Package it.unimi.dsi.fastutil.doubles

Examples of it.unimi.dsi.fastutil.doubles.DoubleAVLTreeSet

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    final double deltaShift = 1.0E-6;
    final String bumpedCurveName = "Bumped Curve";
    // 1. Forward curve sensitivity
    final String[] CurveNameBumpedForward = {FUNDING_CURVE_NAME, bumpedCurveName };
    final CapFloorCMSSpread capBumpedForward = (CapFloorCMSSpread) CMS_CAP_SPREAD_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedForward);
    final DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedForward, SABR_BUNDLE, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForward, deltaShift,
        METHOD_CMS_SPREAD);
    final List<DoublesPair> sensiPvForward = pvcsCap.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals("Sensitivity CMS cap/floor pv to forward curve: Node " + loopnode, nodeTimesForward[loopnode], pairPv.getFirst(), 1E-8);
      assertEquals("Sensitivity finite difference method: node sensitivity " + loopnode + " - Difference " + (sensiForwardMethod[loopnode] - pairPv.second), 0,
          (sensiForwardMethod[loopnode] - pairPv.second) / pairPv.second, deltaToleranceRelative);
    }
    // 2. Discounting curve sensitivity
    final String[] CurveNameBumpedDisc = {bumpedCurveName, FORWARD_CURVE_NAME };
    final CapFloorCMSSpread capBumpedDisc = (CapFloorCMSSpread) CMS_CAP_SPREAD_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedDisc);
    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
    discTime.add(capBumpedDisc.getPaymentTime());
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    final double[] nodeTimesDisc = discTime.toDoubleArray();
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedDisc, SABR_BUNDLE, FUNDING_CURVE_NAME, bumpedCurveName, nodeTimesDisc, deltaShift, METHOD_CMS_SPREAD);
    final List<DoublesPair> sensiPvDisc = pvcsCap.getSensitivities().get(FUNDING_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
      assertEquals("Sensitivity CMS cap/floor pv to forward curve: Node " + loopnode, nodeTimesDisc[loopnode], pairPv.getFirst(), 1E-8);
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    final double deltaShift = 1.0E-6;
    final String bumpedCurveName = "Bumped Curve";
    // 1. Forward curve sensitivity
    final String[] CurveNameBumpedForward = {FUNDING_CURVE_NAME, bumpedCurveName };
    final CapFloorCMSSpread capBumpedForward = (CapFloorCMSSpread) CMS_CAP_SPREAD_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedForward);
    final DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedForward, SABR_BUNDLE, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForward, deltaShift,
        METHOD_CMS_SPREAD_EXTRAPOLATION);
    final List<DoublesPair> sensiPvForward = pvcsCap.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals("Sensitivity CMS cap/floor pv to forward curve: Node " + loopnode, nodeTimesForward[loopnode], pairPv.getFirst(), 1E-8);
      assertEquals("Sensitivity finite difference method: node sensitivity " + loopnode + " - Difference " + (sensiForwardMethod[loopnode] - pairPv.second), 0,
          (sensiForwardMethod[loopnode] - pairPv.second) / pairPv.second, deltaToleranceRelative);
    }
    // 2. Discounting curve sensitivity
    final String[] CurveNameBumpedDisc = {bumpedCurveName, FORWARD_CURVE_NAME };
    final CapFloorCMSSpread capBumpedDisc = (CapFloorCMSSpread) CMS_CAP_SPREAD_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedDisc);
    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
    discTime.add(capBumpedDisc.getPaymentTime());
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    final double[] nodeTimesDisc = discTime.toDoubleArray();
    final double[] sensiDiscMethod = SensitivityFiniteDifference
        .curveSensitivity(capBumpedDisc, SABR_BUNDLE, FUNDING_CURVE_NAME, bumpedCurveName, nodeTimesDisc, deltaShift, METHOD_CMS_SPREAD_EXTRAPOLATION);
