/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.capfloor;
import static com.opengamma.strata.basics.currency.Currency.EUR;
import static com.opengamma.strata.basics.index.IborIndices.EUR_EURIBOR_3M;
import static com.opengamma.strata.collect.TestHelper.date;
import static com.opengamma.strata.collect.TestHelper.dateUtc;
import static com.opengamma.strata.product.common.PayReceive.PAY;
import static com.opengamma.strata.product.common.PayReceive.RECEIVE;
import static com.opengamma.strata.product.common.PutCall.CALL;
import static com.opengamma.strata.product.common.PutCall.PUT;
import static org.testng.Assert.assertEquals;
import static org.testng.Assert.assertTrue;
import java.time.LocalDate;
import java.time.ZonedDateTime;
import org.testng.annotations.Test;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.value.ValueSchedule;
import com.opengamma.strata.collect.timeseries.LocalDateDoubleTimeSeries;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivityBuilder;
import com.opengamma.strata.pricer.rate.ImmutableRatesProvider;
import com.opengamma.strata.product.capfloor.IborCapletFloorletPeriod;
import com.opengamma.strata.product.capfloor.ResolvedIborCapFloorLeg;
/**
* Test {@link SabrIborCapFloorLegPricer}.
*/
@Test
public class SabrIborCapFloorLegPricerTest {
private static final double STRIKE = 0.015;
private static final double NOTIONAL_VALUE = 100_000_000;
private static final ValueSchedule STRIKE_SCHEDULE = ValueSchedule.of(STRIKE);
private static final ValueSchedule NOTIONAL = ValueSchedule.of(NOTIONAL_VALUE);
private static final LocalDate START = LocalDate.of(2011, 3, 17);
private static final LocalDate END = LocalDate.of(2016, 3, 17);
private static final ResolvedIborCapFloorLeg CAP =
IborCapFloorDataSet.createCapFloorLeg(EUR_EURIBOR_3M, START, END, STRIKE_SCHEDULE, NOTIONAL, CALL, RECEIVE);
private static final ResolvedIborCapFloorLeg FLOOR =
IborCapFloorDataSet.createCapFloorLeg(EUR_EURIBOR_3M, START, END, STRIKE_SCHEDULE, NOTIONAL, PUT, PAY);
// valuation before start
private static final ZonedDateTime VALUATION = dateUtc(2011, 1, 20);
private static final ImmutableRatesProvider RATES = IborCapletFloorletSabrRateVolatilityDataSet.getRatesProvider(
VALUATION.toLocalDate(), EUR_EURIBOR_3M, LocalDateDoubleTimeSeries.empty());
private static final SabrIborCapletFloorletVolatilities VOLS = IborCapletFloorletSabrRateVolatilityDataSet
.getVolatilities(VALUATION, EUR_EURIBOR_3M);
// valuation between fixing of 3rd period and payment of 2nd period
private static final double OBS_INDEX_2 = 0.012;
private static final double OBS_INDEX_3 = 0.0125;
private static final LocalDateDoubleTimeSeries TIME_SERIES = LocalDateDoubleTimeSeries.builder()
.put(date(2011, 6, 15), OBS_INDEX_2)
.put(date(2011, 9, 15), OBS_INDEX_3)
.build();
private static final ZonedDateTime VALUATION_AFTER = dateUtc(2011, 9, 16);
private static final ImmutableRatesProvider RATES_AFTER = IborCapletFloorletSabrRateVolatilityDataSet.getRatesProvider(
VALUATION_AFTER.toLocalDate(), EUR_EURIBOR_3M, TIME_SERIES);
private static final SabrIborCapletFloorletVolatilities VOLS_AFTER = IborCapletFloorletSabrRateVolatilityDataSet
.getVolatilities(VALUATION_AFTER, EUR_EURIBOR_3M);
// valuation at payment of 2nd period
private static final ZonedDateTime VALUATION_PAY = dateUtc(2011, 9, 19);
private static final ImmutableRatesProvider RATES_PAY =
