Hello,
When I ask OG to calculate measure of PV01CalibratedBucketed (with ordinary market data), I expect to get similar values of sensitivity for buckets. However, the results show concentration in the one before last bucket (same results for other trades as well), see below:
Trade
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="ExecutionFacility"/>
<tradeId tradeIdScheme="http://www.tradeweb.com/swaps/trade-id">SEF_ORDER00002001_028-01</tradeId>
</partyTradeIdentifier>
<tradeDate>2016-08-25</tradeDate>
</tradeHeader>
<swap>
<productType>InterestRate:IRSwap:FixedFloat</productType>
<swapStream id="floatingLeg">
<payerPartyReference href="party1"/>
<receiverPartyReference href="party2"/>
<calculationPeriodDates id="payCalcDates">
<effectiveDate>
<unadjustedDate>2016-08-30</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2021-08-30</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter businessCenterScheme="http://www.fpml.org/coding-scheme/business-center">NYFD</businessCenter>
<businessCenter businessCenterScheme="http://www.fpml.org/coding-scheme/business-center">GBLO</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter businessCenterScheme="http://www.fpml.org/coding-scheme/business-center">NYFD</businessCenter>
<businessCenter businessCenterScheme="http://www.fpml.org/coding-scheme/business-center">GBLO</businessCenter>
</businessCenters>
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
<rollConvention>30</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href="payCalcDates"/>
<paymentFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter businessCenterScheme="http://www.fpml.org/coding-scheme/business-center">NYFD</businessCenter>
<businessCenter businessCenterScheme="http://www.fpml.org/coding-scheme/business-center">GBLO</businessCenter>
</businessCenters>
</paymentDatesAdjustments>
</paymentDates>
<resetDates id="payResetDates">
<calculationPeriodDatesReference href="payCalcDates"/>
<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
<fixingDates>
<periodMultiplier>-2</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
<businessDayConvention>NONE</businessDayConvention>
<businessCenters>
<businessCenter businessCenterScheme="http://www.fpml.org/coding-scheme/business-center">GBLO</businessCenter>
</businessCenters>
<dateRelativeTo href="payResetDates"/>
</fixingDates>
<resetFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</resetFrequency>
<resetDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter businessCenterScheme="http://www.fpml.org/coding-scheme/business-center">NYFD</businessCenter>
<businessCenter businessCenterScheme="http://www.fpml.org/coding-scheme/business-center">GBLO</businessCenter>
</businessCenters>
</resetDatesAdjustments>
</resetDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule id="payNotionalSchedule">
<notionalStepSchedule>
<initialValue>10000000</initialValue>
<currency currencyScheme="http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15">USD</currency>
</notionalStepSchedule>
</notionalSchedule>
<floatingRateCalculation>
<floatingRateIndex floatingRateIndexScheme="http://www.fpml.org/coding-scheme/floating-rate-index">USD-LIBOR-BBA</floatingRateIndex>
<indexTenor>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</indexTenor>
</floatingRateCalculation>
<dayCountFraction dayCountFractionScheme="http://www.fpml.org/coding-scheme/day-count-fraction">30/360</dayCountFraction>
</calculation>
</calculationPeriodAmount>
</swapStream>
<swapStream id="fixedLeg">
<payerPartyReference href="party2"/>
<receiverPartyReference href="party1"/>
<calculationPeriodDates id="recCalcDates">
<effectiveDate>
<unadjustedDate>2016-08-30</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2021-08-30</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter businessCenterScheme="http://www.fpml.org/coding-scheme/business-center">NYFD</businessCenter>
<businessCenter businessCenterScheme="http://www.fpml.org/coding-scheme/business-center">GBLO</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter businessCenterScheme="http://www.fpml.org/coding-scheme/business-center">NYFD</businessCenter>
<businessCenter businessCenterScheme="http://www.fpml.org/coding-scheme/business-center">GBLO</businessCenter>
</businessCenters>
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
<rollConvention>30</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href="recCalcDates"/>
<paymentFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter businessCenterScheme="http://www.fpml.org/coding-scheme/business-center">NYFD</businessCenter>
<businessCenter businessCenterScheme="http://www.fpml.org/coding-scheme/business-center">GBLO</businessCenter>
</businessCenters>
</paymentDatesAdjustments>
</paymentDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule id="receiveNotionalSchedule">
<notionalStepSchedule>
<initialValue>10000000</initialValue>
<currency currencyScheme="http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15">USD</currency>
</notionalStepSchedule>
</notionalSchedule>
<fixedRateSchedule>
<initialValue>0.0114652967</initialValue>
</fixedRateSchedule>
<dayCountFraction dayCountFractionScheme="http://www.fpml.org/coding-scheme/day-count-fraction">30/360</dayCountFraction>
</calculation>
</calculationPeriodAmount>
</swapStream>
</swap>
</trade>
Bucketed results
marketDataName = {com.opengamma.strata.market.curve.CurveName@14546} "USD_IRS_3M"
parameterMetadata = {com.google.common.collect.RegularImmutableList@14547} size = 52
sensitivity = {com.opengamma.strata.collect.array.DoubleArray@15780} "[0.0, 0.0, 0.0, 0.0, 0.0, -250.6229579146853, -8.40850284262374, -12.285655034908746, 9.34233169844132, 2.0147828998608515, 18.08171847680155, -30.885579035948034, 21.660147856313735, 4.272865596238152, 31.277464058282227, -47.5813548023805, 2.567995340775326, 134.65570560204796, -62.238883978869026, -64.0832913678527, 6.32539025412947, -81.76604432477131, 336.6192413901672, -179.23409043204413, 4475.823621412836, 368.8355249877134, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]"
array = {double[52]@15783}
0 = 0.0
1 = 0.0
2 = 0.0
3 = 0.0
4 = 0.0
5 = -250.6229579146853
6 = -8.40850284262374
7 = -12.285655034908746
8 = 9.34233169844132
9 = 2.0147828998608515
10 = 18.08171847680155
11 = -30.885579035948034
12 = 21.660147856313735
13 = 4.272865596238152
14 = 31.277464058282227
15 = -47.5813548023805
16 = 2.567995340775326
17 = 134.65570560204796
18 = -62.238883978869026
19 = -64.0832913678527
20 = 6.32539025412947
21 = -81.76604432477131
22 = 336.6192413901672
23 = -179.23409043204413
24 = 4475.823621412836
25 = 368.8355249877134