// -------------------------------------------------------------------------
public void test_priceSensitivity() {
PointSensitivities point =
OPTION_PRICER.priceSensitivityStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
CurveCurrencyParameterSensitivities computed = RATE_PROVIDER.curveParameterSensitivity(point);
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
RATE_PROVIDER,
(p) ->
CurrencyAmount.of(
EUR, OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, (p), VOL_PROVIDER)));
double futurePrice = FUTURE_PRICER.price(FUTURE_OPTION_PRODUCT.getUnderlying(), RATE_PROVIDER);
double strike = FUTURE_OPTION_PRODUCT.getStrikePrice();
double expiryTime =
ACT_365F.relativeYearFraction(VALUATION_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate());
double logMoneyness = Math.log(strike / futurePrice);
double logMoneynessUp = Math.log(strike / (futurePrice + EPS));
double logMoneynessDw = Math.log(strike / (futurePrice - EPS));
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double volUp = SURFACE.zValue(expiryTime, logMoneynessUp);
double volDw = SURFACE.zValue(expiryTime, logMoneynessDw);
double volSensi = 0.5 * (volUp - volDw) / EPS;
double vega = BlackFormulaRepository.vega(futurePrice, strike, expiryTime, vol);
CurveCurrencyParameterSensitivities sensiVol =
RATE_PROVIDER
.curveParameterSensitivity(
FUTURE_PRICER.priceSensitivity(
FUTURE_OPTION_PRODUCT.getUnderlying(), RATE_PROVIDER))
.multipliedBy(-vega * volSensi);
expected = expected.combinedWith(sensiVol);
assertTrue(computed.equalWithTolerance(expected, 30d * EPS));
}
public void test_priceSensitivity_from_future_price() {
double futurePrice = 1.1d;
PointSensitivities point =
OPTION_PRICER.priceSensitivityStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER, futurePrice);
CurveCurrencyParameterSensitivities computed = RATE_PROVIDER.curveParameterSensitivity(point);
double delta =
OPTION_PRICER.deltaStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER, futurePrice);
CurveCurrencyParameterSensitivities expected =
RATE_PROVIDER
.curveParameterSensitivity(
FUTURE_PRICER.priceSensitivity(
FUTURE_OPTION_PRODUCT.getUnderlying(), RATE_PROVIDER))
.multipliedBy(delta);
assertTrue(computed.equalWithTolerance(expected, TOL));
}
public void test_presentValueProductSensitivity_noExcoupon() {
PointSensitivityBuilder point = PRICER.presentValueSensitivity(PRODUCT_NO_EXCOUPON, PROVIDER);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(PROVIDER, (p) -> PRICER.presentValue(PRODUCT_NO_EXCOUPON, (p)));
assertTrue(computed.equalWithTolerance(expected, 30d * NOTIONAL * EPS));
}
public void test_dirtyPriceSensitivity() {
PointSensitivityBuilder point = PRICER.dirtyPriceSensitivity(BOND_SECURITY, PROVIDER);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) -> CurrencyAmount.of(EUR, PRICER.dirtyPriceFromCurves(BOND_SECURITY, (p))));
assertTrue(computed.equalWithTolerance(expected, NOTIONAL * EPS));
}
public void test_presentValueSensitivityWithZSpread_continuous() {
PointSensitivityBuilder point =
PRICER.presentValueSensitivityWithZSpread(PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER, (p) -> PRICER.presentValueWithZSpread(PRODUCT, (p), Z_SPREAD, CONTINUOUS, 0));
assertTrue(computed.equalWithTolerance(expected, 20d * NOTIONAL * EPS));
}
public void test_presentValueSensitivityWithZSpread_periodic_noExcoupon() {
PointSensitivityBuilder point =
PRICER.presentValueSensitivityWithZSpread(
PRODUCT_NO_EXCOUPON, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) ->
PRICER.presentValueWithZSpread(
PRODUCT_NO_EXCOUPON, (p), Z_SPREAD, PERIODIC, PERIOD_PER_YEAR));
assertTrue(computed.equalWithTolerance(expected, 20d * NOTIONAL * EPS));
}
public void test_dirtyPriceSensitivityWithZspread_continuous() {
PointSensitivityBuilder point =
PRICER.dirtyPriceSensitivityWithZspread(BOND_SECURITY, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
CurveCurrencyParameterSensitivities computed =
PROVIDER.curveParameterSensitivity(point.build());
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
PROVIDER,
(p) ->
CurrencyAmount.of(
EUR,
PRICER.dirtyPriceFromCurvesWithZSpread(
BOND_SECURITY, (p), Z_SPREAD, CONTINUOUS, 0)));
assertTrue(computed.equalWithTolerance(expected, NOTIONAL * EPS));
}
