Adjust vega by appropriate volatility.#2263
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daminuk
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Dec 9, 2020
daminuk
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- Multiply the vega sensitivites by the appropriate volatility amount.
jodastephen
reviewed
Dec 9, 2020
| ImmutableFixedIborSwapConvention.of("USD-Swap", USD_FIXED_1Y_30U360, USD_IBOR_LIBOR3M); | ||
| private static final List<ParameterMetadata> PARAMETER_METADATA = | ||
| MapStream.zip(TIMES.stream().boxed(), TENORS.stream().boxed()) | ||
| .map(SwaptionSurfaceExpiryTenorParameterMetadata::of) |
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Indentation doesn't look right here
| CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4); | ||
| PointSensitivities pvVegaPointSens = pricer.presentValueSensitivityModelParamsVolatility(RTRADE, provider, VOLS); | ||
| CurrencyParameterSensitivities expectedPv01VegaCal = VOLS.parameterSensitivity(pvVegaPointSens); | ||
| CurrencyParameterSensitivities expectedPv01VegaCalAdjusted = expectedPv01VegaCal.getSensitivities().stream() |
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Is there no way to use CurrencyParameterSensitivities.toBuilder().filterSensitivity(...) followed by CurrencyParameterSensitivities.mapSensitivities(...) ? If not, then maybe Strata needs an enhancement
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I've added a mapSensitivities(BiFunction<ParameterMetadata, Double, Double>) method to the builder.
jodastephen
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Dec 9, 2020
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Was going to suggest using ObjDoubleToDoubleFunction but on closer look it wouldn't really help as the class is boxed anyway.
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