/**
 * Tests related to the pricing methods for Ibor coupon in the discounting method with data in
 * MarketBundle.
 */
public class CouponIborDiscountingProviderMethodTest {

  private static final MulticurveProviderDiscount MULTICURVES =
      MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
  private static final IborIndex[] IBOR_INDEXES =
      MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd();
  private static final IborIndex EURIBOR3M = IBOR_INDEXES[0];
  private static final Currency EUR = EURIBOR3M.getCurrency();
  private static final Calendar CALENDAR = MulticurveProviderDiscountDataSets.getEURCalendar();

  private static final DayCount DAY_COUNT_COUPON =
      DayCountFactory.INSTANCE.getDayCount("Actual/365");
  private static final ZonedDateTime ACCRUAL_START_DATE = DateUtils.getUTCDate(2011, 5, 23);
  private static final ZonedDateTime ACCRUAL_END_DATE = DateUtils.getUTCDate(2011, 8, 22);
  private static final double ACCRUAL_FACTOR =
      DAY_COUNT_COUPON.getDayCountFraction(ACCRUAL_START_DATE, ACCRUAL_END_DATE);
  private static final double NOTIONAL = 1000000; // 1m
  private static final CouponIborDefinition CPN_IBOR_DEFINITION =
      CouponIborDefinition.from(
          ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, EURIBOR3M, CALENDAR);

  private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2010, 12, 27);
  private static final CouponIbor CPN_IBOR =
      (CouponIbor) CPN_IBOR_DEFINITION.toDerivative(REFERENCE_DATE);

  private static final CouponIborDiscountingMethod METHOD_CPN_IBOR =
      CouponIborDiscountingMethod.getInstance();
  private static final PresentValueDiscountingCalculator PVDC =
      PresentValueDiscountingCalculator.getInstance();
  private static final PresentValueCurveSensitivityDiscountingCalculator PVCSDC =
      PresentValueCurveSensitivityDiscountingCalculator.getInstance();

  private static final double TOLERANCE_PV = 1.0E-2;
  private static final double TOLERANCE_PV_DELTA = 1.0E+2;

  @Test
  public void presentValueMarketDiscount() {
    final MultipleCurrencyAmount pvComputed = METHOD_CPN_IBOR.presentValue(CPN_IBOR, MULTICURVES);
    final double forward =
        MULTICURVES.getForwardRate(
            EURIBOR3M,
            CPN_IBOR.getFixingPeriodStartTime(),
            CPN_IBOR.getFixingPeriodEndTime(),
            CPN_IBOR.getFixingAccrualFactor());
    final double df =
        MULTICURVES.getDiscountFactor(EURIBOR3M.getCurrency(), CPN_IBOR.getPaymentTime());
    final double pvExpected = NOTIONAL * ACCRUAL_FACTOR * forward * df;
    assertEquals(
        "CouponIborDiscountingMarketMethod: present value",
        pvExpected,
        pvComputed.getAmount(EURIBOR3M.getCurrency()),
        TOLERANCE_PV);
  }

  @Test
  public void presentValueMethodVsCalculator() {
    final MultipleCurrencyAmount pvMethod = METHOD_CPN_IBOR.presentValue(CPN_IBOR, MULTICURVES);
    final MultipleCurrencyAmount pvCalculator = CPN_IBOR.accept(PVDC, MULTICURVES);
    assertEquals(
        "CouponFixedDiscountingMarketMethod: present value",
        pvMethod.getAmount(EUR),
        pvCalculator.getAmount(EUR),
        TOLERANCE_PV);
  }

  // Testing note: the presentValueMarketSensitivity is tested in
  // ParameterSensitivityProviderCalculatorTest

