//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value volatility sensitivity of the Ibor cap/floor leg.
/// <para>
/// The present value volatility sensitivity of the leg is the sensitivity
/// of the present value to the volatility values.
///
/// </para>
/// </summary>
/// <param name="capFloorLeg"> the Ibor cap/floor leg </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the present value volatility sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivityModelParamsVolatility(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
validate(ratesProvider, volatilities);
return(capFloorLeg.CapletFloorletPeriods.Select(period => periodPricer.presentValueSensitivityModelParamsVolatility(period, ratesProvider, volatilities)).Aggregate((c1, c2) => c1.combinedWith(c2)).get());
}
//-------------------------------------------------------------------------
// 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);
}