IborCapletFloorletDataSet.createRatesProvider(VALUATION_PAY.toLocalDate(), EUR_EURIBOR_3M, TIME_SERIES);
private static final SabrIborCapletFloorletVolatilities VOLS_PAY = IborCapletFloorletSabrRateVolatilityDataSet
.getVolatilities(VALUATION_PAY, EUR_EURIBOR_3M);
private static final double TOL = 1.0e-14;
private static final SabrIborCapFloorLegPricer PRICER = SabrIborCapFloorLegPricer.DEFAULT;
private static final SabrIborCapletFloorletPeriodPricer PRICER_PERIOD = SabrIborCapletFloorletPeriodPricer.DEFAULT;
public void test_presentValue() {
CurrencyAmount capComputed = PRICER.presentValue(CAP, RATES, VOLS);
CurrencyAmount floorComputed = PRICER.presentValue(FLOOR, RATES, VOLS);
double capExpected = 0d;
double floorExpected = 0d;
int nPeriods = CAP.getCapletFloorletPeriods().size();
for (int i = 0; i < nPeriods; ++i) {
capExpected += PRICER_PERIOD.presentValue(CAP.getCapletFloorletPeriods().get(i), RATES, VOLS).getAmount();
floorExpected += PRICER_PERIOD.presentValue(FLOOR.getCapletFloorletPeriods().get(i), RATES, VOLS).getAmount();
}
assertEquals(capComputed.getCurrency(), EUR);
assertEquals(capComputed.getAmount(), capExpected);
assertEquals(floorComputed.getCurrency(), EUR);
assertEquals(floorComputed.getAmount(), floorExpected);
}
public void test_presentValue_after() {
CurrencyAmount capComputed = PRICER.presentValue(CAP, RATES_AFTER, VOLS_AFTER);
CurrencyAmount floorComputed = PRICER.presentValue(FLOOR, RATES_AFTER, VOLS_AFTER);
double capExpected = 0d;
IborCapletFloorletPeriod period = FLOOR.getCapletFloorletPeriods().get(1);
double floorExpected = -(STRIKE - OBS_INDEX_2) * NOTIONAL_VALUE * period.getYearFraction() *
RATES_AFTER.discountFactor(EUR, period.getPaymentDate());
int nPeriods = CAP.getCapletFloorletPeriods().size();
for (int i = 2; i < nPeriods; ++i) {
capExpected += PRICER_PERIOD.presentValue(CAP.getCapletFloorletPeriods().get(i), RATES_AFTER, VOLS_AFTER).getAmount();
floorExpected += PRICER_PERIOD.presentValue(FLOOR.getCapletFloorletPeriods().get(i), RATES_AFTER, VOLS_AFTER).getAmount();
}
assertEquals(capComputed.getCurrency(), EUR);
assertEquals(capComputed.getAmount(), capExpected, TOL * NOTIONAL_VALUE);
assertEquals(floorComputed.getCurrency(), EUR);
assertEquals(floorComputed.getAmount(), floorExpected, TOL * NOTIONAL_VALUE);
}
//-------------------------------------------------------------------------
public void test_presentValueDelta() {
CurrencyAmount capComputed = PRICER.presentValueDelta(CAP, RATES, VOLS);
CurrencyAmount floorComputed = PRICER.presentValueDelta(FLOOR, RATES, VOLS);
double capExpected = 0d;
double floorExpected = 0d;
int nPeriods = CAP.getCapletFloorletPeriods().size();
for (int i = 0; i < nPeriods; ++i) {
capExpected += PRICER_PERIOD.presentValueDelta(CAP.getCapletFloorletPeriods().get(i), RATES, VOLS).getAmount();
floorExpected += PRICER_PERIOD.presentValueDelta(FLOOR.getCapletFloorletPeriods().get(i), RATES, VOLS)
.getAmount();
}
assertEquals(capComputed.getCurrency(), EUR);
assertEquals(capComputed.getAmount(), capExpected, TOL * NOTIONAL_VALUE);
assertEquals(floorComputed.getCurrency(), EUR);
assertEquals(floorComputed.getAmount(), floorExpected, TOL * NOTIONAL_VALUE);
}
public void test_presentValueDelta_after() {
CurrencyAmount capComputed = PRICER.presentValueDelta(CAP, RATES_AFTER, VOLS_AFTER);
