//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity to the SABR model parameters of the swaption trade.
/// <para>
/// The sensitivity of the present value to the SABR model parameters, alpha, beta, rho and nu.
///
/// </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 SABR model parameters </returns>
public virtual PointSensitivities presentValueSensitivityModelParamsSabr(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
ResolvedSwaption product = trade.Product;
PointSensitivityBuilder pointSens = isCash(product) ? cashParYieldPricer.presentValueSensitivityModelParamsSabr(product, ratesProvider, swaptionVolatilities) : physicalPricer.presentValueSensitivityModelParamsSabr(product, ratesProvider, swaptionVolatilities);
return(pointSens.build());
}
//-------------------------------------------------------------------------
public virtual void present_value_vol_sensitivity_premium_forward()
{
PointSensitivities vegaTrade = PRICER_TRADE.presentValueSensitivityModelParamsSabr(SWAPTION_PREFWD_LONG_REC, RATE_PROVIDER, VOLS);
PointSensitivities vegaProduct = PRICER_PRODUCT.presentValueSensitivityModelParamsSabr(SWAPTION_LONG_REC, RATE_PROVIDER, VOLS).build();
assertEquals(vegaTrade, vegaProduct);
}