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Gamma calculation with combined curve #1680

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merged 1 commit into from May 8, 2018
Merged

Gamma calculation with combined curve #1680

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115 changes: 86 additions & 29 deletions ...es/pricer/src/main/java/com/opengamma/strata/pricer/sensitivity/CurveGammaCalculator.java
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Expand Up @@ -13,18 +13,17 @@
import java.util.function.Function;
import java.util.stream.IntStream;

import com.google.common.collect.ImmutableList;
import com.google.common.primitives.Doubles;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.index.Index;
import com.opengamma.strata.basics.index.PriceIndex;
import com.opengamma.strata.basics.index.RateIndex;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.collect.array.DoubleMatrix;
import com.opengamma.strata.collect.tuple.Pair;
import com.opengamma.strata.data.MarketDataName;
import com.opengamma.strata.market.curve.Curve;
import com.opengamma.strata.market.curve.NodalCurve;
import com.opengamma.strata.market.curve.ParallelShiftedCurve;
import com.opengamma.strata.market.param.CrossGammaParameterSensitivities;
import com.opengamma.strata.market.param.CrossGammaParameterSensitivity;
Expand Down Expand Up @@ -124,10 +123,24 @@ public CrossGammaParameterSensitivities calculateCrossGammaIntraCurve(
Currency currency = entry.getKey();
Curve curve = entry.getValue();
if (baseDelta.findSensitivity(curve.getName(), currency).isPresent()) {
NodalCurve nodalCurve = getNodalCurve(curve);
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(
nodalCurve, currency, c -> immProv.toBuilder().discountCurve(currency, c).build(), sensitivitiesFn);
curve, currency, c -> immProv.toBuilder().discountCurve(currency, c).build(), sensitivitiesFn);
result = result.combinedWith(gammaSingle);
} else if (curve.split().size() > 1) {
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Can this just be a foreach loop of the split curves? Won't that handle the non-combined case?

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The underlying curves should be checked only when a sensitivity object is not found, because CurrencyParameterSensitivity is not necessarily split.

ImmutableList<Curve> curves = curve.split();
int nCurves = curves.size();
for (int i = 0; i < nCurves; ++i) {
int currentIndex = i;
Curve underlyingCurve = curves.get(currentIndex);
if (baseDelta.findSensitivity(underlyingCurve.getName(), currency).isPresent()) {
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(
underlyingCurve,
currency,
c -> immProv.toBuilder().discountCurve(currency, curve.withUnderlyingCurve(currentIndex, c)).build(),
sensitivitiesFn);
result = result.combinedWith(gammaSingle);
}
}
}
}
// forward curve
Expand All @@ -137,10 +150,24 @@ public CrossGammaParameterSensitivities calculateCrossGammaIntraCurve(
Currency currency = getCurrency(index);
Curve curve = entry.getValue();
if (baseDelta.findSensitivity(curve.getName(), currency).isPresent()) {
NodalCurve nodalCurve = getNodalCurve(curve);
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(
nodalCurve, currency, c -> immProv.toBuilder().indexCurve(index, c).build(), sensitivitiesFn);
curve, currency, c -> immProv.toBuilder().indexCurve(index, c).build(), sensitivitiesFn);
result = result.combinedWith(gammaSingle);
} else if (curve.split().size() > 1) {
ImmutableList<Curve> curves = curve.split();
int nCurves = curves.size();
for (int i = 0; i < nCurves; ++i) {
int currentIndex = i;
Curve underlyingCurve = curves.get(currentIndex);
if (baseDelta.findSensitivity(underlyingCurve.getName(), currency).isPresent()) {
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(
underlyingCurve,
currency,
c -> immProv.toBuilder().indexCurve(index, curve.withUnderlyingCurve(currentIndex, c)).build(),
sensitivitiesFn);
result = result.combinedWith(gammaSingle);
}
}
}
}
}
Expand Down Expand Up @@ -175,10 +202,24 @@ public CrossGammaParameterSensitivities calculateCrossGammaCrossCurve(
Currency currency = entry.getKey();
Curve curve = entry.getValue();
if (baseDelta.findSensitivity(curve.getName(), currency).isPresent()) {
NodalCurve nodalCurve = getNodalCurve(curve);
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(
baseDeltaSingle, nodalCurve, c -> immProv.toBuilder().discountCurve(currency, c).build(), sensitivitiesFn);
baseDeltaSingle, curve, c -> immProv.toBuilder().discountCurve(currency, c).build(), sensitivitiesFn);
resultInner = resultInner.combinedWith(gammaSingle);
} else if (curve.split().size() > 1) {
ImmutableList<Curve> curves = curve.split();
int nCurves = curves.size();
for (int i = 0; i < nCurves; ++i) {
int currentIndex = i;
Curve underlyingCurve = curves.get(currentIndex);
if (baseDelta.findSensitivity(underlyingCurve.getName(), currency).isPresent()) {
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(
baseDeltaSingle,
underlyingCurve,
c -> immProv.toBuilder().discountCurve(currency, curve.withUnderlyingCurve(currentIndex, c)).build(),
sensitivitiesFn);
resultInner = resultInner.combinedWith(gammaSingle);
}
}
}
}
// forward curve
Expand All @@ -188,10 +229,24 @@ public CrossGammaParameterSensitivities calculateCrossGammaCrossCurve(
Currency currency = getCurrency(index);
Curve curve = entry.getValue();
if (baseDelta.findSensitivity(curve.getName(), currency).isPresent()) {
NodalCurve nodalCurve = getNodalCurve(curve);
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(
baseDeltaSingle, nodalCurve, c -> immProv.toBuilder().indexCurve(index, c).build(), sensitivitiesFn);
baseDeltaSingle, curve, c -> immProv.toBuilder().indexCurve(index, c).build(), sensitivitiesFn);
resultInner = resultInner.combinedWith(gammaSingle);
} else if (curve.split().size() > 1) {
ImmutableList<Curve> curves = curve.split();
int nCurves = curves.size();
for (int i = 0; i < nCurves; ++i) {
int currentIndex = i;
Curve underlyingCurve = curves.get(currentIndex);
if (baseDelta.findSensitivity(underlyingCurve.getName(), currency).isPresent()) {
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(
baseDeltaSingle,
underlyingCurve,
c -> immProv.toBuilder().indexCurve(index, curve.withUnderlyingCurve(currentIndex, c)).build(),
sensitivitiesFn);
resultInner = resultInner.combinedWith(gammaSingle);
}
}
}
}
}
Expand All @@ -201,11 +256,6 @@ public CrossGammaParameterSensitivities calculateCrossGammaCrossCurve(
}

