_ROOT);
}
}
}
/**
* Check that the sensitivities of parameters with respect to data is stored in the metadata.
* Compare the sensitivities to a finite difference approximation.
* This test is relatively slow as it calibrates the full surface multiple times.
*/
@Test
public void log_normal_cube_sensitivity() {
double beta = 1.0;
Surface betaSurface = ConstantSurface.of("Beta", beta)
.withMetadata(DefaultSurfaceMetadata.builder()
.xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION)
.zValueType(ValueType.SABR_BETA).surfaceName("Beta").build());
double shift = 0.0000;
Surface shiftSurface = ConstantSurface.of("Shift", shift)
.withMetadata(DefaultSurfaceMetadata.builder()
.xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).surfaceName("Shift").build());
SabrParametersSwaptionVolatilities calibrated = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(
DEFINITION, CALIBRATION_TIME, DATA_SPARSE, MULTICURVE, betaSurface, shiftSurface);
double fdShift = 1.0E-5;
SurfaceMetadata alphaMetadata = calibrated.getParameters().getAlphaSurface().getMetadata();
Optional<List<ParameterMetadata>> alphaParameterMetadataOption = alphaMetadata.getParameterMetadata();
assertTrue(alphaParameterMetadataOption.isPresent());
List<ParameterMetadata> alphaParameterMetadata = alphaParameterMetadataOption.get();
List<DoubleArray> alphaJacobian = calibrated.getDataSensitivityAlpha().get();
SurfaceMetadata rhoMetadata = calibrated.getParameters().getRhoSurface().getMetadata();
Optional<List<ParameterMetadata>> rhoParameterMetadataOption = rhoMetadata.getParameterMetadata();
assertTrue(rhoParameterMetadataOption.isPresent());
List<ParameterMetadata> rhoParameterMetadata = rhoParameterMetadataOption.get();
List<DoubleArray> rhoJacobian = calibrated.getDataSensitivityRho().get();
SurfaceMetadata nuMetadata = calibrated.getParameters().getNuSurface().getMetadata();
Optional<List<ParameterMetadata>> nuParameterMetadataOption = nuMetadata.getParameterMetadata();
assertTrue(nuParameterMetadataOption.isPresent());
List<ParameterMetadata> nuParameterMetadata = nuParameterMetadataOption.get();
List<DoubleArray> nuJacobian = calibrated.getDataSensitivityNu().get();
int surfacePointIndex = 0;
for (int loopexpiry = 0; loopexpiry < EXPIRIES.size(); loopexpiry++) {
for (int looptenor = 0; looptenor < TENORS.size(); looptenor++) {
Tenor tenor = TENORS.get(looptenor);
double tenorYears = tenor.get(ChronoUnit.YEARS);
LocalDate expiry = EUR_FIXED_1Y_EURIBOR_6M.getFloatingLeg().getStartDateBusinessDayAdjustment()
.adjust(CALIBRATION_DATE.plus(EXPIRIES.get(loopexpiry)), REF_DATA);
ZonedDateTime expiryDateTime = expiry.atTime(11, 0).atZone(ZoneId.of("Europe/Berlin"));
double time = calibrated.relativeTime(expiryDateTime);
Pair<DoubleArray, DoubleArray> ds = DATA_SPARSE.getData(tenor).availableSmileAtExpiry(EXPIRIES.get(loopexpiry));
if (!ds.getFirst().isEmpty()) {
int availableDataIndex = 0;
ParameterMetadata alphaPM = alphaParameterMetadata.get(surfacePointIndex);
assertTrue(alphaPM instanceof SwaptionSurfaceExpiryTenorParameterMetadata);
SwaptionSurfaceExpiryTenorParameterMetadata pmAlphaSabr = (SwaptionSurfaceExpiryTenorParameterMetadata) alphaPM;
assertEquals(tenorYears, pmAlphaSabr.getTenor());
assertEquals(time, pmAlphaSabr.getYearFraction(), TOLERANCE_EXPIRY);
