//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivityVolatility()
{
PointSensitivities pointCaplet = PRICER.presentValueSensitivityModelParamsSabr(CAPLET_LONG, RATES, VOLS).build();
PointSensitivities pointFloorlet = PRICER.presentValueSensitivityModelParamsSabr(FLOORLET_SHORT, RATES, VOLS).build();
double forward = RATES.iborIndexRates(EUR_EURIBOR_3M).rate(RATE_COMP.Observation);
double expiry = VOLS.relativeTime(CAPLET_LONG.FixingDateTime);
ValueDerivatives volSensi = VOLS.Parameters.volatilityAdjoint(expiry, STRIKE, forward);
double df = RATES.discountFactor(EUR, CAPLET_LONG.PaymentDate);
double vegaCaplet = NOTIONAL * df * CAPLET_LONG.YearFraction * BlackFormulaRepository.vega(forward + SHIFT, STRIKE + SHIFT, expiry, volSensi.Value);
double vegaFloorlet = -NOTIONAL *df *CAPLET_LONG.YearFraction *BlackFormulaRepository.vega(forward + SHIFT, STRIKE + SHIFT, expiry, volSensi.Value);
assertSensitivity(pointCaplet, SabrParameterType.ALPHA, vegaCaplet * volSensi.getDerivative(2), TOL);
assertSensitivity(pointCaplet, SabrParameterType.BETA, vegaCaplet * volSensi.getDerivative(3), TOL);
assertSensitivity(pointCaplet, SabrParameterType.RHO, vegaCaplet * volSensi.getDerivative(4), TOL);
assertSensitivity(pointCaplet, SabrParameterType.NU, vegaCaplet * volSensi.getDerivative(5), TOL);
assertSensitivity(pointFloorlet, SabrParameterType.ALPHA, vegaFloorlet * volSensi.getDerivative(2), TOL);
assertSensitivity(pointFloorlet, SabrParameterType.BETA, vegaFloorlet * volSensi.getDerivative(3), TOL);
assertSensitivity(pointFloorlet, SabrParameterType.RHO, vegaFloorlet * volSensi.getDerivative(4), TOL);
assertSensitivity(pointFloorlet, SabrParameterType.NU, vegaFloorlet * volSensi.getDerivative(5), TOL);
PointSensitivities pointCapletVol = PRICER.presentValueSensitivityModelParamsVolatility(CAPLET_LONG, RATES, VOLS).build();
// vol sensitivity in base class
PointSensitivities pointFloorletVol = PRICER.presentValueSensitivityModelParamsVolatility(FLOORLET_SHORT, RATES, VOLS).build();
IborCapletFloorletSensitivity pointCapletVolExp = IborCapletFloorletSensitivity.of(VOLS.Name, expiry, STRIKE, forward, EUR, vegaCaplet);
IborCapletFloorletSensitivity pointFloorletVolExp = IborCapletFloorletSensitivity.of(VOLS.Name, expiry, STRIKE, forward, EUR, vegaFloorlet);
assertEquals(pointCapletVol.Sensitivities.get(0), pointCapletVolExp);
assertEquals(pointFloorletVol.Sensitivities.get(0), pointFloorletVolExp);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the swaption product 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="swaption"> the swaption product </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 PointSensitivityBuilder presentValueSensitivityRatesStickyModel(ResolvedSwaption swaption, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
validate(swaption, ratesProvider, swaptionVolatilities);
ZonedDateTime expiryDateTime = swaption.Expiry;
double expiry = swaptionVolatilities.relativeTime(expiryDateTime);
ResolvedSwap underlying = swaption.Underlying;
ResolvedSwapLeg fixedLeg = this.fixedLeg(underlying);
if (expiry < 0d)
{ // Option has expired already
return(PointSensitivityBuilder.none());
}
double forward = SwapPricer.parRate(underlying, ratesProvider);
ValueDerivatives annuityDerivative = SwapPricer.LegPricer.annuityCashDerivative(fixedLeg, forward);
double annuityCash = annuityDerivative.Value;
double annuityCashDr = annuityDerivative.getDerivative(0);
