@Override public DecisionSchedule visitSwaptionCashFixedIbor( final SwaptionCashFixedIbor swaption, final MulticurveProviderInterface multicurves) { final double[] decisionTime = new double[] {swaption.getTimeToExpiry()}; final AnnuityPaymentFixed cfeIbor = swaption.getUnderlyingSwap().getSecondLeg().accept(CFEC, multicurves); final int nbCfeIbor = cfeIbor.getNumberOfPayments(); final int nbCpnFixed = swaption.getUnderlyingSwap().getFixedLeg().getNumberOfPayments(); final double[][] impactTime = new double[1][nbCpnFixed + nbCfeIbor]; final double[][] impactAmount = new double[1][nbCpnFixed + nbCfeIbor]; // Fixed leg for (int loopcf = 0; loopcf < nbCpnFixed; loopcf++) { impactTime[0][loopcf] = swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentTime(); impactAmount[0][loopcf] = swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction() * swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getNotional(); } // Ibor leg for (int loopcf = 0; loopcf < nbCfeIbor; loopcf++) { impactTime[0][nbCpnFixed + loopcf] = cfeIbor.getNthPayment(loopcf).getPaymentTime(); impactAmount[0][nbCpnFixed + loopcf] = cfeIbor.getNthPayment(loopcf).getAmount(); } final DecisionSchedule decision = new DecisionSchedule(decisionTime, impactTime, impactAmount); return decision; }
@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); } }