@Test
/** Tests the Black volatility sensitivity (vega). */
public void presentValueBlackNodeSensitivity() {
final double shift = 1.0E-6;
final PresentValueBlackSwaptionSensitivity pvbvs =
METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
final PresentValueBlackSwaptionSensitivity pvbns =
BSSNC.calculateNodeSensitivities(pvbvs, BLACK);
final double[] x =
((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getXDataAsPrimitive();
final double[] y =
((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getYDataAsPrimitive();
for (int loopindex = 0; loopindex < x.length; loopindex++) {
final BlackFlatSwaptionParameters BlackP =
BlackDataSets.createBlackSwaptionEUR6Shift(loopindex, shift);
final BlackSwaptionFlatProviderDiscount curvesBlackP =
new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackP);
final MultipleCurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
final BlackFlatSwaptionParameters BlackM =
BlackDataSets.createBlackSwaptionEUR6Shift(loopindex, -shift);
final BlackSwaptionFlatProviderDiscount curvesBlackM =
new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackM);
final MultipleCurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
assertEquals(
"Swaption Black method: present value volatility sensitivity",
(pvP.getAmount(EUR) - pvM.getAmount(EUR)) / (2 * shift),
pvbns.getSensitivity().getMap().get(new DoublesPair(x[loopindex], y[loopindex])),
TOLERANCE_PV_DELTA);
}
}
@Test
public void presentValue() {
final MultipleCurrencyAmount pvMethod =
METHOD_BLACK.presentValue(SWAPTION_LONG_REC, BLACK_MULTICURVES);
final double forward = SWAPTION_LONG_REC.getUnderlyingSwap().accept(PRDC, MULTICURVES);
final double pvbp =
METHOD_SWAP.presentValueBasisPoint(SWAPTION_LONG_REC.getUnderlyingSwap(), MULTICURVES);
final double volatility =
BLACK.getVolatility(
SWAPTION_LONG_REC.getTimeToExpiry(), SWAPTION_LONG_REC.getMaturityTime());
final BlackPriceFunction blackFunction = new BlackPriceFunction();
final BlackFunctionData dataBlack = new BlackFunctionData(forward, pvbp, volatility);
final Function1D<BlackFunctionData, Double> func =
blackFunction.getPriceFunction(SWAPTION_LONG_REC);
final double pvExpected = func.evaluate(dataBlack);
assertEquals(
"Swaption Black method: present value", pvExpected, pvMethod.getAmount(EUR), TOLERANCE_PV);
}
