//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity to piecewise constant volatility parameters of the Hull-White model.
/// </summary>
/// <param name="trade"> the trade to price </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="hwProvider"> the Hull-White model parameter provider </param>
/// <returns> the present value parameter sensitivity of the trade </returns>
public virtual DoubleArray presentValueSensitivityModelParamsHullWhite(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
{
ResolvedIborFuture product = trade.Product;
DoubleArray hwSensi = productPricer.priceSensitivityModelParamsHullWhite(product, ratesProvider, hwProvider);
hwSensi = hwSensi.multipliedBy(product.Notional * product.AccrualFactor * trade.Quantity);
return(hwSensi);
}
public virtual void test_priceSensitivityHullWhiteParameter()
{
DoubleArray computed = PRICER.priceSensitivityModelParamsHullWhite(FUTURE, RATE_PROVIDER, HW_PROVIDER);
DoubleArray vols = HW_PROVIDER.Parameters.Volatility;
int size = vols.size();
double[] expected = new double[size];
for (int i = 0; i < size; ++i)
{
double[] volsUp = vols.toArray();
double[] volsDw = vols.toArray();
volsUp[i] += TOL_FD;
volsDw[i] -= TOL_FD;
HullWhiteOneFactorPiecewiseConstantParameters paramsUp = HullWhiteOneFactorPiecewiseConstantParameters.of(HW_PROVIDER.Parameters.MeanReversion, DoubleArray.copyOf(volsUp), HW_PROVIDER.Parameters.VolatilityTime.subArray(1, size));
HullWhiteOneFactorPiecewiseConstantParameters paramsDw = HullWhiteOneFactorPiecewiseConstantParameters.of(HW_PROVIDER.Parameters.MeanReversion, DoubleArray.copyOf(volsDw), HW_PROVIDER.Parameters.VolatilityTime.subArray(1, size));
HullWhiteOneFactorPiecewiseConstantParametersProvider provUp = HullWhiteOneFactorPiecewiseConstantParametersProvider.of(paramsUp, HW_PROVIDER.DayCount, HW_PROVIDER.ValuationDateTime);
HullWhiteOneFactorPiecewiseConstantParametersProvider provDw = HullWhiteOneFactorPiecewiseConstantParametersProvider.of(paramsDw, HW_PROVIDER.DayCount, HW_PROVIDER.ValuationDateTime);
double priceUp = PRICER.price(FUTURE, RATE_PROVIDER, provUp);
double priceDw = PRICER.price(FUTURE, RATE_PROVIDER, provDw);
expected[i] = 0.5 * (priceUp - priceDw) / TOL_FD;
}
assertTrue(DoubleArrayMath.fuzzyEquals(computed.toArray(), expected, TOL_FD));
}
