Package com.opengamma.analytics.financial.interestrate.annuity.derivative

Examples of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityPaymentFixed

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      dfFixed[loopcf] = hwData.getCurve(swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getFundingCurveName()).getDiscountFactor(
          swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowFixed[loopcf] = dfFixed[loopcf] * swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction()
          * swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getNotional();
    }
    final AnnuityPaymentFixed cfeIbor = swaption.getUnderlyingSwap().getSecondLeg().accept(CFEC, hwData);
    final double[] alphaIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] dfIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] discountedCashFlowIbor = new double[cfeIbor.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfeIbor.getNumberOfPayments(); loopcf++) {
      alphaIbor[loopcf] = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      dfIbor[loopcf] = hwData.getCurve(cfeIbor.getDiscountCurve()).getDiscountFactor(cfeIbor.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowIbor[loopcf] = dfIbor[loopcf] * cfeIbor.getNthPayment(loopcf).getAmount();
    }
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, hwData);
    final double[] alpha = new double[cfe.getNumberOfPayments()];
    final double[] df = new double[cfe.getNumberOfPayments()];
    final double[] discountedCashFlow = new double[cfe.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      alpha[loopcf] = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, cfe.getNthPayment(loopcf).getPaymentTime());
      df[loopcf] = hwData.getCurve(cfe.getDiscountCurve()).getDiscountFactor(cfe.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlow[loopcf] = df[loopcf] * cfe.getNthPayment(loopcf).getAmount();
    }
    final double kappa = MODEL.kappa(discountedCashFlow, alpha);
    final int nbFixedPaymentYear = (int) Math.round(1.0 / swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(0).getPaymentYearFraction());
    final double[] derivativesRate = new double[3];
    final double[] derivativesAnnuity = new double[3];
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   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final G2ppProviderInterface g2Data) {
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = g2Data.getMulticurveProvider();
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, g2Data.getMulticurveProvider());
    final double theta = swaption.getTimeToExpiry();
    final int nbCf = cfe.getNumberOfPayments();
    final double[] t = new double[nbCf];
    final double[] df = new double[nbCf];
    final double[] discountedCashFlow = new double[nbCf];
    for (int loopcf = 0; loopcf < nbCf; loopcf++) {
      t[loopcf] = cfe.getNthPayment(loopcf).getPaymentTime();
      df[loopcf] = multicurves.getDiscountFactor(ccy, cfe.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlow[loopcf] = df[loopcf] * cfe.getNthPayment(loopcf).getAmount();
    }

    final double rhog2pp = g2Data.getG2ppParameters().getCorrelation();
    final double[][] htheta = MODEL_G2PP.volatilityMaturityPart(g2Data.getG2ppParameters(), theta, t);
    final double[][] gamma = MODEL_G2PP.gamma(g2Data.getG2ppParameters(), 0, theta);
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      dfFixed[loopcf] = hwData.getCurve(swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getFundingCurveName()).getDiscountFactor(
          swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowFixed[loopcf] = dfFixed[loopcf] * swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction()
          * swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getNotional();
    }
    final AnnuityPaymentFixed cfeIbor = swaption.getUnderlyingSwap().getSecondLeg().accept(CFEC, hwData);
    final double[] alphaIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] dfIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] discountedCashFlowIbor = new double[cfeIbor.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfeIbor.getNumberOfPayments(); loopcf++) {
      alphaIbor[loopcf] = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      dfIbor[loopcf] = hwData.getCurve(cfeIbor.getDiscountCurve()).getDiscountFactor(cfeIbor.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowIbor[loopcf] = dfIbor[loopcf] * cfeIbor.getNthPayment(loopcf).getAmount();
    }
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, hwData);
    final double[] alpha = new double[cfe.getNumberOfPayments()];
    final double[] df = new double[cfe.getNumberOfPayments()];
    final double[] discountedCashFlow = new double[cfe.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      alpha[loopcf] = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, cfe.getNthPayment(loopcf).getPaymentTime());
      df[loopcf] = hwData.getCurve(cfe.getDiscountCurve()).getDiscountFactor(cfe.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlow[loopcf] = df[loopcf] * cfe.getNthPayment(loopcf).getAmount();
    }
    final double kappa = MODEL.kappa(discountedCashFlow, alpha);
    final int nbFixedPaymentYear = (int) Math.round(1.0 / swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(0).getPaymentYearFraction());
    final double[] derivativesRate = new double[3];
    final double[] derivativesAnnuity = new double[3];
    final double x0 = 0.0; //    (swaption.getUnderlyingSwap().getFixedLeg().isPayer()) ? Math.max(kappa, 0) : Math.min(kappa, 0);
    final double rate = swapRate(x0, discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor, derivativesRate);
    final double annuity = annuityCash(rate, nbFixedPaymentYear, swaption.getUnderlyingSwap().getFixedLeg().getNumberOfPayments(), derivativesAnnuity);
    final double[] u = new double[4];
    u[0] = annuity * (swaption.getStrike() - rate);
    u[1] = (swaption.getStrike() - rate) * derivativesAnnuity[0] * derivativesRate[0] - derivativesRate[0] * annuity;
    u[2] = (swaption.getStrike() - rate) * (derivativesAnnuity[0] * derivativesRate[1] + derivativesAnnuity[1] * derivativesRate[0] * derivativesRate[0]) - 2 * derivativesAnnuity[0]
        * derivativesRate[0] * derivativesRate[0] - annuity * derivativesRate[1];
    u[3] = (-3 * derivativesRate[0] * (derivativesAnnuity[0] * derivativesRate[1] + derivativesAnnuity[1] * derivativesRate[0] * derivativesRate[0]))
        - (2 * derivativesAnnuity[0] * derivativesRate[0] * derivativesRate[1])
        + ((swaption.getStrike() - rate) * (derivativesAnnuity[0] * derivativesRate[2] + 3 * derivativesAnnuity[1] * derivativesRate[0] * derivativesRate[1] + derivativesAnnuity[2]
            * derivativesRate[0] * derivativesRate[0] * derivativesRate[0])) - (rate * derivativesRate[2]);
    final double kappatilde = kappa + alphaIbor[0];
    final double alpha0tilde = alphaIbor[0] + x0;
    double ncdf;
    final double npdf = NORMAL.getPDF(kappatilde);
    if (!swaption.getUnderlyingSwap().getFixedLeg().isPayer()) {
