/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.payments.provider;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertTrue;
import org.testng.annotations.Test;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorCMSDefinition;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIborMaster;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexSwap;
import com.opengamma.analytics.financial.instrument.payment.CapFloorCMSDefinition;
import com.opengamma.analytics.financial.instrument.payment.CouponCMSDefinition;
import com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition;
import com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMS;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponCMS;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters;
import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.sabrswaption.PresentValueCurveSensitivitySABRSwaptionCalculator;
import com.opengamma.analytics.financial.provider.calculator.sabrswaption.PresentValueSABRSensitivitySABRSwaptionCalculator;
import com.opengamma.analytics.financial.provider.calculator.sabrswaption.PresentValueSABRSwaptionCalculator;
import com.opengamma.analytics.financial.provider.description.MulticurveProviderDiscountDataSets;
import com.opengamma.analytics.financial.provider.description.SABRDataSets;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.parameter.ParameterSensitivityParameterCalculator;
import com.opengamma.analytics.financial.provider.sensitivity.sabrswaption.ParameterSensitivitySABRSwaptionDiscountInterpolatedFDCalculator;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.financial.util.AssertSensitivityObjects;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCounts;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.tuple.DoublesPair;
/**
* Test class for the replication method for CMS caplet/floorlet with a SABR smile.
*/
@Test(groups = TestGroup.UNIT)
public class CapFloorCMSSABRReplicationMethodTest {
private static final MulticurveProviderDiscount MULTICURVES = MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
private static final IborIndex EURIBOR6M = MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd()[1];
private static final Currency EUR = EURIBOR6M.getCurrency();
private static final Calendar CALENDAR = MulticurveProviderDiscountDataSets.getEURCalendar();
private static final SABRInterestRateParameters SABR_PARAMETER = SABRDataSets.createSABR1();
private static final GeneratorSwapFixedIbor EUR1YEURIBOR6M = GeneratorSwapFixedIborMaster.getInstance().getGenerator("EUR1YEURIBOR6M", CALENDAR);
private static final SABRSwaptionProviderDiscount SABR_MULTICURVES = new SABRSwaptionProviderDiscount(MULTICURVES, SABR_PARAMETER, EUR1YEURIBOR6M);
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2008, 8, 18);
private static final ZonedDateTime SPOT_DATE = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, EURIBOR6M.getSpotLag(), CALENDAR);
private static final Period ANNUITY_TENOR = Period.ofYears(5);
private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2011, 3, 17);
private static final IndexSwap INDEX_SWAP_5Y = new IndexSwap(EUR1YEURIBOR6M, ANNUITY_TENOR);
private static final SwapFixedIborDefinition SWAP_DEFINITION = SwapFixedIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, EUR1YEURIBOR6M, 1.0, 0.0, true);
private static final ZonedDateTime PAYMENT_DATE = DateUtils.getUTCDate(2011, 4, 6);
private static final ZonedDateTime FIXING_DATE = DateUtils.getUTCDate(2010, 12, 30);
private static final ZonedDateTime ACCRUAL_START_DATE = DateUtils.getUTCDate(2011, 1, 5);
private static final ZonedDateTime ACCRUAL_END_DATE = DateUtils.getUTCDate(2011, 4, 5);
private static final DayCount PAYMENT_DAY_COUNT = DayCounts.ACT_360;
private static final double ACCRUAL_FACTOR = PAYMENT_DAY_COUNT.getDayCountFraction(ACCRUAL_START_DATE, ACCRUAL_END_DATE);
private static final double NOTIONAL = 10000000; //10m
private static final CouponCMSDefinition CMS_COUPON_DEFINITION = CouponCMSDefinition.from(PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, SWAP_DEFINITION,
INDEX_SWAP_5Y);
private static final double STRIKE = 0.02;
private static final boolean IS_CAP = true;
