public virtual void test_presentValueSensitivityModelParamsSabr()
{
PointSensitivityBuilder computed1 = PRICER.presentValueSensitivityModelParamsSabr(CAP_ONE_LEG, RATES, VOLS);
PointSensitivityBuilder computed2 = PRICER.presentValueSensitivityModelParamsSabr(CAP_TWO_LEGS, RATES, VOLS);
PointSensitivityBuilder cap = PRICER_CAP_LEG.presentValueSensitivityModelParamsSabr(CAP_LEG, RATES, VOLS);
assertEquals(computed1, cap);
assertEquals(computed2, cap);
}
public virtual void test_presentValueSensitivityModelParamsSabr()
{
PointSensitivities computedWithPayLeg = PRICER.presentValueSensitivityModelParamsSabr(TRADE_PAYLEG, RATES, VOLS).build();
PointSensitivities computedWithPremium = PRICER.presentValueSensitivityModelParamsSabr(TRADE_PREMIUM, RATES, VOLS).build();
PointSensitivities pvOneLeg = PRICER_PRODUCT.presentValueSensitivityModelParamsSabr(CAP_ONE_LEG, RATES, VOLS).build();
PointSensitivities pvTwoLegs = PRICER_PRODUCT.presentValueSensitivityModelParamsSabr(CAP_TWO_LEGS, RATES, VOLS).build();
assertEquals(computedWithPayLeg, pvTwoLegs);
assertEquals(computedWithPremium, pvOneLeg);
}
/// <summary>
/// Calculates the present value volatility sensitivity of the Ibor cap/floor trade.
/// <para>
/// The sensitivity of the present value to the SABR model parameters, alpha, beta, rho and nu.
///
/// </para>
/// </summary>
/// <param name="trade"> the Ibor cap/floor trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivityModelParamsSabr(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)
{
return(productPricer.presentValueSensitivityModelParamsSabr(trade.Product, ratesProvider, volatilities));
}