//-------------------------------------------------------------------------
private NodalCurve getNodalCurve(Curve curve) {
ArgChecker.isTrue(curve instanceof NodalCurve, "underlying curve must be NodalCurve");
return (NodalCurve) curve;
}

private Currency getCurrency(Index index) {
if (index instanceof RateIndex) {
return ((RateIndex) index).getCurrency();
Expand All @@ -215,53 +265,55 @@ private Currency getCurrency(Index index) {
throw new IllegalArgumentException("unsupported index");
}

// compute the second order sensitivity to nodalCurve
// compute the second order sensitivity to Curve
CrossGammaParameterSensitivity computeGammaForCurve(
NodalCurve nodalCurve,
Curve curve,
Currency sensitivityCurrency,
Function<Curve, ImmutableRatesProvider> ratesProviderFn,
Function<ImmutableRatesProvider, CurrencyParameterSensitivities> sensitivitiesFn) {

Function<DoubleArray, DoubleArray> function = new Function<DoubleArray, DoubleArray>() {
@Override
public DoubleArray apply(DoubleArray t) {
NodalCurve newCurve = nodalCurve.withYValues(t);
Curve newCurve = replaceParameters(curve, t);
ImmutableRatesProvider newRates = ratesProviderFn.apply(newCurve);
CurrencyParameterSensitivities sensiMulti = sensitivitiesFn.apply(newRates);
return sensiMulti.getSensitivity(newCurve.getName(), sensitivityCurrency).getSensitivity();
}
};
DoubleMatrix sensi = fd.differentiate(function).apply(nodalCurve.getYValues());
List<ParameterMetadata> metadata = IntStream.range(0, nodalCurve.getParameterCount())
.mapToObj(i -> nodalCurve.getParameterMetadata(i))
int nParams = curve.getParameterCount();
DoubleMatrix sensi = fd.differentiate(function).apply(DoubleArray.of(nParams, n -> curve.getParameter(n)));
List<ParameterMetadata> metadata = IntStream.range(0, nParams)
.mapToObj(i -> curve.getParameterMetadata(i))
.collect(toImmutableList());
return CrossGammaParameterSensitivity.of(nodalCurve.getName(), metadata, sensitivityCurrency, sensi);
return CrossGammaParameterSensitivity.of(curve.getName(), metadata, sensitivityCurrency, sensi);
}

