/**
* 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.Map;
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.AnnuityCouponIborDefinition;
import com.opengamma.analytics.financial.instrument.annuity.AnnuityDefinition;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.payment.PaymentDefinition;
import com.opengamma.analytics.financial.instrument.payment.PaymentFixedDefinition;
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.ParRateCalculator;
import com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivityCalculator;
import com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivitySABRCalculator;
import com.opengamma.analytics.financial.interestrate.PresentValueSABRCalculator;
import com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle;
import com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivitySABRCalculator;
import com.opengamma.analytics.financial.interestrate.TestsDataSetsSABR;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIbor;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed;
import com.opengamma.analytics.financial.interestrate.swap.derivative.SwapFixedCoupon;
import com.opengamma.analytics.financial.interestrate.swap.method.SwapFixedCouponDiscountingMethod;
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.model.option.pricing.analytic.formula.BlackFunctionData;
import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackPriceFunction;
import com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganAlternativeVolatilityFunction;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve;
import com.opengamma.analytics.math.function.Function1D;
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 model.
* @deprecated This class tests deprecated functionality.
*/
@Deprecated
public class SwaptionCashFixedIborSABRMethodTest {
// 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 = 0.0325;
private static final boolean FIXED_IS_PAYER = true;
private static final AnnuityCouponFixedDefinition FIXED_ANNUITY_PAYER = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, FIXED_PAYMENT_PERIOD, CALENDAR, FIXED_DAY_COUNT,
BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, FIXED_IS_PAYER);
private static final AnnuityCouponFixedDefinition FIXED_ANNUITY_RECEIVER = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, FIXED_PAYMENT_PERIOD, CALENDAR, FIXED_DAY_COUNT,
BUSINESS_DAY, IS_EOM, NOTIONAL, RATE, !FIXED_IS_PAYER);
// 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 INDEX = new IborIndex(CUR, INDEX_TENOR, SETTLEMENT_DAYS, DAY_COUNT, BUSINESS_DAY, IS_EOM);
private static final AnnuityCouponIborDefinition IBOR_ANNUITY_RECEIVER = AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX, !FIXED_IS_PAYER, CALENDAR);
private static final AnnuityCouponIborDefinition IBOR_ANNUITY_PAYER = AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX, FIXED_IS_PAYER, CALENDAR);
// Swaption construction: All combinations
private static final SwapFixedIborDefinition SWAP_DEFINITION_PAYER = new SwapFixedIborDefinition(FIXED_ANNUITY_PAYER, IBOR_ANNUITY_RECEIVER);
private static final SwapFixedIborDefinition SWAP_DEFINITION_RECEIVER = new SwapFixedIborDefinition(FIXED_ANNUITY_RECEIVER, IBOR_ANNUITY_PAYER);
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 SwapFixedCoupon<Coupon> SWAP_PAYER = SWAP_DEFINITION_PAYER.toDerivative(REFERENCE_DATE, CURVES_NAME);
private static final YieldCurveBundle CURVES = TestsDataSetsSABR.createCurves1();
private static final SABRInterestRateParameters SABR_PARAMETER = TestsDataSetsSABR.createSABR1();
private static final SABRInterestRateDataBundle SABR_BUNDLE = new SABRInterestRateDataBundle(SABR_PARAMETER, CURVES);
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);
// Calculators
private static final PresentValueSABRCalculator PVC = PresentValueSABRCalculator.getInstance();
private static final ParRateCalculator PRC = ParRateCalculator.getInstance();
private static final PresentValueCurveSensitivityCalculator PVSC = PresentValueCurveSensitivityCalculator.getInstance();
private static final PresentValueCurveSensitivitySABRCalculator PVCSC_SABR = PresentValueCurveSensitivitySABRCalculator.getInstance();
private static final PresentValueSABRSensitivitySABRCalculator PVSSC_SABR = PresentValueSABRSensitivitySABRCalculator.getInstance();
private static final SwaptionCashFixedIborSABRMethod METHOD = SwaptionCashFixedIborSABRMethod.getInstance();
private static final SwapFixedCouponDiscountingMethod METHOD_SWAP = SwapFixedCouponDiscountingMethod.getInstance();
// Pricing functions
private static final BlackPriceFunction BLACK_FUNCTION = new BlackPriceFunction();
@Test
public void testPresentValueSABRParameters() {
final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
// Swaption pricing.