CurrencyAmount floorComputed = PRICER.presentValueDelta(FLOOR, RATES_AFTER, VOLS_AFTER);
double capExpected = 0d;
double floorExpected = 0d;
int nPeriods = CAP.getCapletFloorletPeriods().size();
for (int i = 2; i < nPeriods; ++i) {
capExpected += PRICER_PERIOD.presentValueDelta(CAP.getCapletFloorletPeriods().get(i), RATES_AFTER, VOLS_AFTER)
.getAmount();
floorExpected += PRICER_PERIOD
.presentValueDelta(FLOOR.getCapletFloorletPeriods().get(i), RATES_AFTER, VOLS_AFTER).getAmount();
}
assertEquals(capComputed.getCurrency(), EUR);
assertEquals(capComputed.getAmount(), capExpected, TOL * NOTIONAL_VALUE);
assertEquals(floorComputed.getCurrency(), EUR);
assertEquals(floorComputed.getAmount(), floorExpected, TOL * NOTIONAL_VALUE);
}
//-------------------------------------------------------------------------
public void test_presentValueGamma() {
CurrencyAmount capComputed = PRICER.presentValueGamma(CAP, RATES, VOLS);
CurrencyAmount floorComputed = PRICER.presentValueGamma(FLOOR, RATES, VOLS);
double capExpected = 0d;
double floorExpected = 0d;
int nPeriods = CAP.getCapletFloorletPeriods().size();
for (int i = 0; i < nPeriods; ++i) {
capExpected += PRICER_PERIOD.presentValueGamma(CAP.getCapletFloorletPeriods().get(i), RATES, VOLS).getAmount();
floorExpected += PRICER_PERIOD.presentValueGamma(FLOOR.getCapletFloorletPeriods().get(i), RATES, VOLS)
.getAmount();
}
assertEquals(capComputed.getCurrency(), EUR);
assertEquals(capComputed.getAmount(), capExpected, TOL * NOTIONAL_VALUE);
assertEquals(floorComputed.getCurrency(), EUR);
assertEquals(floorComputed.getAmount(), floorExpected, TOL * NOTIONAL_VALUE);
}
public void test_presentValueGamma_after() {
CurrencyAmount capComputed = PRICER.presentValueGamma(CAP, RATES_AFTER, VOLS_AFTER);
CurrencyAmount floorComputed = PRICER.presentValueGamma(FLOOR, RATES_AFTER, VOLS_AFTER);
double capExpected = 0d;
double floorExpected = 0d;
int nPeriods = CAP.getCapletFloorletPeriods().size();
for (int i = 2; i < nPeriods; ++i) {
capExpected += PRICER_PERIOD.presentValueGamma(CAP.getCapletFloorletPeriods().get(i), RATES_AFTER, VOLS_AFTER)
.getAmount();
floorExpected += PRICER_PERIOD
.presentValueGamma(FLOOR.getCapletFloorletPeriods().get(i), RATES_AFTER, VOLS_AFTER).getAmount();
}
assertEquals(capComputed.getCurrency(), EUR);
assertEquals(capComputed.getAmount(), capExpected, TOL * NOTIONAL_VALUE);
assertEquals(floorComputed.getCurrency(), EUR);
assertEquals(floorComputed.getAmount(), floorExpected, TOL * NOTIONAL_VALUE);
}
//-------------------------------------------------------------------------
public void test_presentValueTheta() {
CurrencyAmount capComputed = PRICER.presentValueTheta(CAP, RATES, VOLS);
CurrencyAmount floorComputed = PRICER.presentValueTheta(FLOOR, RATES, VOLS);
double capExpected = 0d;
double floorExpected = 0d;
int nPeriods = CAP.getCapletFloorletPeriods().size();
for (int i = 0; i < nPeriods; ++i) {
capExpected += PRICER_PERIOD.presentValueTheta(CAP.getCapletFloorletPeriods().get(i), RATES, VOLS).getAmount();
floorExpected += PRICER_PERIOD.presentValueTheta(FLOOR.getCapletFloorletPeriods().get(i), RATES, VOLS)
.getAmount();
}
assertEquals(capComputed.getCurrency(), EUR);
assertEquals(capComputed.getAmount(), capExpected, TOL * NOTIONAL_VALUE);
assertEquals(floorComputed.getCurrency(), EUR);
assertEquals(floorComputed.getAmount(), floorExpected, TOL * NOTIONAL_VALUE);
}
public void test_presentValueTheta_after() {
