private System.Func <DoubleArray, DoubleMatrix> getJacobianFunction(IList <ResolvedIborCapFloorLeg> capList, RatesProvider ratesProvider, System.Func <Surface, IborCapletFloorletVolatilities> volatilitiesFunction, InterpolatedNodalSurface baseSurface)
{
int nCaps = capList.Count;
int nNodes = baseSurface.ParameterCount;
System.Func <DoubleArray, DoubleMatrix> jacobianFunction = (DoubleArray capletVols) =>
{
IborCapletFloorletVolatilities newVols = volatilitiesFunction(baseSurface.withZValues(capletVols));
return(DoubleMatrix.ofArrayObjects(nCaps, nNodes, n => newVols.parameterSensitivity(LegPricer.presentValueSensitivityModelParamsVolatility(capList[n], ratesProvider, newVols).build()).Sensitivities.get(0).Sensitivity));
};
return(jacobianFunction);
}
//-------------------------------------------------------------------------
// price and vega function
private System.Func <double, double[]> getValueVegaFunction(ResolvedIborCapFloorLeg cap, RatesProvider ratesProvider, IborCapletFloorletVolatilities vols, ZonedDateTime prevExpiry, int nodeIndex)
{
VolatilityIborCapletFloorletPeriodPricer periodPricer = LegPricer.PeriodPricer;
System.Func <double, double[]> priceAndVegaFunction = (double?x) =>
{
IborCapletFloorletVolatilities newVols = vols.withParameter(nodeIndex, x.Value);
double price = cap.CapletFloorletPeriods.Where(p => p.FixingDateTime.isAfter(prevExpiry)).Select(p => periodPricer.presentValue(p, ratesProvider, newVols).Amount).Sum();
PointSensitivities point = cap.CapletFloorletPeriods.Where(p => p.FixingDateTime.isAfter(prevExpiry)).Select(p => periodPricer.presentValueSensitivityModelParamsVolatility(p, ratesProvider, newVols)).Aggregate((c1, c2) => c1.combinedWith(c2)).get().build();
CurrencyParameterSensitivities sensi = newVols.parameterSensitivity(point);
double vega = sensi.Sensitivities.get(0).Sensitivity.get(nodeIndex);
return(new double[] { price, vega });
};
return(priceAndVegaFunction);
}