  @Test
  public void presentValueMarketSensitivityMethodVsCalculator() {
    final MultipleCurrencyMulticurveSensitivity pvcsMethod =
        METHOD_CPN_IBOR.presentValueCurveSensitivity(CPN_IBOR, MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvcsCalculator =
        CPN_IBOR.accept(PVCSDC, MULTICURVES);
    AssertSensivityObjects.assertEquals(
        "CouponFixedDiscountingMarketMethod: presentValueMarketSensitivity",
        pvcsMethod,
        pvcsCalculator,
        TOLERANCE_PV_DELTA);
  }
}
Esempio n. 2
0
 @Override
 public Collection<IborIndex> visitCouponIborDefinition(final CouponIborDefinition definition) {
   return Collections.singleton(definition.getIndex());
 }
/**
 * Test related to the pricing and sensitivity of the Ibor cap/floor with the SABR model and
 * extrapolation for high strikes.
 *
 * @deprecated This class tests deprecated functionality.
 */
@Deprecated
public class CapFloorIborSABRExtrapolationRightMethodTest {
  // Details
  private static final Period TENOR = Period.ofMonths(3);
  private static final int SETTLEMENT_DAYS = 2;
  private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
  private static final DayCount DAY_COUNT_INDEX =
      DayCountFactory.INSTANCE.getDayCount("Actual/360");
  private static final BusinessDayConvention BUSINESS_DAY =
      BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
  private static final boolean IS_EOM = true;
  private static final Currency CUR = Currency.EUR;
  private static final IborIndex INDEX =
      new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, IS_EOM, "Ibor");
  private static final ZonedDateTime FIXING_DATE = DateUtils.getUTCDate(2011, 1, 3);
  private static final double NOTIONAL = 1000000; // 1m
  private static final double STRIKE = 0.04;
  private static final double STRIKE_HIGH = 0.09;
  private static final boolean IS_CAP = true;
  // Definition description
  private static final CapFloorIborDefinition CAP_LONG_DEFINITION =
      CapFloorIborDefinition.from(NOTIONAL, FIXING_DATE, INDEX, STRIKE, IS_CAP, CALENDAR);
  private static final CapFloorIborDefinition CAP_HIGH_LONG_DEFINITION =
      CapFloorIborDefinition.from(NOTIONAL, FIXING_DATE, INDEX, STRIKE_HIGH, IS_CAP, CALENDAR);
  private static final CouponIborDefinition COUPON_IBOR_DEFINITION =
      CouponIborDefinition.from(NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
  private static final CouponFixedDefinition COUPON_STRIKE_DEFINITION =
      new CouponFixedDefinition(COUPON_IBOR_DEFINITION, STRIKE);
  private static final CouponFixedDefinition COUPON_STRIKE_HIGH_DEFINITION =
      new CouponFixedDefinition(COUPON_IBOR_DEFINITION, STRIKE_HIGH);
  private static final CapFloorIborDefinition CAP_SHORT_DEFINITION =
      CapFloorIborDefinition.from(-NOTIONAL, FIXING_DATE, INDEX, STRIKE, IS_CAP, CALENDAR);
  private static final CapFloorIborDefinition CAP_HIGH_SHORT_DEFINITION =
      CapFloorIborDefinition.from(-NOTIONAL, FIXING_DATE, INDEX, STRIKE_HIGH, IS_CAP, CALENDAR);
  private static final CapFloorIborDefinition FLOOR_SHORT_DEFINITION =
      CapFloorIborDefinition.from(-NOTIONAL, FIXING_DATE, INDEX, STRIKE, !IS_CAP, CALENDAR);
  private static final CapFloorIborDefinition FLOOR_HIGH_SHORT_DEFINITION =
      CapFloorIborDefinition.from(-NOTIONAL, FIXING_DATE, INDEX, STRIKE_HIGH, !IS_CAP, CALENDAR);
  // Methods and calculator
  private static final double CUT_OFF_STRIKE = 0.08;
  private static final double MU = 2.50;
  private static final CapFloorIborSABRExtrapolationRightMethod METHOD =
      new CapFloorIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
  private static final ParRateCalculator PRC = ParRateCalculator.getInstance();
  private static final PresentValueCalculator PVC = PresentValueCalculator.getInstance();
  private static final PresentValueCurveSensitivitySABRExtrapolationCalculator PVSC =
      new PresentValueCurveSensitivitySABRExtrapolationCalculator(CUT_OFF_STRIKE, MU);
  // To derivative
  private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2008, 8, 18);
  private static final String FUNDING_CURVE_NAME = "Funding";
  private static final String FORWARD_CURVE_NAME = "Forward";
  private static final String[] CURVES_NAME = {FUNDING_CURVE_NAME, FORWARD_CURVE_NAME};
  private static final CapFloorIbor CAP_LONG =
      (CapFloorIbor) CAP_LONG_DEFINITION.toDerivative(REFERENCE_DATE, CURVES_NAME);
  private static final CapFloorIbor CAP_HIGH_LONG =
      (CapFloorIbor) CAP_HIGH_LONG_DEFINITION.toDerivative(REFERENCE_DATE, CURVES_NAME);
  private static final CouponIbor COUPON_IBOR =
      (CouponIbor) COUPON_IBOR_DEFINITION.toDerivative(REFERENCE_DATE, CURVES_NAME);
  private static final CouponFixed COUPON_STRIKE =
      COUPON_STRIKE_DEFINITION.toDerivative(REFERENCE_DATE, CURVES_NAME);
  private static final CouponFixed COUPON_STRIKE_HIGH =
      COUPON_STRIKE_HIGH_DEFINITION.toDerivative(REFERENCE_DATE, CURVES_NAME);
  private static final CapFloorIbor CAP_SHORT =
      (CapFloorIbor) CAP_SHORT_DEFINITION.toDerivative(REFERENCE_DATE, CURVES_NAME);
  private static final CapFloorIbor CAP_HIGH_SHORT =
      (CapFloorIbor) CAP_HIGH_SHORT_DEFINITION.toDerivative(REFERENCE_DATE, CURVES_NAME);
  private static final CapFloorIbor FLOOR_SHORT =
      (CapFloorIbor) FLOOR_SHORT_DEFINITION.toDerivative(REFERENCE_DATE, CURVES_NAME);
  private static final CapFloorIbor FLOOR_HIGH_SHORT =
      (CapFloorIbor) FLOOR_HIGH_SHORT_DEFINITION.toDerivative(REFERENCE_DATE, CURVES_NAME);
  // Data
  private static final YieldCurveBundle CURVES = TestsDataSetsSABR.createCurves1();
  private static final SABRInterestRateParameters SABR_PARAMETERS = TestsDataSetsSABR.createSABR1();
  private static final SABRInterestRateDataBundle SABR_BUNDLE =
      new SABRInterestRateDataBundle(SABR_PARAMETERS, CURVES);