final double priceLongPayer = SWAPTION_LONG_PAYER.accept(PVC, sabrBundle);
final double priceShortPayer = SWAPTION_SHORT_PAYER.accept(PVC, sabrBundle);
final double priceLongReceiver = SWAPTION_LONG_RECEIVER.accept(PVC, sabrBundle);
final double priceShortReceiver = SWAPTION_SHORT_RECEIVER.accept(PVC, sabrBundle);
// From previous run
final double expectedPriceLongPayer = 5107666.869;
assertEquals(expectedPriceLongPayer, priceLongPayer, 1E-2);
final double forward = SWAP_PAYER.accept(PRC, curves);
final double pvbp = METHOD_SWAP.getAnnuityCash(SWAP_PAYER, forward);
final double maturity = SWAP_PAYER.getFirstLeg().getNthPayment(SWAP_PAYER.getFirstLeg().getNumberOfPayments() - 1).getPaymentTime() - SWAPTION_LONG_PAYER.getSettlementTime();
assertEquals(maturity, ANNUITY_TENOR_YEAR, 1E-2);
final double volatility = sabrParameter.getVolatility(SWAPTION_LONG_PAYER.getTimeToExpiry(), maturity, RATE, forward);
final BlackFunctionData data = new BlackFunctionData(forward, 1.0, volatility);
final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(SWAPTION_LONG_PAYER);
final double df = curves.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(SWAPTION_LONG_PAYER.getSettlementTime());
final double expectedPrice = df * pvbp * func.evaluate(data);
assertEquals(expectedPrice, priceLongPayer, 1E-2);
// Long/Short parity
assertEquals(priceLongPayer, -priceShortPayer, 1E-2);
assertEquals(priceLongReceiver, -priceShortReceiver, 1E-2);
// No payer/Receiver parity for cash-settled swaptions.
}
@Test
/**
* Test the present value calculator with an array of derivative: one for the premium payment and one for the actual swaption.
*/
//REVIEW: the method that this is testing (one that took an array of InstrumentDerivative has gone - leaving this test in for now
public void presentValueWithPremium() {
final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
final double expectedPriceLongPayer = 5107666.869;
final double premiumAmount = expectedPriceLongPayer / curves.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(SWAPTION_LONG_PAYER.getSettlementTime());
final PaymentFixedDefinition premiumDefinition = new PaymentFixedDefinition(CUR, SETTLEMENT_DATE, -premiumAmount);
final PaymentFixed premium = premiumDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
final double pvPremium = premium.accept(PVC, sabrBundle);
final double swaptionPV = SWAPTION_LONG_PAYER.accept(PVC, sabrBundle);
assertEquals("swaption present value with premium", -expectedPriceLongPayer, pvPremium, 1.0E-2);
assertEquals("swaption present value with premium", expectedPriceLongPayer, swaptionPV, 1.0E-2);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNoSABRHaganSensi() {
final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1(new SABRHaganAlternativeVolatilityFunction());
final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
SWAPTION_LONG_PAYER.accept(PVCSC_SABR, sabrBundle);
}
@Test
public void testPresentValueSensitivitySABRParameters() {
final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
final SwaptionCashFixedIborSABRMethod method = SwaptionCashFixedIborSABRMethod.getInstance();
// Swaption sensitivity
final InterestRateCurveSensitivity pvsLongPayer = method.presentValueSensitivity(SWAPTION_LONG_PAYER, sabrBundle);
final InterestRateCurveSensitivity pvsShortPayer = method.presentValueSensitivity(SWAPTION_SHORT_PAYER, sabrBundle);
// Long/short parity
final InterestRateCurveSensitivity pvsShortPayer_1 = pvsShortPayer.multipliedBy(-1);
assertEquals(pvsLongPayer.getSensitivities(), pvsShortPayer_1.getSensitivities());
// PresentValueCalculator
final Map<String, List<DoublesPair>> pvscLongPayer = SWAPTION_LONG_PAYER.accept(PVCSC_SABR, sabrBundle);
assertEquals(pvsLongPayer.getSensitivities(), pvscLongPayer);
// Present value sensitivity comparison with finite difference.
