@Test /** * Test the present value rate sensitivity for a CMS cap with pricing by replication in the SABR * with extrapolation framework. */ public void presentValueCurveSensitivity() { final MultipleCurrencyParameterSensitivity pvpsCapLongExact = PS_SS_C.calculateSensitivity( CMS_CAP_LONG, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames()); final MultipleCurrencyParameterSensitivity pvpsCapLongFD = PS_SS_FDC.calculateSensitivity(CMS_CAP_LONG, SABR_MULTICURVES); AssertSensivityObjects.assertEquals( "SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ", pvpsCapLongExact, pvpsCapLongFD, TOLERANCE_PV_DELTA); final MultipleCurrencyParameterSensitivity pvpsCapShortExact = PS_SS_C.calculateSensitivity( CMS_CAP_SHORT, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames()); final MultipleCurrencyParameterSensitivity pvpsCapShortFD = PS_SS_FDC.calculateSensitivity(CMS_CAP_SHORT, SABR_MULTICURVES); AssertSensivityObjects.assertEquals( "SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ", pvpsCapShortExact, pvpsCapShortFD, TOLERANCE_PV_DELTA); }
/** * Test the present value rate sensitivity for a CMS cap with pricing by replication in the SABR * with extrapolation framework. */ public void presentValueCurveSensitivity() { final MultipleCurrencyParameterSensitivity pvpsCapLongExact = PS_SS_C.calculateSensitivity( CMS_CAP_LONG, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames()); final MultipleCurrencyParameterSensitivity pvpsCapLongFD = PS_SS_FDC.calculateSensitivity(CMS_CAP_LONG, SABR_MULTICURVES); AssertSensitivityObjects.assertEquals( "SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ", pvpsCapLongExact, pvpsCapLongFD, TOLERANCE_PV_DELTA); final MultipleCurrencyParameterSensitivity pvpsCapShortExact = PS_SS_C.calculateSensitivity( CMS_CAP_SHORT, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames()); final MultipleCurrencyParameterSensitivity pvpsCapShortFD = PS_SS_FDC.calculateSensitivity(CMS_CAP_SHORT, SABR_MULTICURVES); AssertSensitivityObjects.assertEquals( "SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ", pvpsCapShortExact, pvpsCapShortFD, TOLERANCE_PV_DELTA); }
@Test /** Tests present value curve sensitivity when the valuation date is on trade date. */ public void presentValueCurveSensitivity() { final MultipleCurrencyParameterSensitivity pvpsExact = PS_HW_C.calculateSensitivity( SWAPTION_SHORT_RECEIVER, HW_MULTICURVES, HW_MULTICURVES.getMulticurveProvider().getAllNames()); final MultipleCurrencyParameterSensitivity pvpsFD = PS_HW_FDC.calculateSensitivity(SWAPTION_SHORT_RECEIVER, HW_MULTICURVES); AssertSensivityObjects.assertEquals( "SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA); }
@Test /** Tests the curve sensitivity for the explicit formula. */ public void presentValueCurveSensitivity() { final MultipleCurrencyParameterSensitivity pvpsExact = PS_BS_C.calculateSensitivity( SWAPTION_LONG_REC, BLACK_MULTICURVES, BLACK_MULTICURVES.getMulticurveProvider().getAllNames()); final MultipleCurrencyParameterSensitivity pvpsFD = PS_BS_FDC.calculateSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES); AssertSensivityObjects.assertEquals( "Swaption Black method: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA); }
@Test(enabled = false) /** Tests present value curve sensitivity when the valuation date is on trade date. */ public void presentValueCurveSensitivityStability() { // 5Yx5Y final MultipleCurrencyParameterSensitivity pvpsExact = PS_HW_C.calculateSensitivity( SWAPTION_SHORT_RECEIVER, HW_MULTICURVES, HW_MULTICURVES.getMulticurveProvider().getAllNames()); final double derivativeExact = pvpsExact.totalSensitivity(MULTICURVES.getFxRates(), EUR); final double startingShift = 1.0E-4; final double ratio = Math.sqrt(2.0); final int nbShift = 55; final double[] eps = new double[nbShift + 1]; final double[] derivative_FD = new double[nbShift]; final double[] diff = new double[nbShift]; eps[0] = startingShift; for (int loopshift = 0; loopshift < nbShift; loopshift++) { final ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator fdShift = new ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator(PVHWC, eps[loopshift]); final MultipleCurrencyParameterSensitivity pvpsFD = fdShift.calculateSensitivity(SWAPTION_SHORT_RECEIVER, HW_MULTICURVES); derivative_FD[loopshift] = pvpsFD.totalSensitivity(MULTICURVES.getFxRates(), EUR); diff[loopshift] = derivative_FD[loopshift] - derivativeExact; eps[loopshift + 1] = eps[loopshift] / ratio; } // 1Mx5Y final Period expirationPeriod = Period.ofDays( 1); // Period.ofDays(1); Period.ofDays(7); Period.ofMonths(1); Period.ofYears(1); // Period.ofYears(10); final ZonedDateTime expiryDateExp = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, expirationPeriod, EURIBOR6M, CALENDAR); final ZonedDateTime settlementDateExp = ScheduleCalculator.getAdjustedDate(expiryDateExp, SPOT_LAG, CALENDAR); final double ATM = 0.0151; // 1W: 1.52% - 1M: 1.52% - 1Y: 1.51% - 10Y: 1.51% final SwapFixedIborDefinition swapExpx5YDefinition = SwapFixedIborDefinition.from( settlementDateExp, SWAP_TENOR, EUR1YEURIBOR6M, NOTIONAL, ATM, !FIXED_IS_PAYER); final SwaptionPhysicalFixedIborDefinition swaptionExpx5YDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapExpx5YDefinition, !IS_LONG); final SwaptionPhysicalFixedIbor swaptionExpx5Y = swaptionExpx5YDefinition.toDerivative(REFERENCE_DATE); // final double forward = swaptionExpx5Y.getUnderlyingSwap().accept(PRDC, MULTICURVES); final MultipleCurrencyParameterSensitivity pvpsExactExp = PS_HW_C.calculateSensitivity( swaptionExpx5Y, HW_MULTICURVES, HW_MULTICURVES.getMulticurveProvider().getAllNames()); final double derivativeExactExp = pvpsExactExp.totalSensitivity(MULTICURVES.getFxRates(), EUR); final double[] derivative_FDExp = new double[nbShift]; final double[] diffExp = new double[nbShift]; for (int loopshift = 0; loopshift < nbShift; loopshift++) { final ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator fdShift = new ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator(PVHWC, eps[loopshift]); final MultipleCurrencyParameterSensitivity pvpsFD = fdShift.calculateSensitivity(swaptionExpx5Y, HW_MULTICURVES); derivative_FDExp[loopshift] = pvpsFD.totalSensitivity(MULTICURVES.getFxRates(), EUR); diffExp[loopshift] = derivative_FDExp[loopshift] - derivativeExactExp; } // int t = 0; // t++; }