public virtual void test_volatility_sensitivity()
{
double eps = 1.0e-6;
int nData = TIME.size();
for (int i = 0; i < NB_TEST; i++)
{
double expiryTime = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]);
SwaptionSensitivity point = SwaptionSensitivity.of(VOLS.Name, expiryTime, TEST_TENOR[i], TEST_STRIKE, TEST_FORWARD, GBP, TEST_SENSITIVITY[i]);
CurrencyParameterSensitivities sensActual = VOLS.parameterSensitivity(point);
DoubleArray computed = sensActual.getSensitivity(SURFACE.Name, GBP).Sensitivity;
for (int j = 0; j < nData; j++)
{
DoubleArray volDataUp = VOL.with(j, VOL.get(j) + eps);
DoubleArray volDataDw = VOL.with(j, VOL.get(j) - eps);
InterpolatedNodalSurface paramUp = InterpolatedNodalSurface.of(METADATA, TIME, TENOR, volDataUp, INTERPOLATOR_2D);
InterpolatedNodalSurface paramDw = InterpolatedNodalSurface.of(METADATA, TIME, TENOR, volDataDw, INTERPOLATOR_2D);
BlackSwaptionExpiryTenorVolatilities provUp = BlackSwaptionExpiryTenorVolatilities.of(CONVENTION, VAL_DATE_TIME, paramUp);
BlackSwaptionExpiryTenorVolatilities provDw = BlackSwaptionExpiryTenorVolatilities.of(CONVENTION, VAL_DATE_TIME, paramDw);
double volUp = provUp.volatility(TEST_OPTION_EXPIRY[i], TEST_TENOR[i], TEST_STRIKE, TEST_FORWARD);
double volDw = provDw.volatility(TEST_OPTION_EXPIRY[i], TEST_TENOR[i], TEST_STRIKE, TEST_FORWARD);
double fd = 0.5 * (volUp - volDw) / eps;
assertEquals(computed.get(j), fd * TEST_SENSITIVITY[i], eps);
}
}
}
