@Test
/** Tests the Hull-White parameters sensitivity. */
public void hullWhiteSensitivity() {
double[] hwSensitivity =
METHOD_HW_APPROXIMATION.presentValueHullWhiteSensitivity(SWAPTION_PAYER_LONG, BUNDLE_HW);
int nbVolatility = PARAMETERS_HW.getVolatility().length;
double shiftVol = 1.0E-6;
double[] volatilityBumped = new double[nbVolatility];
System.arraycopy(PARAMETERS_HW.getVolatility(), 0, volatilityBumped, 0, nbVolatility);
double[] volatilityTime = new double[nbVolatility - 1];
System.arraycopy(PARAMETERS_HW.getVolatilityTime(), 1, volatilityTime, 0, nbVolatility - 1);
double[] pvBumpedPlus = new double[nbVolatility];
double[] pvBumpedMinus = new double[nbVolatility];
HullWhiteOneFactorPiecewiseConstantParameters parametersBumped =
new HullWhiteOneFactorPiecewiseConstantParameters(
PARAMETERS_HW.getMeanReversion(), volatilityBumped, volatilityTime);
HullWhiteOneFactorPiecewiseConstantDataBundle bundleBumped =
new HullWhiteOneFactorPiecewiseConstantDataBundle(parametersBumped, CURVES);
double[] hwSensitivityExpected = new double[nbVolatility];
for (int loopvol = 0; loopvol < nbVolatility; loopvol++) {
volatilityBumped[loopvol] += shiftVol;
parametersBumped.setVolatility(volatilityBumped);
pvBumpedPlus[loopvol] =
METHOD_HW_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, bundleBumped).getAmount();
volatilityBumped[loopvol] -= 2 * shiftVol;
parametersBumped.setVolatility(volatilityBumped);
pvBumpedMinus[loopvol] =
METHOD_HW_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, bundleBumped).getAmount();
hwSensitivityExpected[loopvol] =
(pvBumpedPlus[loopvol] - pvBumpedMinus[loopvol]) / (2 * shiftVol);
assertEquals(
"Swaption - Hull-White sensitivity adjoint: derivative "
+ loopvol
+ " - difference:"
+ (hwSensitivityExpected[loopvol] - hwSensitivity[loopvol]),
hwSensitivityExpected[loopvol],
hwSensitivity[loopvol],
2.0E+5);
volatilityBumped[loopvol] = PARAMETERS_HW.getVolatility()[loopvol];
}
}
@Test
/** Tests the Hull-White parameters sensitivity for the explicit formula. */
public void presentValueHullWhiteSensitivityExplicit() {
final double[] hwSensitivity =
METHOD_HW.presentValueHullWhiteSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
final int nbVolatility = HW_PARAMETERS.getVolatility().length;
final double shiftVol = 1.0E-6;
final double[] volatilityBumped = new double[nbVolatility];
System.arraycopy(HW_PARAMETERS.getVolatility(), 0, volatilityBumped, 0, nbVolatility);
final double[] volatilityTime = new double[nbVolatility - 1];
System.arraycopy(HW_PARAMETERS.getVolatilityTime(), 1, volatilityTime, 0, nbVolatility - 1);
final double[] pvBumpedPlus = new double[nbVolatility];
final double[] pvBumpedMinus = new double[nbVolatility];
final HullWhiteOneFactorPiecewiseConstantParameters parametersBumped =
new HullWhiteOneFactorPiecewiseConstantParameters(
HW_PARAMETERS.getMeanReversion(), volatilityBumped, volatilityTime);
final HullWhiteOneFactorProviderDiscount bundleBumped =
new HullWhiteOneFactorProviderDiscount(MULTICURVES, parametersBumped, EUR);
for (int loopvol = 0; loopvol < nbVolatility; loopvol++) {
volatilityBumped[loopvol] += shiftVol;
parametersBumped.setVolatility(volatilityBumped);
pvBumpedPlus[loopvol] =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, bundleBumped).getAmount(EUR);
volatilityBumped[loopvol] -= 2 * shiftVol;
parametersBumped.setVolatility(volatilityBumped);
pvBumpedMinus[loopvol] =
METHOD_HW.presentValue(SWAPTION_LONG_PAYER, bundleBumped).getAmount(EUR);
assertEquals(
"Swaption - Hull-White sensitivity adjoint: derivative "
+ loopvol
+ " - difference:"
+ ((pvBumpedPlus[loopvol] - pvBumpedMinus[loopvol]) / (2 * shiftVol)
- hwSensitivity[loopvol]),
(pvBumpedPlus[loopvol] - pvBumpedMinus[loopvol]) / (2 * shiftVol),
hwSensitivity[loopvol],
TOLERANCE_PV_DELTA);
volatilityBumped[loopvol] = HW_PARAMETERS.getVolatility()[loopvol];
}
}
