@Override
public DecisionSchedule visitSwaptionCashFixedIbor(
final SwaptionCashFixedIbor swaption, final MulticurveProviderInterface multicurves) {
final double[] decisionTime = new double[] {swaption.getTimeToExpiry()};
final AnnuityPaymentFixed cfeIbor =
swaption.getUnderlyingSwap().getSecondLeg().accept(CFEC, multicurves);
final int nbCfeIbor = cfeIbor.getNumberOfPayments();
final int nbCpnFixed = swaption.getUnderlyingSwap().getFixedLeg().getNumberOfPayments();
final double[][] impactTime = new double[1][nbCpnFixed + nbCfeIbor];
final double[][] impactAmount = new double[1][nbCpnFixed + nbCfeIbor];
// Fixed leg
for (int loopcf = 0; loopcf < nbCpnFixed; loopcf++) {
impactTime[0][loopcf] =
swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentTime();
impactAmount[0][loopcf] =
swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction()
* swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getNotional();
}
// Ibor leg
for (int loopcf = 0; loopcf < nbCfeIbor; loopcf++) {
impactTime[0][nbCpnFixed + loopcf] = cfeIbor.getNthPayment(loopcf).getPaymentTime();
impactAmount[0][nbCpnFixed + loopcf] = cfeIbor.getNthPayment(loopcf).getAmount();
}
final DecisionSchedule decision = new DecisionSchedule(decisionTime, impactTime, impactAmount);
return decision;
}
@Test
/** Tests the curve sensitivity. */
public void presentValueCurveSensitivity() {
InterestRateCurveSensitivity pvsSwaption =
METHOD_HW_APPROXIMATION.presentValueCurveSensitivity(SWAPTION_PAYER_LONG, BUNDLE_HW);
pvsSwaption = pvsSwaption.cleaned();
final double deltaTolerancePrice = 1.0E+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-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});
DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
for (int loopcpn = 0;
loopcpn < SWAPTION_PAYER_LONG.getUnderlyingSwap().getSecondLeg().getNumberOfPayments();
loopcpn++) {
CouponIbor cpn =
(CouponIbor)
SWAPTION_PAYER_LONG.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
forwardTime.add(cpn.getFixingPeriodStartTime());
forwardTime.add(cpn.getFixingPeriodEndTime());
}
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]});
DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
discTime.add(SWAPTION_PAYER_LONG.getSettlementTime());
for (int loopcpn = 0;
loopcpn < SWAPTION_PAYER_LONG.getUnderlyingSwap().getSecondLeg().getNumberOfPayments();
loopcpn++) {
CouponIbor cpn =
(CouponIbor)
SWAPTION_PAYER_LONG.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
discTime.add(cpn.getPaymentTime());
}
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);
assertEquals(
"Sensitivity swaption pv to forward curve: Node " + loopnode,
nodeTimesDisc[loopnode],
pairPv.getFirst(),
1E-8);
assertEquals(
"Sensitivity finite difference method: node sensitivity",
sensiDiscMethod[loopnode],
pairPv.second,
deltaTolerancePrice);
}
}