  @Test
  /** Test the present value using the method with the direct formula with extrapolation. */
  public void presentValueBelowCutOff() {
    final CurrencyAmount methodPrice = METHOD.presentValue(CAP_LONG, SABR_BUNDLE);
    final double df =
        CURVES.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(CAP_LONG.getPaymentTime());
    final double forward = CAP_LONG.accept(PRC, CURVES);
    final double maturity = CAP_LONG.getFixingPeriodEndTime() - CAP_LONG.getFixingPeriodStartTime();
    final DoublesPair expiryMaturity = new DoublesPair(CAP_LONG.getFixingTime(), maturity);
    final double alpha = SABR_PARAMETERS.getAlpha(expiryMaturity);
    final double beta = SABR_PARAMETERS.getBeta(expiryMaturity);
    final double rho = SABR_PARAMETERS.getRho(expiryMaturity);
    final double nu = SABR_PARAMETERS.getNu(expiryMaturity);
    final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
    final SABRExtrapolationRightFunction sabrExtrapolation =
        new SABRExtrapolationRightFunction(
            forward, sabrParam, CUT_OFF_STRIKE, CAP_LONG.getFixingTime(), MU);
    final EuropeanVanillaOption option =
        new EuropeanVanillaOption(CAP_LONG.getStrike(), CAP_LONG.getFixingTime(), CAP_LONG.isCap());
    final double expectedPrice =
        sabrExtrapolation.price(option)
            * CAP_LONG.getNotional()
            * CAP_LONG.getPaymentYearFraction()
            * df;
    assertEquals(
        "Cap/floor: SABR with extrapolation pricing", expectedPrice, methodPrice.getAmount(), 1E-2);
  }