DoubleArray alphaSensitivityToData = alphaJacobian.get(surfacePointIndex);
ParameterMetadata rhoPM = rhoParameterMetadata.get(surfacePointIndex);
assertTrue(rhoPM instanceof SwaptionSurfaceExpiryTenorParameterMetadata);
SwaptionSurfaceExpiryTenorParameterMetadata pmRhoSabr = (SwaptionSurfaceExpiryTenorParameterMetadata) rhoPM;
assertEquals(tenorYears, pmRhoSabr.getTenor());
assertEquals(time, pmRhoSabr.getYearFraction(), TOLERANCE_EXPIRY);
DoubleArray rhoSensitivityToData = rhoJacobian.get(surfacePointIndex);
ParameterMetadata nuPM = nuParameterMetadata.get(surfacePointIndex);
assertTrue(nuPM instanceof SwaptionSurfaceExpiryTenorParameterMetadata);
SwaptionSurfaceExpiryTenorParameterMetadata pmNuSabr = (SwaptionSurfaceExpiryTenorParameterMetadata) nuPM;
assertEquals(tenorYears, pmNuSabr.getTenor());
assertEquals(time, pmNuSabr.getYearFraction(), TOLERANCE_EXPIRY);
DoubleArray nuSensitivityToData = nuJacobian.get(surfacePointIndex);
for (int loopmoney = 0; loopmoney < MONEYNESS.size(); loopmoney++) {
if (!Double.isNaN(DATA_LOGNORMAL[looptenor][loopexpiry][loopmoney])) {
double[] alphaShifted = new double[2];
double[] rhoShifted = new double[2];
double[] nuShifted = new double[2];
for (int loopsign = 0; loopsign < 2; loopsign++) {
TenorRawOptionData dataShifted = SabrSwaptionCalibratorSmileTestUtils
.rawDataShiftPoint(TENORS, EXPIRIES, ValueType.SIMPLE_MONEYNESS, MONEYNESS, ValueType.BLACK_VOLATILITY,
DATA_LOGNORMAL, looptenor, loopexpiry, loopmoney, (2 * loopsign - 1) * fdShift);
SabrParametersSwaptionVolatilities calibratedShifted = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(
DEFINITION, CALIBRATION_TIME, dataShifted, MULTICURVE, betaSurface, shiftSurface);
alphaShifted[loopsign] = calibratedShifted.getParameters().getAlphaSurface().zValue(time, tenorYears);
rhoShifted[loopsign] = calibratedShifted.getParameters().getRhoSurface().zValue(time, tenorYears);
nuShifted[loopsign] = calibratedShifted.getParameters().getNuSurface().zValue(time, tenorYears);
}
double alphaSensitivityComputed = alphaSensitivityToData.get(availableDataIndex);
double alphaSensitivityExpected = (alphaShifted[1] - alphaShifted[0]) / (2 * fdShift);
checkAcceptable(alphaSensitivityComputed, alphaSensitivityExpected, TOLERANCE_PARAM_SENSITIVITY,
"Alpha: " + looptenor + " / " + loopexpiry + " / " + loopmoney);
double rhoSensitivityComputed = rhoSensitivityToData.get(availableDataIndex);
double rhoSensitivityExpected = (rhoShifted[1] - rhoShifted[0]) / (2 * fdShift);
checkAcceptable(rhoSensitivityComputed, rhoSensitivityExpected, TOLERANCE_PARAM_SENSITIVITY,
"Rho: " + looptenor + " / " + loopexpiry + " / " + loopmoney);
double nuSensitivityComputed = nuSensitivityToData.get(availableDataIndex);
double nuSensitivityExpected = (nuShifted[1] - nuShifted[0]) / (2 * fdShift);
checkAcceptable(nuSensitivityComputed, nuSensitivityExpected, TOLERANCE_PARAM_SENSITIVITY,
"Nu: " + looptenor + " / " + loopexpiry + " / " + loopmoney);
availableDataIndex++;
}
}
surfacePointIndex++;
}
}
}
}
private static void checkAcceptable(double computed, double actual, double tolerance, String msg) {
assertTrue((Math.abs(computed - actual) < tolerance) ||
(Math.abs((computed - actual) / actual) < tolerance),
msg);
}
}