Class MultiCurveRisk

java.lang.Object

com.quantfinlib.rates.MultiCurveRisk

public final class MultiCurveRisk
extends Object

Curve risk on a bootstrapped OIS + projection curve pair by bumping the market quotes and rebuilding: the sensitivities a desk hedges with, because they are expressed in the instruments it can trade.

All results are the change in pv(discount, projection) for a +1bp move in the named quote(s), by central difference (PV(+1bp) - PV(-1bp)) / 2, which removes the second-order term.

• bucketedDv01(LocalDate, List, List, CurveInterpolation, ToDoubleBiFunction): one quote at a time (OIS quotes first, then projection quotes, each in the order given). Rebuilding moves the projection curve too when an OIS quote moves, because the projection bootstrap discounts on OIS.
• keyRateDv01(LocalDate, List, List, CurveInterpolation, ToDoubleBiFunction, double[]): Ho (1992, "Key rate durations", Journal of Fixed Income 2(2)) triangular weights on the pillar times of both instrument sets; key j moves each quote by w_j(t) * 1bp, w_j the hat function on the key tenors (flat beyond the first and last key). The weights sum to one at every t, so the key-rate DV01s add up to parallelDv01(LocalDate, List, List, CurveInterpolation, ToDoubleBiFunction) to first order.
• parallelDv01(LocalDate, List, List, CurveInterpolation, ToDoubleBiFunction): every quote +1bp.

On a log-linear curve the buckets add up to the parallel DV01 to about 1e-7 relative. A monotone-convex curve is continuous but not differentiable in its quotes where an interval changes shape zone, so a 1bp bump can cross a kink and the buckets then add up only to within a few percent of the parallel figure; the gap closes as the bump shrinks.

Method Summary

Modifier and Type	Method	Description
static double[]	bucketedDv01(LocalDate valuationDate, List<CurveInstrument> oisInstruments, List<CurveInstrument> projectionInstruments, CurveInterpolation interpolation, ToDoubleBiFunction<DiscountCurve, DiscountCurve> pv)	Per-quote DV01, OIS quotes first then projection quotes.
static CurvePair	buildCurves(LocalDate valuationDate, List<CurveInstrument> oisInstruments, List<CurveInstrument> projectionInstruments, CurveInterpolation interpolation)	Builds the curve pair: OIS from oisInstruments, projection from projectionInstruments discounted on it (the OIS curve itself when that list is empty).
static double[]	keyRateDv01(LocalDate valuationDate, List<CurveInstrument> oisInstruments, List<CurveInstrument> projectionInstruments, CurveInterpolation interpolation, ToDoubleBiFunction<DiscountCurve, DiscountCurve> pv, double[] keyTenorsYears)	Key-rate DV01s at keyTenorsYears (strictly increasing, ACT/365F years); one value per key.
static double	parallelDv01(LocalDate valuationDate, List<CurveInstrument> oisInstruments, List<CurveInstrument> projectionInstruments, CurveInterpolation interpolation, ToDoubleBiFunction<DiscountCurve, DiscountCurve> pv)	DV01 for a +1bp move in every quote.

Methods inherited from class Object

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

Method Details

buildCurves

public static CurvePair buildCurves(LocalDate valuationDate,
 List<CurveInstrument> oisInstruments,
 List<CurveInstrument> projectionInstruments,
 CurveInterpolation interpolation)

Builds the curve pair: OIS from oisInstruments, projection from projectionInstruments discounted on it (the OIS curve itself when that list is empty).

bucketedDv01

public static double[] bucketedDv01(LocalDate valuationDate,
 List<CurveInstrument> oisInstruments,
 List<CurveInstrument> projectionInstruments,
 CurveInterpolation interpolation,
 ToDoubleBiFunction<DiscountCurve, DiscountCurve> pv)

Per-quote DV01, OIS quotes first then projection quotes.

parallelDv01

public static double parallelDv01(LocalDate valuationDate,
 List<CurveInstrument> oisInstruments,
 List<CurveInstrument> projectionInstruments,
 CurveInterpolation interpolation,
 ToDoubleBiFunction<DiscountCurve, DiscountCurve> pv)

DV01 for a +1bp move in every quote.

keyRateDv01

public static double[] keyRateDv01(LocalDate valuationDate,
 List<CurveInstrument> oisInstruments,
 List<CurveInstrument> projectionInstruments,
 CurveInterpolation interpolation,
 ToDoubleBiFunction<DiscountCurve, DiscountCurve> pv,
 double[] keyTenorsYears)

Key-rate DV01s at keyTenorsYears (strictly increasing, ACT/365F years); one value per key.