  @Test
  /** Test the present value using the method with the direct formula with extrapolation. */
  public void presentValueAboveCutOff() {
    CurrencyAmount methodPrice = METHOD.presentValue(CAP_HIGH_LONG, SABR_BUNDLE);
    final double df =
        CURVES.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(CAP_HIGH_LONG.getPaymentTime());
    final double forward = CAP_HIGH_LONG.accept(PRC, CURVES);
    final double maturity =
        CAP_HIGH_LONG.getFixingPeriodEndTime() - CAP_LONG.getFixingPeriodStartTime();
    final DoublesPair expiryMaturity = new DoublesPair(CAP_HIGH_LONG.getFixingTime(), maturity);
    final double alpha = SABR_PARAMETERS.getAlpha(expiryMaturity);
    final double beta = SABR_PARAMETERS.getBeta(expiryMaturity);
    final double rho = SABR_PARAMETERS.getRho(expiryMaturity);
    final double nu = SABR_PARAMETERS.getNu(expiryMaturity);
    final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
    final SABRExtrapolationRightFunction sabrExtrapolation =
        new SABRExtrapolationRightFunction(
            forward, sabrParam, CUT_OFF_STRIKE, CAP_HIGH_LONG.getFixingTime(), MU);
    final EuropeanVanillaOption option =
        new EuropeanVanillaOption(
            CAP_HIGH_LONG.getStrike(), CAP_HIGH_LONG.getFixingTime(), CAP_HIGH_LONG.isCap());
    final double expectedPrice =
        sabrExtrapolation.price(option)
            * CAP_HIGH_LONG.getNotional()
            * CAP_HIGH_LONG.getPaymentYearFraction()
            * df;
    assertEquals(
        "Cap/floor: SABR with extrapolation pricing", expectedPrice, methodPrice.getAmount(), 1E-2);
    methodPrice = METHOD.presentValue(CAP_HIGH_LONG, SABR_BUNDLE);
    assertEquals(
        "Cap/floor: SABR with extrapolation pricing", expectedPrice, methodPrice.getAmount(), 1E-2);
  }

  @Test
  /** Test the present value using the method with the direct formula with extrapolation. */
  public void presentValueLongShortParityBelowCutOff() {
    final CurrencyAmount priceLong = METHOD.presentValue(CAP_LONG, SABR_BUNDLE);
    final CurrencyAmount priceShort = METHOD.presentValue(CAP_SHORT, SABR_BUNDLE);
    assertEquals(
        "Cap/floor: SABR with extrapolation pricing: long/short parity",
        priceLong.getAmount(),
        -priceShort.getAmount(),
        1E-2);
  }

  @Test
  /** Test the present value using the method with the direct formula with extrapolation. */
  public void presentValueLongShortParityAboveCutOff() {
    final CurrencyAmount priceLong = METHOD.presentValue(CAP_HIGH_LONG, SABR_BUNDLE);
    final CurrencyAmount priceShort = METHOD.presentValue(CAP_HIGH_SHORT, SABR_BUNDLE);
    assertEquals(
        "Cap/floor: SABR with extrapolation pricing: long/short parity",
        priceLong.getAmount(),
        -priceShort.getAmount(),
        1E-2);
  }

  @Test
  /** Test the cap/floor/forward parity below the cut-off strike. */
  public void presentValueCapFloorParityBelowCutOff() {
    final CurrencyAmount priceCap = METHOD.presentValue(CAP_LONG, SABR_BUNDLE);
    final CurrencyAmount priceFloor = METHOD.presentValue(FLOOR_SHORT, SABR_BUNDLE);
    final double priceCouponStrike = COUPON_STRIKE.accept(PVC, CURVES);
    final double priceCouponIbor = COUPON_IBOR.accept(PVC, CURVES);
    assertEquals(
        "Cap/floor: SABR with extrapolation pricing: cap/floor parity",
        priceCouponIbor - priceCouponStrike,
        priceCap.getAmount() + priceFloor.getAmount(),
        1E-2);
  }