    final List<DoublesPair> sensiPvDisc = pvcsCap.getSensitivities().get(FUNDING_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
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    final double deltaShift = 1.0E-6;
    final String bumpedCurveName = "Bumped Curve";
    // 1. Forward curve sensitivity
    final String[] CurveNameBumpedForward = {curvesUpName[0], bumpedCurveName };
    final CapFloorCMSSpread capBumpedForward = (CapFloorCMSSpread) CMS_CAP_SPREAD_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedForward);
    final DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedForward, sabrBundleCurveUp, curvesUpName[1], bumpedCurveName, nodeTimesForward, deltaShift,
        METHOD_CMS_SPREAD);
    final List<DoublesPair> sensiPvForward = pvcsCap.getSensitivities().get(curvesUpName[1]);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals("Sensitivity CMS cap/floor pv to forward curve: Node " + loopnode, nodeTimesForward[loopnode], pairPv.getFirst(), 1E-8);
      assertEquals("Sensitivity finite difference method: node sensitivity " + loopnode + " - Difference " + (sensiForwardMethod[loopnode] - pairPv.second), 0,
          (sensiForwardMethod[loopnode] - pairPv.second) / pairPv.second, deltaToleranceRelative);
    }
    // 2. Discounting curve sensitivity
    final String[] CurveNameBumpedDisc = {bumpedCurveName, curvesUpName[1] };
    final CapFloorCMSSpread capBumpedDisc = (CapFloorCMSSpread) CMS_CAP_SPREAD_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedDisc);
    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
    discTime.add(capBumpedDisc.getPaymentTime());
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap1().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    final double[] nodeTimesDisc = discTime.toDoubleArray();
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedDisc, sabrBundleCurveUp, curvesUpName[0], bumpedCurveName, nodeTimesDisc, deltaShift, METHOD_CMS_SPREAD);
    final List<DoublesPair> sensiPvDisc = pvcsCap.getSensitivities().get(curvesUpName[0]);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
      assertEquals("Sensitivity CMS cap/floor pv to forward curve: Node " + loopnode, nodeTimesDisc[loopnode], pairPv.getFirst(), 1E-8);
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    final double deltaShift = 1.0E-6;
    final String bumpedCurveName = "Bumped Curve";
    // 1. Forward curve sensitivity
    final String[] CurveNameBumpedForward = {FUNDING_CURVE_NAME, bumpedCurveName };
    final CapFloorCMSSpread floorBumpedForward = (CapFloorCMSSpread) CMS_FLOOR_SPREAD_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedForward);
    final DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < CMS_FLOOR_SPREAD.getUnderlyingSwap1().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_FLOOR_SPREAD.getUnderlyingSwap1().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    for (int loopcpn = 0; loopcpn < CMS_FLOOR_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_FLOOR_SPREAD.getUnderlyingSwap2().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(floorBumpedForward, SABR_BUNDLE, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForward, deltaShift,
        METHOD_CMS_SPREAD);
    final List<DoublesPair> sensiPvForward = pvcsFloor.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals("Sensitivity CMS cap/floor pv to forward curve: Node " + loopnode, nodeTimesForward[loopnode], pairPv.getFirst(), 1E-8);
      assertEquals("Sensitivity finite difference method: forward node sensitivity " + loopnode + " - Difference " + (sensiForwardMethod[loopnode] - pairPv.second), 0,
          (sensiForwardMethod[loopnode] - pairPv.second) / pairPv.second, deltaToleranceRelative);
    }
    // 2. Discounting curve sensitivity
    final String[] CurveNameBumpedDisc = {bumpedCurveName, FORWARD_CURVE_NAME };
    final CapFloorCMSSpread floorBumpedDisc = (CapFloorCMSSpread) CMS_FLOOR_SPREAD_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedDisc);