CurrencyAmount capComputed = PRICER.presentValueTheta(CAP, RATES_AFTER, VOLS_AFTER);
CurrencyAmount floorComputed = PRICER.presentValueTheta(FLOOR, RATES_AFTER, VOLS_AFTER);
double capExpected = 0d;
double floorExpected = 0d;
int nPeriods = CAP.getCapletFloorletPeriods().size();
for (int i = 2; i < nPeriods; ++i) {
capExpected += PRICER_PERIOD.presentValueTheta(CAP.getCapletFloorletPeriods().get(i), RATES_AFTER, VOLS_AFTER)
.getAmount();
floorExpected += PRICER_PERIOD
.presentValueTheta(FLOOR.getCapletFloorletPeriods().get(i), RATES_AFTER, VOLS_AFTER).getAmount();
}
assertEquals(capComputed.getCurrency(), EUR);
assertEquals(capComputed.getAmount(), capExpected, TOL * NOTIONAL_VALUE);
assertEquals(floorComputed.getCurrency(), EUR);
assertEquals(floorComputed.getAmount(), floorExpected, TOL * NOTIONAL_VALUE);
}
//-------------------------------------------------------------------------
public void test_presentValueSensitivityRatesStickyModel() {
PointSensitivityBuilder capComputed = PRICER.presentValueSensitivityRatesStickyModel(CAP, RATES, VOLS);
PointSensitivityBuilder floorComputed = PRICER.presentValueSensitivityRatesStickyModel(FLOOR, RATES, VOLS);
PointSensitivityBuilder capExpected = PointSensitivityBuilder.none();
PointSensitivityBuilder floorExpected = PointSensitivityBuilder.none();
int nPeriods = CAP.getCapletFloorletPeriods().size();
for (int i = 0; i < nPeriods; ++i) {
capExpected = capExpected.combinedWith(
PRICER_PERIOD.presentValueSensitivityRatesStickyModel(CAP.getCapletFloorletPeriods().get(i), RATES, VOLS));
floorExpected = floorExpected.combinedWith(
PRICER_PERIOD.presentValueSensitivityRatesStickyModel(FLOOR.getCapletFloorletPeriods().get(i), RATES, VOLS));
}
CurrencyParameterSensitivities capSensiComputed = RATES_AFTER.parameterSensitivity(capComputed.build());
CurrencyParameterSensitivities floorSensiComputed = RATES_AFTER.parameterSensitivity(floorComputed.build());
CurrencyParameterSensitivities capSensiExpected = RATES_AFTER.parameterSensitivity(capExpected.build());
CurrencyParameterSensitivities floorSensiExpected = RATES_AFTER.parameterSensitivity(floorExpected.build());
assertTrue(capSensiComputed.equalWithTolerance(capSensiExpected, NOTIONAL_VALUE * TOL));
assertTrue(floorSensiComputed.equalWithTolerance(floorSensiExpected, NOTIONAL_VALUE * TOL));
}
public void test_presentValueSensitivityRatesStickyModel_after() {
PointSensitivityBuilder capComputed = PRICER.presentValueSensitivityRatesStickyModel(CAP, RATES_AFTER, VOLS_AFTER);
PointSensitivityBuilder floorComputed = PRICER.presentValueSensitivityRatesStickyModel(FLOOR, RATES_AFTER, VOLS_AFTER);
PointSensitivityBuilder capExpected = PointSensitivityBuilder.none();
IborCapletFloorletPeriod period = FLOOR.getCapletFloorletPeriods().get(1);
PointSensitivityBuilder floorExpected = RATES_AFTER.discountFactors(EUR).zeroRatePointSensitivity(period.getPaymentDate())
.multipliedBy(-(STRIKE - OBS_INDEX_2) * NOTIONAL_VALUE * period.getYearFraction());
int nPeriods = CAP.getCapletFloorletPeriods().size();
for (int i = 2; i < nPeriods; ++i) {
capExpected = capExpected.combinedWith(
PRICER_PERIOD.presentValueSensitivityRatesStickyModel(CAP.getCapletFloorletPeriods().get(i), RATES_AFTER, VOLS_AFTER));
floorExpected = floorExpected.combinedWith(
PRICER_PERIOD.presentValueSensitivityRatesStickyModel(