  @Test
  /** Test the cap/floor/forward parity above the cut-off strike. */
  public void presentValueCapFloorParityAboveCutOff() {
    final CurrencyAmount priceCap = METHOD.presentValue(CAP_HIGH_LONG, SABR_BUNDLE);
    final CurrencyAmount priceFloor = METHOD.presentValue(FLOOR_HIGH_SHORT, SABR_BUNDLE);
    final double priceCouponStrike = COUPON_STRIKE_HIGH.accept(PVC, CURVES);
    final double priceCouponIbor = COUPON_IBOR.accept(PVC, CURVES);
    assertEquals(
        "Cap/floor: SABR with extrapolation pricing: cap/floor parity",
        priceCouponIbor - priceCouponStrike,
        priceCap.getAmount() + priceFloor.getAmount(),
        1E-2);
  }

  @Test
  /** Test the present value using the method with the direct formula with extrapolation. */
  public void presentValueMethodVsCalculator() {
    final SABRInterestRateDataBundle sabrExtraBundle =
        new SABRInterestRateDataBundle(SABR_PARAMETERS, CURVES);
    final CurrencyAmount pvMethod = METHOD.presentValue(CAP_LONG, SABR_BUNDLE);
    final PresentValueSABRExtrapolationCalculator pvc =
        new PresentValueSABRExtrapolationCalculator(CUT_OFF_STRIKE, MU);
    final double pvCalculator = CAP_LONG.accept(pvc, sabrExtraBundle);
    assertEquals(
        "Cap/floor: SABR with extrapolation pricing - Method vs Calculator",
        pvMethod.getAmount(),
        pvCalculator,
        1E-2);
  }

  @Test
  /**
   * Test the present value rate sensitivity against a finite difference computation; strike below
   * the cut-off strike. Test sensitivity long/short parity.
   */
  public void testPresentValueSensitivityBelowCutOff() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle =
        new SABRInterestRateDataBundle(sabrParameter, curves);
    InterestRateCurveSensitivity pvsCapLong = METHOD.presentValueSensitivity(CAP_LONG, sabrBundle);
    final InterestRateCurveSensitivity pvsCapShort =
        METHOD.presentValueSensitivity(CAP_SHORT, sabrBundle);
    // Long/short parity
    final InterestRateCurveSensitivity pvsCapShort_1 = pvsCapShort.multipliedBy(-1);
    assertEquals(pvsCapLong.getSensitivities(), pvsCapShort_1.getSensitivities());
    // Present value sensitivity comparison with finite difference.
    final double deltaTolerancePrice = 1.0E-1;
    // Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move.
    final double deltaShift = 1.0E-7;
    pvsCapLong = pvsCapLong.cleaned();
    final String bumpedCurveName = "Bumped Curve";
    // 1. Forward curve sensitivity
    final String[] CurveNameBumpedForward = {FUNDING_CURVE_NAME, bumpedCurveName};
    final CapFloorIbor capBumpedForward =
        (CapFloorIbor) CAP_LONG_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedForward);
    final double[] nodeTimesForward =
        new double[] {
          capBumpedForward.getFixingPeriodStartTime(), capBumpedForward.getFixingPeriodEndTime()
        };
    final double[] sensiForwardMethod =
        SensitivityFiniteDifference.curveSensitivity(
            capBumpedForward,
            SABR_BUNDLE,
            FORWARD_CURVE_NAME,
            bumpedCurveName,
            nodeTimesForward,
            deltaShift,
            METHOD);
    assertEquals(
        "Sensitivity finite difference method: number of node", 2, sensiForwardMethod.length);
    final List<DoublesPair> sensiPvForward = pvsCapLong.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals(
          "Sensitivity cap/floor pv to forward curve: Node " + loopnode,
          nodeTimesForward[loopnode],
          pairPv.getFirst(),
          1E-8);
      assertEquals(
          "Sensitivity finite difference method: node sensitivity",
          pairPv.second,
          sensiForwardMethod[loopnode],
          deltaTolerancePrice);
    }
    // 2. Discounting curve sensitivity
    final String[] CurveNameBumpedDisc = {bumpedCurveName, FORWARD_CURVE_NAME};
    final CapFloorIbor capBumpedDisc =
        (CapFloorIbor) CAP_LONG_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedDisc);
    final double[] nodeTimesDisc = new double[] {capBumpedDisc.getPaymentTime()};
    final double[] sensiDiscMethod =
        SensitivityFiniteDifference.curveSensitivity(
            capBumpedDisc,
            SABR_BUNDLE,
            FUNDING_CURVE_NAME,
            bumpedCurveName,
            nodeTimesDisc,
            deltaShift,
            METHOD);
    assertEquals("Sensitivity finite difference method: number of node", 1, sensiDiscMethod.length);
    final List<DoublesPair> sensiPvDisc = pvsCapLong.getSensitivities().get(FUNDING_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
      assertEquals(
          "Sensitivity cap/floor pv to forward curve: Node " + loopnode,
          nodeTimesDisc[loopnode],
          pairPv.getFirst(),
          1E-8);
      assertEquals(
          "Sensitivity finite difference method: node sensitivity",
          pairPv.second,
          sensiDiscMethod[loopnode],
          deltaTolerancePrice);
    }
  }

