public virtual void test_presentValueSensitivityRatesStickyModel_stickyStrike()
{
SwaptionVolatilities volSabr = SwaptionSabrRateVolatilityDataSet.getVolatilitiesUsd(VAL_DATE, false);
double impliedVol = SWAPTION_PRICER.impliedVolatility(SWAPTION_REC_LONG, RATE_PROVIDER, volSabr);
SurfaceMetadata blackMeta = Surfaces.blackVolatilityByExpiryTenor("CST", VOLS.DayCount);
SwaptionVolatilities volCst = BlackSwaptionExpiryTenorVolatilities.of(VOLS.Convention, VOLS.ValuationDateTime, ConstantSurface.of(blackMeta, impliedVol));
// To obtain a constant volatility surface which create a sticky strike sensitivity
PointSensitivityBuilder pointRec = SWAPTION_PRICER.presentValueSensitivityRatesStickyStrike(SWAPTION_REC_LONG, RATE_PROVIDER, volSabr);
CurrencyParameterSensitivities computedRec = RATE_PROVIDER.parameterSensitivity(pointRec.build());
CurrencyParameterSensitivities expectedRec = FD_CAL.sensitivity(RATE_PROVIDER, (p) => SWAPTION_PRICER.presentValue(SWAPTION_REC_LONG, (p), volCst));
assertTrue(computedRec.equalWithTolerance(expectedRec, NOTIONAL * FD_EPS * 100d));
PointSensitivityBuilder pointPay = SWAPTION_PRICER.presentValueSensitivityRatesStickyStrike(SWAPTION_PAY_SHORT, RATE_PROVIDER, volSabr);
CurrencyParameterSensitivities computedPay = RATE_PROVIDER.parameterSensitivity(pointPay.build());
CurrencyParameterSensitivities expectedPay = FD_CAL.sensitivity(RATE_PROVIDER, (p) => SWAPTION_PRICER.presentValue(SWAPTION_PAY_SHORT, (p), volCst));
assertTrue(computedPay.equalWithTolerance(expectedPay, NOTIONAL * FD_EPS * 100d));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the swaption trade to the rate curves.
/// <para>
/// The present value sensitivity is computed in a "sticky strike" style, i.e. the sensitivity to the
/// curve nodes with the volatility at the swaption strike unchanged. This sensitivity does not include a potential
/// change of volatility due to the implicit change of forward rate or moneyness.
///
/// </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 rate curves </returns>
public virtual PointSensitivities presentValueSensitivityRatesStickyStrike(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)
{
// product
ResolvedSwaption product = trade.Product;
PointSensitivityBuilder pointSens = isCash(product) ? cashParYieldPricer.presentValueSensitivityRatesStickyStrike(product, ratesProvider, swaptionVolatilities) : physicalPricer.presentValueSensitivityRatesStickyStrike(product, ratesProvider, swaptionVolatilities);
// premium
Payment premium = trade.Premium;
PointSensitivityBuilder pvcsPremium = paymentPricer.presentValueSensitivity(premium, ratesProvider);
// total
return(pointSens.combinedWith(pvcsPremium).build());
}