      ncdf = NORMAL.getCDF(kappatilde);
    } else {
      ncdf = NORMAL.getCDF(-kappatilde);
    }
    final double notional = Math.abs(swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(0).getNotional());
    // Backward sweep
    final double pvTotalBar = 1.0;
    final double pvBar = notional * dfIbor[0] * (swaption.isLong() ? 1.0 : -1.0) * pvTotalBar;
    double alpha0tildeBar = 0.0;
    double kappatildeBar = 0.0;
    final double[] uBar = new double[4];
    if (!swaption.getUnderlyingSwap().getFixedLeg().isPayer()) {
      alpha0tildeBar = ((-u[1] - u[3] * (3 * alpha0tilde * alpha0tilde + 3.0) / 6.0) * ncdf + (u[2] + u[3] * (-6.0 * alpha0tilde + 3.0 * kappatilde) / 6.0) * npdf) * pvBar;
      kappatildeBar = ((u[0] - u[1] * alpha0tilde + u[2] * (1 + alpha[0] * alpha[0]) / 2.0 - u[3] * (alpha0tilde * alpha0tilde * alpha0tilde + 3.0 * alpha0tilde) / 6.0) * npdf
          + (-u[2] / 2.0 + u[3] * (3.0 * alpha0tilde - 2.0 * kappatilde) / 6.0) * npdf + (-u[1] - u[2] * (-2.0 * alpha0tilde + kappatilde) / 2.0 + u[3]
          * (-3 * alpha0tilde * alpha0tilde + 3.0 * kappatilde * alpha0tilde - kappatilde * kappatilde - 2.0) / 6.0)
          * npdf * -kappatilde)
          * pvBar;
      uBar[0] = ncdf * pvBar;
      uBar[1] = (-alpha0tilde * ncdf - npdf) * pvBar;
      uBar[2] = ((1 + alpha[0] * alpha[0]) / 2.0 * ncdf - (-2.0 * alpha0tilde + kappatilde) / 2.0 * npdf) * pvBar;
      uBar[3] = (-(alpha0tilde * alpha0tilde * alpha0tilde + 3.0 * alpha0tilde) / 6.0 * ncdf + (-3 * alpha0tilde * alpha0tilde + 3.0 * kappatilde * alpha0tilde - kappatilde * kappatilde - 2.0) / 6.0
          * npdf)
          * pvBar;
    } else {
      alpha0tildeBar = (-(-u[1] - u[3] * (3 * alpha0tilde * alpha0tilde + 3.0) / 6.0) * ncdf + (u[2] + u[3] * (-6.0 * alpha0tilde + 3.0 * kappatilde) / 6.0) * npdf) * pvBar;
      kappatildeBar = ((u[0] - u[1] * alpha0tilde + u[2] * (1 + alpha[0] * alpha[0]) / 2.0 - u[3] * (alpha0tilde * alpha0tilde * alpha0tilde + 3.0 * alpha0tilde) / 6.0) * npdf
          + (-u[2] / 2.0 + u[3] * (3.0 * alpha0tilde - 2 * kappatilde) / 6.0) * npdf + (-u[1] - u[2] * (-2.0 * alpha0tilde + kappatilde) / 2.0 + u[3]
          * (-3 * alpha0tilde * alpha0tilde + 3.0 * kappatilde * alpha0tilde - kappatilde * kappatilde - 2.0) / 6.0)
          * npdf * -kappatilde)
          * pvBar;
      uBar[0] = -ncdf * pvBar;
      uBar[1] = (+alpha0tilde * ncdf - npdf) * pvBar;
      uBar[2] = (-(1 + alpha[0] * alpha[0]) / 2.0 * ncdf - (-2.0 * alpha0tilde + kappatilde) / 2.0 * npdf) * pvBar;
      uBar[3] = ((alpha0tilde * alpha0tilde * alpha0tilde + 3.0 * alpha0tilde) / 6.0 * ncdf + (-3 * alpha0tilde * alpha0tilde + 3.0 * kappatilde * alpha0tilde - kappatilde * kappatilde - 2.0) / 6.0
          * npdf)
          * pvBar;
    }
    final double annuityBar = (swaption.getStrike() - rate) * uBar[0] - derivativesRate[0] * uBar[1] + -derivativesRate[1] * uBar[2];
    final double[] derivativesAnnuityBar = new double[3];
    derivativesAnnuityBar[0] = (swaption.getStrike() - rate) * derivativesRate[0] * uBar[1] + ((swaption.getStrike() - rate) * derivativesRate[1] - 2.0 * derivativesRate[0] * derivativesRate[0])
        * uBar[2] + (-3 * derivativesRate[0] * derivativesRate[1] - 2 * derivativesRate[0] * derivativesRate[1] + (swaption.getStrike() - rate) * derivativesRate[2]) * uBar[3];
    derivativesAnnuityBar[1] = (swaption.getStrike() - rate) * derivativesRate[0] * derivativesRate[0] * uBar[2]