  @Test
  /**
   * Test the present value rate sensitivity against a finite difference computation; strike above
   * the cut-off strike. Test sensitivity long/short parity.
   */
  public void testPresentValueSensitivityAboveCutOff() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle =
        new SABRInterestRateDataBundle(sabrParameter, curves);
    InterestRateCurveSensitivity pvsCapLong =
        METHOD.presentValueSensitivity(CAP_HIGH_LONG, sabrBundle);
    final InterestRateCurveSensitivity pvsCapShort =
        METHOD.presentValueSensitivity(CAP_HIGH_SHORT, sabrBundle);
    // Long/short parity
    final InterestRateCurveSensitivity pvsCapShort_1 = pvsCapShort.multipliedBy(-1);
    assertEquals(pvsCapLong.getSensitivities(), pvsCapShort_1.getSensitivities());
    // Present value sensitivity comparison with finite difference.
    final double deltaTolerancePrice = 1.0E-1;
    // Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move.
    final double deltaShift = 1.0E-7;
    pvsCapLong = pvsCapLong.cleaned();
    final String bumpedCurveName = "Bumped Curve";
    // 1. Forward curve sensitivity
    final String[] CurveNameBumpedForward = {FUNDING_CURVE_NAME, bumpedCurveName};
    final CapFloorIbor capBumpedForward =
        (CapFloorIbor)
            CAP_HIGH_LONG_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedForward);
    final double[] nodeTimesForward =
        new double[] {
          capBumpedForward.getFixingPeriodStartTime(), capBumpedForward.getFixingPeriodEndTime()
        };
    final double[] sensiForwardMethod =
        SensitivityFiniteDifference.curveSensitivity(
            capBumpedForward,
            SABR_BUNDLE,
            FORWARD_CURVE_NAME,
            bumpedCurveName,
            nodeTimesForward,
            deltaShift,
            METHOD);
    assertEquals(
        "Sensitivity finite difference method: number of node", 2, sensiForwardMethod.length);
    final List<DoublesPair> sensiPvForward = pvsCapLong.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals(
          "Sensitivity cap/floor pv to forward curve: Node " + loopnode,
          nodeTimesForward[loopnode],
          pairPv.getFirst(),
          1E-8);
      //      assertEquals("Sensitivity finite difference method: node sensitivity: Node " +
      // loopnode, pairPv.second, sensiForwardMethod[loopnode], deltaTolerancePrice);
    }
    // 2. Discounting curve sensitivity
    final String[] CurveNameBumpedDisc = {bumpedCurveName, FORWARD_CURVE_NAME};
    final CapFloorIbor capBumpedDisc =
        (CapFloorIbor) CAP_HIGH_LONG_DEFINITION.toDerivative(REFERENCE_DATE, CurveNameBumpedDisc);
    final double[] nodeTimesDisc = new double[] {capBumpedDisc.getPaymentTime()};
    final double[] sensiDiscMethod =
        SensitivityFiniteDifference.curveSensitivity(
            capBumpedDisc,
            SABR_BUNDLE,
            FUNDING_CURVE_NAME,
            bumpedCurveName,
            nodeTimesDisc,
            deltaShift,
            METHOD);
    assertEquals("Sensitivity finite difference method: number of node", 1, sensiDiscMethod.length);
    final List<DoublesPair> sensiPvDisc = pvsCapLong.getSensitivities().get(FUNDING_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
      assertEquals(
          "Sensitivity cap/floor pv to forward curve: Node " + loopnode,
          nodeTimesDisc[loopnode],
          pairPv.getFirst(),
          1E-8);
      assertEquals(
          "Sensitivity finite difference method: node sensitivity",
          pairPv.second,
          sensiDiscMethod[loopnode],
          deltaTolerancePrice);
    }
  }

