//------------------------------------------------------------------------- public virtual void test_presentValueSensitivityVolatility() { PointSensitivityBuilder pointCaplet = PRICER.presentValueSensitivityModelParamsVolatility(CAPLET_LONG, RATES, VOLS); CurrencyParameterSensitivity computedCaplet = VOLS.parameterSensitivity(pointCaplet.build()).Sensitivities.get(0); PointSensitivityBuilder pointFloorlet = PRICER.presentValueSensitivityModelParamsVolatility(FLOORLET_SHORT, RATES, VOLS); CurrencyParameterSensitivity computedFloorlet = VOLS.parameterSensitivity(pointFloorlet.build()).Sensitivities.get(0); testSurfaceSensitivity(computedCaplet, VOLS, v => PRICER.presentValue(CAPLET_LONG, RATES, v)); testSurfaceSensitivity(computedFloorlet, VOLS, v => PRICER.presentValue(FLOORLET_SHORT, RATES, v)); }
public virtual void test_volatility_sensitivity() { double eps = 1.0e-6; int nData = TIME.size(); for (int i = 0; i < NB_TEST; i++) { for (int k = 0; k < NB_TEST; k++) { double expiryTime = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]); IborCapletFloorletSensitivity point = IborCapletFloorletSensitivity.of(VOLS.Name, expiryTime, TEST_STRIKE[k], TEST_FORWARD, GBP, TEST_SENSITIVITY[i]); double[] sensFd = new double[nData]; for (int j = 0; j < nData; j++) { DoubleArray volDataUp = VOL.subArray(0, nData).with(j, VOL.get(j) + eps); DoubleArray volDataDw = VOL.subArray(0, nData).with(j, VOL.get(j) - eps); InterpolatedNodalSurface paramUp = InterpolatedNodalSurface.of(METADATA, TIME, STRIKE, volDataUp, INTERPOLATOR_2D); InterpolatedNodalSurface paramDw = InterpolatedNodalSurface.of(METADATA, TIME, STRIKE, volDataDw, INTERPOLATOR_2D); BlackIborCapletFloorletExpiryStrikeVolatilities provUp = BlackIborCapletFloorletExpiryStrikeVolatilities.of(GBP_LIBOR_3M, VAL_DATE_TIME, paramUp); BlackIborCapletFloorletExpiryStrikeVolatilities provDw = BlackIborCapletFloorletExpiryStrikeVolatilities.of(GBP_LIBOR_3M, VAL_DATE_TIME, paramDw); double volUp = provUp.volatility(TEST_OPTION_EXPIRY[i], TEST_STRIKE[k], TEST_FORWARD); double volDw = provDw.volatility(TEST_OPTION_EXPIRY[i], TEST_STRIKE[k], TEST_FORWARD); double fd = 0.5 * (volUp - volDw) / eps; sensFd[j] = fd * TEST_SENSITIVITY[i]; } CurrencyParameterSensitivity sensActual = VOLS.parameterSensitivity(point).Sensitivities.get(0); double[] computed = sensActual.Sensitivity.toArray(); assertTrue(DoubleArrayMath.fuzzyEquals(computed, sensFd, eps)); } } }
public virtual void test_presentValueSensitivityVolatility_after() { PointSensitivityBuilder capComputed = PRICER.presentValueSensitivityModelParamsVolatility(CAP, RATES_AFTER, VOLS_AFTER); PointSensitivityBuilder floorComputed = PRICER.presentValueSensitivityModelParamsVolatility(FLOOR, RATES_AFTER, VOLS_AFTER); CurrencyParameterSensitivities capExpected = CurrencyParameterSensitivities.empty(); CurrencyParameterSensitivities floorExpected = CurrencyParameterSensitivities.empty(); int nPeriods = CAP.CapletFloorletPeriods.size(); for (int i = 3; i < nPeriods; ++i) { capExpected = capExpected.combinedWith(VOLS_AFTER.parameterSensitivity(PRICER_PERIOD.presentValueSensitivityModelParamsVolatility(CAP.CapletFloorletPeriods.get(i), RATES_AFTER, VOLS_AFTER).build())); floorExpected = floorExpected.combinedWith(VOLS_AFTER.parameterSensitivity(PRICER_PERIOD.presentValueSensitivityModelParamsVolatility(FLOOR.CapletFloorletPeriods.get(i), RATES_AFTER, VOLS_AFTER).build())); } CurrencyParameterSensitivities capSensiComputed = VOLS_AFTER.parameterSensitivity(capComputed.build()); CurrencyParameterSensitivities floorSensiComputed = VOLS_AFTER.parameterSensitivity(floorComputed.build()); CurrencyParameterSensitivity capSensiExpected = capExpected.Sensitivities.get(0); CurrencyParameterSensitivity floorSensiExpected = floorExpected.Sensitivities.get(0); assertTrue(DoubleArrayMath.fuzzyEquals(capSensiComputed.Sensitivities.get(0).Sensitivity.toArray(), capSensiExpected.Sensitivity.toArray(), TOL * NOTIONAL_VALUE)); assertTrue(DoubleArrayMath.fuzzyEquals(floorSensiComputed.Sensitivities.get(0).Sensitivity.toArray(), floorSensiExpected.Sensitivity.toArray(), TOL * NOTIONAL_VALUE)); }