com.opengamma.strata.pricer.sensitivity

Class CurveGammaCalculator

java.lang.Object

com.opengamma.strata.pricer.sensitivity.CurveGammaCalculator

public final class CurveGammaCalculator
extends Object

Computes the gamma-related values for the rates curve parameters.

By default the gamma is computed using a one basis-point shift and a forward finite difference. The results themselves are not scaled (they represent the second order derivative).

Reference: Interest Rate Cross-gamma for Single and Multiple Curves. OpenGamma quantitative research 15, July 14

Field Summary

Fields

Modifier and Type	Field and Description
static CurveGammaCalculator	DEFAULT Default implementation.

Method Summary

Modifier and Type	Method and Description
CrossGammaParameterSensitivities	calculateCrossGammaCrossCurve(RatesProvider ratesProvider, Function<ImmutableRatesProvider,CurrencyParameterSensitivities> sensitivitiesFn) Computes cross-curve gamma by applying finite difference method to curve delta.
CrossGammaParameterSensitivities	calculateCrossGammaIntraCurve(LegalEntityDiscountingProvider ratesProvider, Function<ImmutableLegalEntityDiscountingProvider,CurrencyParameterSensitivities> sensitivitiesFn) Computes intra-curve cross gamma for bond curves by applying finite difference method to curve delta.
CrossGammaParameterSensitivities	calculateCrossGammaIntraCurve(RatesProvider ratesProvider, Function<ImmutableRatesProvider,CurrencyParameterSensitivities> sensitivitiesFn) Computes intra-curve cross gamma by applying finite difference method to curve delta.
CurrencyParameterSensitivity	calculateSemiParallelGamma(Curve curve, Currency curveCurrency, Function<Curve,CurrencyParameterSensitivity> sensitivitiesFn) Computes the "sum-of-column gamma" or "semi-parallel gamma" for a sensitivity function.
static CurveGammaCalculator	ofBackwardDifference(double shift) Obtains an instance of the finite difference calculator using backward differencing.
static CurveGammaCalculator	ofCentralDifference(double shift) Obtains an instance of the finite difference calculator using central differencing.
static CurveGammaCalculator	ofForwardDifference(double shift) Obtains an instance of the finite difference calculator using forward differencing.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final CurveGammaCalculator DEFAULT

Default implementation. Finite difference is forward and the shift is one basis point (0.0001).

Method Detail

ofForwardDifference

public static CurveGammaCalculator ofForwardDifference(double shift)

Obtains an instance of the finite difference calculator using forward differencing.

Parameters:

shift - the shift to be applied to the curves

Returns:

the calculator

ofCentralDifference

public static CurveGammaCalculator ofCentralDifference(double shift)

Obtains an instance of the finite difference calculator using central differencing.

Parameters:

shift - the shift to be applied to the curves

Returns:

the calculator

ofBackwardDifference

public static CurveGammaCalculator ofBackwardDifference(double shift)

Obtains an instance of the finite difference calculator using backward differencing.

Parameters:

shift - the shift to be applied to the curves

Returns:

the calculator

calculateCrossGammaIntraCurve

public CrossGammaParameterSensitivities calculateCrossGammaIntraCurve(RatesProvider ratesProvider,
                                                                      Function<ImmutableRatesProvider,CurrencyParameterSensitivities> sensitivitiesFn)

Computes intra-curve cross gamma by applying finite difference method to curve delta.

This computes the intra-curve cross gamma, i.e., the second order sensitivities to individual curves. Thus the sensitivity of a curve delta to another curve is not produced.

The sensitivities are computed for discount curves, and forward curves for RateIndex and PriceIndex. This implementation works only for single currency trades.

Parameters:

ratesProvider - the rates provider

sensitivitiesFn - the sensitivity function

Returns:

the cross gamma

calculateCrossGammaIntraCurve

public CrossGammaParameterSensitivities calculateCrossGammaIntraCurve(LegalEntityDiscountingProvider ratesProvider,
                                                                      Function<ImmutableLegalEntityDiscountingProvider,CurrencyParameterSensitivities> sensitivitiesFn)

Computes intra-curve cross gamma for bond curves by applying finite difference method to curve delta.

This computes the intra-curve cross gamma, i.e., the second order sensitivities to individual curves. Thus the sensitivity of a curve delta to another curve is not produced.

The underlying instruments must be single-currency, i.e., the curve currency must be the same as the sensitivity currency.

Parameters:

ratesProvider - the rates provider

sensitivitiesFn - the sensitivity function

Returns:

the cross gamma

calculateCrossGammaCrossCurve

public CrossGammaParameterSensitivities calculateCrossGammaCrossCurve(RatesProvider ratesProvider,
                                                                      Function<ImmutableRatesProvider,CurrencyParameterSensitivities> sensitivitiesFn)

Computes cross-curve gamma by applying finite difference method to curve delta.

This computes the cross-curve gamma, i.e., the second order sensitivities to full curves. Thus the sensitivities of curve delta to other curves are produced.

The sensitivities are computed for discount curves, and forward curves for RateIndex and PriceIndex. This implementation works only for single currency trades.

Parameters:

ratesProvider - the rates provider

sensitivitiesFn - the sensitivity function

Returns:

the cross gamma

calculateSemiParallelGamma

public CurrencyParameterSensitivity calculateSemiParallelGamma(Curve curve,
                                                               Currency curveCurrency,
                                                               Function<Curve,CurrencyParameterSensitivity> sensitivitiesFn)

Computes the "sum-of-column gamma" or "semi-parallel gamma" for a sensitivity function.

This implementation supports a single Curve on the zero-coupon rates. By default the gamma is computed using a one basis-point shift and a forward finite difference. The results themselves are not scaled (they represent the second order derivative).

Parameters:

curve - the single curve to be bumped

curveCurrency - the currency of the curve and resulting sensitivity

sensitivitiesFn - the function to convert the bumped curve to parameter sensitivities

Returns:

the "sum-of-columns" or "semi-parallel" gamma vector