/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.swaption.method;
import static org.testng.AssertJUnit.assertEquals;
import java.util.ArrayList;
import java.util.List;
import java.util.Set;
import java.util.TreeSet;
import org.testng.annotations.Test;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponFixedDefinition;
import com.opengamma.analytics.financial.instrument.annuity.AnnuityDefinition;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexSwap;
import com.opengamma.analytics.financial.instrument.payment.PaymentDefinition;
import com.opengamma.analytics.financial.instrument.swap.SwapDefinition;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition;
import com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedIborDefinition;
import com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity;
import com.opengamma.analytics.financial.interestrate.PresentValueSABRExtrapolationCalculator;
import com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle;
import com.opengamma.analytics.financial.interestrate.TestsDataSetsSABR;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIbor;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionCashFixedIbor;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve;
import com.opengamma.analytics.math.interpolation.LinearInterpolator1D;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConventionFactory;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.tuple.DoublesPair;
/**
* Class to test the present value and present value rate sensitivity of the cash-settled European swaption in the SABR with extrapolation method.
* The SABR smile is extrapolated above a certain cut-off strike.
* @deprecated This class tests deprecated functionality.
*/
@Deprecated
public class SwaptionCashFixedIborSABRExtrapolationRightMethodTest {
// Swaption description
private static final ZonedDateTime EXPIRY_DATE = DateUtils.getUTCDate(2014, 3, 18);
private static final boolean IS_LONG = true;
private static final int SETTLEMENT_DAYS = 2;
// Swap 5Y description
private static final Currency CUR = Currency.EUR;
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final boolean IS_EOM = true;
private static final int ANNUITY_TENOR_YEAR = 5;
private static final Period ANNUITY_TENOR = Period.ofYears(ANNUITY_TENOR_YEAR);
private static final ZonedDateTime SETTLEMENT_DATE = ScheduleCalculator.getAdjustedDate(EXPIRY_DATE, SETTLEMENT_DAYS, CALENDAR);
private static final double NOTIONAL = 100000000; //100m
// Fixed leg: Semi-annual bond
private static final Period FIXED_PAYMENT_PERIOD = Period.ofMonths(6);
private static final DayCount FIXED_DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("30/360");
private static final double RATE = 0.04;
private static final boolean FIXED_IS_PAYER = true;
// Ibor leg: quarterly money
private static final Period INDEX_TENOR = Period.ofMonths(3);
private static final DayCount DAY_COUNT = DayCountFactory.INSTANCE.getDayCount("Actual/360");
private static final IborIndex IBOR_INDEX = new IborIndex(CUR, INDEX_TENOR, SETTLEMENT_DAYS, DAY_COUNT, BUSINESS_DAY, IS_EOM);
// Swaption construction
private static final IndexSwap CMS_INDEX = new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, IBOR_INDEX, ANNUITY_TENOR, CALENDAR);
private static final SwapFixedIborDefinition SWAP_DEFINITION_PAYER = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
private static final SwapFixedIborDefinition SWAP_DEFINITION_RECEIVER = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, RATE, !FIXED_IS_PAYER, CALENDAR);
private static final SwaptionCashFixedIborDefinition SWAPTION_DEFINITION_LONG_PAYER = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, SWAP_DEFINITION_PAYER, IS_LONG);
