//-------------------------------------------------------------------------
public virtual void present_value_sensitivity_premium_forward()
{
PointSensitivities pvcsTrade = PRICER_TRADE.presentValueSensitivityRatesStickyModel(SWAPTION_PREFWD_LONG_REC, RATE_PROVIDER, VOLS);
PointSensitivityBuilder pvcsProduct = PRICER_PRODUCT.presentValueSensitivityRatesStickyModel(SWAPTION_LONG_REC, RATE_PROVIDER, VOLS);
PointSensitivityBuilder pvcsPremium = PRICER_PAYMENT.presentValueSensitivity(PREMIUM_FWD_PAY, RATE_PROVIDER);
CurrencyParameterSensitivities pvpsTrade = RATE_PROVIDER.parameterSensitivity(pvcsTrade);
CurrencyParameterSensitivities pvpsProduct = RATE_PROVIDER.parameterSensitivity(pvcsProduct.combinedWith(pvcsPremium).build());
assertTrue(pvpsTrade.equalWithTolerance(pvpsProduct, NOTIONAL * NOTIONAL * TOL));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the swaption trade to the rate curves.
/// <para>
/// The present value sensitivity is computed in a "sticky model parameter" style, i.e. the sensitivity to the
/// curve nodes with the SABR model parameters unchanged. This sensitivity does not include a potential
/// re-calibration of the model parameters to the raw market data.
///
/// </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 rate curves </returns>
public virtual PointSensitivities presentValueSensitivityRatesStickyModel(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
// product
ResolvedSwaption product = trade.Product;
PointSensitivityBuilder pointSens = isCash(product) ? cashParYieldPricer.presentValueSensitivityRatesStickyModel(product, ratesProvider, swaptionVolatilities) : physicalPricer.presentValueSensitivityRatesStickyModel(product, ratesProvider, swaptionVolatilities);
// premium
Payment premium = trade.Premium;
PointSensitivityBuilder pvcsPremium = paymentPricer.presentValueSensitivity(premium, ratesProvider);
// total
return(pointSens.combinedWith(pvcsPremium).build());
}
//-------------------------------------------------------------------------
public virtual void test_currencyExposure()
{
MultiCurrencyAmount computedRec = SWAPTION_PRICER.currencyExposure(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
MultiCurrencyAmount computedPay = SWAPTION_PRICER.currencyExposure(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS);
PointSensitivityBuilder pointRec = SWAPTION_PRICER.presentValueSensitivityRatesStickyModel(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
MultiCurrencyAmount expectedRec = RATE_PROVIDER.currencyExposure(pointRec.build()).plus(SWAPTION_PRICER.presentValue(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS));
assertEquals(computedRec.size(), 1);
assertEquals(computedRec.getAmount(USD).Amount, expectedRec.getAmount(USD).Amount, NOTIONAL * TOL);
PointSensitivityBuilder pointPay = SWAPTION_PRICER.presentValueSensitivityRatesStickyModel(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS);
MultiCurrencyAmount expectedPay = RATE_PROVIDER.currencyExposure(pointPay.build()).plus(SWAPTION_PRICER.presentValue(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS));
assertEquals(computedPay.size(), 1);
assertEquals(computedPay.getAmount(USD).Amount, expectedPay.getAmount(USD).Amount, NOTIONAL * TOL);
}
