@Test
 /**
  * Test the present value sensitivity to rate for a swaption with strike above the cut-off strike.
  */
 public void testPresentValueSensitivityExtra() {
   final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
   final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
   final SABRInterestRateDataBundle sabrBundle =
       new SABRInterestRateDataBundle(sabrParameter, curves);
   final double highStrike = 0.10;
   final SwapFixedIborDefinition swapDefinitionPayerHighStrike =
       SwapFixedIborDefinition.from(
           SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, FIXED_IS_PAYER);
   final SwaptionCashFixedIborDefinition swaptionDefinitionLongPayerHighStrike =
       SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, IS_LONG);
   final SwaptionCashFixedIborDefinition swaptionDefinitionShortPayerHighStrike =
       SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, !IS_LONG);
   final SwaptionCashFixedIbor swaptionLongPayerHighStrike =
       swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
   final SwaptionCashFixedIbor swaptionShortPayerHighStrike =
       swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
   final SwaptionCashFixedIborSABRExtrapolationRightMethod methodExtra =
       new SwaptionCashFixedIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
   // Swaption sensitivity
   InterestRateCurveSensitivity pvsLongPayerExtra =
       methodExtra.presentValueSensitivity(swaptionLongPayerHighStrike, sabrBundle);
   final InterestRateCurveSensitivity pvsShortPayerExtra =
       methodExtra.presentValueSensitivity(swaptionShortPayerHighStrike, sabrBundle);
   // Long/short parity
   final InterestRateCurveSensitivity pvsShortPayer_1 = pvsShortPayerExtra.multiply(-1);
   assertEquals(pvsLongPayerExtra.getSensitivities(), pvsShortPayer_1.getSensitivities());
   // Present value sensitivity comparison with finite difference.
   final double deltaTolerance = 5.0E+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-5;
   pvsLongPayerExtra = pvsLongPayerExtra.clean();
   final double pv = methodExtra.presentValue(swaptionLongPayerHighStrike, sabrBundle);
   // 1. Forward curve sensitivity
   final String bumpedCurveName = "Bumped Curve";
   final String[] bumpedCurvesForwardName = {FUNDING_CURVE_NAME, bumpedCurveName};
   final SwaptionCashFixedIbor swaptionBumpedForward =
       swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, bumpedCurvesForwardName);
   final YieldAndDiscountCurve curveForward = curves.getCurve(FORWARD_CURVE_NAME);
   final Set<Double> timeForwardSet = new TreeSet<Double>();
   for (final Payment pay :
       swaptionLongPayerHighStrike.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<Double>(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 =
       new YieldCurve(
           InterpolatedDoublesCurve.fromSorted(
               nodeTimesForward, yieldsForward, new LinearInterpolator1D()));
   final List<DoublesPair> tempForward =
       pvsLongPayerExtra.getSensitivities().get(FORWARD_CURVE_NAME);
   final double[] resFwd = new double[nbForwardDate];
   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 = methodExtra.presentValue(swaptionBumpedForward, sabrBundleBumped);
     resFwd[i] = (bumpedpv - pv) / deltaShift;
     final DoublesPair pair = tempForward.get(i);
     assertEquals(
         "Sensitivity to forward curve: Node " + i,
         nodeTimesForward[i + 1],
         pair.getFirst(),
         1E-8);
     assertEquals(
         "Sensitivity to forward curve: Node " + i, resFwd[i], pair.getSecond(), deltaTolerance);
   }
   // 2. Funding curve sensitivity
   final String[] bumpedCurvesFundingName = {bumpedCurveName, FORWARD_CURVE_NAME};
   final SwaptionCashFixedIbor swaptionBumpedFunding =
       swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, bumpedCurvesFundingName);
   final int nbPayDate =
       swaptionDefinitionLongPayerHighStrike.getUnderlyingSwap().getIborLeg().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] = swaptionLongPayerHighStrike.getSettlementTime();
   yieldsFunding[1] = curveFunding.getInterestRate(nodeTimesFunding[1]);
   for (int i = 0; i < nbPayDate; i++) {
     nodeTimesFunding[i + 2] =
         swaptionLongPayerHighStrike
             .getUnderlyingSwap()
             .getSecondLeg()
             .getNthPayment(i)
             .getPaymentTime();
     yieldsFunding[i + 2] = curveFunding.getInterestRate(nodeTimesFunding[i + 2]);
   }
   final YieldAndDiscountCurve tempCurveFunding =
       new YieldCurve(
           InterpolatedDoublesCurve.fromSorted(
               nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
   final List<DoublesPair> tempFunding =
       pvsLongPayerExtra.getSensitivities().get(FUNDING_CURVE_NAME);
   final double[] resDsc = new double[nbPayDate];
   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 = methodExtra.presentValue(swaptionBumpedFunding, sabrBundleBumped);
     resDsc[i] = (bumpedpv - pv) / deltaShift;
     final DoublesPair pair = tempFunding.get(i);
     assertEquals(
         "Sensitivity to discounting curve: Node " + i,
         nodeTimesFunding[i + 1],
         pair.getFirst(),
         1E-8);
     assertEquals(
         "Sensitivity to discounting curve: Node " + i,
         resDsc[i],
         pair.getSecond(),
         deltaTolerance);
   }
 }