private void testSurfaceSensitivity(CurrencyParameterSensitivity computed, NormalIborCapletFloorletExpiryStrikeVolatilities vols, System.Func <IborCapletFloorletVolatilities, CurrencyAmount> valueFn)
{
double pvBase = valueFn(vols).Amount;
InterpolatedNodalSurface surfaceBase = (InterpolatedNodalSurface)vols.Surface;
int nParams = surfaceBase.ParameterCount;
for (int i = 0; i < nParams; ++i)
{
DoubleArray zBumped = surfaceBase.ZValues.with(i, surfaceBase.ZValues.get(i) + EPS_FD);
InterpolatedNodalSurface surfaceBumped = surfaceBase.withZValues(zBumped);
NormalIborCapletFloorletExpiryStrikeVolatilities volsBumped = NormalIborCapletFloorletExpiryStrikeVolatilities.of(vols.Index, vols.ValuationDateTime, surfaceBumped);
double fd = (valueFn(volsBumped).Amount - pvBase) / EPS_FD;
assertEquals(computed.Sensitivity.get(i), fd, NOTIONAL * EPS_FD);
}
}
/// <summary>
/// Returns the swaption normal volatility surface shifted by a given amount. The shift is parallel. </summary>
/// <param name="shift"> the shift </param>
/// <returns> the swaption normal volatility surface </returns>
public static NormalSwaptionExpiryTenorVolatilities normalVolSwaptionProviderUsdStsShifted(double shift)
{
DoubleArray volShifted = NORMAL_VOL.map(v => v + shift);
return(NormalSwaptionExpiryTenorVolatilities.of(USD_1Y_LIBOR3M, VAL_DATE_TIME_STD, SURFACE_STD.withZValues(volShifted)));
}