/// <summary> /// Computes the present value sensitivity to strike by replication in SABR framework with extrapolation on the right. /// </summary> /// <param name="cmsPeriod"> the CMS </param> /// <param name="provider"> the rates provider </param> /// <param name="swaptionVolatilities"> the swaption volatilities </param> /// <returns> the present value sensitivity </returns> public double presentValueSensitivityStrike(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities) { ArgChecker.isFalse(cmsPeriod.CmsPeriodType.Equals(CmsPeriodType.COUPON), "presentValueSensitivityStrike is not relevant for CMS coupon"); Currency ccy = cmsPeriod.Currency; SwapIndex index = cmsPeriod.Index; if (provider.ValuationDate.isAfter(cmsPeriod.PaymentDate)) { return(0d); } ResolvedSwap swap = cmsPeriod.UnderlyingSwap; double dfPayment = provider.discountFactor(ccy, cmsPeriod.PaymentDate); ZonedDateTime valuationDate = swaptionVolatilities.ValuationDateTime; LocalDate fixingDate = cmsPeriod.FixingDate; double tenor = swaptionVolatilities.tenor(swap.StartDate, swap.EndDate); ZonedDateTime expiryDate = fixingDate.atTime(index.FixingTime).atZone(index.FixingZone); double expiryTime = swaptionVolatilities.relativeTime(expiryDate); double strike = cmsPeriod.Strike; double shift = swaptionVolatilities.shift(expiryTime, tenor); if (!fixingDate.isAfter(valuationDate.toLocalDate())) { double?fixedRate = provider.timeSeries(cmsPeriod.Index).get(fixingDate); if (fixedRate.HasValue) { double payoff = 0d; switch (cmsPeriod.CmsPeriodType) { case CAPLET: payoff = fixedRate.Value >= strike ? -1d : 0d; break; case FLOORLET: payoff = fixedRate.Value < strike ? 1d : 0d; break; default: throw new System.ArgumentException("unsupported CMS type"); } return(payoff * cmsPeriod.Notional * cmsPeriod.YearFraction * dfPayment); } else if (fixingDate.isBefore(valuationDate.toLocalDate())) { throw new System.ArgumentException(Messages.format("Unable to get fixing for {} on date {}, no time-series supplied", cmsPeriod.Index, fixingDate)); } } double forward = swapPricer.parRate(swap, provider); double eta = index.Template.Convention.FixedLeg.DayCount.relativeYearFraction(cmsPeriod.PaymentDate, swap.StartDate); CmsIntegrantProvider intProv = new CmsIntegrantProvider(this, cmsPeriod, swap, swaptionVolatilities, forward, strike, expiryTime, tenor, cutOffStrike, eta); double factor = dfPayment * intProv.g(forward) / intProv.h(forward); RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(ABS_TOL, REL_TOL_STRIKE, NUM_ITER); double[] kpkpp = intProv.kpkpp(strike); double firstPart; double thirdPart; System.Func <double, double> integrant = intProv.integrantDualDelta(); if (intProv.PutCall.Call) { firstPart = -kpkpp[0] * intProv.bs(strike); thirdPart = integrateCall(integrator, integrant, swaptionVolatilities, forward, strike, expiryTime, tenor); } else { firstPart = -kpkpp[0] * intProv.bs(strike); thirdPart = -integrator.integrate(integrant, -shift + ZERO_SHIFT, strike).Value; } double secondPart = intProv.k(strike) * intProv.SabrExtrapolation.priceDerivativeStrike(strike + shift, intProv.PutCall); return(cmsPeriod.Notional * cmsPeriod.YearFraction * factor * (firstPart + secondPart + thirdPart)); }