/** Tests present value in the region where there is no extrapolation. Tests long/short parity. */
@Test
public void testPresentValueNoExtra() {
final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
final SABRInterestRateParameters sabrParameter =
TestsDataSetsSABR.createSABRExtrapolation1(CUT_OFF_STRIKE, MU);
final SABRInterestRateDataBundle sabrBundle =
new SABRInterestRateDataBundle(sabrParameter, curves);
final SwaptionCashFixedIborSABRExtrapolationRightMethod method =
new SwaptionCashFixedIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
final double priceLongPayer = method.presentValue(SWAPTION_LONG_PAYER, sabrBundle);
final double priceShortPayer = method.presentValue(SWAPTION_SHORT_PAYER, sabrBundle);
final double priceLongReceiver = method.presentValue(SWAPTION_LONG_RECEIVER, sabrBundle);
final double priceShortReceiver = method.presentValue(SWAPTION_SHORT_RECEIVER, sabrBundle);
final double priceLongPayerNoExtra = PVC.visit(SWAPTION_LONG_PAYER, sabrBundle);
final double priceShortPayerNoExtra = PVC.visit(SWAPTION_SHORT_PAYER, sabrBundle);
final double priceLongReceiverNoExtra = PVC.visit(SWAPTION_LONG_RECEIVER, sabrBundle);
final double priceShortReceiverNoExtra = PVC.visit(SWAPTION_SHORT_RECEIVER, sabrBundle);
assertEquals(
"Swaption cash SABR extrapolation: below cut-off strike",
priceLongPayerNoExtra,
priceLongPayer,
1E-2);
assertEquals(
"Swaption cash SABR extrapolation: below cut-off strike",
priceShortPayerNoExtra,
priceShortPayer,
1E-2);
assertEquals(
"Swaption cash SABR extrapolation: below cut-off strike",
priceLongReceiverNoExtra,
priceLongReceiver,
1E-2);
assertEquals(
"Swaption cash SABR extrapolation: below cut-off strike",
priceShortReceiverNoExtra,
priceShortReceiver,
1E-2);
assertEquals(
"Swaption cash SABR extrapolation: below cut-off strike long/short parity",
priceLongPayer,
-priceShortPayer,
1E-2);
assertEquals(
"Swaption cash SABR extrapolation: below cut-off strike long/short parity",
priceLongReceiver,
-priceShortReceiver,
1E-2);
}
