public virtual void test_of_list_size1()
{
PointSensitivities test = PointSensitivityBuilder.of(ImmutableList.of(SENS)).build();
assertEquals(test.size(), 1);
assertEquals(test.Sensitivities.get(0), SENS);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity to the SABR model parameters of the swaption product.
/// <para>
/// The sensitivity of the present value to the SABR model parameters, alpha, beta, rho and nu.
///
/// </para>
/// </summary>
/// <param name="swaption"> the swaption product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the volatilities </param>
/// <returns> the point sensitivity to the SABR model parameters </returns>
public virtual PointSensitivityBuilder presentValueSensitivityModelParamsSabr(ResolvedSwaption swaption, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
validate(swaption, ratesProvider, swaptionVolatilities);
double expiry = swaptionVolatilities.relativeTime(swaption.Expiry);
ResolvedSwap underlying = swaption.Underlying;
ResolvedSwapLeg fixedLeg = this.fixedLeg(underlying);
double tenor = swaptionVolatilities.tenor(fixedLeg.StartDate, fixedLeg.EndDate);
double shift = swaptionVolatilities.shift(expiry, tenor);
double pvbp = SwapPricer.LegPricer.pvbp(fixedLeg, ratesProvider);
double strike = SwapPricer.LegPricer.couponEquivalent(fixedLeg, ratesProvider, pvbp);
if (expiry < 0d)
{ // Option has expired already
return(PointSensitivityBuilder.none());
}
double forward = SwapPricer.parRate(underlying, ratesProvider);
double volatility = swaptionVolatilities.volatility(expiry, tenor, strike, forward);
DoubleArray derivative = swaptionVolatilities.volatilityAdjoint(expiry, tenor, strike, forward).Derivatives;
// Backward sweep
double vega = Math.Abs(pvbp) * BlackFormulaRepository.vega(forward + shift, strike + shift, expiry, volatility) * swaption.LongShort.sign();
// sensitivities
Currency ccy = fixedLeg.Currency;
SwaptionVolatilitiesName name = swaptionVolatilities.Name;
return(PointSensitivityBuilder.of(SwaptionSabrSensitivity.of(name, expiry, tenor, ALPHA, ccy, vega * derivative.get(2)), SwaptionSabrSensitivity.of(name, expiry, tenor, BETA, ccy, vega * derivative.get(3)), SwaptionSabrSensitivity.of(name, expiry, tenor, RHO, ccy, vega * derivative.get(4)), SwaptionSabrSensitivity.of(name, expiry, tenor, NU, ccy, vega * derivative.get(5))));
}
public virtual void test_of_array_size1()
{
PointSensitivities test = PointSensitivityBuilder.of(SENS).build();
assertEquals(test.size(), 1);
assertEquals(test.Sensitivities.get(0), SENS);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity to the SABR model parameters of the Ibor caplet/floorlet.
/// <para>
/// The sensitivity of the present value to the SABR model parameters, alpha, beta, rho and nu.
///
/// </para>
/// </summary>
/// <param name="period"> the Ibor caplet/floorlet period </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the point sensitivity to the SABR model parameters </returns>
public virtual PointSensitivityBuilder presentValueSensitivityModelParamsSabr(IborCapletFloorletPeriod period, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)
{
double expiry = volatilities.relativeTime(period.FixingDateTime);
if (expiry < 0d)
{ // option expired already
return(PointSensitivityBuilder.none());
}
Currency currency = period.Currency;
PutCall putCall = period.PutCall;
double strike = period.Strike;
double indexRate = ratesProvider.iborIndexRates(period.Index).rate(period.IborRate.Observation);
double factor = period.Notional * period.YearFraction;
ValueDerivatives volatilityAdj = volatilities.volatilityAdjoint(expiry, strike, indexRate);
DoubleArray derivative = volatilityAdj.Derivatives;
double df = ratesProvider.discountFactor(currency, period.PaymentDate);
double vega = df * factor * volatilities.priceVega(expiry, putCall, strike, indexRate, volatilityAdj.Value);
IborCapletFloorletVolatilitiesName name = volatilities.Name;
return(PointSensitivityBuilder.of(IborCapletFloorletSabrSensitivity.of(name, expiry, ALPHA, currency, vega * derivative.get(2)), IborCapletFloorletSabrSensitivity.of(name, expiry, BETA, currency, vega * derivative.get(3)), IborCapletFloorletSabrSensitivity.of(name, expiry, RHO, currency, vega * derivative.get(4)), IborCapletFloorletSabrSensitivity.of(name, expiry, NU, currency, vega * derivative.get(5))));
}
public virtual void test_of_list_size0()
{
PointSensitivities test = PointSensitivityBuilder.of(ImmutableList.of()).build();
assertEquals(test.size(), 0);
}
public virtual void test_of_array_size0()
{
PointSensitivities test = PointSensitivityBuilder.of().build();
assertEquals(test.size(), 0);
}
/// <summary>
/// Computes the present value sensitivity to SABR parameters by replication in SABR framework with extrapolation on the right.