private static final CapFloorCMSDefinition CMS_CAP_DEFINITION = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, STRIKE, IS_CAP);
private static final CapFloorCMSDefinition CMS_CAP_0_DEFINITION = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, 0.0, IS_CAP);
private static final CapFloorCMSDefinition CMS_FLOOR_DEFINITION = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, STRIKE, !IS_CAP);
private static final CouponFixedDefinition COUPON_STRIKE_DEFINITION = new CouponFixedDefinition(CMS_COUPON_DEFINITION, STRIKE);
private static final CouponCMS CMS_COUPON = (CouponCMS) CMS_COUPON_DEFINITION.toDerivative(REFERENCE_DATE);
private static final CapFloorCMS CMS_CAP_0 = (CapFloorCMS) CMS_CAP_0_DEFINITION.toDerivative(REFERENCE_DATE);
private static final CapFloorCMS CMS_CAP = (CapFloorCMS) CMS_CAP_DEFINITION.toDerivative(REFERENCE_DATE);
private static final CapFloorCMS CMS_FLOOR = (CapFloorCMS) CMS_FLOOR_DEFINITION.toDerivative(REFERENCE_DATE);
private static final CouponFixed COUPON_STRIKE = COUPON_STRIKE_DEFINITION.toDerivative(REFERENCE_DATE);
private static final CapFloorCMSSABRReplicationMethod METHOD_CAP_CMS_SABR = CapFloorCMSSABRReplicationMethod.getDefaultInstance();
private static final PresentValueDiscountingCalculator PVDC = PresentValueDiscountingCalculator.getInstance();
private static final PresentValueSABRSwaptionCalculator PVSSC = PresentValueSABRSwaptionCalculator.getInstance();
private static final PresentValueCurveSensitivitySABRSwaptionCalculator PVCSSSC = PresentValueCurveSensitivitySABRSwaptionCalculator.getInstance();
private static final PresentValueSABRSensitivitySABRSwaptionCalculator PVSSSSC = PresentValueSABRSensitivitySABRSwaptionCalculator.getInstance();
private static final double SHIFT = 1.0E-7;
private static final ParameterSensitivityParameterCalculator<SABRSwaptionProviderInterface> PS_SS_C = new ParameterSensitivityParameterCalculator<>(PVCSSSC);
private static final ParameterSensitivitySABRSwaptionDiscountInterpolatedFDCalculator PS_SS_FDC = new ParameterSensitivitySABRSwaptionDiscountInterpolatedFDCalculator(PVSSC, SHIFT);
private static final double TOLERANCE_PV = 1.0E-2;
private static final double TOLERANCE_PV_DELTA = 1.0E+2; //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move.
@Test
/**
* Tests the price of CMS coupon and cap/floor using replication in the SABR framework. Values are tested against hard-coded values.
*/
public void testPriceReplication() {
// CMS cap/floor with strike 0 has the same price as a CMS coupon.
final MultipleCurrencyAmount priceCMSCoupon = PVSSC.visit(CMS_COUPON, SABR_MULTICURVES);
final MultipleCurrencyAmount priceCMSCap0 = PVSSC.visit(CMS_CAP_0, SABR_MULTICURVES);
assertEquals("CapFloorCMSSABRReplicationMethod: present value", priceCMSCoupon.getAmount(EUR), priceCMSCap0.getAmount(EUR), TOLERANCE_PV);
final MultipleCurrencyAmount priceCMSCap = PVSSC.visit(CMS_CAP, SABR_MULTICURVES);
assertEquals("CapFloorCMSSABRReplicationMethod: present value", 5224.559, priceCMSCap.getAmount(EUR), TOLERANCE_PV); //From previous run
final MultipleCurrencyAmount priceCMSFloor = PVSSC.visit(CMS_FLOOR, SABR_MULTICURVES);
assertEquals("CapFloorCMSSABRReplicationMethod: present value", 20149.939, priceCMSFloor.getAmount(EUR), TOLERANCE_PV); //From previous run
final MultipleCurrencyAmount priceStrike = COUPON_STRIKE.accept(PVDC, MULTICURVES);
// Cap/floor parity: !cash-settled swaption price is arbitrable: no exact cap/floor/swap parity!
assertEquals("CapFloorCMSSABRReplicationMethod: present value", priceCMSCap.getAmount(EUR) - priceCMSFloor.getAmount(EUR), priceCMSCoupon.getAmount(EUR) - priceStrike.getAmount(EUR), 2.0E+3);
}
@Test
/**
* Tests the price of CMS coupon and cap/floor using replication in the SABR framework. Values are tested against hard-coded values.
*/
public void presentValueMethodVsCalculator() {
final double pvMethod = METHOD_CAP_CMS_SABR.presentValue(CMS_CAP, SABR_MULTICURVES).getAmount(EUR);
final double pvCalculator = PVSSC.visit(CMS_CAP, SABR_MULTICURVES).getAmount(EUR);
assertEquals("CMS cap/floor SABR: Present value : method vs calculator", pvMethod, pvCalculator, TOLERANCE_PV);
}
@Test
/**
* Tests present value curve sensitivity when the valuation date is on trade date.