    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
    discTime.add(floorBumpedDisc.getPaymentTime());
    for (int loopcpn = 0; loopcpn < CMS_FLOOR_SPREAD.getUnderlyingSwap1().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_FLOOR_SPREAD.getUnderlyingSwap1().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    for (int loopcpn = 0; loopcpn < CMS_FLOOR_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_FLOOR_SPREAD.getUnderlyingSwap2().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    final double[] nodeTimesDisc = discTime.toDoubleArray();
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(floorBumpedDisc, SABR_BUNDLE, FUNDING_CURVE_NAME, bumpedCurveName, nodeTimesDisc, deltaShift, METHOD_CMS_SPREAD);
    final List<DoublesPair> sensiPvDisc = pvcsFloor.getSensitivities().get(FUNDING_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
      assertEquals("Sensitivity CMS cap/floor pv to forward curve: Node " + loopnode, nodeTimesDisc[loopnode], pairPv.getFirst(), 1E-8);
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   */
  public void presentValueCurveSensitivity() {
    InterestRateCurveSensitivity pvcsSwaption = METHOD_BLACK.presentValueCurveSensitivity(SWAPTION_LONG_REC, CURVES_BLACK);
    pvcsSwaption = pvcsSwaption.cleaned();
    // 1. Forward curve sensitivity
    final DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < SWAPTION_LONG_REC.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) SWAPTION_LONG_REC.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final List<DoublesPair> sensiPvFwd = pvcsSwaption.getSensitivities().get(CURVES_NAME[2]);
    final List<DoublesPair> fdSenseFwd = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(SWAPTION_LONG_REC, METHOD_BLACK, CURVES_BLACK, CURVES_NAME[2], nodeTimesForward, TOLERANCE_DELTA);
    assertSensitivityEquals(sensiPvFwd, fdSenseFwd, TOLERANCE_DELTA);
    // 2. Discounting curve sensitivity
    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < SWAPTION_LONG_REC.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) SWAPTION_LONG_REC.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    final double[] nodeTimesDisc = discTime.toDoubleArray();
    final List<DoublesPair> sensiPvDisc = pvcsSwaption.getSensitivities().get(CURVES_NAME[0]);
    final List<DoublesPair> fdSense = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(SWAPTION_LONG_REC, METHOD_BLACK, CURVES_BLACK, CURVES_NAME[0], nodeTimesDisc, TOLERANCE_DELTA);
    assertSensitivityEquals(sensiPvDisc, fdSense, TOLERANCE_DELTA);
  }
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    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move. Tolerance increased to cope with numerical imprecision of finite difference.
    final double deltaShift = 1.0E-6;
    // 1. Forward curve sensitivity
    final String bumpedCurveName = "Bumped Curve";
    final SwaptionCashFixedIbor swptBumpedForward = SWAPTION_PAYER_LONG_DEFINITION.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[0], bumpedCurveName });
    final DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < SWAPTION_PAYER_LONG.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) SWAPTION_PAYER_LONG.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(swptBumpedForward, BUNDLE_HW, CURVES_NAME[1], bumpedCurveName, nodeTimesForward, deltaShift,
        METHOD_HW_APPROXIMATION);
    final List<DoublesPair> sensiPvForward = pvsSwaption.getSensitivities().get(CURVES_NAME[1]);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals("Sensitivity swaption pv to forward curve: Node " + loopnode, nodeTimesForward[loopnode], pairPv.getFirst(), 1E-8);
      assertEquals("Sensitivity finite difference method: node sensitivity " + loopnode, sensiForwardMethod[loopnode], pairPv.second, deltaTolerancePrice);
    }
    // 2. Discounting curve sensitivity
    final SwaptionCashFixedIbor swptBumpedDisc = SWAPTION_PAYER_LONG_DEFINITION.toDerivative(REFERENCE_DATE, new String[] {bumpedCurveName, CURVES_NAME[1] });
