//-------------------------------------------------------------------------
public virtual void present_value_theta_formula()
{
double forward = PRICER_SWAP.parRate(RSWAP_REC, MULTI_USD);
double pvbp = PRICER_SWAP.LegPricer.pvbp(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), MULTI_USD);
double volatility = NORMAL_VOLS_USD_STD.volatility(SWAPTION_LONG_REC.Expiry, SWAP_TENOR_YEAR, STRIKE, forward);
NormalFunctionData normalData = NormalFunctionData.of(forward, Math.Abs(pvbp), volatility);
double expiry = NORMAL_VOLS_USD_STD.relativeTime(SWAPTION_LONG_REC.Expiry);
EuropeanVanillaOption option = EuropeanVanillaOption.of(STRIKE, expiry, PutCall.PUT);
double pvThetaExpected = NORMAL.getTheta(option, normalData);
CurrencyAmount pvThetaComputed = PRICER_SWAPTION_NORMAL.presentValueTheta(SWAPTION_LONG_REC, MULTI_USD, NORMAL_VOLS_USD_STD);
assertEquals(pvThetaComputed.Currency, USD);
assertEquals(pvThetaComputed.Amount, pvThetaExpected, TOLERANCE_PV);
}
//-------------------------------------------------------------------------
public virtual void test_presentValueTheta()
{
CurrencyAmount pvThetaRecComputed = PRICER_SWAPTION.presentValueTheta(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
CurrencyAmount pvThetaPayComputed = PRICER_SWAPTION.presentValueTheta(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS);
double forward = PRICER_SWAP.parRate(RSWAP_REC, RATE_PROVIDER);
double annuityCash = PRICER_SWAP.LegPricer.annuityCash(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), forward);
double volatility = VOLS.volatility(SWAPTION_REC_LONG.Expiry, SWAP_TENOR_YEAR, STRIKE, forward);
double discount = RATE_PROVIDER.discountFactor(USD, SETTLE_DATE);
NormalFunctionData normalData = NormalFunctionData.of(forward, annuityCash * discount, volatility);
double expiry = VOLS.relativeTime(SWAPTION_REC_LONG.Expiry);
EuropeanVanillaOption optionRec = EuropeanVanillaOption.of(STRIKE, expiry, PutCall.PUT);
EuropeanVanillaOption optionPay = EuropeanVanillaOption.of(STRIKE, expiry, PutCall.CALL);
double pvThetaRecExpected = NORMAL.getTheta(optionRec, normalData);
double pvThetaPayExpected = -NORMAL.getTheta(optionPay, normalData);
assertEquals(pvThetaRecComputed.Currency, USD);
assertEquals(pvThetaRecComputed.Amount, pvThetaRecExpected, NOTIONAL * TOL);
assertEquals(pvThetaPayComputed.Currency, USD);
assertEquals(pvThetaPayComputed.Amount, pvThetaPayExpected, NOTIONAL * TOL);
}
