public virtual void test_presentValueSensitivityRatesStickyModel()
{
PointSensitivityBuilder computed1 = PRICER.presentValueSensitivityRatesStickyModel(CAP_ONE_LEG, RATES, VOLS);
PointSensitivityBuilder computed2 = PRICER.presentValueSensitivityRatesStickyModel(CAP_TWO_LEGS, RATES, VOLS);
PointSensitivityBuilder cap = PRICER_CAP_LEG.presentValueSensitivityRatesStickyModel(CAP_LEG, RATES, VOLS);
PointSensitivityBuilder pay = PRICER_PAY_LEG.presentValueSensitivity(PAY_LEG, RATES);
assertEquals(computed1, cap);
assertEquals(computed2, cap.combinedWith(pay));
}
public virtual void test_presentValueSensitivityRatesStickyModel()
{
PointSensitivities computedWithPayLeg = PRICER.presentValueSensitivityRatesStickyModel(TRADE_PAYLEG, RATES, VOLS);
PointSensitivities computedWithPremium = PRICER.presentValueSensitivityRatesStickyModel(TRADE_PREMIUM, RATES, VOLS);
PointSensitivities pvOneLeg = PRICER_PRODUCT.presentValueSensitivityRatesStickyModel(CAP_ONE_LEG, RATES, VOLS).build();
PointSensitivities pvTwoLegs = PRICER_PRODUCT.presentValueSensitivityRatesStickyModel(CAP_TWO_LEGS, RATES, VOLS).build();
PointSensitivities pvPrem = PRICER_PREMIUM.presentValueSensitivity(PREMIUM, RATES).build();
assertEquals(computedWithPayLeg, pvTwoLegs);
assertEquals(computedWithPremium, pvOneLeg.combinedWith(pvPrem));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value rates sensitivity of the Ibor cap/floor trade.
/// <para>
/// The present value sensitivity is computed in a "sticky model parameter" style, i.e. the sensitivity to the
/// curve nodes with the SABR model parameters unchanged. This sensitivity does not include a potential
/// re-calibration of the model parameters to the raw market data.
///
/// </para>
/// </summary>
/// <param name="trade"> the Ibor cap/floor trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivities presentValueSensitivityRatesStickyModel(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)
{
PointSensitivityBuilder pvSensiProduct = productPricer.presentValueSensitivityRatesStickyModel(trade.Product, ratesProvider, volatilities);
if (!trade.Premium.Present)
{
return(pvSensiProduct.build());
}
PointSensitivityBuilder pvSensiPremium = PaymentPricer.presentValueSensitivity(trade.Premium.get(), ratesProvider);
return(pvSensiProduct.combinedWith(pvSensiPremium).build());
}