//-------------------------------------------------------------------------
public virtual void test_cloned()
{
IborCapletFloorletSabrSensitivity @base = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, GBP, 32d);
IborCapletFloorletSabrSensitivity test = @base.cloned();
assertSame(test, @base);
}
//-------------------------------------------------------------------------
public virtual void test_build()
{
IborCapletFloorletSabrSensitivity @base = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, GBP, 32d);
PointSensitivities test = @base.build();
assertEquals(test.Sensitivities, ImmutableList.of(@base));
}
//-------------------------------------------------------------------------
public virtual void test_withSensitivity()
{
IborCapletFloorletSabrSensitivity @base = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, GBP, 32d);
IborCapletFloorletSabrSensitivity expected = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, GBP, 20d);
IborCapletFloorletSabrSensitivity test = @base.withSensitivity(20d);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void test_multipliedBy()
{
IborCapletFloorletSabrSensitivity @base = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, GBP, 32d);
IborCapletFloorletSabrSensitivity expected = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, GBP, 32d * 3.5d);
IborCapletFloorletSabrSensitivity test = @base.multipliedBy(3.5d);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void test_convertedTo()
{
FxRate rate = FxRate.of(GBP, USD, 1.5d);
IborCapletFloorletSabrSensitivity @base = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, GBP, 32d);
IborCapletFloorletSabrSensitivity expected = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, USD, 32d * 1.5d);
assertEquals(@base.convertedTo(USD, rate), expected);
assertEquals(@base.convertedTo(GBP, rate), @base);
}
public int compareKey(PointSensitivity other)
{
if (other is IborCapletFloorletSabrSensitivity)
{
IborCapletFloorletSabrSensitivity otherSwpt = (IborCapletFloorletSabrSensitivity)other;
return(ComparisonChain.start().compare(volatilitiesName, otherSwpt.volatilitiesName).compare(currency, otherSwpt.currency).compare(expiry, otherSwpt.expiry).compare(sensitivityType, otherSwpt.sensitivityType).result());
}
return(this.GetType().Name.CompareTo(other.GetType().Name));
}
//-------------------------------------------------------------------------
public virtual void test_of()
{
IborCapletFloorletSabrSensitivity test = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, GBP, 32d);
assertEquals(test.VolatilitiesName, NAME);
assertEquals(test.Expiry, EXPIRY);
assertEquals(test.SensitivityType, SabrParameterType.ALPHA);
assertEquals(test.Currency, GBP);
assertEquals(test.Sensitivity, 32d);
}
public virtual void test_combinedWith_mutable()
{
IborCapletFloorletSabrSensitivity @base = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, GBP, 32d);
MutablePointSensitivities expected = new MutablePointSensitivities();
expected.add(@base);
PointSensitivityBuilder test = @base.combinedWith(new MutablePointSensitivities());
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void test_withCurrency()
{
IborCapletFloorletSabrSensitivity @base = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, GBP, 32d);
assertSame(@base.withCurrency(GBP), @base);
IborCapletFloorletSabrSensitivity expected = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, USD, 32d);
IborCapletFloorletSabrSensitivity test = @base.withCurrency(USD);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void test_combinedWith()
{
IborCapletFloorletSabrSensitivity base1 = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, GBP, 32d);
IborCapletFloorletSabrSensitivity base2 = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, GBP, 22d);
MutablePointSensitivities expected = new MutablePointSensitivities();
expected.add(base1).add(base2);
PointSensitivityBuilder test = base1.combinedWith(base2);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
IborCapletFloorletSabrSensitivity test = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, GBP, 32d);
coverImmutableBean(test);
IborCapletFloorletSabrSensitivity test2 = IborCapletFloorletSabrSensitivity.of(NAME2, EXPIRY + 1, SabrParameterType.BETA, GBP, 2d);
coverBeanEquals(test, test2);
ZeroRateSensitivity test3 = ZeroRateSensitivity.of(USD, 0.5d, 2d);
coverBeanEquals(test, test3);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
IborCapletFloorletSabrSensitivity other = (IborCapletFloorletSabrSensitivity)obj;
return(JodaBeanUtils.equal(volatilitiesName, other.volatilitiesName) && JodaBeanUtils.equal(expiry, other.expiry) && JodaBeanUtils.equal(sensitivityType, other.sensitivityType) && JodaBeanUtils.equal(currency, other.currency) && JodaBeanUtils.equal(sensitivity, other.sensitivity));
}
return(false);
}
//-------------------------------------------------------------------------
public virtual void test_compareKey()
{
IborCapletFloorletSabrSensitivity a1 = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, GBP, 32d);
IborCapletFloorletSabrSensitivity a2 = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, GBP, 32d);
IborCapletFloorletSabrSensitivity b = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, USD, 32d);
IborCapletFloorletSabrSensitivity c = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY + 1, SabrParameterType.ALPHA, GBP, 32d);
ZeroRateSensitivity other = ZeroRateSensitivity.of(GBP, 2d, 32d);
assertEquals(a1.compareKey(a2), 0);
assertEquals(a1.compareKey(b) < 0, true);
assertEquals(a1.compareKey(b) < 0, true);
assertEquals(a1.compareKey(c) < 0, true);
assertEquals(a1.compareKey(other) < 0, true);
assertEquals(other.compareKey(a1) > 0, true);
}
private void assertSensitivity(PointSensitivities points, SabrParameterType type, double expected, double tol)
{
foreach (PointSensitivity point in points.Sensitivities)
{
IborCapletFloorletSabrSensitivity sens = (IborCapletFloorletSabrSensitivity)point;
assertEquals(sens.Currency, EUR);
assertEquals(sens.VolatilitiesName, VOLS.Name);
if (sens.SensitivityType == type)
{
assertEquals(sens.Sensitivity, expected, NOTIONAL * tol);
return;
}
}
fail("Did not find sensitivity: " + type + " in " + points);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity to the SABR model parameters of the Ibor caplet/floorlet.
