//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivitySabrParameter()
{
PointSensitivityBuilder computed = LEG_PRICER.presentValueSensitivityModelParamsSabr(FLOOR_LEG, RATES_PROVIDER, VOLATILITIES);
PointSensitivityBuilder expected = PointSensitivityBuilder.none();
IList <CmsPeriod> cms = FLOOR_LEG.CmsPeriods;
int size = cms.Count;
for (int i = 0; i < size; ++i)
{
expected = expected.combinedWith(PERIOD_PRICER.presentValueSensitivityModelParamsSabr(cms[i], RATES_PROVIDER, VOLATILITIES));
}
assertEquals(computed, expected);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity to the SABR model parameters.
/// <para>
/// The present value sensitivity of the leg is the sensitivity of the present value to
/// the SABR model parameters, alpha, beta, rho and nu.
///
/// </para>
/// </summary>
/// <param name="cmsLeg"> the CMS leg </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the swaption volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivityModelParamsSabr(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
validate(ratesProvider, swaptionVolatilities);
return(cmsLeg.CmsPeriods.Select(cmsPeriod => cmsPeriodPricer.presentValueSensitivityModelParamsSabr(cmsPeriod, ratesProvider, swaptionVolatilities)).Aggregate(PointSensitivityBuilder.none(), PointSensitivityBuilder.combinedWith).normalize());
}