    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
    discTime.add(SWAPTION_PAYER_LONG.getSettlementTime());
    for (int loopcpn = 0; loopcpn < SWAPTION_PAYER_LONG.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) SWAPTION_PAYER_LONG.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    final double[] nodeTimesDisc = discTime.toDoubleArray();
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(swptBumpedDisc, BUNDLE_HW, CURVES_NAME[0], bumpedCurveName, nodeTimesDisc, deltaShift, METHOD_HW_APPROXIMATION);
    assertEquals("Sensitivity finite difference method: number of node", 11, sensiDiscMethod.length);
    final List<DoublesPair> sensiPvDisc = pvsSwaption.getSensitivities().get(CURVES_NAME[0]);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
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  @Test
  public void presentValueCurveSensitivity() {
    InterestRateCurveSensitivity pvcsSwaption = METHOD_BLACK.presentValueCurveSensitivity(SWAPTION_LONG_REC, CURVES_BLACK);
    // 1. Discounting curve sensitivity
    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
    final CouponONCompounded cpnON = SWAPTION_LONG_REC.getUnderlyingSwap().getSecondLeg().getNthPayment(0);
    discTime.add(cpnON.getFixingPeriodStartTimes()[0]);
    for (int loopp = 0; loopp < cpnON.getFixingPeriodStartTimes().length; loopp++) {
      discTime.add(cpnON.getFixingPeriodEndTimes()[loopp]);
    }
    final CouponFixedAccruedCompounding cpnF = SWAPTION_LONG_REC.getUnderlyingSwap().getFirstLeg().getNthPayment(0);
    discTime.add(cpnF.getPaymentTime());
    final double[] nodeTimesDisc = discTime.toDoubleArray();
    final List<DoublesPair> sensiPvDisc = pvcsSwaption.getSensitivities().get(CURVES_NAME[0]);
    final List<DoublesPair> fdSense = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(SWAPTION_LONG_REC, METHOD_BLACK, CURVES_BLACK, CURVES_NAME[0], nodeTimesDisc, 0.0);
    assertSensitivityEquals(sensiPvDisc, fdSense, TOLERANCE_DELTA);
  }
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    pvcsMC = pvcsMC.cleaned(1.0E-10, 1.0E-2); // (1.0E-10, 1.0E-2);

    final PresentValueHullWhiteMonteCarloCalculator calculator = new PresentValueHullWhiteMonteCarloCalculator(nbPath);

    // Dsc curve
    final DoubleAVLTreeSet dscTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < ANNUITY_RATCHET_FIXED.getNumberOfPayments(); loopcpn++) {
      final Coupon cpn = ANNUITY_RATCHET_FIXED.getNthPayment(loopcpn);
      dscTime.add(cpn.getPaymentTime());
    }
    final double[] timesDsc = dscTime.toDoubleArray();
    final List<DoublesPair> pvcsFDDscMC = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(ANNUITY_RATCHET_FIXED, calculator, BUNDLE_HW, CURVES_NAMES[0], timesDsc, 1.0E-2);
    final List<DoublesPair> pvcsADDscMC = pvcsMC.getSensitivities().get(CURVES_NAMES[0]);
    assertSensitivityEquals(pvcsFDDscMC, pvcsADDscMC, deltaTolerancePrice);
    // Fwd curve
    final DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
    for (int loopcpn = 1; loopcpn < ANNUITY_RATCHET_FIXED.getNumberOfPayments(); loopcpn++) {
      final CouponIborRatchet cpn = (CouponIborRatchet) ANNUITY_RATCHET_FIXED.getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] timesFwd = forwardTime.toDoubleArray();
    final List<DoublesPair> pvcsFDFwdMC = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(ANNUITY_RATCHET_FIXED, calculator, BUNDLE_HW, CURVES_NAMES[1], timesFwd, 1.0E-2);
    final List<DoublesPair> pvcsADFwdMC = pvcsMC.getSensitivities().get(CURVES_NAMES[1]);
    assertSensitivityEquals(pvcsFDFwdMC, pvcsADFwdMC, deltaTolerancePrice);
  }
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    final double deltaShift = 1.0E-6;
    final String bumpedCurveName = "Bumped Curve";
    // 1. Forward curve sensitivity
    final String[] CurveNameBumpedForward = {FUNDING_CURVE_NAME, bumpedCurveName };
    final CapFloorCMS capBumpedForward = (CapFloorCMS) CMS_CAP_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedForward);