*/
public void presentValueCurveSensitivityCap() {
final MultipleCurrencyParameterSensitivity pvpsExact = PS_SS_C.calculateSensitivity(CMS_CAP, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames());
final MultipleCurrencyParameterSensitivity pvpsFD = PS_SS_FDC.calculateSensitivity(CMS_CAP, SABR_MULTICURVES);
AssertSensitivityObjects.assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA);
}
@Test
/**
* Tests present value curve sensitivity when the valuation date is on trade date.
*/
public void presentValueCurveSensitivityFoor() {
final MultipleCurrencyParameterSensitivity pvpsExact = PS_SS_C.calculateSensitivity(CMS_FLOOR, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames());
final MultipleCurrencyParameterSensitivity pvpsFD = PS_SS_FDC.calculateSensitivity(CMS_FLOOR, SABR_MULTICURVES);
AssertSensitivityObjects.assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA);
}
@Test
/**
* Tests the present value SABR parameters sensitivity vs finite difference.
*/
public void presentValueSABRSensitivity() {
final double pv = METHOD_CAP_CMS_SABR.presentValue(CMS_CAP, SABR_MULTICURVES).getAmount(EUR);
final PresentValueSABRSensitivityDataBundle pvsCapLong = METHOD_CAP_CMS_SABR.presentValueSABRSensitivity(CMS_CAP, SABR_MULTICURVES);
// SABR sensitivity vs finite difference
final double shift = 0.0001;
final double shiftAlpha = 0.00001;
final double maturity = CMS_CAP.getUnderlyingSwap().getFixedLeg().getNthPayment(CMS_CAP.getUnderlyingSwap().getFixedLeg().getNumberOfPayments() - 1).getPaymentTime() - CMS_CAP.getSettlementTime();
final DoublesPair expectedExpiryTenor = DoublesPair.of(CMS_CAP.getFixingTime(), maturity);
// Alpha sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterAlphaBumped = SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
final SABRSwaptionProviderDiscount sabrBundleAlphaBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
final double pvLongPayerAlphaBumped = METHOD_CAP_CMS_SABR.presentValue(CMS_CAP, sabrBundleAlphaBumped).getAmount(EUR);
final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 1);
assertEquals("Alpha sensitivity expiry/tenor", pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor), true);
assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor), 3.0E+1);
// Rho sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped();
final SABRSwaptionProviderDiscount sabrBundleRhoBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
final double pvLongPayerRhoBumped = METHOD_CAP_CMS_SABR.presentValue(CMS_CAP, sabrBundleRhoBumped).getAmount(EUR);
final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 1);
assertEquals("Rho sensitivity expiry/tenor", pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor), true);
assertEquals("Rho sensitivity value", expectedRhoSensi, pvsCapLong.getRho().getMap().get(expectedExpiryTenor), 1.0E+0);
// Alpha sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped();
final SABRSwaptionProviderDiscount sabrBundleNuBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
final double pvLongPayerNuBumped = METHOD_CAP_CMS_SABR.presentValue(CMS_CAP, sabrBundleNuBumped).getAmount(EUR);
final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 1);
assertTrue("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor));
assertEquals("Nu sensitivity value", expectedNuSensi, pvsCapLong.getNu().getMap().get(expectedExpiryTenor), 2.0E+0);
}
@Test
/**
* Tests the present value SABR parameters sensitivity: Method vs Calculator.
*/
public void presentValueSABRSensitivityMethodVsCalculator() {
final PresentValueSABRSensitivityDataBundle pvssMethod = METHOD_CAP_CMS_SABR.presentValueSABRSensitivity(CMS_CAP, SABR_MULTICURVES);
final PresentValueSABRSensitivityDataBundle pvssCalculator = PVSSSSC.visit(CMS_CAP, SABR_MULTICURVES);
assertEquals("CMS cap/floor SABR: Present value SABR sensitivity: method vs calculator", pvssMethod, pvssCalculator);
}
@Test
/**
* Tests the present value strike sensitivity: Cap.
