public virtual void test_presentValueSensitivityRatesStickyModel()
{
PointSensitivityBuilder computed1 = PRICER.presentValueSensitivityRatesStickyModel(CAP_ONE_LEG, RATES, VOLS);
PointSensitivityBuilder computed2 = PRICER.presentValueSensitivityRatesStickyModel(CAP_TWO_LEGS, RATES, VOLS);
PointSensitivityBuilder cap = PRICER_CAP_LEG.presentValueSensitivityRatesStickyModel(CAP_LEG, RATES, VOLS);
PointSensitivityBuilder pay = PRICER_PAY_LEG.presentValueSensitivity(PAY_LEG, RATES);
assertEquals(computed1, cap);
assertEquals(computed2, cap.combinedWith(pay));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value rates sensitivity of the Ibor cap/floor product.
/// <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="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 presentValueSensitivityRatesStickyModel(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)
{
PointSensitivityBuilder pvSensiCapFloorLeg = capFloorLegPricer.presentValueSensitivityRatesStickyModel(capFloor.CapFloorLeg, ratesProvider, volatilities);
if (!capFloor.PayLeg.Present)
{
return(pvSensiCapFloorLeg);
}
PointSensitivityBuilder pvSensiPayLeg = PayLegPricer.presentValueSensitivity(capFloor.PayLeg.get(), ratesProvider);
return(pvSensiCapFloorLeg.combinedWith(pvSensiPayLeg));
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivityRatesStickyModel()
{
PointSensitivityBuilder capComputed = PRICER.presentValueSensitivityRatesStickyModel(CAP, RATES, VOLS);
PointSensitivityBuilder floorComputed = PRICER.presentValueSensitivityRatesStickyModel(FLOOR, RATES, VOLS);
PointSensitivityBuilder capExpected = PointSensitivityBuilder.none();
PointSensitivityBuilder floorExpected = PointSensitivityBuilder.none();
int nPeriods = CAP.CapletFloorletPeriods.size();
for (int i = 0; i < nPeriods; ++i)
{
capExpected = capExpected.combinedWith(PRICER_PERIOD.presentValueSensitivityRatesStickyModel(CAP.CapletFloorletPeriods.get(i), RATES, VOLS));
floorExpected = floorExpected.combinedWith(PRICER_PERIOD.presentValueSensitivityRatesStickyModel(FLOOR.CapletFloorletPeriods.get(i), RATES, VOLS));
}
CurrencyParameterSensitivities capSensiComputed = RATES_AFTER.parameterSensitivity(capComputed.build());
CurrencyParameterSensitivities floorSensiComputed = RATES_AFTER.parameterSensitivity(floorComputed.build());
CurrencyParameterSensitivities capSensiExpected = RATES_AFTER.parameterSensitivity(capExpected.build());
CurrencyParameterSensitivities floorSensiExpected = RATES_AFTER.parameterSensitivity(floorExpected.build());
assertTrue(capSensiComputed.equalWithTolerance(capSensiExpected, NOTIONAL_VALUE * TOL));
assertTrue(floorSensiComputed.equalWithTolerance(floorSensiExpected, NOTIONAL_VALUE * TOL));
}