private static final SwaptionCashFixedIborDefinition SWAPTION_DEFINITION_LONG_RECEIVER = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, SWAP_DEFINITION_RECEIVER, IS_LONG);
private static final SwaptionCashFixedIborDefinition SWAPTION_DEFINITION_SHORT_PAYER = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, SWAP_DEFINITION_PAYER, !IS_LONG);
private static final SwaptionCashFixedIborDefinition SWAPTION_DEFINITION_SHORT_RECEIVER = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, SWAP_DEFINITION_RECEIVER, !IS_LONG);
// to derivatives
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2008, 8, 18);
private static final String FUNDING_CURVE_NAME = "Funding";
private static final String FORWARD_CURVE_NAME = "Forward";
private static final String[] CURVES_NAME = {FUNDING_CURVE_NAME, FORWARD_CURVE_NAME};
private static final SwaptionCashFixedIbor SWAPTION_LONG_PAYER = SWAPTION_DEFINITION_LONG_PAYER.toDerivative(REFERENCE_DATE, CURVES_NAME);
private static final SwaptionCashFixedIbor SWAPTION_LONG_RECEIVER = SWAPTION_DEFINITION_LONG_RECEIVER.toDerivative(REFERENCE_DATE, CURVES_NAME);
private static final SwaptionCashFixedIbor SWAPTION_SHORT_PAYER = SWAPTION_DEFINITION_SHORT_PAYER.toDerivative(REFERENCE_DATE, CURVES_NAME);
private static final SwaptionCashFixedIbor SWAPTION_SHORT_RECEIVER = SWAPTION_DEFINITION_SHORT_RECEIVER.toDerivative(REFERENCE_DATE, CURVES_NAME);
// Extrapolation
private static final double CUT_OFF_STRIKE = 0.08;
private static final double MU = 10.0;
private static final SwaptionCashFixedIborSABRExtrapolationRightMethod METHOD_EXTRAPOLATION = new SwaptionCashFixedIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
// Calculators
private static final PresentValueSABRExtrapolationCalculator PVC = new PresentValueSABRExtrapolationCalculator(CUT_OFF_STRIKE, MU);
/**
* Tests present value in the region where there is no extrapolation. Tests long/short parity.
*/
@Test
public void testPresentValueNoExtra() {
final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
final SwaptionCashFixedIborSABRExtrapolationRightMethod method = new SwaptionCashFixedIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
final double priceLongPayer = method.presentValue(SWAPTION_LONG_PAYER, sabrBundle);
final double priceShortPayer = method.presentValue(SWAPTION_SHORT_PAYER, sabrBundle);
final double priceLongReceiver = method.presentValue(SWAPTION_LONG_RECEIVER, sabrBundle);
final double priceShortReceiver = method.presentValue(SWAPTION_SHORT_RECEIVER, sabrBundle);
final double priceLongPayerNoExtra = SWAPTION_LONG_PAYER.accept(PVC, sabrBundle);
final double priceShortPayerNoExtra = SWAPTION_SHORT_PAYER.accept(PVC, sabrBundle);
final double priceLongReceiverNoExtra = SWAPTION_LONG_RECEIVER.accept(PVC, sabrBundle);
final double priceShortReceiverNoExtra = SWAPTION_SHORT_RECEIVER.accept(PVC, sabrBundle);
assertEquals("Swaption cash SABR extrapolation: below cut-off strike", priceLongPayerNoExtra, priceLongPayer, 1E-2);
assertEquals("Swaption cash SABR extrapolation: below cut-off strike", priceShortPayerNoExtra, priceShortPayer, 1E-2);
assertEquals("Swaption cash SABR extrapolation: below cut-off strike", priceLongReceiverNoExtra, priceLongReceiver, 1E-2);
assertEquals("Swaption cash SABR extrapolation: below cut-off strike", priceShortReceiverNoExtra, priceShortReceiver, 1E-2);
assertEquals("Swaption cash SABR extrapolation: below cut-off strike long/short parity", priceLongPayer, -priceShortPayer, 1E-2);
assertEquals("Swaption cash SABR extrapolation: below cut-off strike long/short parity", priceLongReceiver, -priceShortReceiver, 1E-2);
}
/**
* Tests present value in the region where there is extrapolation. Test a hard-coded value. Tests long/short parity. Test payer/receiver/swap parity.
