//-------------------------------------------------------------------------
public virtual void present_value_vol_sensitivity_premium_forward()
{
PointSensitivities vegaTrade = PRICER_TRADE.presentValueSensitivityModelParamsSabr(SWAPTION_PREFWD_LONG_REC, RATE_PROVIDER, VOLS);
PointSensitivities vegaProduct = PRICER_PRODUCT.presentValueSensitivityModelParamsSabr(SWAPTION_LONG_REC, RATE_PROVIDER, VOLS).build();
assertEquals(vegaTrade, vegaProduct);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity to the SABR model parameters of the swaption trade.
/// <para>
/// The sensitivity of the present value to the SABR model parameters, alpha, beta, rho and nu.
///
/// </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 SABR model parameters </returns>
public virtual PointSensitivities presentValueSensitivityModelParamsSabr(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
ResolvedSwaption product = trade.Product;
PointSensitivityBuilder pointSens = isCash(product) ? cashParYieldPricer.presentValueSensitivityModelParamsSabr(product, ratesProvider, swaptionVolatilities) : physicalPricer.presentValueSensitivityModelParamsSabr(product, ratesProvider, swaptionVolatilities);
return(pointSens.build());
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivityModelParamsSabr()
{
PointSensitivities sensiRec = SWAPTION_PRICER.presentValueSensitivityModelParamsSabr(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS).build();
PointSensitivities sensiPay = SWAPTION_PRICER.presentValueSensitivityModelParamsSabr(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS).build();
double forward = SWAP_PRICER.parRate(RSWAP_REC, RATE_PROVIDER);
double pvbp = SWAP_PRICER.LegPricer.pvbp(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), RATE_PROVIDER);
double volatility = VOLS.volatility(SWAPTION_REC_LONG.Expiry, TENOR_YEAR, RATE, forward);
double maturity = VOLS.relativeTime(SWAPTION_REC_LONG.Expiry);
double[] volSensi = VOLS.Parameters.volatilityAdjoint(maturity, TENOR_YEAR, RATE, forward).Derivatives.toArray();
double vegaRec = pvbp * BlackFormulaRepository.vega(forward + SwaptionSabrRateVolatilityDataSet.SHIFT, RATE + SwaptionSabrRateVolatilityDataSet.SHIFT, maturity, volatility);
double vegaPay = -pvbp *BlackFormulaRepository.vega(forward + SwaptionSabrRateVolatilityDataSet.SHIFT, RATE + SwaptionSabrRateVolatilityDataSet.SHIFT, maturity, volatility);
assertSensitivity(sensiRec, SabrParameterType.ALPHA, vegaRec * volSensi[2], TOL);
assertSensitivity(sensiRec, SabrParameterType.BETA, vegaRec * volSensi[3], TOL);
assertSensitivity(sensiRec, SabrParameterType.RHO, vegaRec * volSensi[4], TOL);
assertSensitivity(sensiRec, SabrParameterType.NU, vegaRec * volSensi[5], TOL);
assertSensitivity(sensiPay, SabrParameterType.ALPHA, vegaPay * volSensi[2], TOL);
assertSensitivity(sensiPay, SabrParameterType.BETA, vegaPay * volSensi[3], TOL);
assertSensitivity(sensiPay, SabrParameterType.RHO, vegaPay * volSensi[4], TOL);
assertSensitivity(sensiPay, SabrParameterType.NU, vegaPay * volSensi[5], TOL);
}