//-------------------------------------------------------------------------
public virtual void test_yValueParameterSensitivity()
{
InterpolatedNodalCurve curve = InterpolatedNodalCurve.of(METADATA, DoubleArray.of(0, 1), DoubleArray.of(2, 2.5), CurveInterpolators.LINEAR);
Curve absoluteShiftedCurve = ParallelShiftedCurve.absolute(curve, 1);
Curve relativeShiftedCurve = ParallelShiftedCurve.relative(curve, 0.2);
UnitParameterSensitivity expected = curve.yValueParameterSensitivity(0.1);
assertThat(absoluteShiftedCurve.yValueParameterSensitivity(0.1)).isEqualTo(expected);
assertThat(relativeShiftedCurve.yValueParameterSensitivity(0.1)).isEqualTo(expected);
}
public virtual void test_parameterSensitivity()
{
double alphaSensi = 2.24, betaSensi = 3.45, rhoSensi = -2.12, nuSensi = -0.56, shiftSensi = 2.5;
SabrParametersIborCapletFloorletVolatilities prov = SabrParametersIborCapletFloorletVolatilities.of(NAME, EUR_EURIBOR_3M, DATE_TIME, PARAM);
for (int i = 0; i < NB_TEST; i++)
{
double expiryTime = prov.relativeTime(TEST_OPTION_EXPIRY[i]);
PointSensitivities point = PointSensitivities.of(IborCapletFloorletSabrSensitivity.of(NAME, expiryTime, ALPHA, EUR, alphaSensi), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime, BETA, EUR, betaSensi), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime, RHO, EUR, rhoSensi), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime, NU, EUR, nuSensi), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime, SHIFT, EUR, shiftSensi));
CurrencyParameterSensitivities sensiComputed = prov.parameterSensitivity(point);
UnitParameterSensitivity alphaSensitivities = prov.Parameters.AlphaCurve.yValueParameterSensitivity(expiryTime);
UnitParameterSensitivity betaSensitivities = prov.Parameters.BetaCurve.yValueParameterSensitivity(expiryTime);
UnitParameterSensitivity rhoSensitivities = prov.Parameters.RhoCurve.yValueParameterSensitivity(expiryTime);
UnitParameterSensitivity nuSensitivities = prov.Parameters.NuCurve.yValueParameterSensitivity(expiryTime);
UnitParameterSensitivity shiftSensitivities = prov.Parameters.ShiftCurve.yValueParameterSensitivity(expiryTime);
CurrencyParameterSensitivity alphaSensiObj = sensiComputed.getSensitivity(IborCapletFloorletSabrRateVolatilityDataSet.META_ALPHA.CurveName, EUR);
CurrencyParameterSensitivity betaSensiObj = sensiComputed.getSensitivity(IborCapletFloorletSabrRateVolatilityDataSet.META_BETA.CurveName, EUR);
CurrencyParameterSensitivity rhoSensiObj = sensiComputed.getSensitivity(IborCapletFloorletSabrRateVolatilityDataSet.META_RHO.CurveName, EUR);
CurrencyParameterSensitivity nuSensiObj = sensiComputed.getSensitivity(IborCapletFloorletSabrRateVolatilityDataSet.META_NU.CurveName, EUR);
CurrencyParameterSensitivity shiftSensiObj = sensiComputed.getSensitivity(IborCapletFloorletSabrRateVolatilityDataSet.META_SHIFT.CurveName, EUR);
DoubleArray alphaNodeSensiComputed = alphaSensiObj.Sensitivity;
DoubleArray betaNodeSensiComputed = betaSensiObj.Sensitivity;
DoubleArray rhoNodeSensiComputed = rhoSensiObj.Sensitivity;
DoubleArray nuNodeSensiComputed = nuSensiObj.Sensitivity;
DoubleArray shiftNodeSensiComputed = shiftSensiObj.Sensitivity;
