Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle

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   */
  public void presentValueSABRSensitivity() {
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, CURVES);
    final double pv = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, sabrBundle).getAmount();
    final PresentValueSABRSensitivityDataBundle pvsCapLong = METHOD_EXTRAPOLATION_CAP.presentValueSABRSensitivity(CMS_CAP_LONG, sabrBundle);
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final double maturity = CMS_CAP_LONG.getUnderlyingSwap().getFixedLeg().getNthPayment(CMS_CAP_LONG.getUnderlyingSwap().getFixedLeg().getNumberOfPayments() - 1).getPaymentTime()
        - CMS_CAP_LONG.getSettlementTime();
    final DoublesPair expectedExpiryTenor = new DoublesPair(CMS_CAP_LONG.getFixingTime(), maturity);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = TestsDataSetsSABR.createSABR1AlphaBumped(shiftAlpha);
    final SABRInterestRateDataBundle sabrBundleAlphaBumped = new SABRInterestRateDataBundle(sabrParameterAlphaBumped, CURVES);
    final double pvLongPayerAlphaBumped = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, sabrBundleAlphaBumped).getAmount();
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 1);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor), TOLERANCE_DELTA);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = TestsDataSetsSABR.createSABR1RhoBumped();
    final SABRInterestRateDataBundle sabrBundleRhoBumped = new SABRInterestRateDataBundle(sabrParameterRhoBumped, CURVES);
    final double pvLongPayerRhoBumped = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, sabrBundleRhoBumped).getAmount();
    final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
    assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 1);
    assertEquals("Rho sensitivity expiry/tenor", pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Rho sensitivity value", expectedRhoSensi, pvsCapLong.getRho().getMap().get(expectedExpiryTenor), TOLERANCE_DELTA);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = TestsDataSetsSABR.createSABR1NuBumped();
    final SABRInterestRateDataBundle sabrBundleNuBumped = new SABRInterestRateDataBundle(sabrParameterNuBumped, CURVES);
    final double pvLongPayerNuBumped = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, sabrBundleNuBumped).getAmount();
    final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
    assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 1);
    assertTrue("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor));
    assertEquals("Nu sensitivity value", expectedNuSensi, pvsCapLong.getNu().getMap().get(expectedExpiryTenor), TOLERANCE_DELTA);
  }
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   */
  public void presentValueSABRSensitivityCoupon() {
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, CURVES);
    final double pv = METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, sabrBundle).getAmount();
    final PresentValueSABRSensitivityDataBundle pvsCpn = METHOD_EXTRAPOLATION_CPN.presentValueSABRSensitivity(CMS_COUPON, sabrBundle);
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final double maturity = CMS_COUPON.getUnderlyingSwap().getFixedLeg().getNthPayment(CMS_COUPON.getUnderlyingSwap().getFixedLeg().getNumberOfPayments() - 1).getPaymentTime()
        - CMS_COUPON.getSettlementTime();
    final DoublesPair expectedExpiryTenor = new DoublesPair(CMS_COUPON.getFixingTime(), maturity);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = TestsDataSetsSABR.createSABR1AlphaBumped(shiftAlpha);
    final SABRInterestRateDataBundle sabrBundleAlphaBumped = new SABRInterestRateDataBundle(sabrParameterAlphaBumped, CURVES);
    final double pvLongPayerAlphaBumped = METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, sabrBundleAlphaBumped).getAmount();
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsCpn.getAlpha().getMap().keySet().size(), 1);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCpn.getAlpha().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsCpn.getAlpha().getMap().get(expectedExpiryTenor), TOLERANCE_DELTA);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = TestsDataSetsSABR.createSABR1RhoBumped();
    final SABRInterestRateDataBundle sabrBundleRhoBumped = new SABRInterestRateDataBundle(sabrParameterRhoBumped, CURVES);
