// node sensitivity function
private System.Func <DoubleArray, DoubleMatrix> createJacobianFunction(SabrIborCapletFloorletVolatilityCalibrationDefinition sabrDefinition, RatesProvider ratesProvider, SabrParametersIborCapletFloorletVolatilities volatilities, IList <ResolvedIborCapFloorLeg> capList, IList <double> priceList, Currency currency)
{
int nCaps = capList.Count;
SabrParameters sabrParams = volatilities.Parameters;
CurveName alphaName = sabrParams.AlphaCurve.Name;
CurveName betaName = sabrParams.BetaCurve.Name;
CurveName rhoName = sabrParams.RhoCurve.Name;
CurveName nuName = sabrParams.NuCurve.Name;
System.Func <DoubleArray, DoubleMatrix> jacobianFunction = (DoubleArray x) =>
{
SabrParametersIborCapletFloorletVolatilities volsNew = updateParameters(sabrDefinition, volatilities, x);
double[][] jacobian = new double[nCaps][];
for (int i = 0; i < nCaps; ++i)
{
PointSensitivities point = sabrPricer.presentValueSensitivityModelParamsSabr(capList[i], ratesProvider, volsNew).build();
CurrencyParameterSensitivities sensi = volsNew.parameterSensitivity(point);
double targetPriceInv = 1d / priceList[i];
DoubleArray sensitivities = sensi.getSensitivity(alphaName, currency).Sensitivity;
if (sabrDefinition.BetaCurve.Present)
{ // beta fixed
sensitivities = sensitivities.concat(sensi.getSensitivity(rhoName, currency).Sensitivity);
}
else
{ // rho fixed
sensitivities = sensitivities.concat(sensi.getSensitivity(betaName, currency).Sensitivity);
}
jacobian[i] = sensitivities.concat(sensi.getSensitivity(nuName, currency).Sensitivity).multipliedBy(targetPriceInv).toArray();
}
return(DoubleMatrix.ofUnsafe(jacobian));
};
return(jacobianFunction);
}
public virtual void test_presentValueSensitivityModelParamsSabr()
{
PointSensitivityBuilder computed1 = PRICER.presentValueSensitivityModelParamsSabr(CAP_ONE_LEG, RATES, VOLS);
PointSensitivityBuilder computed2 = PRICER.presentValueSensitivityModelParamsSabr(CAP_TWO_LEGS, RATES, VOLS);
PointSensitivityBuilder cap = PRICER_CAP_LEG.presentValueSensitivityModelParamsSabr(CAP_LEG, RATES, VOLS);
assertEquals(computed1, cap);
assertEquals(computed2, cap);
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivityModelParamsSabr()
{
PointSensitivityBuilder capComputed = PRICER.presentValueSensitivityModelParamsSabr(CAP, RATES, VOLS);
PointSensitivityBuilder floorComputed = PRICER.presentValueSensitivityModelParamsSabr(FLOOR, RATES, VOLS);
CurrencyParameterSensitivities capExpected = CurrencyParameterSensitivities.empty();
CurrencyParameterSensitivities floorExpected = CurrencyParameterSensitivities.empty();
int nPeriods = CAP.CapletFloorletPeriods.size();
for (int i = 0; i < nPeriods; ++i)
{
capExpected = capExpected.combinedWith(VOLS.parameterSensitivity(PRICER_PERIOD.presentValueSensitivityModelParamsSabr(CAP.CapletFloorletPeriods.get(i), RATES, VOLS).build()));
floorExpected = floorExpected.combinedWith(VOLS.parameterSensitivity(PRICER_PERIOD.presentValueSensitivityModelParamsSabr(FLOOR.CapletFloorletPeriods.get(i), RATES, VOLS).build()));
}
CurrencyParameterSensitivities capSensiComputed = VOLS.parameterSensitivity(capComputed.build());
CurrencyParameterSensitivities floorSensiComputed = VOLS.parameterSensitivity(floorComputed.build());
assertTrue(capSensiComputed.equalWithTolerance(capExpected, TOL * NOTIONAL_VALUE));
assertTrue(floorSensiComputed.equalWithTolerance(floorExpected, TOL * NOTIONAL_VALUE));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value volatility sensitivity of the Ibor cap/floor product.
/// <para>
/// The sensitivity of the present value to the SABR model parameters, alpha, beta, rho and nu.
///
/// </para>
/// </summary>
/// <param name="capFloor"> the Ibor cap/floor product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivityModelParamsSabr(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)
{
return(capFloorLegPricer.presentValueSensitivityModelParamsSabr(capFloor.CapFloorLeg, ratesProvider, volatilities));
}