*/
@Test
public void testPresentValueExtra() {
final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
final double highStrike = 0.10;
final SwapFixedIborDefinition swapDefinitionPayerHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, FIXED_IS_PAYER, CALENDAR);
final SwapFixedIborDefinition swapDefinitionReceiverHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, !FIXED_IS_PAYER, CALENDAR);
final SwaptionCashFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, IS_LONG);
final SwaptionCashFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, !IS_LONG);
final SwaptionCashFixedIborDefinition swaptionDefinitionLongReceiverHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionReceiverHighStrike, IS_LONG);
final SwaptionCashFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
final SwaptionCashFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
final SwaptionCashFixedIbor swaptionLongReceiverHighStrike = swaptionDefinitionLongReceiverHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
final SwaptionCashFixedIborSABRExtrapolationRightMethod method = new SwaptionCashFixedIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
final double priceLongPayer = method.presentValue(swaptionLongPayerHighStrike, sabrBundle);
final double priceShortPayer = method.presentValue(swaptionShortPayerHighStrike, sabrBundle);
final double priceLongReceiver = method.presentValue(swaptionLongReceiverHighStrike, sabrBundle);
final double priceLongPayerExpected = 557829.033; // Value from previous run
final double priceLongReceiverExpected = 20759354.082; // Value from previous run
assertEquals("Swaption cash SABR extrapolation: fixed value", priceLongPayerExpected, priceLongPayer, 1E-2);
assertEquals("Swaption cash SABR extrapolation: fixed value", priceLongReceiverExpected, priceLongReceiver, 1E-2);
assertEquals("Swaption cash SABR extrapolation: long/short parity", priceLongPayer, -priceShortPayer, 1E-2);
}
@Test
/**
* Test the present value sensitivity to rate for a swaption with strike above the cut-off strike.
*/
public void presentValueCurveSensitivityExtra() {
final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
final double highStrike = 0.10;
final SwapFixedIborDefinition swapDefinitionPayerHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, FIXED_IS_PAYER, CALENDAR);
final SwaptionCashFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, IS_LONG);
final SwaptionCashFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, !IS_LONG);
final SwaptionCashFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
final SwaptionCashFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
final SwaptionCashFixedIborSABRExtrapolationRightMethod methodExtra = new SwaptionCashFixedIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
// Swaption sensitivity
InterestRateCurveSensitivity pvsLongPayerExtra = methodExtra.presentValueSensitivity(swaptionLongPayerHighStrike, sabrBundle);
final InterestRateCurveSensitivity pvsShortPayerExtra = methodExtra.presentValueSensitivity(swaptionShortPayerHighStrike, sabrBundle);
// Long/short parity
final InterestRateCurveSensitivity pvsShortPayer_1 = pvsShortPayerExtra.multipliedBy(-1);
assertEquals(pvsLongPayerExtra.getSensitivities(), pvsShortPayer_1.getSensitivities());
// Present value sensitivity comparison with finite difference.
final double deltaTolerance = 5.0E+4;
//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-5;
pvsLongPayerExtra = pvsLongPayerExtra.cleaned();
final double pv = methodExtra.presentValue(swaptionLongPayerHighStrike, sabrBundle);
// 1. Forward curve sensitivity
final String bumpedCurveName = "Bumped Curve";
final String[] bumpedCurvesForwardName = {FUNDING_CURVE_NAME, bumpedCurveName};
final SwaptionCashFixedIbor swaptionBumpedForward = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, bumpedCurvesForwardName);
final YieldAndDiscountCurve curveForward = curves.getCurve(FORWARD_CURVE_NAME);
final Set<Double> timeForwardSet = new TreeSet<>();
for (final Payment pay : swaptionLongPayerHighStrike.getUnderlyingSwap().getSecondLeg().getPayments()) {
