// point sensitivity
private PointSensitivities pointSensitivity(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)
{
if (volatilities is SabrSwaptionVolatilities)
{
return(sabrTradePricer.presentValueSensitivityRatesStickyModel(trade, ratesProvider, (SabrSwaptionVolatilities)volatilities));
}
return(tradePricer.presentValueSensitivityRatesStickyStrike(trade, ratesProvider, volatilities));
}
public virtual void test_pv01()
{
ScenarioMarketData md = SwaptionTradeCalculationFunctionTest.marketData();
RatesProvider provider = RATES_LOOKUP.marketDataView(md.scenario(0)).ratesProvider();
VolatilitySwaptionTradePricer pricer = VolatilitySwaptionTradePricer.DEFAULT;
PointSensitivities pvPointSens = pricer.presentValueSensitivityRatesStickyStrike(RTRADE, provider, VOLS);
CurrencyParameterSensitivities pvParamSens = provider.parameterSensitivity(pvPointSens);
MultiCurrencyAmount expectedPv01Cal = pvParamSens.total().multipliedBy(1e-4);
CurrencyParameterSensitivities expectedPv01CalBucketed = pvParamSens.multipliedBy(1e-4);
assertEquals(SwaptionTradeCalculations.DEFAULT.pv01RatesCalibratedSum(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), MultiCurrencyScenarioArray.of(ImmutableList.of(expectedPv01Cal)));
assertEquals(SwaptionTradeCalculations.DEFAULT.pv01RatesCalibratedBucketed(RTRADE, RATES_LOOKUP, SWAPTION_LOOKUP, md), ScenarioArray.of(ImmutableList.of(expectedPv01CalBucketed)));
}