//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivity()
{
PointSensitivityBuilder pointCaplet = PRICER.presentValueSensitivityRatesStickyModel(CAPLET_LONG, RATES, VOLS);
CurrencyParameterSensitivities computedCaplet = RATES.parameterSensitivity(pointCaplet.build());
PointSensitivityBuilder pointFloorlet = PRICER.presentValueSensitivityRatesStickyModel(FLOORLET_SHORT, RATES, VOLS);
CurrencyParameterSensitivities computedFloorlet = RATES.parameterSensitivity(pointFloorlet.build());
CurrencyParameterSensitivities expectedCaplet = FD_CAL.sensitivity(RATES, p => PRICER_BASE.presentValue(CAPLET_LONG, p, VOLS));
CurrencyParameterSensitivities expectedFloorlet = FD_CAL.sensitivity(RATES, p => PRICER_BASE.presentValue(FLOORLET_SHORT, p, VOLS));
assertTrue(computedCaplet.equalWithTolerance(expectedCaplet, EPS_FD * NOTIONAL * 50d));
assertTrue(computedFloorlet.equalWithTolerance(expectedFloorlet, EPS_FD * NOTIONAL * 50d));
// consistency with shifted Black
PointSensitivityBuilder pointCapletBase = PRICER.presentValueSensitivityRates(CAPLET_LONG, RATES, VOLS);
PointSensitivityBuilder pointFloorletBase = PRICER.presentValueSensitivityRates(FLOORLET_SHORT, RATES, VOLS);
double forward = RATES.iborIndexRates(EUR_EURIBOR_3M).rate(RATE_COMP.Observation);
double expiry = VOLS.relativeTime(CAPLET_LONG.FixingDateTime);
double volatility = VOLS.volatility(expiry, STRIKE, forward);
ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities vols = ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.of(EUR_EURIBOR_3M, VALUATION, ConstantSurface.of("constVol", volatility).withMetadata(Surfaces.blackVolatilityByExpiryStrike("costVol", DayCounts.ACT_ACT_ISDA)), IborCapletFloorletSabrRateVolatilityDataSet.CURVE_CONST_SHIFT);
PointSensitivityBuilder pointCapletExp = PRICER_BASE.presentValueSensitivityRates(CAPLET_LONG, RATES, vols);
PointSensitivityBuilder pointFloorletExp = PRICER_BASE.presentValueSensitivityRates(FLOORLET_SHORT, RATES, vols);
assertEquals(pointCapletBase, pointCapletExp);
assertEquals(pointFloorletBase, pointFloorletExp);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value rates sensitivity of the Ibor cap/floor leg.
/// <para>
/// The present value rates sensitivity of the leg is the sensitivity
/// of the present value to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="capFloorLeg"> the Ibor cap/floor leg </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the present value curve sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivityRates(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
validate(ratesProvider, volatilities);
return(capFloorLeg.CapletFloorletPeriods.Select(period => periodPricer.presentValueSensitivityRates(period, ratesProvider, volatilities)).Aggregate((p1, p2) => p1.combinedWith(p2)).get());
}
