public virtual void presentValueSensitivity_buySell()
{
PointSensitivityBuilder pvBuy = PRICER_CMS.presentValueSensitivity(COUPON, RATES_PROVIDER);
PointSensitivityBuilder pvSell = PRICER_CMS.presentValueSensitivity(COUPON_SELL, RATES_PROVIDER);
CurrencyParameterSensitivities ps = RATES_PROVIDER.parameterSensitivity(pvBuy.combinedWith(pvSell).build());
assertTrue(ps.equalWithTolerance(CurrencyParameterSensitivities.empty(), TOLERANCE_DELTA));
}
//-------------------------------------------------------------------------
public virtual void test_defaultMethods()
{
SwaptionVolatilities test = new TestingSwaptionVolatilities();
assertEquals(test.ValuationDate, DATE_TIME.toLocalDate());
assertEquals(test.volatility(DATE_TIME, 1, 2, 3), 6d);
assertEquals(test.parameterSensitivity(), CurrencyParameterSensitivities.empty());
}
public virtual void test_parSpreadSensitivity_ended()
{
ResolvedFxSwap product = ResolvedFxSwap.ofForwardPoints(CurrencyAmount.of(USD, NOMINAL_USD), KRW, FX_RATE, FX_FWD_POINTS, PAYMENT_DATE_LONG_PAST, PAYMENT_DATE_PAST);
PointSensitivities pts = PRICER.parSpreadSensitivity(product, PROVIDER);
CurrencyParameterSensitivities computed = PROVIDER.parameterSensitivity(pts);
assertTrue(computed.equalWithTolerance(CurrencyParameterSensitivities.empty(), TOLERANCE_SPREAD_DELTA));
}
public virtual void test_curveParameterSensitivity_noSensi()
{
ImmutableLegalEntityDiscountingProvider test = ImmutableLegalEntityDiscountingProvider.builder().issuerCurves(ImmutableMap.of(Pair.of(GROUP_ISSUER, GBP), DSC_FACTORS_ISSUER)).issuerCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_ISSUER)).repoCurves(ImmutableMap.of(Pair.of(GROUP_REPO_ISSUER, GBP), DSC_FACTORS_REPO)).repoCurveGroups(ImmutableMap.of(ID_ISSUER, GROUP_REPO_ISSUER)).valuationDate(DATE).build();
ZeroRateSensitivity sensi = ZeroRateSensitivity.of(USD, DSC_FACTORS_ISSUER.relativeYearFraction(date(2018, 11, 24)), 25d);
CurrencyParameterSensitivities computed = test.parameterSensitivity(sensi.build());
assertEquals(computed, CurrencyParameterSensitivities.empty());
}
public virtual void test_presentValueSensitivityModelParamsVolatility_after()
{
PointSensitivityBuilder capComputed = PRICER.presentValueSensitivityModelParamsVolatility(CAP, RATES_AFTER, VOLS_AFTER);
PointSensitivityBuilder floorComputed = PRICER.presentValueSensitivityModelParamsVolatility(FLOOR, RATES_AFTER, VOLS_AFTER);
CurrencyParameterSensitivities capExpected = CurrencyParameterSensitivities.empty();
CurrencyParameterSensitivities floorExpected = CurrencyParameterSensitivities.empty();
int nPeriods = CAP.CapletFloorletPeriods.size();
for (int i = 3; i < nPeriods; ++i)
{
capExpected = capExpected.combinedWith(VOLS_AFTER.parameterSensitivity(PRICER_PERIOD.presentValueSensitivityModelParamsVolatility(CAP.CapletFloorletPeriods.get(i), RATES_AFTER, VOLS_AFTER).build()));
floorExpected = floorExpected.combinedWith(VOLS_AFTER.parameterSensitivity(PRICER_PERIOD.presentValueSensitivityModelParamsVolatility(FLOOR.CapletFloorletPeriods.get(i), RATES_AFTER, VOLS_AFTER).build()));
}
CurrencyParameterSensitivities capSensiComputed = VOLS_AFTER.parameterSensitivity(capComputed.build());
CurrencyParameterSensitivities floorSensiComputed = VOLS_AFTER.parameterSensitivity(floorComputed.build());
assertTrue(capSensiComputed.equalWithTolerance(capExpected, TOL * NOTIONAL_VALUE));
assertTrue(floorSensiComputed.equalWithTolerance(floorExpected, TOL * NOTIONAL_VALUE));
}
//-------------------------------------------------------------------------
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 presentValueSensitivity_onPayment()
{
PointSensitivities ptsCpn = PRICER_CMS.presentValueSensitivity(COUPON, RATES_PROVIDER_ON_PAY).build();
PointSensitivities ptsCapletOtm = PRICER_CMS.presentValueSensitivity(CAPLET, RATES_PROVIDER_ON_PAY).build();
PointSensitivities ptsCapletItm = PRICER_CMS.presentValueSensitivity(CAPLET_NEGATIVE, RATES_PROVIDER_ON_PAY).build();
PointSensitivities ptsFloorletItm = PRICER_CMS.presentValueSensitivity(FLOORLET, RATES_PROVIDER_ON_PAY).build();
PointSensitivities ptsFloorletOtm = PRICER_CMS.presentValueSensitivity(FLOORLET_NEGATIVE, RATES_PROVIDER_ON_PAY).build();
assertTrue(RATES_PROVIDER_ON_PAY.parameterSensitivity(ptsCpn).equalWithTolerance(CurrencyParameterSensitivities.empty(), TOLERANCE_DELTA));
assertTrue(RATES_PROVIDER_ON_PAY.parameterSensitivity(ptsCapletOtm).equalWithTolerance(CurrencyParameterSensitivities.empty(), TOLERANCE_DELTA));
assertTrue(RATES_PROVIDER_ON_PAY.parameterSensitivity(ptsCapletItm).equalWithTolerance(CurrencyParameterSensitivities.empty(), TOLERANCE_DELTA));
assertTrue(RATES_PROVIDER_ON_PAY.parameterSensitivity(ptsFloorletItm).equalWithTolerance(CurrencyParameterSensitivities.empty(), TOLERANCE_DELTA));
assertTrue(RATES_PROVIDER_ON_PAY.parameterSensitivity(ptsFloorletOtm).equalWithTolerance(CurrencyParameterSensitivities.empty(), TOLERANCE_DELTA));
}
public virtual CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities)
{
return(CurrencyParameterSensitivities.empty());
}
