//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivityBlackVolatility()
{
SwaptionSensitivity sensiRec = PRICER.presentValueSensitivityModelParamsVolatility(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
SwaptionSensitivity sensiPay = PRICER.presentValueSensitivityModelParamsVolatility(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS);
double forward = SWAP_PRICER.parRate(RSWAP_REC, RATE_PROVIDER);
double annuityCash = SWAP_PRICER.LegPricer.annuityCash(RFIXED_LEG_REC, forward);
double expiry = VOLS.relativeTime(SWAPTION_REC_LONG.Expiry);
double tenor = VOLS.tenor(SETTLE, END);
double volatility = SURFACE.zValue(expiry, tenor);
double settle = ACT_ACT_ISDA.relativeYearFraction(VAL_DATE, SETTLE);
double df = Math.Exp(-DSC_CURVE.yValue(settle) * settle);
double expectedRec = df * annuityCash * BlackFormulaRepository.vega(forward, RATE, expiry, volatility);
double expectedPay = -df *annuityCash *BlackFormulaRepository.vega(forward, RATE, expiry, volatility);
assertEquals(sensiRec.Currency, EUR);
assertEquals(sensiRec.Sensitivity, expectedRec, NOTIONAL * TOL);
assertEquals(sensiRec.VolatilitiesName, VOLS.Name);
assertEquals(sensiRec.Expiry, expiry);
assertEquals(sensiRec.Tenor, 5.0);
assertEquals(sensiRec.Strike, RATE);
assertEquals(sensiRec.Forward, forward, TOL);
assertEquals(sensiPay.Currency, EUR);
assertEquals(sensiPay.Sensitivity, expectedPay, NOTIONAL * TOL);
assertEquals(sensiRec.VolatilitiesName, VOLS.Name);
assertEquals(sensiPay.Expiry, expiry);
assertEquals(sensiPay.Tenor, 5.0);
assertEquals(sensiPay.Strike, RATE);
assertEquals(sensiPay.Forward, forward, TOL);
}
//-------------------------------------------------------------------------
public virtual void test_price()
{
double computed = PRICER.price(FUTURE, PROVIDER);
double pvSwap = PRICER.SwapPricer.presentValue(RSWAP, PROVIDER).getAmount(USD).Amount;
double yc = ACT_ACT_ISDA.relativeYearFraction(VAL_DATE, DELIVERY);
double df = Math.Exp(-USD_DSC.yValue(yc) * yc);
double expected = 1d + pvSwap / df;
assertEquals(computed, expected, TOL);
}
public virtual void test_presentValueDelta_atMaturity()
{
CurrencyAmount computedRec = PRICER.presentValueDelta(SWAPTION_REC_LONG, RATES_PROVIDER_AT_MATURITY, VOLS_AT_MATURITY);
CurrencyAmount computedPay = PRICER.presentValueDelta(SWAPTION_PAY_SHORT, RATES_PROVIDER_AT_MATURITY, VOLS_AT_MATURITY);
double forward = SWAP_PRICER.parRate(RSWAP_REC, RATES_PROVIDER_AT_MATURITY);
double annuityCash = SWAP_PRICER.LegPricer.annuityCash(RFIXED_LEG_REC, forward);
double settle = ACT_ACT_ISDA.relativeYearFraction(MATURITY, SETTLE);
double df = Math.Exp(-DSC_CURVE.yValue(settle) * settle);
assertEquals(computedRec.Amount, -df * annuityCash, NOTIONAL * TOL);
assertEquals(computedPay.Amount, 0d, NOTIONAL * TOL);
}
//-------------------------------------------------------------------------
public virtual void test_presentValueTheta()
{
CurrencyAmount computedRec = PRICER.presentValueTheta(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
CurrencyAmount computedPay = PRICER.presentValueTheta(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS);
double forward = SWAP_PRICER.parRate(RSWAP_REC, RATE_PROVIDER);
double annuityCash = SWAP_PRICER.LegPricer.annuityCash(RFIXED_LEG_REC, forward);
double expiry = VOLS.relativeTime(SWAPTION_REC_LONG.Expiry);
double tenor = VOLS.tenor(SETTLE, END);
double volatility = SURFACE.zValue(expiry, tenor);
double settle = ACT_ACT_ISDA.relativeYearFraction(VAL_DATE, SETTLE);
double df = Math.Exp(-DSC_CURVE.yValue(settle) * settle);
double expectedRec = df * annuityCash * BlackFormulaRepository.driftlessTheta(forward, RATE, expiry, volatility);
double expectedPay = -df *annuityCash *BlackFormulaRepository.driftlessTheta(forward, RATE, expiry, volatility);
assertEquals(computedRec.Currency, EUR);
assertEquals(computedRec.Amount, expectedRec, NOTIONAL * TOL);
assertEquals(computedPay.Currency, EUR);
assertEquals(computedPay.Amount, expectedPay, NOTIONAL * TOL);
}