// computes the sensitivity of baseDeltaSingle to nodalCurve
// computes the sensitivity of baseDeltaSingle to Curve
CrossGammaParameterSensitivity computeGammaForCurve(
CurrencyParameterSensitivity baseDeltaSingle,
NodalCurve nodalCurve,
Curve curve,
Function<Curve, ImmutableRatesProvider> ratesProviderFn,
Function<ImmutableRatesProvider, CurrencyParameterSensitivities> sensitivitiesFn) {

Function<DoubleArray, DoubleArray> function = new Function<DoubleArray, DoubleArray>() {
@Override
public DoubleArray apply(DoubleArray t) {
NodalCurve newCurve = nodalCurve.withYValues(t);
Curve newCurve = replaceParameters(curve, t);
ImmutableRatesProvider newRates = ratesProviderFn.apply(newCurve);
CurrencyParameterSensitivities sensiMulti = sensitivitiesFn.apply(newRates);
return sensiMulti.getSensitivity(baseDeltaSingle.getMarketDataName(), baseDeltaSingle.getCurrency()).getSensitivity();
}
};
DoubleMatrix sensi = fd.differentiate(function).apply(nodalCurve.getYValues());
List<ParameterMetadata> metadata = IntStream.range(0, nodalCurve.getParameterCount())
.mapToObj(i -> nodalCurve.getParameterMetadata(i))
int nParams = curve.getParameterCount();
DoubleMatrix sensi = fd.differentiate(function).apply(DoubleArray.of(nParams, n -> curve.getParameter(n)));
List<ParameterMetadata> metadata = IntStream.range(0, nParams)
.mapToObj(i -> curve.getParameterMetadata(i))
.collect(toImmutableList());
return CrossGammaParameterSensitivity.of(
baseDeltaSingle.getMarketDataName(),
baseDeltaSingle.getParameterMetadata(),
nodalCurve.getName(),
curve.getName(),
metadata,
baseDeltaSingle.getCurrency(),
sensi);
Expand Down Expand Up @@ -315,6 +367,11 @@ public CurrencyParameterSensitivity calculateSemiParallelGamma(
return curve.createParameterSensitivity(curveCurrency, gamma);
}

//-------------------------------------------------------------------------
private Curve replaceParameters(Curve curve, DoubleArray newParameters) {
return curve.withPerturbation((i, v, m) -> newParameters.get(i));
}

//-------------------------------------------------------------------------
/**
* Inner class to compute the delta for a given parallel shift of the curve.
Expand Down
11 changes: 11 additions & 0 deletions modules/pricer/src/test/java/com/opengamma/strata/pricer/datasets/RatesProviderDataSets.java
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Expand Up @@ -25,6 +25,7 @@
import com.opengamma.strata.basics.currency.FxMatrix;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.collect.timeseries.LocalDateDoubleTimeSeries;
import com.opengamma.strata.market.curve.CombinedCurve;
import com.opengamma.strata.market.curve.Curve;
import com.opengamma.strata.market.curve.CurveMetadata;
import com.opengamma.strata.market.curve.CurveName;
Expand Down Expand Up @@ -199,6 +200,16 @@ public static final ImmutableRatesProvider multiUsd(LocalDate valDate) {
.timeSeries(US_CPI_U, PRICE_INDEX_TS)
.build();

public static final ImmutableRatesProvider MULTI_CPI_USD_COMBINED = ImmutableRatesProvider.builder(VAL_DATE_2014_01_22)
.fxRateProvider(FX_MATRIX_USD)
.discountCurve(USD, CombinedCurve.of(USD_L3, USD_DSC))
.overnightIndexCurve(USD_FED_FUND, CombinedCurve.of(USD_L3, USD_DSC))
.iborIndexCurve(USD_LIBOR_3M, USD_L3)
.iborIndexCurve(USD_LIBOR_6M, CombinedCurve.of(USD_L3, USD_L6))
.priceIndexCurve(US_CPI_U, US_CPI_U_CURVE)
.timeSeries(US_CPI_U, PRICE_INDEX_TS)
.build();

//-------------------------------------------------------------------------
// ===== GBP =====

Expand Down