com.opengamma.strata.pricer.swaption.SabrSwaptionRawDataSensitivityCalculator Maven / Gradle / Ivy
/*
* 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 java.util.ArrayList;
import java.util.List;
import java.util.Optional;
import com.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.data.MarketDataName;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.market.param.CurrencyParameterSensitivity;
import com.opengamma.strata.market.param.ParameterMetadata;
import com.opengamma.strata.market.surface.SurfaceName;
/**
* Calculator to obtain the raw data sensitivities for swaption related products using calibrated SABR data.
*
* This needs data sensitivity info obtained during curve calibration.
*/
public class SabrSwaptionRawDataSensitivityCalculator {
/**
* The default instance.
*/
public static final SabrSwaptionRawDataSensitivityCalculator DEFAULT = new SabrSwaptionRawDataSensitivityCalculator();
//-------------------------------------------------------------------------
/**
* Calculates the raw data sensitivities from SABR parameter sensitivity.
*
* The SABR parameter sensitivities to data are stored in some optional data in the
* {@link SabrParametersSwaptionVolatilities}.
* The sensitivities to the SABR parameters passed in should be compatible with the SABR parameters in term of data order.
*
* Only the sensitivity to the SABR parameters for which there is a data sensitivity are taken into account.
* At least one of the four parameter must have such sensitivities.
*
* @param paramSensitivities the curve SABR parameter sensitivities
* @param volatilities the SABR parameters, including the data sensitivity metadata
* @return the raw data sensitivities
*/
public CurrencyParameterSensitivity parallelSensitivity(
CurrencyParameterSensitivities paramSensitivities,
SabrParametersSwaptionVolatilities volatilities) {
List> sensitivityToRawData = new ArrayList<>(4);
Optional> alphaInfo = volatilities.getDataSensitivityAlpha();
sensitivityToRawData.add(alphaInfo.orElse(null));
Optional> betaInfo = volatilities.getDataSensitivityBeta();
sensitivityToRawData.add(betaInfo.orElse(null));
Optional> rhoInfo = volatilities.getDataSensitivityRho();
sensitivityToRawData.add(rhoInfo.orElse(null));
Optional> nuInfo = volatilities.getDataSensitivityNu();
sensitivityToRawData.add(nuInfo.orElse(null));
ArgChecker.isTrue(alphaInfo.isPresent() || betaInfo.isPresent() || rhoInfo.isPresent() || nuInfo.isPresent(),
"at least one sensitivity to raw data must be available");
checkCurrency(paramSensitivities);
int nbSurfaceNode = sensitivityToRawData.get(0).size();
double[] sensitivityRawArray = new double[nbSurfaceNode];
Currency ccy = null;
List metadataResult = null;
for (CurrencyParameterSensitivity s : paramSensitivities.getSensitivities()) {
ccy = s.getCurrency();
MarketDataName name = s.getMarketDataName();
if (name instanceof SurfaceName) {
if (volatilities.getParameters().getAlphaSurface().getName().equals(name) && alphaInfo.isPresent()) {
updateSensitivity(s, sensitivityToRawData.get(0), sensitivityRawArray);
metadataResult = s.getParameterMetadata();
}
if (volatilities.getParameters().getBetaSurface().getName().equals(name) && betaInfo.isPresent()) {
updateSensitivity(s, sensitivityToRawData.get(1), sensitivityRawArray);
metadataResult = s.getParameterMetadata();
}
if (volatilities.getParameters().getRhoSurface().getName().equals(name) && rhoInfo.isPresent()) {
updateSensitivity(s, sensitivityToRawData.get(2), sensitivityRawArray);
metadataResult = s.getParameterMetadata();
}
if (volatilities.getParameters().getNuSurface().getName().equals(name) && nuInfo.isPresent()) {
updateSensitivity(s, sensitivityToRawData.get(3), sensitivityRawArray);
metadataResult = s.getParameterMetadata();
}
}
}
DoubleArray sensitivityRaw = DoubleArray.ofUnsafe(sensitivityRawArray);
return CurrencyParameterSensitivity.of(SurfaceName.of("RawDataParallelSensitivity"), metadataResult, ccy, sensitivityRaw);
}
// Update the parallel sensitivity for one of the SABR parameters
private static void updateSensitivity(
CurrencyParameterSensitivity s,
List sensitivityInfoParam,
double[] sensitivityRawArray) {
int nbSurfaceNode = sensitivityInfoParam.size();
ArgChecker.isTrue(s.getSensitivity().size() == nbSurfaceNode,
"sensitivity and surface info are not of the same size");
for (int loopnode = 0; loopnode < nbSurfaceNode; loopnode++) {
double sum = sensitivityInfoParam.get(loopnode).sum();
sensitivityRawArray[loopnode] += s.getSensitivity().get(loopnode) * sum;
}
}
// Check that all the sensitivities are in the same currency
private static void checkCurrency(CurrencyParameterSensitivities paramSensitivities) {
List sensitivitiesList = paramSensitivities.getSensitivities();
if (sensitivitiesList.size() > 0) { // When no sensitivity, no check required.
Currency ccy = sensitivitiesList.get(0).getCurrency();
for (int i = 1; i < sensitivitiesList.size(); i++) {
ArgChecker.isTrue(ccy.equals(sensitivitiesList.get(i).getCurrency()),
"sensitivities must be in the same currency for aggregation");
}
}
}
}