//-------------------------------------------------------------------------
public virtual void present_value_sensitivity_premium_forward()
{
PointSensitivities pvcsTrade = PRICER_TRADE.presentValueSensitivityRatesStickyStrike(SWAPTION_PREFWD_LONG_REC, MULTI_USD, NORMAL_VOLS_USD);
PointSensitivityBuilder pvcsProduct = PRICER_PRODUCT.presentValueSensitivityRatesStickyStrike(SWAPTION_LONG_REC, MULTI_USD, NORMAL_VOLS_USD);
PointSensitivityBuilder pvcsPremium = PRICER_PAYMENT.presentValueSensitivity(PREMIUM_FWD_PAY, MULTI_USD);
CurrencyParameterSensitivities pvpsTrade = MULTI_USD.parameterSensitivity(pvcsTrade);
CurrencyParameterSensitivities pvpsProduct = MULTI_USD.parameterSensitivity(pvcsProduct.combinedWith(pvcsPremium).build());
assertTrue(pvpsTrade.equalWithTolerance(pvpsProduct, TOLERANCE_PV_DELTA));
}
//-------------------------------------------------------------------------
public virtual void present_value_sensitivity_FD()
{
PointSensitivities pvpt = PRICER_SWAPTION_NORMAL.presentValueSensitivityRatesStickyStrike(SWAPTION_SHORT_REC, MULTI_USD, NORMAL_VOLS_USD_FLAT).build();
CurrencyParameterSensitivities pvpsAd = MULTI_USD.parameterSensitivity(pvpt);
CurrencyParameterSensitivities pvpsFd = FINITE_DIFFERENCE_CALCULATOR.sensitivity(MULTI_USD, (p) => PRICER_SWAPTION_NORMAL.presentValue(SWAPTION_SHORT_REC, p, NORMAL_VOLS_USD_FLAT));
assertTrue(pvpsAd.equalWithTolerance(pvpsFd, TOLERANCE_PV_DELTA));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the swaption trade to the rate curves.
/// <para>
/// The present value sensitivity is computed in a "sticky strike" style, i.e. the sensitivity to the
/// curve nodes with the volatility at the swaption strike unchanged. This sensitivity does not include a potential
/// change of volatility due to the implicit change of forward rate or moneyness.
///
/// </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 rate curves </returns>
public virtual PointSensitivities presentValueSensitivityRatesStickyStrike(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, NormalSwaptionVolatilities swaptionVolatilities)
{
// product
ResolvedSwaption product = trade.Product;
PointSensitivityBuilder pointSens = isCash(product) ? cashParYieldPricer.presentValueSensitivityRatesStickyStrike(product, ratesProvider, swaptionVolatilities) : physicalPricer.presentValueSensitivityRatesStickyStrike(product, ratesProvider, swaptionVolatilities);
// premium
Payment premium = trade.Premium;
PointSensitivityBuilder pvcsPremium = paymentPricer.presentValueSensitivity(premium, ratesProvider);
// total
return(pointSens.combinedWith(pvcsPremium).build());
}
