Exemplo n.º 1
0
        //-------------------------------------------------------------------------
        public virtual void present_value_normal_vol_sensitivity_premium_forward()
        {
            PointSensitivities  vegaTrade   = PRICER_TRADE.presentValueSensitivityModelParamsVolatility(SWAPTION_PREFWD_LONG_REC, MULTI_USD, NORMAL_VOLS_USD);
            SwaptionSensitivity vegaProduct = PRICER_PRODUCT.presentValueSensitivityModelParamsVolatility(SWAPTION_LONG_REC, MULTI_USD, NORMAL_VOLS_USD);

            assertEquals(vegaTrade.Sensitivities.get(0).Sensitivity, vegaProduct.Sensitivity, TOLERANCE_PV_VEGA);
        }
        //-------------------------------------------------------------------------
        public virtual void present_value_sensitivityNormalVolatility_FD()
        {
            double              shiftVol = 1.0E-4;
            CurrencyAmount      pvP      = PRICER_SWAPTION_NORMAL.presentValue(SWAPTION_LONG_PAY, MULTI_USD, SwaptionNormalVolatilityDataSets.normalVolSwaptionProviderUsdStsShifted(shiftVol));
            CurrencyAmount      pvM      = PRICER_SWAPTION_NORMAL.presentValue(SWAPTION_LONG_PAY, MULTI_USD, SwaptionNormalVolatilityDataSets.normalVolSwaptionProviderUsdStsShifted(-shiftVol));
            double              pvnvsFd  = (pvP.Amount - pvM.Amount) / (2 * shiftVol);
            SwaptionSensitivity pvnvsAd  = PRICER_SWAPTION_NORMAL.presentValueSensitivityModelParamsVolatility(SWAPTION_LONG_PAY, MULTI_USD, NORMAL_VOLS_USD_STD);

            assertEquals(pvnvsAd.Currency, USD);
            assertEquals(pvnvsAd.Sensitivity, pvnvsFd, TOLERANCE_PV_VEGA);
            assertEquals(pvnvsAd.VolatilitiesName, NORMAL_VOLS_USD_STD.Name);
            assertEquals(pvnvsAd.Expiry, NORMAL_VOLS_USD_STD.relativeTime(SWAPTION_LONG_PAY.Expiry));
            assertEquals(pvnvsAd.Tenor, SWAP_TENOR_YEAR, TOLERANCE_RATE);
            assertEquals(pvnvsAd.Strike, STRIKE, TOLERANCE_RATE);
            double forward = PRICER_SWAP.parRate(RSWAP_REC, MULTI_USD);

            assertEquals(pvnvsAd.Forward, forward, TOLERANCE_RATE);
        }
Exemplo n.º 3
0
        //-------------------------------------------------------------------------
        /// <summary>
        /// Calculates the present value sensitivity to the implied volatility of the swaption trade.
        /// <para>
        /// The sensitivity to the normal volatility is also called normal 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 normal volatility </returns>
        public virtual PointSensitivities presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, NormalSwaptionVolatilities swaptionVolatilities)
        {
            ResolvedSwaption    product   = trade.Product;
            SwaptionSensitivity pointSens = isCash(product) ? cashParYieldPricer.presentValueSensitivityModelParamsVolatility(product, ratesProvider, swaptionVolatilities) : physicalPricer.presentValueSensitivityModelParamsVolatility(product, ratesProvider, swaptionVolatilities);

            return(PointSensitivities.of(pointSens));
        }