        + (-3 * derivativesRate[0] * derivativesRate[0] * derivativesRate[0] + (swaption.getStrike() - rate) * 3 * derivativesRate[0] * derivativesRate[1]) * uBar[3];
    derivativesAnnuityBar[2] = (swaption.getStrike() - rate) * derivativesRate[0] * derivativesRate[0] * derivativesRate[0] * uBar[3];
    final double rateBar = (derivativesAnnuity[1] * derivativesAnnuityBar[0])
        + (derivativesAnnuity[2] * derivativesAnnuityBar[1])
        + (derivativesAnnuity[0] * annuityBar)
        - (annuity * uBar[0])
        - (derivativesAnnuity[0] * derivativesRate[0] * uBar[1])
        - ((derivativesAnnuity[0] * derivativesRate[1] + derivativesAnnuity[1] * derivativesRate[0] * derivativesRate[0]) * uBar[2])
        - (((derivativesAnnuity[0] * derivativesRate[2] + 3 * derivativesAnnuity[1] * derivativesRate[0] * derivativesRate[1] + derivativesAnnuity[2] * derivativesRate[0] * derivativesRate[0]
            * derivativesRate[0]) + derivativesRate[2]) * uBar[3]);
    final double[] derivativesRateBar = new double[3];
    derivativesRateBar[0] = ((swaption.getStrike() - rate) * derivativesAnnuity[0] - annuity)
        * uBar[1]
        + ((swaption.getStrike() - rate) * (2.0 * derivativesAnnuity[1] * derivativesRate[0]) - 4 * derivativesAnnuity[0] * derivativesRate[0])
        * uBar[2]
        + (-3 * (derivativesAnnuity[0] * derivativesRate[1] + 3.0 * derivativesAnnuity[1] * derivativesRate[0] * derivativesRate[0]) - 2 * derivativesAnnuity[0] * derivativesRate[1] + (swaption
            .getStrike() - rate) * (3 * derivativesAnnuity[1] * derivativesRate[1] + derivativesAnnuity[2] * 3.0 * derivativesRate[0] * derivativesRate[0])) * uBar[3];
    derivativesRateBar[1] = ((swaption.getStrike() - rate) * (derivativesAnnuity[0]) - annuity) * uBar[2]
        + (-3 * derivativesRate[0] * (derivativesAnnuity[0]) - 2 * derivativesAnnuity[0] * derivativesRate[0] + (swaption.getStrike() - rate) * (3 * derivativesAnnuity[1] * derivativesRate[0]))
        * uBar[3];
    derivativesRateBar[2] = ((swaption.getStrike() - rate) * derivativesAnnuity[0] - rate) * uBar[3];
    //    double kappaBar = 0.0;
    final double[] alphaFixedBar = new double[nbFixed];
    final double[] alphaIborBar = new double[cfeIbor.getNumberOfPayments()];
    swapRateAdjointAlpha(x0, discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor, rateBar, derivativesRateBar, derivativesRate, alphaFixedBar, alphaIborBar);
    alphaIborBar[0] += kappatildeBar + alpha0tildeBar;
    final double[] pvsensi = new double[hwData.getHullWhiteParameter().getVolatility().length];
    final double[] partialDerivatives = new double[hwData.getHullWhiteParameter().getVolatility().length];
    for (int loopcf = 0; loopcf < nbFixed; loopcf++) {
      MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentTime(), partialDerivatives);
      for (int loopsigma = 0; loopsigma < hwData.getHullWhiteParameter().getVolatility().length; loopsigma++) {
        pvsensi[loopsigma] += alphaFixedBar[loopcf] * partialDerivatives[loopsigma];
      }
    }
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, cfeIbor.getNthPayment(loopcf).getPaymentTime(), partialDerivatives);
      for (int loopsigma = 0; loopsigma < hwData.getHullWhiteParameter().getVolatility().length; loopsigma++) {
        pvsensi[loopsigma] += alphaIborBar[loopcf] * partialDerivatives[loopsigma];
      }
    }
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  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final HullWhiteOneFactorProviderInterface hullWhite) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(hullWhite, "Hull-White provider");