final CouponIbor coupon = (CouponIbor) pay;
timeForwardSet.add(coupon.getFixingPeriodStartTime());
timeForwardSet.add(coupon.getFixingPeriodEndTime());
}
final int nbForwardDate = timeForwardSet.size();
final List<Double> timeForwardList = new ArrayList<>(timeForwardSet);
Double[] timeForwardArray = new Double[nbForwardDate];
timeForwardArray = timeForwardList.toArray(timeForwardArray);
final double[] yieldsForward = new double[nbForwardDate + 1];
final double[] nodeTimesForward = new double[nbForwardDate + 1];
yieldsForward[0] = curveForward.getInterestRate(0.0);
for (int i = 0; i < nbForwardDate; i++) {
nodeTimesForward[i + 1] = timeForwardArray[i];
yieldsForward[i + 1] = curveForward.getInterestRate(nodeTimesForward[i + 1]);
}
final YieldAndDiscountCurve tempCurveForward = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesForward, yieldsForward, new LinearInterpolator1D()));
final List<DoublesPair> tempForward = pvsLongPayerExtra.getSensitivities().get(FORWARD_CURVE_NAME);
final double[] resFwd = new double[nbForwardDate];
for (int i = 0; i < nbForwardDate; i++) {
final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
curvesBumpedForward.addAll(curves);
curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
final SABRInterestRateDataBundle sabrBundleBumped = new SABRInterestRateDataBundle(sabrParameter, curvesBumpedForward);
final double bumpedpv = methodExtra.presentValue(swaptionBumpedForward, sabrBundleBumped);
resFwd[i] = (bumpedpv - pv) / deltaShift;
final DoublesPair pair = tempForward.get(i);
assertEquals("Sensitivity to forward curve: Node " + i, nodeTimesForward[i + 1], pair.getFirst(), 1E-8);
assertEquals("Sensitivity to forward curve: Node " + i, resFwd[i], pair.getSecond(), deltaTolerance);
}
// 2. Funding curve sensitivity
final String[] bumpedCurvesFundingName = {bumpedCurveName, FORWARD_CURVE_NAME};
final SwaptionCashFixedIbor swaptionBumpedFunding = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, bumpedCurvesFundingName);
final SwapDefinition underlyingSwap = swaptionDefinitionLongPayerHighStrike.getUnderlyingSwap();
AnnuityDefinition<? extends PaymentDefinition> floatLeg;
if (underlyingSwap.getFirstLeg() instanceof AnnuityCouponFixedDefinition) {
floatLeg = underlyingSwap.getSecondLeg();
} else {
floatLeg = underlyingSwap.getFirstLeg();
}
final int nbPayDate = floatLeg.getPayments().length;
final YieldAndDiscountCurve curveFunding = curves.getCurve(FUNDING_CURVE_NAME);
final double[] yieldsFunding = new double[nbPayDate + 2];
final double[] nodeTimesFunding = new double[nbPayDate + 2];
yieldsFunding[0] = curveFunding.getInterestRate(0.0);
nodeTimesFunding[1] = swaptionLongPayerHighStrike.getSettlementTime();
yieldsFunding[1] = curveFunding.getInterestRate(nodeTimesFunding[1]);
for (int i = 0; i < nbPayDate; i++) {
nodeTimesFunding[i + 2] = swaptionLongPayerHighStrike.getUnderlyingSwap().getSecondLeg().getNthPayment(i).getPaymentTime();
yieldsFunding[i + 2] = curveFunding.getInterestRate(nodeTimesFunding[i + 2]);
}
final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
final List<DoublesPair> tempFunding = pvsLongPayerExtra.getSensitivities().get(FUNDING_CURVE_NAME);
final double[] resDsc = new double[nbPayDate];
for (int i = 0; i < nbPayDate; i++) {
final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[i + 1], deltaShift);
final YieldCurveBundle curvesBumped = new YieldCurveBundle();
curvesBumped.addAll(curves);
curvesBumped.setCurve("Bumped Curve", bumpedCurve);
final SABRInterestRateDataBundle sabrBundleBumped = new SABRInterestRateDataBundle(sabrParameter, curvesBumped);
final double bumpedpv = methodExtra.presentValue(swaptionBumpedFunding, sabrBundleBumped);
resDsc[i] = (bumpedpv - pv) / deltaShift;
final DoublesPair pair = tempFunding.get(i);
assertEquals("Sensitivity to discounting curve: Node " + i, nodeTimesFunding[i + 1], pair.getFirst(), 1E-8);
assertEquals("Sensitivity to discounting curve: Node " + i, resDsc[i], pair.getSecond(), deltaTolerance);
}
}
@Test
/**
* Test the present value sensitivity to SABR parameters for a swaption with strike above the cut-off strike.
