@Test public void presentValueCurveSensitivity() { final InterestRateCurveSensitivity pvcsComputed = METHOD_SECURITY.presentValueCurveSensitivity(BILL_IAM_SEC, CURVE_BUNDLE); assertEquals( "Bill Security: present value curve sensitivity", 1, pvcsComputed.getSensitivities().size()); assertEquals( "Bill Security: present value curve sensitivity", 1, pvcsComputed.getSensitivities().get(NAME_CURVES[1]).size()); final double deltaTolerancePrice = 1.0E+2; // Testing note: Sensitivity is for a movement of 1. 1E+2 = 0.01 unit for a 1 bp move. final double deltaShift = 1.0E-6; // Credit curve sensitivity final String bumpedCurveName = "Bumped Curve"; final BillSecurity billBumped = BILL_IAM_SEC_DEFINITION.toDerivative(REFERENCE_DATE, NAME_CURVES[0], bumpedCurveName); final double[] nodeTimes = new double[] {billBumped.getEndTime()}; final double[] sensi = SensitivityFiniteDifference.curveSensitivity( billBumped, CURVE_BUNDLE, NAME_CURVES[1], bumpedCurveName, nodeTimes, deltaShift, METHOD_SECURITY); final List<DoublesPair> sensiPv = pvcsComputed.getSensitivities().get(NAME_CURVES[1]); for (int loopnode = 0; loopnode < sensi.length; loopnode++) { final DoublesPair pairPv = sensiPv.get(loopnode); assertEquals( "Bill Security: curve sensitivity - Node " + loopnode, nodeTimes[loopnode], pairPv.getFirst(), 1E-8); AssertJUnit.assertEquals( "Bill Security: curve sensitivity", pairPv.second, sensi[loopnode], deltaTolerancePrice); } }
@Test /** Tests the curve sensitivity. */ public void presentValueCurveSensitivity() { InterestRateCurveSensitivity pvsSwaption = METHOD_HW_APPROXIMATION.presentValueCurveSensitivity(SWAPTION_PAYER_LONG, BUNDLE_HW); pvsSwaption = pvsSwaption.cleaned(); final double deltaTolerancePrice = 1.0E+4; // Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move. Tolerance // increased to cope with numerical imprecision of finite difference. final double deltaShift = 1.0E-6; // 1. Forward curve sensitivity final String bumpedCurveName = "Bumped Curve"; final SwaptionCashFixedIbor swptBumpedForward = SWAPTION_PAYER_LONG_DEFINITION.toDerivative( REFERENCE_DATE, new String[] {CURVES_NAME[0], bumpedCurveName}); DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet(); for (int loopcpn = 0; loopcpn < SWAPTION_PAYER_LONG.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) { CouponIbor cpn = (CouponIbor) SWAPTION_PAYER_LONG.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn); forwardTime.add(cpn.getFixingPeriodStartTime()); forwardTime.add(cpn.getFixingPeriodEndTime()); } double[] nodeTimesForward = forwardTime.toDoubleArray(); final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity( swptBumpedForward, BUNDLE_HW, CURVES_NAME[1], bumpedCurveName, nodeTimesForward, deltaShift, METHOD_HW_APPROXIMATION); final List<DoublesPair> sensiPvForward = pvsSwaption.getSensitivities().get(CURVES_NAME[1]); for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) { final DoublesPair pairPv = sensiPvForward.get(loopnode); assertEquals( "Sensitivity swaption pv to forward curve: Node " + loopnode, nodeTimesForward[loopnode], pairPv.getFirst(), 1E-8); assertEquals( "Sensitivity finite difference method: node sensitivity " + loopnode, sensiForwardMethod[loopnode], pairPv.second, deltaTolerancePrice); } // 2. Discounting curve sensitivity final SwaptionCashFixedIbor swptBumpedDisc = SWAPTION_PAYER_LONG_DEFINITION.toDerivative( REFERENCE_DATE, new String[] {bumpedCurveName, CURVES_NAME[1]}); DoubleAVLTreeSet discTime = new DoubleAVLTreeSet(); discTime.add(SWAPTION_PAYER_LONG.getSettlementTime()); for (int loopcpn = 0; loopcpn < SWAPTION_PAYER_LONG.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) { CouponIbor cpn = (CouponIbor) SWAPTION_PAYER_LONG.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn); discTime.add(cpn.getPaymentTime()); } double[] nodeTimesDisc = discTime.toDoubleArray(); final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity( swptBumpedDisc, BUNDLE_HW, CURVES_NAME[0], bumpedCurveName, nodeTimesDisc, deltaShift, METHOD_HW_APPROXIMATION); assertEquals( "Sensitivity finite difference method: number of node", 11, sensiDiscMethod.length); final List<DoublesPair> sensiPvDisc = pvsSwaption.getSensitivities().get(CURVES_NAME[0]); for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) { final DoublesPair pairPv = sensiPvDisc.get(loopnode); assertEquals( "Sensitivity swaption pv to forward curve: Node " + loopnode, nodeTimesDisc[loopnode], pairPv.getFirst(), 1E-8); assertEquals( "Sensitivity finite difference method: node sensitivity", sensiDiscMethod[loopnode], pairPv.second, 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); } }