    final Currency ccy = swaption.getCurrency();
    final double expiry = swaption.getTimeToExpiry();
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, hullWhite.getMulticurveProvider());
    final int nbCf = cfe.getNumberOfPayments();
    final double a = hullWhite.getHullWhiteParameters().getMeanReversion();
    final double[] sigma = hullWhite.getHullWhiteParameters().getVolatility();
    final double[] s = hullWhite.getHullWhiteParameters().getVolatilityTime();
    final double[] cfa = new double[nbCf];
    final double[] t = new double[nbCf + 1];
    final double[] expt = new double[nbCf + 1];
    final double[] dfswap = new double[nbCf];
    final double[] p0 = new double[nbCf];
    final double[] cP = new double[nbCf];
    t[0] = expiry;
    expt[0] = Math.exp(-a * t[0]);
    for (int loopcf = 0; loopcf < nbCf; loopcf++) {
      t[loopcf + 1] = cfe.getNthPayment(loopcf).getPaymentTime();
      cfa[loopcf] = -Math.signum(cfe.getNthPayment(0).getAmount()) * cfe.getNthPayment(loopcf).getAmount();
      expt[loopcf + 1] = Math.exp(-a * t[loopcf + 1]);
      dfswap[loopcf] = hullWhite.getMulticurveProvider().getDiscountFactor(ccy, t[loopcf + 1]);
      p0[loopcf] = dfswap[loopcf] / dfswap[0];
      cP[loopcf] = cfa[loopcf] * p0[loopcf];
    }
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      discountedCashFlowFixed[loopcf] = dfFixed[loopcf] * swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction()
          * swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getNotional();
      testdiscountedCashFlowFixed[loopcf] = discountedCashFlowFixed[loopcf];
    }
    testdiscountedCashFlowFixed[0] += 1.0;
    final AnnuityPaymentFixed cfeIbor = swaption.getUnderlyingSwap().getSecondLeg().accept(CFEC, hwData);
    final double[] alphaIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] dfIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] discountedCashFlowIbor = new double[cfeIbor.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfeIbor.getNumberOfPayments(); loopcf++) {
      alphaIbor[loopcf] = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      dfIbor[loopcf] = hwData.getCurve(cfeIbor.getDiscountCurve()).getDiscountFactor(cfeIbor.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowIbor[loopcf] = dfIbor[loopcf] * cfeIbor.getNthPayment(loopcf).getAmount();
    }
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, hwData);
    final double[] alpha = new double[cfe.getNumberOfPayments()];
    final double[] df = new double[cfe.getNumberOfPayments()];
    final double[] discountedCashFlow = new double[cfe.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      alpha[loopcf] = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, cfe.getNthPayment(loopcf).getPaymentTime());
      df[loopcf] = hwData.getCurve(cfe.getDiscountCurve()).getDiscountFactor(cfe.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlow[loopcf] = df[loopcf] * cfe.getNthPayment(loopcf).getAmount();
    }
    final double kappa = MODEL.kappa(discountedCashFlow, alpha);
    final int nbFixedPaymentYear = (int) Math.round(1.0 / swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(0).getPaymentYearFraction());
    final double[] derivativesRate = new double[3];
    final double[] derivativesAnnuity = new double[3];
    final double x0 = 0.0; //    (swaption.getUnderlyingSwap().getFixedLeg().isPayer()) ? Math.max(kappa, 0) : Math.min(kappa, 0);