    final DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < CMS_CAP.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedForward, SABR_BUNDLE, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForward, deltaShift, METHOD);
    assertEquals("Sensitivity finite difference method: number of node", nodeTimesForward.length, sensiForwardMethod.length);
    final List<DoublesPair> sensiPvForward = pvcsCap.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals("Sensitivity CMS cap/floor pv to forward curve: Node " + loopnode, nodeTimesForward[loopnode], pairPv.getFirst(), 1E-8);
      assertEquals("Sensitivity finite difference method: node sensitivity " + loopnode, pairPv.second, sensiForwardMethod[loopnode], deltaTolerancePrice);
    }
    // 2. Discounting curve sensitivity
    final String[] CurveNameBumpedDisc = {bumpedCurveName, FORWARD_CURVE_NAME };
    final CapFloorCMS capBumpedDisc = (CapFloorCMS) CMS_CAP_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedDisc);
    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
    discTime.add(capBumpedDisc.getPaymentTime());
    for (int loopcpn = 0; loopcpn < CMS_CAP.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    final double[] nodeTimesDisc = discTime.toDoubleArray();
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedDisc, SABR_BUNDLE, FUNDING_CURVE_NAME, bumpedCurveName, nodeTimesDisc, deltaShift, METHOD);
    final List<DoublesPair> sensiPvDisc = pvcsCap.getSensitivities().get(FUNDING_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
      assertEquals("Sensitivity CMS cap/floor pv to forward curve: Node " + loopnode, nodeTimesDisc[loopnode], pairPv.getFirst(), 1E-8);
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    final double deltaShift = 1.0E-6;
    final String bumpedCurveName = "Bumped Curve";
    // 1. Forward curve sensitivity
    final String[] CurveNameBumpedForward = {FUNDING_CURVE_NAME, bumpedCurveName };
    final CapFloorCMS capBumpedForward = (CapFloorCMS) CMS_FLOOR_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedForward);
    final DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < CMS_FLOOR.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_FLOOR.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedForward, SABR_BUNDLE, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForward, deltaShift, METHOD);
    assertEquals("Sensitivity finite difference method: number of node", nodeTimesForward.length, sensiForwardMethod.length);
    final List<DoublesPair> sensiPvForward = pvcsCap.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals("Sensitivity CMS cap/floor pv to forward curve: Node " + loopnode, nodeTimesForward[loopnode], pairPv.getFirst(), 1E-8);
      assertEquals("Sensitivity finite difference method: node sensitivity " + loopnode, pairPv.second, sensiForwardMethod[loopnode], deltaTolerancePrice);
    }
    // 2. Discounting curve sensitivity
    final String[] CurveNameBumpedDisc = {bumpedCurveName, FORWARD_CURVE_NAME };
    final CapFloorCMS capBumpedDisc = (CapFloorCMS) CMS_FLOOR_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedDisc);
    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
    discTime.add(capBumpedDisc.getPaymentTime());
    for (int loopcpn = 0; loopcpn < CMS_FLOOR.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_FLOOR.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    final double[] nodeTimesDisc = discTime.toDoubleArray();
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedDisc, SABR_BUNDLE, FUNDING_CURVE_NAME, bumpedCurveName, nodeTimesDisc, deltaShift, METHOD);
    final List<DoublesPair> sensiPvDisc = pvcsCap.getSensitivities().get(FUNDING_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
      assertEquals("Sensitivity CMS cap/floor pv to forward curve: Node " + loopnode, nodeTimesDisc[loopnode], pairPv.getFirst(), 1E-8);
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