  @Test
  /** Test the present value using the method with the direct formula with extrapolation. */
  public void presentValueCurveSensitivityMethodVsCalculator() {
    final SABRInterestRateDataBundle sabrExtraBundle =
        new SABRInterestRateDataBundle(SABR_PARAMETERS, CURVES);
    final InterestRateCurveSensitivity pvsMethod =
        METHOD.presentValueSensitivity(CAP_HIGH_LONG, SABR_BUNDLE);
    final InterestRateCurveSensitivity pvsCalculator =
        new InterestRateCurveSensitivity(CAP_HIGH_LONG.accept(PVSC, sabrExtraBundle));
    assertEquals(
        "Cap/floor: SABR with extrapolation pv curve sensitivity - Method vs Calculator",
        pvsMethod,
        pvsCalculator);
  }

  @Test
  /**
   * Test the present value SABR parameters sensitivity against a finite difference computation;
   * strike below the cut-off strike.
   */
  public void testPresentValueSABRSensitivityBelowCutOff() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle =
        new SABRInterestRateDataBundle(sabrParameter, curves);
    final CurrencyAmount pv = METHOD.presentValue(CAP_LONG, sabrBundle);
    final PresentValueSABRSensitivityDataBundle pvsCapLong =
        METHOD.presentValueSABRSensitivity(CAP_LONG, sabrBundle);
    PresentValueSABRSensitivityDataBundle pvsCapShort =
        METHOD.presentValueSABRSensitivity(CAP_SHORT, sabrBundle);
    // Long/short parity
    pvsCapShort = pvsCapShort.multiplyBy(-1.0);
    assertEquals(pvsCapShort.getAlpha(), pvsCapLong.getAlpha());
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final DoublesPair expectedExpiryTenor =
        new DoublesPair(
            CAP_LONG.getFixingTime(),
            CAP_LONG.getFixingPeriodEndTime() - CAP_LONG.getFixingPeriodStartTime());
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped =
        TestsDataSetsSABR.createSABR1AlphaBumped(shiftAlpha);
    final SABRInterestRateDataBundle sabrBundleAlphaBumped =
        new SABRInterestRateDataBundle(sabrParameterAlphaBumped, curves);
    final CurrencyAmount pvLongPayerAlphaBumped =
        METHOD.presentValue(CAP_LONG, sabrBundleAlphaBumped);
    final double expectedAlphaSensi =
        (pvLongPayerAlphaBumped.getAmount() - pv.getAmount()) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 1);
    assertEquals(
        "Alpha sensitivity expiry/tenor",
        pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor),
        true);
    assertEquals(
        "Alpha sensitivity value",
        expectedAlphaSensi,
        pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor),
        2.0E-1);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped =
        TestsDataSetsSABR.createSABR1RhoBumped();
    final SABRInterestRateDataBundle sabrBundleRhoBumped =
        new SABRInterestRateDataBundle(sabrParameterRhoBumped, curves);
    final CurrencyAmount pvLongPayerRhoBumped = METHOD.presentValue(CAP_LONG, sabrBundleRhoBumped);
    final double expectedRhoSensi = (pvLongPayerRhoBumped.getAmount() - pv.getAmount()) / shift;
    assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 1);
    assertEquals(
        "Rho sensitivity expiry/tenor",
        pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor),
        true);
    assertEquals(
        "Rho sensitivity value",
        pvsCapLong.getRho().getMap().get(expectedExpiryTenor),
        expectedRhoSensi,
        1.0E-2);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped =
        TestsDataSetsSABR.createSABR1NuBumped();
    final SABRInterestRateDataBundle sabrBundleNuBumped =
        new SABRInterestRateDataBundle(sabrParameterNuBumped, curves);
    final CurrencyAmount pvLongPayerNuBumped = METHOD.presentValue(CAP_LONG, sabrBundleNuBumped);
    final double expectedNuSensi = (pvLongPayerNuBumped.getAmount() - pv.getAmount()) / shift;
    assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 1);
    assertEquals(
        "Nu sensitivity expiry/tenor",
        pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor),
        true);
    assertEquals(
        "Nu sensitivity value",
        pvsCapLong.getNu().getMap().get(expectedExpiryTenor),
        expectedNuSensi,
        3.0E-2);
  }

