//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivityVolatility()
{
PointSensitivityBuilder pointCaplet = PRICER.presentValueSensitivityModelParamsVolatility(CAPLET_LONG, RATES, VOLS);
CurrencyParameterSensitivity computedCaplet = VOLS.parameterSensitivity(pointCaplet.build()).Sensitivities.get(0);
PointSensitivityBuilder pointFloorlet = PRICER.presentValueSensitivityModelParamsVolatility(FLOORLET_SHORT, RATES, VOLS);
CurrencyParameterSensitivity computedFloorlet = VOLS.parameterSensitivity(pointFloorlet.build()).Sensitivities.get(0);
testSurfaceSensitivity(computedCaplet, VOLS, v => PRICER.presentValue(CAPLET_LONG, RATES, v));
testSurfaceSensitivity(computedFloorlet, VOLS, v => PRICER.presentValue(FLOORLET_SHORT, RATES, v));
}
public virtual void test_volatility_sensitivity()
{
double eps = 1.0e-6;
int nData = TIME.size();
for (int i = 0; i < NB_TEST; i++)
{
for (int k = 0; k < NB_TEST; k++)
{
double expiryTime = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]);
IborCapletFloorletSensitivity point = IborCapletFloorletSensitivity.of(VOLS.Name, expiryTime, TEST_STRIKE[k], TEST_FORWARD, GBP, TEST_SENSITIVITY[i]);
double[] sensFd = new double[nData];
for (int j = 0; j < nData; j++)
{
DoubleArray volDataUp = VOL.subArray(0, nData).with(j, VOL.get(j) + eps);
DoubleArray volDataDw = VOL.subArray(0, nData).with(j, VOL.get(j) - eps);
InterpolatedNodalSurface paramUp = InterpolatedNodalSurface.of(METADATA, TIME, STRIKE, volDataUp, INTERPOLATOR_2D);
InterpolatedNodalSurface paramDw = InterpolatedNodalSurface.of(METADATA, TIME, STRIKE, volDataDw, INTERPOLATOR_2D);
BlackIborCapletFloorletExpiryStrikeVolatilities provUp = BlackIborCapletFloorletExpiryStrikeVolatilities.of(GBP_LIBOR_3M, VAL_DATE_TIME, paramUp);
BlackIborCapletFloorletExpiryStrikeVolatilities provDw = BlackIborCapletFloorletExpiryStrikeVolatilities.of(GBP_LIBOR_3M, VAL_DATE_TIME, paramDw);
double volUp = provUp.volatility(TEST_OPTION_EXPIRY[i], TEST_STRIKE[k], TEST_FORWARD);
double volDw = provDw.volatility(TEST_OPTION_EXPIRY[i], TEST_STRIKE[k], TEST_FORWARD);
double fd = 0.5 * (volUp - volDw) / eps;
sensFd[j] = fd * TEST_SENSITIVITY[i];
}
CurrencyParameterSensitivity sensActual = VOLS.parameterSensitivity(point).Sensitivities.get(0);
double[] computed = sensActual.Sensitivity.toArray();
assertTrue(DoubleArrayMath.fuzzyEquals(computed, sensFd, eps));
}
}
}
public virtual void test_presentValueSensitivityVolatility_after()
{
PointSensitivityBuilder capComputed = PRICER.presentValueSensitivityModelParamsVolatility(CAP, RATES_AFTER, VOLS_AFTER);
PointSensitivityBuilder floorComputed = PRICER.presentValueSensitivityModelParamsVolatility(FLOOR, RATES_AFTER, VOLS_AFTER);
CurrencyParameterSensitivities capExpected = CurrencyParameterSensitivities.empty();
CurrencyParameterSensitivities floorExpected = CurrencyParameterSensitivities.empty();
int nPeriods = CAP.CapletFloorletPeriods.size();
for (int i = 3; i < nPeriods; ++i)
{
capExpected = capExpected.combinedWith(VOLS_AFTER.parameterSensitivity(PRICER_PERIOD.presentValueSensitivityModelParamsVolatility(CAP.CapletFloorletPeriods.get(i), RATES_AFTER, VOLS_AFTER).build()));
floorExpected = floorExpected.combinedWith(VOLS_AFTER.parameterSensitivity(PRICER_PERIOD.presentValueSensitivityModelParamsVolatility(FLOOR.CapletFloorletPeriods.get(i), RATES_AFTER, VOLS_AFTER).build()));
}
CurrencyParameterSensitivities capSensiComputed = VOLS_AFTER.parameterSensitivity(capComputed.build());
CurrencyParameterSensitivities floorSensiComputed = VOLS_AFTER.parameterSensitivity(floorComputed.build());
CurrencyParameterSensitivity capSensiExpected = capExpected.Sensitivities.get(0);
CurrencyParameterSensitivity floorSensiExpected = floorExpected.Sensitivities.get(0);
assertTrue(DoubleArrayMath.fuzzyEquals(capSensiComputed.Sensitivities.get(0).Sensitivity.toArray(), capSensiExpected.Sensitivity.toArray(), TOL * NOTIONAL_VALUE));
assertTrue(DoubleArrayMath.fuzzyEquals(floorSensiComputed.Sensitivities.get(0).Sensitivity.toArray(), floorSensiExpected.Sensitivity.toArray(), TOL * NOTIONAL_VALUE));
}