assertEquals(alphaSensitivities.Sensitivity.size(), alphaNodeSensiComputed.size());
assertEquals(betaSensitivities.Sensitivity.size(), betaNodeSensiComputed.size());
assertEquals(rhoSensitivities.Sensitivity.size(), rhoNodeSensiComputed.size());
assertEquals(nuSensitivities.Sensitivity.size(), nuNodeSensiComputed.size());
assertEquals(shiftSensitivities.Sensitivity.size(), shiftNodeSensiComputed.size());
for (int k = 0; k < alphaNodeSensiComputed.size(); ++k)
{
assertEquals(alphaNodeSensiComputed.get(k), alphaSensitivities.Sensitivity.get(k) * alphaSensi, TOLERANCE_VOL);
}
for (int k = 0; k < betaNodeSensiComputed.size(); ++k)
{
assertEquals(betaNodeSensiComputed.get(k), betaSensitivities.Sensitivity.get(k) * betaSensi, TOLERANCE_VOL);
}
for (int k = 0; k < rhoNodeSensiComputed.size(); ++k)
{
assertEquals(rhoNodeSensiComputed.get(k), rhoSensitivities.Sensitivity.get(k) * rhoSensi, TOLERANCE_VOL);
}
for (int k = 0; k < nuNodeSensiComputed.size(); ++k)
{
assertEquals(nuNodeSensiComputed.get(k), nuSensitivities.Sensitivity.get(k) * nuSensi, TOLERANCE_VOL);
}
for (int k = 0; k < shiftNodeSensiComputed.size(); ++k)
{
assertEquals(shiftNodeSensiComputed.get(k), shiftSensitivities.Sensitivity.get(k) * shiftSensi, TOLERANCE_VOL);
}
}
}
public virtual void test_zValue()
{
double tol = 1.0e-14;
double x = 2.5;
double y = 1.44;
DeformedSurface test = DeformedSurface.of(METADATA, SURFACE_ORG, FUNCTION);
double computedValue1 = test.zValue(x, y);
double computedValue2 = test.zValue(DoublesPair.of(x, y));
UnitParameterSensitivity computedSensi1 = test.zValueParameterSensitivity(x, y);
UnitParameterSensitivity computedSensi2 = test.zValueParameterSensitivity(DoublesPair.of(x, y));
ValueDerivatives expected = FUNCTION.apply(DoublesPair.of(x, y));
assertEquals(computedValue1, expected.Value);
assertEquals(computedValue2, expected.Value);
assertTrue(DoubleArrayMath.fuzzyEquals(computedSensi1.Sensitivity.toArray(), expected.Derivatives.toArray(), tol));
assertTrue(DoubleArrayMath.fuzzyEquals(computedSensi2.Sensitivity.toArray(), expected.Derivatives.toArray(), tol));
}
public virtual void test_parameterSensitivity()
{
double alphaSensi = 2.24, betaSensi = 3.45, rhoSensi = -2.12, nuSensi = -0.56;
SabrParametersSwaptionVolatilities prov = SabrParametersSwaptionVolatilities.of(NAME, CONV, DATE_TIME, PARAM);
for (int i = 0; i < NB_TEST; i++)
{
double expiryTime = prov.relativeTime(TEST_OPTION_EXPIRY[i]);
PointSensitivities point = PointSensitivities.of(SwaptionSabrSensitivity.of(NAME, expiryTime, TEST_TENOR[i], ALPHA, USD, alphaSensi), SwaptionSabrSensitivity.of(NAME, expiryTime, TEST_TENOR[i], BETA, USD, betaSensi), SwaptionSabrSensitivity.of(NAME, expiryTime, TEST_TENOR[i], RHO, USD, rhoSensi), SwaptionSabrSensitivity.of(NAME, expiryTime, TEST_TENOR[i], NU, USD, nuSensi));
CurrencyParameterSensitivities sensiComputed = prov.parameterSensitivity(point);
UnitParameterSensitivity alphaSensitivities = prov.Parameters.AlphaSurface.zValueParameterSensitivity(expiryTime, TEST_TENOR[i]);
UnitParameterSensitivity betaSensitivities = prov.Parameters.BetaSurface.zValueParameterSensitivity(expiryTime, TEST_TENOR[i]);