    final double pvLongPayerRhoBumped = METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, sabrBundleRhoBumped).getAmount();
    final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
    assertEquals("Number of rho sensitivity", pvsCpn.getRho().getMap().keySet().size(), 1);
    assertEquals("Rho sensitivity expiry/tenor", pvsCpn.getRho().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Rho sensitivity value", expectedRhoSensi, pvsCpn.getRho().getMap().get(expectedExpiryTenor), TOLERANCE_DELTA);
    // Nu sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = TestsDataSetsSABR.createSABR1NuBumped();
    final SABRInterestRateDataBundle sabrBundleNuBumped = new SABRInterestRateDataBundle(sabrParameterNuBumped, CURVES);
    final double pvLongPayerNuBumped = METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, sabrBundleNuBumped).getAmount();
    final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
    assertEquals("Number of nu sensitivity", pvsCpn.getNu().getMap().keySet().size(), 1);
    assertTrue("Nu sensitivity expiry/tenor", pvsCpn.getNu().getMap().keySet().contains(expectedExpiryTenor));
    assertEquals("Nu sensitivity value", expectedNuSensi, pvsCpn.getNu().getMap().get(expectedExpiryTenor), TOLERANCE_DELTA);
  }
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  }

  @Test
  public void presentValueSABRSensitivity() {
    // Swaption sensitivity
    final PresentValueSABRSensitivityDataBundle pvsLongPayer = METHOD_SWPT_SABR.presentValueSABRSensitivity(SWAPTION_LONG_PAYER, SABR_MULTICURVES);
    PresentValueSABRSensitivityDataBundle pvsShortPayer = METHOD_SWPT_SABR.presentValueSABRSensitivity(SWAPTION_SHORT_PAYER, SABR_MULTICURVES);
    // Long/short parity
    pvsShortPayer = pvsShortPayer.multiplyBy(-1.0);
    assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValueSABRSensitivity", pvsLongPayer.getAlpha(), pvsShortPayer.getAlpha());
    // SABR sensitivity vs finite difference
    final double pvLongPayer = METHOD_SWPT_SABR.presentValue(SWAPTION_LONG_PAYER, SABR_MULTICURVES).getAmount(EUR);
    final double shift = 1.0E-8;
    final DoublesPair expectedExpiryTenor = new DoublesPair(SWAPTION_LONG_PAYER.getTimeToExpiry(), ANNUITY_TENOR_YEAR);
    // Alpha sensitivity vs finite difference computation
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  @Test
  /**
   * Tests the present value SABR parameters sensitivity: Method vs Calculator.
   */
  public void presentValueSABRSensitivityMethodVsCalculator() {
    final PresentValueSABRSensitivityDataBundle pvssMethod = METHOD_SWPT_SABR.presentValueSABRSensitivity(SWAPTION_LONG_PAYER, SABR_MULTICURVES);
    final PresentValueSABRSensitivityDataBundle pvssCalculator = PVSSSSC.visit(SWAPTION_LONG_PAYER, SABR_MULTICURVES);
    assertEquals("Swaption Physical SABR: Present value SABR sensitivity: method vs calculator", pvssMethod, pvssCalculator);
  }
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  @Test
  /**
   * Tests the present value SABR parameters sensitivity: Method vs Calculator.
   */
  public void presentValueSABRSensitivityMethodVsCalculator() {
    final PresentValueSABRSensitivityDataBundle pvssMethod = METHOD_EXTRAPOLATION_CAP.presentValueSABRSensitivity(CMS_CAP_LONG, SABR_BUNDLE);
    final PresentValueSABRSensitivityDataBundle pvssCalculator = CMS_CAP_LONG.accept(PVSSC_SABR, SABR_BUNDLE);
    assertEquals("CMS cap/floor SABR: Present value SABR sensitivity: method vs calculator", pvssMethod, pvssCalculator);
  }
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      final double nu = sabr.getSABRParameter().getNu(expiryMaturity);
      final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
      final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, _cutOffStrike, cap.getFixingTime(), _mu);
      sabrExtrapolation.priceAdjointSABR(option, bsDsabr);
    }
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    final DoublesPair expiryMaturity = new DoublesPair(cap.getFixingTime(), maturity);
    sensi.addAlpha(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsDsabr[0]);
    sensi.addBeta(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsDsabr[1]);
    sensi.addRho(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsDsabr[2]);
    sensi.addNu(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsDsabr[3]);
    return sensi;
  }
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  /**
   * Tests the present value SABR parameters sensitivity vs finite difference.