FLOOR.getCapletFloorletPeriods().get(i), RATES_AFTER, VOLS_AFTER));
}
CurrencyParameterSensitivities capSensiComputed = RATES_AFTER.parameterSensitivity(capComputed.build());
CurrencyParameterSensitivities floorSensiComputed = RATES_AFTER.parameterSensitivity(floorComputed.build());
CurrencyParameterSensitivities capSensiExpected = RATES_AFTER.parameterSensitivity(capExpected.build());
CurrencyParameterSensitivities floorSensiExpected = RATES_AFTER.parameterSensitivity(floorExpected.build());
assertTrue(capSensiComputed.equalWithTolerance(capSensiExpected, NOTIONAL_VALUE * TOL));
assertTrue(floorSensiComputed.equalWithTolerance(floorSensiExpected, NOTIONAL_VALUE * TOL));
}
public void test_presentValueSensitivityRates() {
PointSensitivityBuilder capComputed = PRICER.presentValueSensitivityRates(CAP, RATES, VOLS);
PointSensitivityBuilder floorComputed = PRICER.presentValueSensitivityRates(FLOOR, RATES, VOLS);
PointSensitivityBuilder capExpected = PointSensitivityBuilder.none();
PointSensitivityBuilder floorExpected = PointSensitivityBuilder.none();
int nPeriods = CAP.getCapletFloorletPeriods().size();
for (int i = 0; i < nPeriods; ++i) {
capExpected = capExpected.combinedWith(
PRICER_PERIOD.presentValueSensitivityRates(CAP.getCapletFloorletPeriods().get(i), RATES, VOLS));
floorExpected = floorExpected.combinedWith(
PRICER_PERIOD.presentValueSensitivityRates(FLOOR.getCapletFloorletPeriods().get(i), RATES, VOLS));
}
CurrencyParameterSensitivities capSensiComputed = RATES_AFTER.parameterSensitivity(capComputed.build());
CurrencyParameterSensitivities floorSensiComputed = RATES_AFTER.parameterSensitivity(floorComputed.build());
CurrencyParameterSensitivities capSensiExpected = RATES_AFTER.parameterSensitivity(capExpected.build());
CurrencyParameterSensitivities floorSensiExpected = RATES_AFTER.parameterSensitivity(floorExpected.build());
assertTrue(capSensiComputed.equalWithTolerance(capSensiExpected, NOTIONAL_VALUE * TOL));
assertTrue(floorSensiComputed.equalWithTolerance(floorSensiExpected, NOTIONAL_VALUE * TOL));
}
public void test_presentValueSensitivityRates_after() {
PointSensitivityBuilder capComputed = PRICER.presentValueSensitivityRates(CAP, RATES_AFTER, VOLS_AFTER);
PointSensitivityBuilder floorComputed = PRICER.presentValueSensitivityRates(FLOOR, RATES_AFTER, VOLS_AFTER);
PointSensitivityBuilder capExpected = PointSensitivityBuilder.none();
IborCapletFloorletPeriod period = FLOOR.getCapletFloorletPeriods().get(1);
PointSensitivityBuilder floorExpected = RATES_AFTER.discountFactors(EUR).zeroRatePointSensitivity(period.getPaymentDate())
.multipliedBy(-(STRIKE - OBS_INDEX_2) * NOTIONAL_VALUE * period.getYearFraction());
int nPeriods = CAP.getCapletFloorletPeriods().size();
for (int i = 2; i < nPeriods; ++i) {
capExpected = capExpected.combinedWith(
PRICER_PERIOD.presentValueSensitivityRates(CAP.getCapletFloorletPeriods().get(i), RATES_AFTER, VOLS_AFTER));
floorExpected = floorExpected.combinedWith(
PRICER_PERIOD.presentValueSensitivityRates(FLOOR.getCapletFloorletPeriods().get(i), RATES_AFTER, VOLS_AFTER));
}
CurrencyParameterSensitivities capSensiComputed = RATES_AFTER.parameterSensitivity(capComputed.build());
CurrencyParameterSensitivities floorSensiComputed = RATES_AFTER.parameterSensitivity(floorComputed.build());
CurrencyParameterSensitivities capSensiExpected = RATES_AFTER.parameterSensitivity(capExpected.build());
