//-------------------------------------------------------------------------
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 present_value_black_vol_sensitivity_premium_forward()
{
PointSensitivities vegaTrade = PRICER_TRADE.presentValueSensitivityModelParamsVolatility(SWAPTION_PREFWD_LONG_REC, RATE_PROVIDER, VOLS);
SwaptionSensitivity vegaProduct = PRICER_PRODUCT.presentValueSensitivityModelParamsVolatility(SWAPTION_LONG_REC, RATE_PROVIDER, VOLS);
assertEquals(vegaTrade.Sensitivities.get(0).Sensitivity, vegaProduct.Sensitivity, NOTIONAL * TOL);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity to the implied volatility of the swaption trade.
/// <para>
/// The sensitivity to the Black volatility is also called Black vega.
///
/// </para>
/// </summary>
/// <param name="trade"> the swaption trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="swaptionVolatilities"> the volatilities </param>
/// <returns> the point sensitivity to the Black volatility </returns>
public virtual PointSensitivities presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, BlackSwaptionVolatilities swaptionVolatilities)
{
ResolvedSwaption product = trade.Product;
SwaptionSensitivity pointSens = isCash(product) ? cashParYieldPricer.presentValueSensitivityModelParamsVolatility(product, ratesProvider, swaptionVolatilities) : physicalPricer.presentValueSensitivityModelParamsVolatility(product, ratesProvider, swaptionVolatilities);
return(PointSensitivities.of(pointSens));
}