private void presentValueSensitivityRawDataParallelSensitivity(SabrParametersSwaptionVolatilities sabrCalibrated, TenorRawOptionData dataRaw)
{
PointSensitivities points = LEG_PRICER.presentValueSensitivityModelParamsSabr(FLOOR_LEG, MULTICURVE, sabrCalibrated).build();
CurrencyParameterSensitivities sabrParametersSurfaceSensitivities = sabrCalibrated.parameterSensitivity(points);
CurrencyParameterSensitivity parallelSensitivitiesSurface = RDSC.parallelSensitivity(sabrParametersSurfaceSensitivities, sabrCalibrated);
DoubleArray sensitivityArray = parallelSensitivitiesSurface.Sensitivity;
double fdShift = 1.0E-6;
int surfacePointIndex = 0;
for (int loopexpiry = 0; loopexpiry < EXPIRIES.size(); loopexpiry++)
{
for (int looptenor = 0; looptenor < TENORS.size(); looptenor++)
{
Tenor tenor = TENORS.get(looptenor);
Pair <DoubleArray, DoubleArray> ds = dataRaw.getData(tenor).availableSmileAtExpiry(EXPIRIES.get(loopexpiry));
if (!ds.First.Empty)
{
double[] pv = new double[2]; // pv with shift up and down
for (int loopsign = 0; loopsign < 2; loopsign++)
{
TenorRawOptionData dataShifted = SabrSwaptionCalibratorSmileTestUtils.rawDataShiftSmile(TENORS, EXPIRIES, ValueType.SIMPLE_MONEYNESS, MONEYNESS, ValueType.NORMAL_VOLATILITY, DATA_ARRAY_FULL, looptenor, loopexpiry, (2 * loopsign - 1) * fdShift);
SabrParametersSwaptionVolatilities calibratedShifted = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, dataShifted, MULTICURVE, BETA_SURFACE, SHIFT_SABR_SURFACE);
pv[loopsign] = LEG_PRICER.presentValue(FLOOR_LEG, MULTICURVE, calibratedShifted).Amount;
}
double sensitivityFd = (pv[1] - pv[0]) / (2 * fdShift); // FD sensitivity computation
SabrSwaptionCalibratorSmileTestUtils.checkAcceptable(sensitivityFd, sensitivityArray.get(surfacePointIndex), 0.10, "Tenor/Expiry: " + TENORS.get(looptenor) + " / " + EXPIRIES.get(loopexpiry));
surfacePointIndex++;
}
}
}
}
/// <summary>
/// Check that the sensitivities of parameters with respect to data is stored in the metadata.
/// Compare the sensitivities to a finite difference approximation.
/// This test is relatively slow as it calibrates the full surface multiple times.
/// </summary>
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void log_normal_cube_sensitivity()
public virtual void log_normal_cube_sensitivity()
{
double beta = 1.0;
Surface betaSurface = ConstantSurface.of("Beta", beta).withMetadata(DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).zValueType(ValueType.SABR_BETA).surfaceName("Beta").build());
double shift = 0.0000;
Surface shiftSurface = ConstantSurface.of("Shift", shift).withMetadata(DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).surfaceName("Shift").build());
SabrParametersSwaptionVolatilities calibrated = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, DATA_SPARSE, MULTICURVE, betaSurface, shiftSurface);
double fdShift = 1.0E-5;
SurfaceMetadata alphaMetadata = calibrated.Parameters.AlphaSurface.Metadata;
Optional <IList <ParameterMetadata> > alphaParameterMetadataOption = alphaMetadata.ParameterMetadata;
assertTrue(alphaParameterMetadataOption.Present);
IList <ParameterMetadata> alphaParameterMetadata = alphaParameterMetadataOption.get();
IList <DoubleArray> alphaJacobian = calibrated.DataSensitivityAlpha.get();
SurfaceMetadata rhoMetadata = calibrated.Parameters.RhoSurface.Metadata;
Optional <IList <ParameterMetadata> > rhoParameterMetadataOption = rhoMetadata.ParameterMetadata;
assertTrue(rhoParameterMetadataOption.Present);
IList <ParameterMetadata> rhoParameterMetadata = rhoParameterMetadataOption.get();
IList <DoubleArray> rhoJacobian = calibrated.DataSensitivityRho.get();
SurfaceMetadata nuMetadata = calibrated.Parameters.NuSurface.Metadata;
Optional <IList <ParameterMetadata> > nuParameterMetadataOption = nuMetadata.ParameterMetadata;
assertTrue(nuParameterMetadataOption.Present);
IList <ParameterMetadata> nuParameterMetadata = nuParameterMetadataOption.get();
IList <DoubleArray> nuJacobian = calibrated.DataSensitivityNu.get();