CurrencyParameterSensitivities floorSensiExpected = RATES_AFTER.parameterSensitivity(floorExpected.build());
assertTrue(capSensiComputed.equalWithTolerance(capSensiExpected, NOTIONAL_VALUE * TOL));
assertTrue(floorSensiComputed.equalWithTolerance(floorSensiExpected, NOTIONAL_VALUE * TOL));
}
//-------------------------------------------------------------------------
public void test_presentValueSensitivityModelParamsSabr() {
PointSensitivityBuilder capComputed = PRICER.presentValueSensitivityModelParamsSabr(CAP, RATES, VOLS);
PointSensitivityBuilder floorComputed = PRICER.presentValueSensitivityModelParamsSabr(FLOOR, RATES, VOLS);
CurrencyParameterSensitivities capExpected = CurrencyParameterSensitivities.empty();
CurrencyParameterSensitivities floorExpected = CurrencyParameterSensitivities.empty();
int nPeriods = CAP.getCapletFloorletPeriods().size();
for (int i = 0; i < nPeriods; ++i) {
capExpected = capExpected.combinedWith(VOLS.parameterSensitivity(PRICER_PERIOD
.presentValueSensitivityModelParamsSabr(CAP.getCapletFloorletPeriods().get(i), RATES, VOLS).build()));
floorExpected = floorExpected.combinedWith(VOLS.parameterSensitivity(PRICER_PERIOD
.presentValueSensitivityModelParamsSabr(FLOOR.getCapletFloorletPeriods().get(i), RATES, VOLS).build()));
}
CurrencyParameterSensitivities capSensiComputed = VOLS.parameterSensitivity(capComputed.build());
CurrencyParameterSensitivities floorSensiComputed = VOLS.parameterSensitivity(floorComputed.build());
assertTrue(capSensiComputed.equalWithTolerance(capExpected, TOL * NOTIONAL_VALUE));
assertTrue(floorSensiComputed.equalWithTolerance(floorExpected, TOL * NOTIONAL_VALUE));
}
public void test_presentValueSensitivityModelParamsSabr_after() {
PointSensitivityBuilder capComputed = PRICER.presentValueSensitivityModelParamsSabr(CAP, RATES_AFTER, VOLS_AFTER);
PointSensitivityBuilder floorComputed = PRICER.presentValueSensitivityModelParamsSabr(FLOOR, RATES_AFTER, VOLS_AFTER);
CurrencyParameterSensitivities capExpected = CurrencyParameterSensitivities.empty();
CurrencyParameterSensitivities floorExpected = CurrencyParameterSensitivities.empty();
int nPeriods = CAP.getCapletFloorletPeriods().size();
for (int i = 3; i < nPeriods; ++i) {
capExpected = capExpected.combinedWith(VOLS_AFTER.parameterSensitivity(PRICER_PERIOD
.presentValueSensitivityModelParamsSabr(CAP.getCapletFloorletPeriods().get(i), RATES_AFTER, VOLS_AFTER).build()));
floorExpected = floorExpected.combinedWith(VOLS_AFTER.parameterSensitivity(PRICER_PERIOD
.presentValueSensitivityModelParamsSabr(FLOOR.getCapletFloorletPeriods().get(i), RATES_AFTER, VOLS_AFTER)
.build()));
}
CurrencyParameterSensitivities capSensiComputed = VOLS_AFTER.parameterSensitivity(capComputed.build());
CurrencyParameterSensitivities floorSensiComputed = VOLS_AFTER.parameterSensitivity(floorComputed.build());
assertTrue(capSensiComputed.equalWithTolerance(capExpected, TOL * NOTIONAL_VALUE));
assertTrue(floorSensiComputed.equalWithTolerance(floorExpected, TOL * NOTIONAL_VALUE));
}
public void test_presentValueSensitivityModelParamsVolatility() {
PointSensitivityBuilder capComputed = PRICER.presentValueSensitivityModelParamsVolatility(CAP, RATES, VOLS);
PointSensitivityBuilder floorComputed = PRICER.presentValueSensitivityModelParamsVolatility(FLOOR, RATES, VOLS);
CurrencyParameterSensitivities capExpected = CurrencyParameterSensitivities.empty();