*/
public void presentValueStrikeSensitivityCap() {
final double[] strikes = new double[] {0.0001, 0.0010, 0.0050, 0.0100, 0.0200, 0.0400, 0.0500};
final int nbStrikes = strikes.length;
final double shift = 1.0E-5;
final double[] errorRelative = new double[nbStrikes];
for (int loopstrike = 0; loopstrike < nbStrikes; loopstrike++) {
final CapFloorCMSDefinition cmsCapDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike], IS_CAP);
final CapFloorCMSDefinition cmsCapShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] + shift, IS_CAP);
final CapFloorCMSDefinition cmsCapShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] - shift, IS_CAP);
final CapFloorCMS cmsCap = (CapFloorCMS) cmsCapDefinition.toDerivative(REFERENCE_DATE);
final CapFloorCMS cmsCapShiftUp = (CapFloorCMS) cmsCapShiftUpDefinition.toDerivative(REFERENCE_DATE);
final CapFloorCMS cmsCapShiftDo = (CapFloorCMS) cmsCapShiftDoDefinition.toDerivative(REFERENCE_DATE);
final double pvShiftUp = METHOD_CAP_CMS_SABR.presentValue(cmsCapShiftUp, SABR_MULTICURVES).getAmount(EUR);
final double pvShiftDo = METHOD_CAP_CMS_SABR.presentValue(cmsCapShiftDo, SABR_MULTICURVES).getAmount(EUR);
final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
final double sensiComputed = METHOD_CAP_CMS_SABR.presentValueStrikeSensitivity(cmsCap, SABR_MULTICURVES);
errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
assertEquals("CMS cap/floor SABR: Present value strike sensitivity " + loopstrike, 0, errorRelative[loopstrike], 5.0E-4); // Numerical imprecision, reduce to E-6 when nbInteration = 1000;
}
}
@Test
/**
* Tests the present value strike sensitivity: Floor.
*/
public void presentValueStrikeSensitivityFloor() {
final double[] strikes = new double[] {0.0001, 0.0010, 0.0050, 0.0100, 0.0200, 0.0400};
final int nbStrikes = strikes.length;
final double shift = 1.0E-5;
final double[] errorRelative = new double[nbStrikes];
for (int loopstrike = 0; loopstrike < nbStrikes; loopstrike++) {
final CapFloorCMSDefinition cmsFloorDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike], !IS_CAP);
final CapFloorCMSDefinition cmsFloorShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] + shift, !IS_CAP);
final CapFloorCMSDefinition cmsFloorShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] - shift, !IS_CAP);
final CapFloorCMS cmsFloor = (CapFloorCMS) cmsFloorDefinition.toDerivative(REFERENCE_DATE);
final CapFloorCMS cmsFloorShiftUp = (CapFloorCMS) cmsFloorShiftUpDefinition.toDerivative(REFERENCE_DATE);
final CapFloorCMS cmsFloorShiftDo = (CapFloorCMS) cmsFloorShiftDoDefinition.toDerivative(REFERENCE_DATE);
final double pvShiftUp = METHOD_CAP_CMS_SABR.presentValue(cmsFloorShiftUp, SABR_MULTICURVES).getAmount(EUR);
final double pvShiftDo = METHOD_CAP_CMS_SABR.presentValue(cmsFloorShiftDo, SABR_MULTICURVES).getAmount(EUR);
final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
final double sensiComputed = METHOD_CAP_CMS_SABR.presentValueStrikeSensitivity(cmsFloor, SABR_MULTICURVES);
errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
assertEquals("CMS cap/floor SABR: Present value strike sensitivity " + loopstrike, 0, errorRelative[loopstrike], 5.0E-4);
}
}
@Test
/**
* Tests the present value of an annuity vs the sum of pv of each caplet.