int surfacePointIndex = 0;
for (int loopexpiry = 0; loopexpiry < EXPIRIES.Count; loopexpiry++)
{
for (int looptenor = 0; looptenor < TENORS.Count; looptenor++)
{
Tenor tenor = TENORS[looptenor];
double tenorYears = tenor.get(ChronoUnit.YEARS);
LocalDate expiry = EUR_FIXED_1Y_EURIBOR_6M.FloatingLeg.StartDateBusinessDayAdjustment.adjust(CALIBRATION_DATE.plus(EXPIRIES[loopexpiry]), REF_DATA);
ZonedDateTime expiryDateTime = expiry.atTime(11, 0).atZone(ZoneId.of("Europe/Berlin"));
double time = calibrated.relativeTime(expiryDateTime);
Pair <DoubleArray, DoubleArray> ds = DATA_SPARSE.getData(tenor).availableSmileAtExpiry(EXPIRIES[loopexpiry]);
if (!ds.First.Empty)
{
int availableDataIndex = 0;
ParameterMetadata alphaPM = alphaParameterMetadata[surfacePointIndex];
assertTrue(alphaPM is SwaptionSurfaceExpiryTenorParameterMetadata);
SwaptionSurfaceExpiryTenorParameterMetadata pmAlphaSabr = (SwaptionSurfaceExpiryTenorParameterMetadata)alphaPM;
assertEquals(tenorYears, pmAlphaSabr.Tenor);
assertEquals(time, pmAlphaSabr.YearFraction, TOLERANCE_EXPIRY);
DoubleArray alphaSensitivityToData = alphaJacobian[surfacePointIndex];
ParameterMetadata rhoPM = rhoParameterMetadata[surfacePointIndex];
assertTrue(rhoPM is SwaptionSurfaceExpiryTenorParameterMetadata);
SwaptionSurfaceExpiryTenorParameterMetadata pmRhoSabr = (SwaptionSurfaceExpiryTenorParameterMetadata)rhoPM;
assertEquals(tenorYears, pmRhoSabr.Tenor);
assertEquals(time, pmRhoSabr.YearFraction, TOLERANCE_EXPIRY);
DoubleArray rhoSensitivityToData = rhoJacobian[surfacePointIndex];
ParameterMetadata nuPM = nuParameterMetadata[surfacePointIndex];
assertTrue(nuPM is SwaptionSurfaceExpiryTenorParameterMetadata);
SwaptionSurfaceExpiryTenorParameterMetadata pmNuSabr = (SwaptionSurfaceExpiryTenorParameterMetadata)nuPM;
assertEquals(tenorYears, pmNuSabr.Tenor);
assertEquals(time, pmNuSabr.YearFraction, TOLERANCE_EXPIRY);
DoubleArray nuSensitivityToData = nuJacobian[surfacePointIndex];
for (int loopmoney = 0; loopmoney < MONEYNESS.size(); loopmoney++)
{
if (!double.IsNaN(DATA_LOGNORMAL[looptenor][loopexpiry][loopmoney]))
{
double[] alphaShifted = new double[2];
double[] rhoShifted = new double[2];
double[] nuShifted = new double[2];
for (int loopsign = 0; loopsign < 2; loopsign++)
{
TenorRawOptionData dataShifted = SabrSwaptionCalibratorSmileTestUtils.rawDataShiftPoint(TENORS, EXPIRIES, ValueType.SIMPLE_MONEYNESS, MONEYNESS, ValueType.BLACK_VOLATILITY, DATA_LOGNORMAL, looptenor, loopexpiry, loopmoney, (2 * loopsign - 1) * fdShift);
SabrParametersSwaptionVolatilities calibratedShifted = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, dataShifted, MULTICURVE, betaSurface, shiftSurface);
alphaShifted[loopsign] = calibratedShifted.Parameters.AlphaSurface.zValue(time, tenorYears);
rhoShifted[loopsign] = calibratedShifted.Parameters.RhoSurface.zValue(time, tenorYears);
nuShifted[loopsign] = calibratedShifted.Parameters.NuSurface.zValue(time, tenorYears);
}
double alphaSensitivityComputed = alphaSensitivityToData.get(availableDataIndex);
double alphaSensitivityExpected = (alphaShifted[1] - alphaShifted[0]) / (2 * fdShift);
checkAcceptable(alphaSensitivityComputed, alphaSensitivityExpected, TOLERANCE_PARAM_SENSITIVITY, "Alpha: " + looptenor + " / " + loopexpiry + " / " + loopmoney);
double rhoSensitivityComputed = rhoSensitivityToData.get(availableDataIndex);
double rhoSensitivityExpected = (rhoShifted[1] - rhoShifted[0]) / (2 * fdShift);
checkAcceptable(rhoSensitivityComputed, rhoSensitivityExpected, TOLERANCE_PARAM_SENSITIVITY, "Rho: " + looptenor + " / " + loopexpiry + " / " + loopmoney);
double nuSensitivityComputed = nuSensitivityToData.get(availableDataIndex);
double nuSensitivityExpected = (nuShifted[1] - nuShifted[0]) / (2 * fdShift);
checkAcceptable(nuSensitivityComputed, nuSensitivityExpected, TOLERANCE_PARAM_SENSITIVITY, "Nu: " + looptenor + " / " + loopexpiry + " / " + loopmoney);
availableDataIndex++;
}
}
surfacePointIndex++;
}
}
}
}