CurrencyParameterSensitivities floorExpected = CurrencyParameterSensitivities.empty();
int nPeriods = CAP.getCapletFloorletPeriods().size();
for (int i = 0; i < nPeriods; ++i) {
capExpected = capExpected.combinedWith(VOLS.parameterSensitivity(PRICER_PERIOD
.presentValueSensitivityModelParamsVolatility(CAP.getCapletFloorletPeriods().get(i), RATES, VOLS).build()));
floorExpected = floorExpected.combinedWith(VOLS.parameterSensitivity(PRICER_PERIOD
.presentValueSensitivityModelParamsVolatility(FLOOR.getCapletFloorletPeriods().get(i), RATES, VOLS).build()));
}
CurrencyParameterSensitivities capSensiComputed = VOLS.parameterSensitivity(capComputed.build());
CurrencyParameterSensitivities floorSensiComputed = VOLS.parameterSensitivity(floorComputed.build());
assertTrue(capSensiComputed.equalWithTolerance(capExpected, TOL * NOTIONAL_VALUE));
assertTrue(floorSensiComputed.equalWithTolerance(floorExpected, TOL * NOTIONAL_VALUE));
}
public void test_presentValueSensitivityModelParamsVolatility_after() {
PointSensitivityBuilder capComputed = PRICER.presentValueSensitivityModelParamsVolatility(CAP, RATES_AFTER, VOLS_AFTER);
PointSensitivityBuilder floorComputed = PRICER.presentValueSensitivityModelParamsVolatility(FLOOR, RATES_AFTER, VOLS_AFTER);
CurrencyParameterSensitivities capExpected = CurrencyParameterSensitivities.empty();
CurrencyParameterSensitivities floorExpected = CurrencyParameterSensitivities.empty();
int nPeriods = CAP.getCapletFloorletPeriods().size();
for (int i = 3; i < nPeriods; ++i) {
capExpected = capExpected.combinedWith(VOLS_AFTER.parameterSensitivity(PRICER_PERIOD
.presentValueSensitivityModelParamsVolatility(CAP.getCapletFloorletPeriods().get(i), RATES_AFTER, VOLS_AFTER).build()));
floorExpected = floorExpected.combinedWith(VOLS_AFTER.parameterSensitivity(PRICER_PERIOD
.presentValueSensitivityModelParamsVolatility(FLOOR.getCapletFloorletPeriods().get(i), RATES_AFTER, VOLS_AFTER)
.build()));
}
CurrencyParameterSensitivities capSensiComputed = VOLS_AFTER.parameterSensitivity(capComputed.build());
CurrencyParameterSensitivities floorSensiComputed = VOLS_AFTER.parameterSensitivity(floorComputed.build());
assertTrue(capSensiComputed.equalWithTolerance(capExpected, TOL * NOTIONAL_VALUE));
assertTrue(floorSensiComputed.equalWithTolerance(floorExpected, TOL * NOTIONAL_VALUE));
}
//-------------------------------------------------------------------------
public void test_currentCash() {
CurrencyAmount capComputed = PRICER.currentCash(CAP, RATES, VOLS);
CurrencyAmount floorComputed = PRICER.currentCash(FLOOR, RATES, VOLS);
assertEquals(capComputed.getCurrency(), EUR);
assertEquals(capComputed.getAmount(), 0d);
assertEquals(floorComputed.getCurrency(), EUR);
assertEquals(floorComputed.getAmount(), 0d);
}
public void test_currentCash_pay() {
CurrencyAmount capComputed = PRICER.currentCash(CAP, RATES_PAY, VOLS_PAY);
CurrencyAmount floorComputed = PRICER.currentCash(FLOOR, RATES_PAY, VOLS_PAY);
double capExpected = 0d;
IborCapletFloorletPeriod period = FLOOR.getCapletFloorletPeriods().get(1);
double floorExpected = -(STRIKE - OBS_INDEX_2) * NOTIONAL_VALUE * period.getYearFraction();
assertEquals(capComputed.getCurrency(), EUR);
assertEquals(capComputed.getAmount(), capExpected);
assertEquals(floorComputed.getCurrency(), EUR);
assertEquals(floorComputed.getAmount(), floorExpected, TOL * NOTIONAL_VALUE);
}
}