/// </summary>
/// <param name="cmsPeriod"> the CMS </param>
/// <param name="provider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public PointSensitivityBuilder presentValueSensitivityModelParamsSabr(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities)
{
Currency ccy = cmsPeriod.Currency;
SwapIndex index = cmsPeriod.Index;
ResolvedSwap swap = cmsPeriod.UnderlyingSwap;
double dfPayment = provider.discountFactor(ccy, cmsPeriod.PaymentDate);
ZonedDateTime valuationDate = swaptionVolatilities.ValuationDateTime;
LocalDate fixingDate = cmsPeriod.FixingDate;
ZonedDateTime expiryDate = fixingDate.atTime(index.FixingTime).atZone(index.FixingZone);
double tenor = swaptionVolatilities.tenor(swap.StartDate, swap.EndDate);
if (provider.ValuationDate.isAfter(cmsPeriod.PaymentDate))
{
return(PointSensitivityBuilder.none());
}
if (!fixingDate.isAfter(valuationDate.toLocalDate()))
{
double?fixedRate = provider.timeSeries(cmsPeriod.Index).get(fixingDate);
if (fixedRate.HasValue)
{
return(PointSensitivityBuilder.none());
}
else if (fixingDate.isBefore(valuationDate.toLocalDate()))
{
throw new System.ArgumentException(Messages.format("Unable to get fixing for {} on date {}, no time-series supplied", cmsPeriod.Index, fixingDate));
}
}
double expiryTime = swaptionVolatilities.relativeTime(expiryDate);
double shift = swaptionVolatilities.shift(expiryTime, tenor);
double strikeCpn = cmsPeriod.CmsPeriodType.Equals(CmsPeriodType.COUPON) ? -shift : cmsPeriod.Strike;
double forward = swapPricer.parRate(swap, provider);
double eta = index.Template.Convention.FixedLeg.DayCount.relativeYearFraction(cmsPeriod.PaymentDate, swap.StartDate);
CmsIntegrantProvider intProv = new CmsIntegrantProvider(this, cmsPeriod, swap, swaptionVolatilities, forward, strikeCpn, expiryTime, tenor, cutOffStrike, eta);
double factor = dfPayment / intProv.h(forward) * intProv.g(forward);
double factor2 = factor * intProv.k(strikeCpn);
double[] strikePartPrice = intProv.SabrExtrapolation.priceAdjointSabr(Math.Max(0d, strikeCpn + shift), intProv.PutCall).Derivatives.multipliedBy(factor2).toArray();
RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(ABS_TOL, REL_TOL_VEGA, NUM_ITER);
double[] totalSensi = new double[4];
for (int loopparameter = 0; loopparameter < 4; loopparameter++)
{
double integralPart = 0d;
System.Func <double, double> integrant = intProv.integrantVega(loopparameter);
try
{
if (intProv.PutCall.Call)
{
integralPart = dfPayment * integrateCall(integrator, integrant, swaptionVolatilities, forward, strikeCpn, expiryTime, tenor);
}
else
{
integralPart = -dfPayment *integrator.integrate(integrant, -shift + ZERO_SHIFT, strikeCpn);
}
}
catch (Exception e)
{
throw new Exception(e);
}
totalSensi[loopparameter] = (strikePartPrice[loopparameter] + integralPart) * cmsPeriod.Notional * cmsPeriod.YearFraction;
}
SwaptionVolatilitiesName name = swaptionVolatilities.Name;
return(PointSensitivityBuilder.of(SwaptionSabrSensitivity.of(name, expiryTime, tenor, ALPHA, ccy, totalSensi[0]), SwaptionSabrSensitivity.of(name, expiryTime, tenor, BETA, ccy, totalSensi[1]), SwaptionSabrSensitivity.of(name, expiryTime, tenor, RHO, ccy, totalSensi[2]), SwaptionSabrSensitivity.of(name, expiryTime, tenor, NU, ccy, totalSensi[3])));
}
