//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivityVolatility()
{
PointSensitivityBuilder capComputed = PRICER.presentValueSensitivityModelParamsVolatility(CAP, RATES, VOLS);
PointSensitivityBuilder floorComputed = PRICER.presentValueSensitivityModelParamsVolatility(FLOOR, RATES, VOLS);
CurrencyParameterSensitivities capExpected = CurrencyParameterSensitivities.empty();
CurrencyParameterSensitivities floorExpected = CurrencyParameterSensitivities.empty();
int nPeriods = CAP.CapletFloorletPeriods.size();
for (int i = 0; i < nPeriods; ++i)
{
capExpected = capExpected.combinedWith(VOLS.parameterSensitivity(PRICER_PERIOD.presentValueSensitivityModelParamsVolatility(CAP.CapletFloorletPeriods.get(i), RATES, VOLS).build()));
floorExpected = floorExpected.combinedWith(VOLS.parameterSensitivity(PRICER_PERIOD.presentValueSensitivityModelParamsVolatility(FLOOR.CapletFloorletPeriods.get(i), RATES, VOLS).build()));
}
CurrencyParameterSensitivities capSensiComputed = VOLS.parameterSensitivity(capComputed.build());
CurrencyParameterSensitivities floorSensiComputed = VOLS.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));
}
//-------------------------------------------------------------------------
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));
}