*/
public void presentValueAnnuity() {
final Period START_CMSCAP = Period.ofYears(5);
final Period LENGTH_CMSCAP = Period.ofYears(10);
final ZonedDateTime START_DATE = ScheduleCalculator.getAdjustedDate(SPOT_DATE, START_CMSCAP, EUR1YEURIBOR6M.getIborIndex().getBusinessDayConvention(), CALENDAR, EUR1YEURIBOR6M.getIborIndex()
.isEndOfMonth());
final ZonedDateTime END_DATE = START_DATE.plus(LENGTH_CMSCAP);
final Period capPeriod = Period.ofMonths(6);
final DayCount capDayCount = DayCounts.ACT_360;
final AnnuityCapFloorCMSDefinition capDefinition = AnnuityCapFloorCMSDefinition.from(START_DATE, END_DATE, NOTIONAL, INDEX_SWAP_5Y, capPeriod, capDayCount, false, STRIKE, IS_CAP, CALENDAR);
final Annuity<? extends Payment> cap = capDefinition.toDerivative(REFERENCE_DATE);
final double pvCalculator = PVSSC.visit(cap, SABR_MULTICURVES).getAmount(EUR);
double pvExpected = 0.0;
for (int loopcpn = 0; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
pvExpected += PVSSC.visit(cap.getNthPayment(loopcpn), SABR_MULTICURVES).getAmount(EUR);
}
assertEquals("Cap annuity - SABR pv", pvExpected, pvCalculator, 1.0E-2);
}
@Test
/**
* Tests the present value of an annuity vs the sum of pv of each caplet.
*/
public void presentValueCurveSensitivityAnnuity() {
final Period START_CMSCAP = Period.ofYears(5);
final Period LENGTH_CMSCAP = Period.ofYears(10);
final ZonedDateTime START_DATE = ScheduleCalculator.getAdjustedDate(SPOT_DATE, START_CMSCAP, EUR1YEURIBOR6M.getIborIndex().getBusinessDayConvention(), CALENDAR, EUR1YEURIBOR6M.getIborIndex()
.isEndOfMonth());
final ZonedDateTime END_DATE = START_DATE.plus(LENGTH_CMSCAP);
final Period capPeriod = Period.ofMonths(6);
final DayCount capDayCount = DayCounts.ACT_360;
final AnnuityCapFloorCMSDefinition capDefinition = AnnuityCapFloorCMSDefinition.from(START_DATE, END_DATE, NOTIONAL, INDEX_SWAP_5Y, capPeriod, capDayCount, false, STRIKE, IS_CAP, CALENDAR);
final Annuity<? extends Payment> cap = capDefinition.toDerivative(REFERENCE_DATE);
MultipleCurrencyMulticurveSensitivity pvcsCalculator = PVCSSSC.visit(cap, SABR_MULTICURVES);
pvcsCalculator = pvcsCalculator.cleaned();
MultipleCurrencyMulticurveSensitivity pvcsExpected = new MultipleCurrencyMulticurveSensitivity();
for (int loopcpn = 0; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
pvcsExpected = pvcsExpected.plus(PVCSSSC.visit(cap.getNthPayment(loopcpn), SABR_MULTICURVES));
}
pvcsExpected = pvcsExpected.cleaned();
AssertSensitivityObjects.assertEquals("Cap annuity - SABR pv", pvcsExpected, pvcsCalculator, 1.0E-2);
}
// @Test(enabled = false)
// /**
// * Tests of performance. "enabled = false" for the standard testing.
// */
// public void performance() {
// long startTime, endTime;
// final int nbTest = 1000;
//
// startTime = System.currentTimeMillis();
// for (int looptest = 0; looptest < nbTest; looptest++) {
// PV.visit(CMS_CAP, SABR_MULTICURVES);
// PVCSC_SABR.visit(CMS_CAP, SABR_MULTICURVES);
// PVSSC_SABR.visit(CMS_CAP, SABR_MULTICURVES);
// }
// endTime = System.currentTimeMillis();
// System.out.println(nbTest + " CMS cap by replication (price+delta+vega): " + (endTime - startTime) + " ms");
// // Performance note: price+delta: 9-Dec-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 280 ms for 1000 cap 5Y.
// // Performance note: price+delta+vega: 9-Dec-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 790 ms for 1000 cap 5Y.
//
// startTime = System.currentTimeMillis();
// for (int looptest = 0; looptest < nbTest; looptest++) {
// PV.visit(CMS_FLOOR, SABR_MULTICURVES);
// PVCSC_SABR.visit(CMS_FLOOR, SABR_MULTICURVES);
// PVSSC_SABR.visit(CMS_FLOOR, SABR_MULTICURVES);
// }
// endTime = System.currentTimeMillis();
// System.out.println(nbTest + " CMS floor by replication (price+delta+vega): " + (endTime - startTime) + " ms");
// // Performance note: price+delta: 9-Dec-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 230 ms for 1000 floor 5Y.
// // Performance note: price+delta+vega: 9-Dec-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 555 ms for 1000 cap 5Y.
// }
}