*/
public void testPresentValueSABRSensitivity() {
final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
final double highStrike = 0.10;
final SwapFixedIborDefinition swapDefinitionPayerHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, FIXED_IS_PAYER, CALENDAR);
final SwaptionCashFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, IS_LONG);
final SwaptionCashFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, !IS_LONG);
final SwaptionCashFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
final SwaptionCashFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
// SwaptionCashFixedIborSABRExtrapolationRightMethod methodExtra = new SwaptionCashFixedIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
// Swaption sensitivity
final PresentValueSABRSensitivityDataBundle pvsLongPayer = METHOD_EXTRAPOLATION.presentValueSABRSensitivity(swaptionLongPayerHighStrike, sabrBundle);
PresentValueSABRSensitivityDataBundle pvsShortPayer = METHOD_EXTRAPOLATION.presentValueSABRSensitivity(swaptionShortPayerHighStrike, sabrBundle);
// Long/short parity
pvsShortPayer = pvsShortPayer.multiplyBy(-1.0);
assertEquals(pvsLongPayer.getAlpha(), pvsShortPayer.getAlpha());
// SABR sensitivity vs finite difference
final double pvLongPayer = METHOD_EXTRAPOLATION.presentValue(swaptionLongPayerHighStrike, sabrBundle);
final DoublesPair expectedExpiryTenor = new DoublesPair(swaptionLongPayerHighStrike.getTimeToExpiry(), ANNUITY_TENOR_YEAR);
final double shift = 0.000005;
// Alpha sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterAlphaBumped = TestsDataSetsSABR.createSABR1AlphaBumped(shift);
final SABRInterestRateDataBundle sabrBundleAlphaBumped = new SABRInterestRateDataBundle(sabrParameterAlphaBumped, curves);
final double pvLongPayerAlphaBumped = METHOD_EXTRAPOLATION.presentValue(swaptionLongPayerHighStrike, sabrBundleAlphaBumped);
final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pvLongPayer) / shift;
assertEquals("Number of alpha sensitivity", pvsLongPayer.getAlpha().getMap().keySet().size(), 1);
assertEquals("Alpha sensitivity expiry/tenor", pvsLongPayer.getAlpha().getMap().keySet().contains(expectedExpiryTenor), true);
assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsLongPayer.getAlpha().getMap().get(expectedExpiryTenor), 2.0E+3);
// Rho sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterRhoBumped = TestsDataSetsSABR.createSABR1RhoBumped(shift);
final SABRInterestRateDataBundle sabrBundleRhoBumped = new SABRInterestRateDataBundle(sabrParameterRhoBumped, curves);
final double pvLongPayerRhoBumped = METHOD_EXTRAPOLATION.presentValue(swaptionLongPayerHighStrike, sabrBundleRhoBumped);
final double expectedRhoSensi = (pvLongPayerRhoBumped - pvLongPayer) / shift;
assertEquals("Number of rho sensitivity", pvsLongPayer.getRho().getMap().keySet().size(), 1);
assertEquals("Rho sensitivity expiry/tenor", pvsLongPayer.getRho().getMap().keySet().contains(expectedExpiryTenor), true);
assertEquals("Rho sensitivity value", expectedRhoSensi, pvsLongPayer.getRho().getMap().get(expectedExpiryTenor), 1.0E+0);
// Alpha sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterNuBumped = TestsDataSetsSABR.createSABR1NuBumped(shift);
final SABRInterestRateDataBundle sabrBundleNuBumped = new SABRInterestRateDataBundle(sabrParameterNuBumped, curves);
final double pvLongPayerNuBumped = METHOD_EXTRAPOLATION.presentValue(swaptionLongPayerHighStrike, sabrBundleNuBumped);
final double expectedNuSensi = (pvLongPayerNuBumped - pvLongPayer) / shift;
assertEquals("Number of nu sensitivity", pvsLongPayer.getNu().getMap().keySet().size(), 1);
assertEquals("Nu sensitivity expiry/tenor", pvsLongPayer.getNu().getMap().keySet().contains(expectedExpiryTenor), true);
assertEquals("Nu sensitivity value", expectedNuSensi, pvsLongPayer.getNu().getMap().get(expectedExpiryTenor), 5.0E+1);
}
}