//-------------------------------------------------------------------------
public virtual void present_value_normal_vol_sensitivity_premium_forward()
{
PointSensitivities vegaTrade = PRICER_TRADE.presentValueSensitivityModelParamsVolatility(SWAPTION_PREFWD_LONG_REC, MULTI_USD, NORMAL_VOLS_USD);
SwaptionSensitivity vegaProduct = PRICER_PRODUCT.presentValueSensitivityModelParamsVolatility(SWAPTION_LONG_REC, MULTI_USD, NORMAL_VOLS_USD);
assertEquals(vegaTrade.Sensitivities.get(0).Sensitivity, vegaProduct.Sensitivity, TOLERANCE_PV_VEGA);
}
//-------------------------------------------------------------------------
public virtual void present_value_sensitivityNormalVolatility_FD()
{
double shiftVol = 1.0E-4;
CurrencyAmount pvP = PRICER_SWAPTION_NORMAL.presentValue(SWAPTION_LONG_PAY, MULTI_USD, SwaptionNormalVolatilityDataSets.normalVolSwaptionProviderUsdStsShifted(shiftVol));
CurrencyAmount pvM = PRICER_SWAPTION_NORMAL.presentValue(SWAPTION_LONG_PAY, MULTI_USD, SwaptionNormalVolatilityDataSets.normalVolSwaptionProviderUsdStsShifted(-shiftVol));
double pvnvsFd = (pvP.Amount - pvM.Amount) / (2 * shiftVol);
SwaptionSensitivity pvnvsAd = PRICER_SWAPTION_NORMAL.presentValueSensitivityModelParamsVolatility(SWAPTION_LONG_PAY, MULTI_USD, NORMAL_VOLS_USD_STD);
assertEquals(pvnvsAd.Currency, USD);
assertEquals(pvnvsAd.Sensitivity, pvnvsFd, TOLERANCE_PV_VEGA);
assertEquals(pvnvsAd.VolatilitiesName, NORMAL_VOLS_USD_STD.Name);
assertEquals(pvnvsAd.Expiry, NORMAL_VOLS_USD_STD.relativeTime(SWAPTION_LONG_PAY.Expiry));
assertEquals(pvnvsAd.Tenor, SWAP_TENOR_YEAR, TOLERANCE_RATE);
assertEquals(pvnvsAd.Strike, STRIKE, TOLERANCE_RATE);
double forward = PRICER_SWAP.parRate(RSWAP_REC, MULTI_USD);
assertEquals(pvnvsAd.Forward, forward, TOLERANCE_RATE);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity to the implied volatility of the swaption trade.
/// <para>
/// The sensitivity to the normal volatility is also called normal vega.
///
/// </para>
/// </summary>
/// <param name="trade"> the swaption trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the volatilities </param>
/// <returns> the point sensitivity to the normal volatility </returns>
public virtual PointSensitivities presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, NormalSwaptionVolatilities swaptionVolatilities)
{
ResolvedSwaption product = trade.Product;
SwaptionSensitivity pointSens = isCash(product) ? cashParYieldPricer.presentValueSensitivityModelParamsVolatility(product, ratesProvider, swaptionVolatilities) : physicalPricer.presentValueSensitivityModelParamsVolatility(product, ratesProvider, swaptionVolatilities);
return(PointSensitivities.of(pointSens));
}