    final double rate = swapRate(x0, discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor, derivativesRate);
    final double annuity = annuityCash(rate, nbFixedPaymentYear, swaption.getUnderlyingSwap().getFixedLeg().getNumberOfPayments(), derivativesAnnuity);
    final double[] u = new double[4];
    u[0] = annuity * (swaption.getStrike() - rate);
    u[1] = (swaption.getStrike() - rate) * derivativesAnnuity[0] * derivativesRate[0] - derivativesRate[0] * annuity;
    u[2] = (swaption.getStrike() - rate) * (derivativesAnnuity[0] * derivativesRate[1] + derivativesAnnuity[1] * derivativesRate[0] * derivativesRate[0]) - 2 * derivativesAnnuity[0]
        * derivativesRate[0] * derivativesRate[0] - annuity * derivativesRate[1];
    u[3] = (-3 * derivativesRate[0] * (derivativesAnnuity[0] * derivativesRate[1] + derivativesAnnuity[1] * derivativesRate[0] * derivativesRate[0]))
        - (2 * derivativesAnnuity[0] * derivativesRate[0] * derivativesRate[1])
        + ((swaption.getStrike() - rate) * (derivativesAnnuity[0] * derivativesRate[2] + 3 * derivativesAnnuity[1] * derivativesRate[0] * derivativesRate[1] + derivativesAnnuity[2]
            * derivativesRate[0] * derivativesRate[0] * derivativesRate[0])) - (rate * derivativesRate[2]);
    final double kappatilde = kappa + alphaIbor[0];
    final double alpha0tilde = alphaIbor[0] + x0;
    double ncdf;
    final double npdf = NORMAL.getPDF(kappatilde);
    double pv;
    if (!swaption.getUnderlyingSwap().getFixedLeg().isPayer()) {
      ncdf = NORMAL.getCDF(kappatilde);
      pv = (u[0] - u[1] * alpha0tilde + u[2] * (1 + alpha[0] * alpha[0]) / 2.0 - u[3] * (alpha0tilde * alpha0tilde * alpha0tilde + 3.0 * alpha0tilde) / 6.0) * ncdf
          + (-u[1] - u[2] * (-2.0 * alpha0tilde + kappatilde) / 2.0 + u[3] * (-3 * alpha0tilde * alpha0tilde + 3.0 * kappatilde * alpha0tilde - kappatilde * kappatilde - 2.0) / 6.0) * npdf;
    } else {
      ncdf = NORMAL.getCDF(-kappatilde);
      pv = -(u[0] - u[1] * alpha0tilde + u[2] * (1 + alpha[0] * alpha[0]) / 2.0 - u[3] * (alpha0tilde * alpha0tilde * alpha0tilde + 3.0 * alpha0tilde) / 6.0) * ncdf
          + (-u[1] - u[2] * (-2.0 * alpha0tilde + kappatilde) / 2.0 + u[3] * (-3 * alpha0tilde * alpha0tilde + 3.0 * kappatilde * alpha0tilde - kappatilde * kappatilde - 2.0) / 6.0) * npdf;
    }
    final double notional = Math.abs(swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(0).getNotional());
    // Backward sweep
    final double pvTotalBar = 1.0;
    final double pvBar = notional * dfIbor[0] * (swaption.isLong() ? 1.0 : -1.0) * pvTotalBar;
    final double[] uBar = new double[4];
    if (!swaption.getUnderlyingSwap().getFixedLeg().isPayer()) {
      uBar[0] = ncdf * pvBar;
      uBar[1] = (-alpha0tilde * ncdf - npdf) * pvBar;
      uBar[2] = ((1 + alpha[0] * alpha[0]) / 2.0 * ncdf - (-2.0 * alpha0tilde + kappatilde) / 2.0 * npdf) * pvBar;
      uBar[3] = (-(alpha0tilde * alpha0tilde * alpha0tilde + 3.0 * alpha0tilde) / 6.0 * ncdf + (-3 * alpha0tilde * alpha0tilde + 3.0 * kappatilde * alpha0tilde - kappatilde * kappatilde - 2.0) / 6.0
          * npdf)
          * pvBar;
    } else {
      uBar[0] = -ncdf * pvBar;
      uBar[1] = (+alpha0tilde * ncdf - npdf) * pvBar;
      uBar[2] = (-(1 + alpha[0] * alpha[0]) / 2.0 * ncdf - (-2.0 * alpha0tilde + kappatilde) / 2.0 * npdf) * pvBar;
      uBar[3] = ((alpha0tilde * alpha0tilde * alpha0tilde + 3.0 * alpha0tilde) / 6.0 * ncdf + (-3 * alpha0tilde * alpha0tilde + 3.0 * kappatilde * alpha0tilde - kappatilde * kappatilde - 2.0) / 6.0
          * npdf)
          * pvBar;