LocalDate settlementDate = ((CashSwaptionSettlement)swaption.SwaptionSettlement).SettlementDate;
double discountSettle = ratesProvider.discountFactor(fixedLeg.Currency, settlementDate);
double strike = calculateStrike(fixedLeg);
double tenor = swaptionVolatilities.tenor(fixedLeg.StartDate, fixedLeg.EndDate);
double shift = swaptionVolatilities.shift(expiry, tenor);
ValueDerivatives volatilityAdj = swaptionVolatilities.volatilityAdjoint(expiry, tenor, strike, forward);
bool isCall = fixedLeg.PayReceive.Pay;
double shiftedForward = forward + shift;
double shiftedStrike = strike + shift;
double price = BlackFormulaRepository.price(shiftedForward, shiftedStrike, expiry, volatilityAdj.Value, isCall);
double delta = BlackFormulaRepository.delta(shiftedForward, shiftedStrike, expiry, volatilityAdj.Value, isCall);
double vega = BlackFormulaRepository.vega(shiftedForward, shiftedStrike, expiry, volatilityAdj.Value);
PointSensitivityBuilder forwardSensi = SwapPricer.parRateSensitivity(underlying, ratesProvider);
PointSensitivityBuilder discountSettleSensi = ratesProvider.discountFactors(fixedLeg.Currency).zeroRatePointSensitivity(settlementDate);
double sign = swaption.LongShort.sign();
return(forwardSensi.multipliedBy(sign * discountSettle * (annuityCash * (delta + vega * volatilityAdj.getDerivative(0)) + annuityCashDr * price)).combinedWith(discountSettleSensi.multipliedBy(sign * annuityCash * price)));
}
public virtual void implied_volatility_adjoint()
{
double shiftFd = 1.0E-6;
for (int i = 0; i < N; i++)
{
double impliedVol = NormalFormulaRepository.impliedVolatilityFromBlackApproximated(FORWARD, STRIKES[i], T, SIGMA_BLACK[i]);
ValueDerivatives impliedVolAdj = NormalFormulaRepository.impliedVolatilityFromBlackApproximatedAdjoint(FORWARD, STRIKES[i], T, SIGMA_BLACK[i]);
assertEquals(impliedVolAdj.Value, impliedVol, TOLERANCE_VOL);
double impliedVolP = NormalFormulaRepository.impliedVolatilityFromBlackApproximated(FORWARD, STRIKES[i], T, SIGMA_BLACK[i] + shiftFd);
double impliedVolM = NormalFormulaRepository.impliedVolatilityFromBlackApproximated(FORWARD, STRIKES[i], T, SIGMA_BLACK[i] - shiftFd);
double derivativeApproximated = (impliedVolP - impliedVolM) / (2 * shiftFd);
assertEquals(impliedVolAdj.Derivatives.size(), 1);
assertEquals(impliedVolAdj.getDerivative(0), derivativeApproximated, TOLERANCE_VOL);
}
}
/// <summary>
/// Tests the strikes computations.
/// </summary>
public virtual void strike()
{
double[] strike = SMILE.strike(FORWARD).toArrayUnsafe();
DoubleArray volatility = SMILE.Volatility;
int nbDelta = DELTA.size();
for (int loopdelta = 0; loopdelta < nbDelta; loopdelta++)
{
ValueDerivatives dPut = BlackFormulaRepository.priceAdjoint(FORWARD, strike[loopdelta], TIME_TO_EXPIRY, volatility.get(loopdelta), false);
assertEquals(-DELTA.get(loopdelta), dPut.getDerivative(0), 1e-8, "Strike: Put " + loopdelta);
ValueDerivatives dCall = BlackFormulaRepository.priceAdjoint(FORWARD, strike[2 * nbDelta - loopdelta], TIME_TO_EXPIRY, volatility.get(2 * nbDelta - loopdelta), true);
assertEquals(DELTA.get(loopdelta), dCall.getDerivative(0), 1e-8, "Strike: Call " + loopdelta);
}
ValueDerivatives dPut = BlackFormulaRepository.priceAdjoint(FORWARD, strike[nbDelta], TIME_TO_EXPIRY, volatility.get(nbDelta), false);
ValueDerivatives dCall = BlackFormulaRepository.priceAdjoint(FORWARD, strike[nbDelta], TIME_TO_EXPIRY, volatility.get(nbDelta), true);
assertEquals(0.0, dCall.getDerivative(0) + dPut.getDerivative(0), 1e-8, "Strike: ATM");
}