final double deltaTolerance = 1E+2; //Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move.
final double deltaShift = 1e-9;
InterestRateCurveSensitivity pvsSwapPayer = new InterestRateCurveSensitivity(SWAP_PAYER.accept(PVSC, sabrBundle));
pvsSwapPayer = pvsSwapPayer.cleaned();
InterestRateCurveSensitivity sensi = new InterestRateCurveSensitivity(pvscLongPayer);
sensi = sensi.cleaned();
final double pv = SWAPTION_LONG_PAYER.accept(PVC, sabrBundle);
// 1. Forward curve sensitivity
final String bumpedCurveName = "Bumped Curve";
final String[] bumpedCurvesForwardName = {FUNDING_CURVE_NAME, bumpedCurveName };
final SwaptionCashFixedIbor swaptionBumpedForward = SWAPTION_DEFINITION_LONG_PAYER.toDerivative(REFERENCE_DATE, bumpedCurvesForwardName);
final YieldAndDiscountCurve curveForward = curves.getCurve(FORWARD_CURVE_NAME);
final Set<Double> timeForwardSet = new TreeSet<>();
for (final Payment pay : SWAPTION_LONG_PAYER.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 = sensi.getSensitivities().get(FORWARD_CURVE_NAME);
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 = swaptionBumpedForward.accept(PVC, sabrBundleBumped);
final double res = (bumpedpv - pv) / deltaShift;
final DoublesPair pair = tempForward.get(i);
assertEquals("Node " + i, nodeTimesForward[i + 1], pair.getFirst(), 1E-8);
assertEquals("Node " + i, res, pair.getSecond(), deltaTolerance);
}
// 2. Funding curve sensitivity
final String[] bumpedCurvesFundingName = {bumpedCurveName, FORWARD_CURVE_NAME };
final SwaptionCashFixedIbor swaptionBumpedFunding = SWAPTION_DEFINITION_LONG_PAYER.toDerivative(REFERENCE_DATE, bumpedCurvesFundingName);
final SwapDefinition underlyingSwap = SWAPTION_DEFINITION_LONG_PAYER.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] = SWAPTION_LONG_PAYER.getSettlementTime();
yieldsFunding[1] = curveFunding.getInterestRate(nodeTimesFunding[1]);
for (int i = 0; i < nbPayDate; i++) {
nodeTimesFunding[i + 2] = SWAPTION_LONG_PAYER.getUnderlyingSwap().getSecondLeg().getNthPayment(i).getPaymentTime();
yieldsFunding[i + 2] = curveFunding.getInterestRate(nodeTimesFunding[i + 1]);
}
final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
final List<DoublesPair> tempFunding = sensi.getSensitivities().get(FUNDING_CURVE_NAME);
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 = swaptionBumpedFunding.accept(PVC, sabrBundleBumped);
final double res = (bumpedpv - pv) / deltaShift;
final DoublesPair pair = tempFunding.get(i);
assertEquals("Node " + i, nodeTimesFunding[i + 1], pair.getFirst(), 1E-8);
assertEquals("Node " + i, res, pair.getSecond(), deltaTolerance);
}
}
@Test
public void testPresentValueSABRSensitivitySABRParameters() {
// Swaption sensitivity
final PresentValueSABRSensitivityDataBundle pvsLongPayer = METHOD.presentValueSABRSensitivity(SWAPTION_LONG_PAYER, SABR_BUNDLE);
PresentValueSABRSensitivityDataBundle pvsShortPayer = METHOD.presentValueSABRSensitivity(SWAPTION_SHORT_PAYER, SABR_BUNDLE);
// Long/short parity
pvsShortPayer = pvsShortPayer.multiplyBy(-1.0);