    }
    final double annuityBar = (swaption.getStrike() - rate) * uBar[0] - derivativesRate[0] * uBar[1] + -derivativesRate[1] * uBar[2];
    final double[] derivativesAnnuityBar = new double[3];
    derivativesAnnuityBar[0] = (swaption.getStrike() - rate) * derivativesRate[0] * uBar[1] + ((swaption.getStrike() - rate) * derivativesRate[1] - 2.0 * derivativesRate[0] * derivativesRate[0])
        * uBar[2] + (-3 * derivativesRate[0] * derivativesRate[1] - 2 * derivativesRate[0] * derivativesRate[1] + (swaption.getStrike() - rate) * derivativesRate[2]) * uBar[3];
    derivativesAnnuityBar[1] = (swaption.getStrike() - rate) * derivativesRate[0] * derivativesRate[0] * uBar[2]
        + (-3 * derivativesRate[0] * derivativesRate[0] * derivativesRate[0] + (swaption.getStrike() - rate) * 3 * derivativesRate[0] * derivativesRate[1]) * uBar[3];
    derivativesAnnuityBar[2] = (swaption.getStrike() - rate) * derivativesRate[0] * derivativesRate[0] * derivativesRate[0] * uBar[3];
    final double rateBar = (derivativesAnnuity[1] * derivativesAnnuityBar[0])
        + (derivativesAnnuity[2] * derivativesAnnuityBar[1])
        + (derivativesAnnuity[0] * annuityBar)
        - (annuity * uBar[0])
        - (derivativesAnnuity[0] * derivativesRate[0] * uBar[1])
        - ((derivativesAnnuity[0] * derivativesRate[1] + derivativesAnnuity[1] * derivativesRate[0] * derivativesRate[0]) * uBar[2])
        - (((derivativesAnnuity[0] * derivativesRate[2] + 3 * derivativesAnnuity[1] * derivativesRate[0] * derivativesRate[1] + derivativesAnnuity[2] * derivativesRate[0] * derivativesRate[0]
            * derivativesRate[0]) + derivativesRate[2]) * uBar[3]);
    final double[] derivativesRateBar = new double[3];
    derivativesRateBar[0] = ((swaption.getStrike() - rate) * derivativesAnnuity[0] - annuity)
        * uBar[1]
        + ((swaption.getStrike() - rate) * (2.0 * derivativesAnnuity[1] * derivativesRate[0]) - 4 * derivativesAnnuity[0] * derivativesRate[0])
        * uBar[2]
        + (-3 * (derivativesAnnuity[0] * derivativesRate[1] + 3.0 * derivativesAnnuity[1] * derivativesRate[0] * derivativesRate[0]) - 2 * derivativesAnnuity[0] * derivativesRate[1] + (swaption
            .getStrike() - rate) * (3 * derivativesAnnuity[1] * derivativesRate[1] + derivativesAnnuity[2] * 3.0 * derivativesRate[0] * derivativesRate[0])) * uBar[3];
    derivativesRateBar[1] = ((swaption.getStrike() - rate) * (derivativesAnnuity[0]) - annuity) * uBar[2]
        + (-3 * derivativesRate[0] * (derivativesAnnuity[0]) - 2 * derivativesAnnuity[0] * derivativesRate[0] + (swaption.getStrike() - rate) * (3 * derivativesAnnuity[1] * derivativesRate[0]))
        * uBar[3];
    derivativesRateBar[2] = ((swaption.getStrike() - rate) * derivativesAnnuity[0] - rate) * uBar[3];
    //    double kappaBar = 0.0;
    final double[] discountedCashFlowFixedBar = new double[nbFixed];
    final double[] discountedCashFlowIborBar = new double[cfeIbor.getNumberOfPayments()];
    swapRateAdjointDiscountedCF(x0, discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor, rateBar, derivativesRateBar, derivativesRate, discountedCashFlowFixedBar,
        discountedCashFlowIborBar);
    final double[] dfFixedBar = new double[nbFixed];
    final List<DoublesPair> listDf = new ArrayList<>();
    for (int loopcf = 0; loopcf < nbFixed; loopcf++) {
      dfFixedBar[loopcf] = swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction() * swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getNotional()