/// <para>
/// The sensitivity of the present value to the SABR model parameters, alpha, beta, rho and nu.
///
/// </para>
/// </summary>
/// <param name="period"> the Ibor caplet/floorlet period </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the point sensitivity to the SABR model parameters </returns>
public virtual PointSensitivityBuilder presentValueSensitivityModelParamsSabr(IborCapletFloorletPeriod period, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)
{
double expiry = volatilities.relativeTime(period.FixingDateTime);
if (expiry < 0d)
{ // option expired already
return(PointSensitivityBuilder.none());
}
Currency currency = period.Currency;
PutCall putCall = period.PutCall;
double strike = period.Strike;
double indexRate = ratesProvider.iborIndexRates(period.Index).rate(period.IborRate.Observation);
double factor = period.Notional * period.YearFraction;
ValueDerivatives volatilityAdj = volatilities.volatilityAdjoint(expiry, strike, indexRate);
DoubleArray derivative = volatilityAdj.Derivatives;
double df = ratesProvider.discountFactor(currency, period.PaymentDate);
double vega = df * factor * volatilities.priceVega(expiry, putCall, strike, indexRate, volatilityAdj.Value);
IborCapletFloorletVolatilitiesName name = volatilities.Name;
return(PointSensitivityBuilder.of(IborCapletFloorletSabrSensitivity.of(name, expiry, ALPHA, currency, vega * derivative.get(2)), IborCapletFloorletSabrSensitivity.of(name, expiry, BETA, currency, vega * derivative.get(3)), IborCapletFloorletSabrSensitivity.of(name, expiry, RHO, currency, vega * derivative.get(4)), IborCapletFloorletSabrSensitivity.of(name, expiry, NU, currency, vega * derivative.get(5))));
}
public virtual void test_parameterSensitivity_multi()
{
double[] points1 = new double[] { 2.24, 3.45, -2.12, -0.56 };
double[] points2 = new double[] { -0.145, 1.01, -5.0, -11.0 };
double[] points3 = new double[] { 1.3, -4.32, 2.1, -7.18 };
SabrParametersIborCapletFloorletVolatilities prov = SabrParametersIborCapletFloorletVolatilities.of(NAME, EUR_EURIBOR_3M, DATE_TIME, PARAM);
double expiryTime0 = prov.relativeTime(TEST_OPTION_EXPIRY[0]);
double expiryTime3 = prov.relativeTime(TEST_OPTION_EXPIRY[3]);
for (int i = 0; i < NB_TEST; i++)
{
PointSensitivities sensi1 = PointSensitivities.of(IborCapletFloorletSabrSensitivity.of(NAME, expiryTime0, ALPHA, EUR, points1[0]), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime0, BETA, EUR, points1[1]), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime0, RHO, EUR, points1[2]), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime0, NU, EUR, points1[3]));
PointSensitivities sensi2 = PointSensitivities.of(IborCapletFloorletSabrSensitivity.of(NAME, expiryTime0, ALPHA, EUR, points2[0]), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime0, BETA, EUR, points2[1]), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime0, RHO, EUR, points2[2]), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime0, NU, EUR, points2[3]));
PointSensitivities sensi3 = PointSensitivities.of(IborCapletFloorletSabrSensitivity.of(NAME, expiryTime3, ALPHA, EUR, points3[0]), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime3, BETA, EUR, points3[1]), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime3, RHO, EUR, points3[2]), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime3, NU, EUR, points3[3]));
PointSensitivities sensis = sensi1.combinedWith(sensi2).combinedWith(sensi3).normalized();
CurrencyParameterSensitivities computed = prov.parameterSensitivity(sensis);
CurrencyParameterSensitivities expected = prov.parameterSensitivity(sensi1).combinedWith(prov.parameterSensitivity(sensi2)).combinedWith(prov.parameterSensitivity(sensi3));
DoubleArrayMath.fuzzyEquals(computed.getSensitivity(PARAM.AlphaCurve.Name, EUR).Sensitivity.toArray(), expected.getSensitivity(PARAM.AlphaCurve.Name, EUR).Sensitivity.toArray(), TOLERANCE_VOL);
DoubleArrayMath.fuzzyEquals(computed.getSensitivity(PARAM.BetaCurve.Name, EUR).Sensitivity.toArray(), expected.getSensitivity(PARAM.BetaCurve.Name, EUR).Sensitivity.toArray(), TOLERANCE_VOL);
DoubleArrayMath.fuzzyEquals(computed.getSensitivity(PARAM.RhoCurve.Name, EUR).Sensitivity.toArray(), expected.getSensitivity(PARAM.RhoCurve.Name, EUR).Sensitivity.toArray(), TOLERANCE_VOL);
DoubleArrayMath.fuzzyEquals(computed.getSensitivity(PARAM.NuCurve.Name, EUR).Sensitivity.toArray(), expected.getSensitivity(PARAM.NuCurve.Name, EUR).Sensitivity.toArray(), TOLERANCE_VOL);
}
}
public virtual void test_serialization()
{
IborCapletFloorletSabrSensitivity test = IborCapletFloorletSabrSensitivity.of(NAME, EXPIRY, SabrParameterType.ALPHA, GBP, 32d);
assertSerialization(test);
}
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);
}
}
}
