@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 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); } }