          * discountedCashFlowFixedBar[loopcf];
      final DoublesPair dfSensi = new DoublesPair(swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentTime(), -swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf)
          .getPaymentTime()
          * dfFixed[loopcf] * dfFixedBar[loopcf]);
      listDf.add(dfSensi);
    }
    final double[] dfIborBar = new double[cfeIbor.getNumberOfPayments()];
    final double[] cfeAmountIborBar = new double[cfeIbor.getNumberOfPayments()];
    dfIborBar[0] = pv * notional * (swaption.isLong() ? 1.0 : -1.0);
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      dfIborBar[loopcf] += cfeIbor.getNthPayment(loopcf).getAmount() * discountedCashFlowIborBar[loopcf];
      final DoublesPair dfSensi = new DoublesPair(cfeIbor.getNthPayment(loopcf).getPaymentTime(), -cfeIbor.getNthPayment(loopcf).getPaymentTime() * dfIbor[loopcf] * dfIborBar[loopcf]);
      listDf.add(dfSensi);
      cfeAmountIborBar[loopcf] = dfIbor[loopcf] * discountedCashFlowIborBar[loopcf];
    }
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  // Spot: one day after coupon date

  @Test
  public void presentValueFixedMiddle() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_US_1, CURVES_NAME);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_US_1, CURVES_NAME);
    coupon = coupon.trimBefore(REFERENCE_TIME_1);
    final double pvNominal = nominal.accept(PVC, CURVES);
    final double pvCoupon = coupon.accept(PVC, CURVES);
    final double pv = METHOD.presentValue(BOND_FIXED_SECURITY_1, CURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal + pvCoupon, pv);
  }
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    assertEquals("Fixed coupon bond security: present value", pvNominal + pvCoupon, pv);
  }

  @Test
  public void presentValueFixedOnCoupon() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_US_2, CURVES_NAME);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_US_2, CURVES_NAME);
    coupon = coupon.trimBefore(REFERENCE_TIME_2);
    final double pvNominal = nominal.accept(PVC, CURVES);
    final double pvCoupon = coupon.accept(PVC, CURVES);
    final double pv = METHOD.presentValue(BOND_FIXED_SECURITY_2, CURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal + pvCoupon, pv);
  }
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   * @param swaption The swaption.
   * @param g2Data The G2++ parameters and the curves.
   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final G2ppProviderInterface g2Data) {
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, g2Data.getMulticurveProvider());
    return presentValue(swaption, cfe, g2Data);
  }
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   * @return The present value.
   */
  public CurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final G2ppPiecewiseConstantDataBundle g2Data) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(g2Data, "G2++ data");
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, g2Data);
    return presentValue(swaption, cfe, g2Data);
  }
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   * @param hwData The Hull-White parameters and the curves.
   * @return The present value.
   */
  public CurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final HullWhiteOneFactorPiecewiseConstantDataBundle hwData) {
    ArgumentChecker.notNull(swaption, "swaption");
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, hwData);
    return presentValue(swaption, cfe, hwData);
  }
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