/**
* Calculates the present value sensitivity to the implied volatility of the swaption product.
*
* <p>The sensitivity to the implied normal volatility is also called normal vega.
*
* @param swaption the swaption product
* @param ratesProvider the rates provider
* @param volatilityProvider the normal volatility provider
* @return the point sensitivity to the normal volatility
*/
public SwaptionSensitivity presentValueSensitivityNormalVolatility(
SwaptionProduct swaption,
RatesProvider ratesProvider,
NormalVolatilitySwaptionProvider volatilityProvider) {
ExpandedSwaption expanded = swaption.expand();
validate(ratesProvider, expanded, volatilityProvider);
ZonedDateTime expiryDateTime = expanded.getExpiryDateTime();
double expiry = volatilityProvider.relativeTime(expiryDateTime);
ExpandedSwap underlying = expanded.getUnderlying();
ExpandedSwapLeg fixedLeg = fixedLeg(underlying);
double tenor = volatilityProvider.tenor(fixedLeg.getStartDate(), fixedLeg.getEndDate());
double pvbp = swapPricer.getLegPricer().pvbp(fixedLeg, ratesProvider);
double strike = swapPricer.getLegPricer().couponEquivalent(fixedLeg, ratesProvider, pvbp);
if (expiry < 0.0d) { // Option has expired already
return SwaptionSensitivity.of(
volatilityProvider.getConvention(),
expiryDateTime,
tenor,
strike,
0.0d,
fixedLeg.getCurrency(),
0.0d);
}
double forward = swapPricer.parRate(underlying, ratesProvider);
double volatility = volatilityProvider.getVolatility(expiryDateTime, tenor, strike, forward);
NormalFunctionData normalData = NormalFunctionData.of(forward, Math.abs(pvbp), volatility);
boolean isCall = (fixedLeg.getPayReceive() == PayReceive.PAY);
// Payer at strike is exercise when rate > strike, i.e. call on rate
EuropeanVanillaOption option =
EuropeanVanillaOption.of(strike, expiry, isCall ? PutCall.CALL : PutCall.PUT);
// option required to pass the strike (in case the swap has non-constant coupon).
// Backward sweep
double vega =
NORMAL.getVega(option, normalData)
* ((expanded.getLongShort() == LongShort.LONG) ? 1.0 : -1.0);
return SwaptionSensitivity.of(
volatilityProvider.getConvention(),
expiryDateTime,
tenor,
strike,
forward,
fixedLeg.getCurrency(),
vega);
}
public void test_volatility_sensitivity() {
double eps = 1.0e-6;
int nData = TIME.size();
for (int i = 0; i < NB_TEST; i++) {
SwaptionSensitivity point =
SwaptionSensitivity.of(
CONVENTION,
TEST_OPTION_EXPIRY[i],
TENOR.get(i),
TEST_STRIKE,
TEST_FORWARD,
GBP,
TEST_SENSITIVITY[i]);
SurfaceCurrencyParameterSensitivity sensi =
PROVIDER_WITH_PARAM.surfaceCurrencyParameterSensitivity(point);
Map<DoublesPair, Double> map = new HashMap<DoublesPair, Double>();
for (int j = 0; j < nData; ++j) {
DoubleArray volDataUp = VOL.subArray(0, nData).with(j, VOL.get(j) + eps);
DoubleArray volDataDw = VOL.subArray(0, nData).with(j, VOL.get(j) - eps);
InterpolatedNodalSurface paramUp =
InterpolatedNodalSurface.of(
METADATA_WITH_PARAM, TIME, TENOR, volDataUp, INTERPOLATOR_2D);
InterpolatedNodalSurface paramDw =
InterpolatedNodalSurface.of(
METADATA_WITH_PARAM, TIME, TENOR, volDataDw, INTERPOLATOR_2D);
BlackVolatilityExpiryTenorSwaptionProvider provUp =
BlackVolatilityExpiryTenorSwaptionProvider.of(
paramUp, CONVENTION, ACT_365F, VALUATION_DATE_TIME);
BlackVolatilityExpiryTenorSwaptionProvider provDw =
BlackVolatilityExpiryTenorSwaptionProvider.of(
paramDw, CONVENTION, ACT_365F, VALUATION_DATE_TIME);
double volUp =
provUp.getVolatility(TEST_OPTION_EXPIRY[i], TEST_TENOR[i], TEST_STRIKE, TEST_FORWARD);
double volDw =
provDw.getVolatility(TEST_OPTION_EXPIRY[i], TEST_TENOR[i], TEST_STRIKE, TEST_FORWARD);
double fd = 0.5 * (volUp - volDw) / eps;
map.put(DoublesPair.of(TIME.get(j), TENOR.get(j)), fd);
}
SurfaceCurrencyParameterSensitivity sensiFromNoMetadata =
PROVIDER.surfaceCurrencyParameterSensitivity(point);
List<SurfaceParameterMetadata> list = sensi.getMetadata().getParameterMetadata().get();
DoubleArray computed = sensi.getSensitivity();
assertEquals(computed.size(), nData);
for (int j = 0; j < list.size(); ++j) {
SwaptionSurfaceExpiryTenorNodeMetadata metadata =
(SwaptionSurfaceExpiryTenorNodeMetadata) list.get(i);
double expected = map.get(DoublesPair.of(metadata.getYearFraction(), metadata.getTenor()));
assertEquals(computed.get(i), expected, eps);
assertTrue(
sensiFromNoMetadata.getMetadata().getParameterMetadata().get().contains(metadata));
}
}
}