assertEquals(pvsLongPayer.getAlpha(), pvsShortPayer.getAlpha());
// SABR sensitivity vs finite difference
final double pvLongPayer = METHOD.presentValue(SWAPTION_LONG_PAYER, SABR_BUNDLE).getAmount();
final double shift = 0.0001;
final DoublesPair expectedExpiryTenor = new DoublesPair(SWAPTION_LONG_PAYER.getTimeToExpiry(), ANNUITY_TENOR_YEAR);
// Alpha sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterAlphaBumped = TestsDataSetsSABR.createSABR1AlphaBumped();
final SABRInterestRateDataBundle sabrBundleAlphaBumped = new SABRInterestRateDataBundle(sabrParameterAlphaBumped, CURVES);
final double pvLongPayerAlphaBumped = METHOD.presentValue(SWAPTION_LONG_PAYER, sabrBundleAlphaBumped).getAmount();
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", pvsLongPayer.getAlpha().getMap().get(expectedExpiryTenor), expectedAlphaSensi, 1E+4);
// Rho sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterRhoBumped = TestsDataSetsSABR.createSABR1RhoBumped();
final SABRInterestRateDataBundle sabrBundleRhoBumped = new SABRInterestRateDataBundle(sabrParameterRhoBumped, CURVES);
final double pvLongPayerRhoBumped = METHOD.presentValue(SWAPTION_LONG_PAYER, sabrBundleRhoBumped).getAmount();
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", pvsLongPayer.getRho().getMap().get(expectedExpiryTenor), expectedRhoSensi, 1E+3);
// Alpha sensitivity vs finite difference computation
final SABRInterestRateParameters sabrParameterNuBumped = TestsDataSetsSABR.createSABR1NuBumped();
final SABRInterestRateDataBundle sabrBundleNuBumped = new SABRInterestRateDataBundle(sabrParameterNuBumped, CURVES);
final double pvLongPayerNuBumped = METHOD.presentValue(SWAPTION_LONG_PAYER, sabrBundleNuBumped).getAmount();
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", pvsLongPayer.getNu().getMap().get(expectedExpiryTenor), expectedNuSensi, 1E+3);
}
@Test
/**
* Tests the present value SABR parameters sensitivity: Method vs Calculator.
*/
public void presentValueSABRSensitivityMethodVsCalculator() {
final PresentValueSABRSensitivityDataBundle pvssMethod = METHOD.presentValueSABRSensitivity(SWAPTION_LONG_PAYER, SABR_BUNDLE);
final PresentValueSABRSensitivityDataBundle pvssCalculator = SWAPTION_LONG_PAYER.accept(PVSSC_SABR, SABR_BUNDLE);
assertEquals("Swaption Cash SABR: Present value SABR sensitivity: method vs calculator", pvssMethod, pvssCalculator);
}
@Test(enabled = false)
/**
* Test of performance. In normal testing, "enabled = false".
*/
public void testPerformance() {
long startTime, endTime;
final int nbTest = 1000;
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
SWAPTION_LONG_PAYER.accept(PVC, SABR_BUNDLE);
SWAPTION_LONG_PAYER.accept(PVCSC_SABR, SABR_BUNDLE);
SWAPTION_LONG_PAYER.accept(PVCSC_SABR, SABR_BUNDLE);
}
endTime = System.currentTimeMillis();
System.out.println(nbTest + " cash swaptions SABR (price+delta+vega): " + (endTime - startTime) + " ms");
// Performance note: price+delta+vega: 15-Jun-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 190 ms for 1000 swaptions.
}
}