@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 /** Tests the Black volatility sensitivity (vega). */ public void presentValueBlackSensitivityMethodVsCalculator() { final PresentValueBlackSwaptionSensitivity pvbsMethod = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES); final PresentValueBlackSwaptionSensitivity pvbsCalculator = SWAPTION_LONG_REC.accept(PVBSSBSC, BLACK_MULTICURVES); assertEquals("Swaption Black method: present value", pvbsMethod, pvbsCalculator); }
@Test /** Tests the Black volatility sensitivity (vega). */ public void presentValueBlackSensitivity() { final double shift = 1.0E-6; final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES); final BlackFlatSwaptionParameters BlackP = BlackDataSets.createBlackSwaptionEUR6Shift(shift); final BlackSwaptionFlatProviderDiscount curvesBlackP = new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackP); final MultipleCurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP); final BlackFlatSwaptionParameters BlackM = BlackDataSets.createBlackSwaptionEUR6Shift(-shift); final BlackSwaptionFlatProviderDiscount curvesBlackM = new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackM); final MultipleCurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM); final DoublesPair point = new DoublesPair(SWAPTION_LONG_REC.getTimeToExpiry(), SWAPTION_LONG_REC.getMaturityTime()); assertEquals( "Swaption Black method: present value volatility sensitivity", (pvP.getAmount(EUR) - pvM.getAmount(EUR)) / (2 * shift), pvbvs.getSensitivity().getMap().get(point), TOLERANCE_PV_DELTA); }