public InterestRateCurveSensitivity presentValueSensitivity(final CapFloorIbor cap, final SABRInterestRateDataBundle sabrData) {
Validate.notNull(cap);
Validate.notNull(sabrData);
final EuropeanVanillaOption option = new EuropeanVanillaOption(cap.getStrike(), cap.getFixingTime(), cap.isCap());
final double forward = cap.accept(PRC, sabrData);
final InterestRateCurveSensitivity forwardDr = new InterestRateCurveSensitivity(cap.accept(PRSC, sabrData));
final double df = sabrData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getPaymentTime());
final double dfDr = -cap.getPaymentTime() * df;
final double maturity = cap.getFixingPeriodEndTime() - cap.getFixingPeriodStartTime();
InterestRateCurveSensitivity result;
final List<DoublesPair> list = new ArrayList<>();
list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
resultMap.put(cap.getFundingCurveName(), list);
result = new InterestRateCurveSensitivity(resultMap); // result contains \partial df / \partial r
double bsPrice;
double bsDforward;
if (cap.getStrike() <= _cutOffStrike) { // No extrapolation
final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(cap.getFixingTime(), maturity, cap.getStrike(), forward);
final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
bsPrice = bsAdjoint[0];
bsDforward = df * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1]);
} else { // With extrapolation
final DoublesPair expiryMaturity = new DoublesPair(cap.getFixingTime(), maturity);
final double alpha = sabrData.getSABRParameter().getAlpha(expiryMaturity);
final double beta = sabrData.getSABRParameter().getBeta(expiryMaturity);
final double rho = sabrData.getSABRParameter().getRho(expiryMaturity);
final double nu = sabrData.getSABRParameter().getNu(expiryMaturity);
final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, _cutOffStrike, cap.getFixingTime(), _mu);
bsPrice = sabrExtrapolation.price(option);
bsDforward = sabrExtrapolation.priceDerivativeForward(option);
}
result = result.multipliedBy(bsPrice);
result = result.plus(forwardDr.multipliedBy(bsDforward));
result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
return result;
}