UnitParameterSensitivity rhoSensitivities = prov.Parameters.RhoSurface.zValueParameterSensitivity(expiryTime, TEST_TENOR[i]);
UnitParameterSensitivity nuSensitivities = prov.Parameters.NuSurface.zValueParameterSensitivity(expiryTime, TEST_TENOR[i]);
CurrencyParameterSensitivity alphaSensiObj = sensiComputed.getSensitivity(SwaptionSabrRateVolatilityDataSet.META_ALPHA.SurfaceName, USD);
CurrencyParameterSensitivity betaSensiObj = sensiComputed.getSensitivity(SwaptionSabrRateVolatilityDataSet.META_BETA_USD.SurfaceName, USD);
CurrencyParameterSensitivity rhoSensiObj = sensiComputed.getSensitivity(SwaptionSabrRateVolatilityDataSet.META_RHO.SurfaceName, USD);
CurrencyParameterSensitivity nuSensiObj = sensiComputed.getSensitivity(SwaptionSabrRateVolatilityDataSet.META_NU.SurfaceName, USD);
DoubleArray alphaNodeSensiComputed = alphaSensiObj.Sensitivity;
DoubleArray betaNodeSensiComputed = betaSensiObj.Sensitivity;
DoubleArray rhoNodeSensiComputed = rhoSensiObj.Sensitivity;
DoubleArray nuNodeSensiComputed = nuSensiObj.Sensitivity;
assertEquals(alphaSensitivities.Sensitivity.size(), alphaNodeSensiComputed.size());
assertEquals(betaSensitivities.Sensitivity.size(), betaNodeSensiComputed.size());
assertEquals(rhoSensitivities.Sensitivity.size(), rhoNodeSensiComputed.size());
assertEquals(nuSensitivities.Sensitivity.size(), nuNodeSensiComputed.size());
for (int k = 0; k < alphaNodeSensiComputed.size(); ++k)
{
assertEquals(alphaNodeSensiComputed.get(k), alphaSensitivities.Sensitivity.get(k) * alphaSensi, TOLERANCE_VOL);
}
for (int k = 0; k < betaNodeSensiComputed.size(); ++k)
{
assertEquals(betaNodeSensiComputed.get(k), betaSensitivities.Sensitivity.get(k) * betaSensi, TOLERANCE_VOL);
}
for (int k = 0; k < rhoNodeSensiComputed.size(); ++k)
{
assertEquals(rhoNodeSensiComputed.get(k), rhoSensitivities.Sensitivity.get(k) * rhoSensi, TOLERANCE_VOL);
}
for (int k = 0; k < nuNodeSensiComputed.size(); ++k)
{
assertEquals(nuNodeSensiComputed.get(k), nuSensitivities.Sensitivity.get(k) * nuSensi, TOLERANCE_VOL);
}
}
}
public virtual void parameter_sensitivity_additive()
{
InflationNodalCurve curve = InflationNodalCurve.of(CURVE_NOFIX, VAL_DATE_2, LAST_FIX_MONTH_2, LAST_FIX_VALUE, SEASONALITY_ADDITIVE_DEF);
double shift = 1.0E-2;
for (int i = 1; i < TEST_MONTHS.Length; i++)
{
double nbMonths = YearMonth.from(VAL_DATE_2).until(TEST_MONTHS[i], MONTHS);
UnitParameterSensitivity psComputed = curve.yValueParameterSensitivity(nbMonths);
for (int j = 0; j < TIMES.size(); j++)
{
double[] valuePM = new double[2];
for (int pm = 0; pm < 2; pm++)
{
DoubleArray shiftedValues = VALUES.with(j, VALUES.get(j) + (1 - 2 * pm) * shift);
InterpolatedNodalCurve intCurveShifted = InterpolatedNodalCurve.of(METADATA, TIMES, shiftedValues, INTERPOLATOR);
InflationNodalCurve seaCurveShifted = InflationNodalCurve.of(intCurveShifted, VAL_DATE_2, LAST_FIX_MONTH_2, LAST_FIX_VALUE, SEASONALITY_ADDITIVE_DEF);
valuePM[pm] = seaCurveShifted.yValue(nbMonths);
}
assertEquals(psComputed.Sensitivity.get(j), (valuePM[0] - valuePM[1]) / (2 * shift), TOLERANCE_DELTA);
}
}
}
public virtual UnitParameterSensitivity yValueParameterSensitivity(double x)
{
return(UnitParameterSensitivity.of(CURVE_NAME, DoubleArray.filled(1)));
}