  @Test
  /**
   * Test the present value SABR parameters sensitivity against a finite difference computation;
   * strike above the cut-off strike.
   */
  public void testPresentValueSABRSensitivityAboveCutOff() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle =
        new SABRInterestRateDataBundle(sabrParameter, curves);
    final CurrencyAmount pv = METHOD.presentValue(CAP_HIGH_LONG, sabrBundle);
    final PresentValueSABRSensitivityDataBundle pvsCapLong =
        METHOD.presentValueSABRSensitivity(CAP_HIGH_LONG, sabrBundle);
    PresentValueSABRSensitivityDataBundle pvsCapShort =
        METHOD.presentValueSABRSensitivity(CAP_HIGH_SHORT, sabrBundle);
    // Long/short parity
    pvsCapShort = pvsCapShort.multiplyBy(-1.0);
    assertEquals(pvsCapShort.getAlpha(), pvsCapLong.getAlpha());
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final DoublesPair expectedExpiryTenor =
        new DoublesPair(
            CAP_HIGH_LONG.getFixingTime(),
            CAP_HIGH_LONG.getFixingPeriodEndTime() - CAP_HIGH_LONG.getFixingPeriodStartTime());
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped =
        TestsDataSetsSABR.createSABR1AlphaBumped(shiftAlpha);
    final SABRInterestRateDataBundle sabrBundleAlphaBumped =
        new SABRInterestRateDataBundle(sabrParameterAlphaBumped, curves);
    final CurrencyAmount pvLongPayerAlphaBumped =
        METHOD.presentValue(CAP_HIGH_LONG, sabrBundleAlphaBumped);
    final double expectedAlphaSensi =
        (pvLongPayerAlphaBumped.getAmount() - pv.getAmount()) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 1);
    assertEquals(
        "Alpha sensitivity expiry/tenor",
        pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor),
        true);
    assertEquals(
        "Alpha sensitivity value",
        expectedAlphaSensi,
        pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor),
        1.0E-0);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped =
        TestsDataSetsSABR.createSABR1RhoBumped();
    final SABRInterestRateDataBundle sabrBundleRhoBumped =
        new SABRInterestRateDataBundle(sabrParameterRhoBumped, curves);
    final CurrencyAmount pvLongPayerRhoBumped =
        METHOD.presentValue(CAP_HIGH_LONG, sabrBundleRhoBumped);
    final double expectedRhoSensi = (pvLongPayerRhoBumped.getAmount() - pv.getAmount()) / shift;
    assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 1);
    assertEquals(
        "Rho sensitivity expiry/tenor",
        pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor),
        true);
    assertEquals(
        "Rho sensitivity value",
        pvsCapLong.getRho().getMap().get(expectedExpiryTenor),
        expectedRhoSensi,
        1.0E-1);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped =
        TestsDataSetsSABR.createSABR1NuBumped();
    final SABRInterestRateDataBundle sabrBundleNuBumped =
        new SABRInterestRateDataBundle(sabrParameterNuBumped, curves);
    final CurrencyAmount pvLongPayerNuBumped =
        METHOD.presentValue(CAP_HIGH_LONG, sabrBundleNuBumped);
    final double expectedNuSensi = (pvLongPayerNuBumped.getAmount() - pv.getAmount()) / shift;
    assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 1);
    assertEquals(
        "Nu sensitivity expiry/tenor",
        pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor),
        true);
    assertEquals(
        "Nu sensitivity value",
        pvsCapLong.getNu().getMap().get(expectedExpiryTenor),
        expectedNuSensi,
        2.0E-1);
  }
}