   */
  public void presentValueSABRSensitivityExtrapolation() {
    final double pv = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, SABR_BUNDLE).getAmount();
    final PresentValueSABRSensitivityDataBundle pvsCapLong = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValueSABRSensitivity(CMS_CAP_SPREAD, SABR_BUNDLE);
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final double maturity1 = CMS_CAP_SPREAD.getUnderlyingSwap1().getFixedLeg().getNthPayment(CMS_CAP_SPREAD.getUnderlyingSwap1().getFixedLeg().getNumberOfPayments() - 1).getPaymentTime()
        - CMS_CAP_SPREAD.getSettlementTime();
    final DoublesPair expectedExpiryTenor1 = new DoublesPair(CMS_CAP_SPREAD.getFixingTime(), maturity1);
    final double maturity2 = CMS_CAP_SPREAD.getUnderlyingSwap2().getFixedLeg().getNthPayment(CMS_CAP_SPREAD.getUnderlyingSwap2().getFixedLeg().getNumberOfPayments() - 1).getPaymentTime()
        - CMS_CAP_SPREAD.getSettlementTime();
    final DoublesPair expectedExpiryTenor2 = new DoublesPair(CMS_CAP_SPREAD.getFixingTime(), maturity2);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = TestsDataSetsSABR.createSABR1AlphaBumped(shiftAlpha);
    final SABRInterestRateDataBundle sabrBundleAlphaBumped = new SABRInterestRateDataBundle(sabrParameterAlphaBumped, CURVES);
    final double pvLongPayerAlphaBumped = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, sabrBundleAlphaBumped).getAmount();
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 2);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor1), true);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor2), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor1) + pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor2), 5.0E+3);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = TestsDataSetsSABR.createSABR1RhoBumped();
    final SABRInterestRateDataBundle sabrBundleRhoBumped = new SABRInterestRateDataBundle(sabrParameterRhoBumped, CURVES);
    final double pvLongPayerRhoBumped = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, sabrBundleRhoBumped).getAmount();
    final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
    assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 2);
    assertEquals("Rho sensitivity expiry/tenor", pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor1), true);
    assertEquals("Rho sensitivity expiry/tenor", pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor2), true);
    assertEquals("Rho sensitivity value", expectedRhoSensi, pvsCapLong.getRho().getMap().get(expectedExpiryTenor1) + pvsCapLong.getRho().getMap().get(expectedExpiryTenor2), 5.0E+1);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = TestsDataSetsSABR.createSABR1NuBumped();
    final SABRInterestRateDataBundle sabrBundleNuBumped = new SABRInterestRateDataBundle(sabrParameterNuBumped, CURVES);
    final double pvLongPayerNuBumped = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, sabrBundleNuBumped).getAmount();
    final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
    assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 2);
    assertTrue("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor1));
    assertTrue("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor2));
    assertEquals("Nu sensitivity value", expectedNuSensi, pvsCapLong.getNu().getMap().get(expectedExpiryTenor1) + pvsCapLong.getNu().getMap().get(expectedExpiryTenor2), 2.0E+2);
  }
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  /**
   * Tests the cap present value SABR parameters sensitivity vs finite difference.
   */
  public void presentValueSABRSensitivity() {
    final double pv = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, SABR_MULTICURVES).getAmount(EUR);
    final PresentValueSABRSensitivityDataBundle pvsCapLong = METHOD_EXTRAPOLATION_CAP.presentValueSABRSensitivity(CMS_CAP_LONG, SABR_MULTICURVES);
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final double maturity = CMS_CAP_LONG.getUnderlyingSwap().getFixedLeg().getNthPayment(CMS_CAP_LONG.getUnderlyingSwap().getFixedLeg().getNumberOfPayments() - 1).getPaymentTime()
        - CMS_CAP_LONG.getSettlementTime();
    final DoublesPair expectedExpiryTenor = new DoublesPair(CMS_CAP_LONG.getFixingTime(), maturity);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
    final SABRSwaptionProviderDiscount sabrBundleAlphaBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
    final double pvLongPayerAlphaBumped = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, sabrBundleAlphaBumped).getAmount(EUR);
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsCapLong.getAlpha().getMap().keySet().size(), 1);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCapLong.getAlpha().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsCapLong.getAlpha().getMap().get(expectedExpiryTenor), TOLERANCE_PV_DELTA);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped();
    final SABRSwaptionProviderDiscount sabrBundleRhoBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
    final double pvLongPayerRhoBumped = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, sabrBundleRhoBumped).getAmount(EUR);
    final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
    assertEquals("Number of rho sensitivity", pvsCapLong.getRho().getMap().keySet().size(), 1);
    assertEquals("Rho sensitivity expiry/tenor", pvsCapLong.getRho().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Rho sensitivity value", expectedRhoSensi, pvsCapLong.getRho().getMap().get(expectedExpiryTenor), TOLERANCE_PV_DELTA);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped();
    final SABRSwaptionProviderDiscount sabrBundleNuBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
    final double pvLongPayerNuBumped = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, sabrBundleNuBumped).getAmount(EUR);
    final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
    assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 1);
    assertTrue("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor));
    assertEquals("Nu sensitivity value", expectedNuSensi, pvsCapLong.getNu().getMap().get(expectedExpiryTenor), TOLERANCE_PV_DELTA);
  }
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      } catch (final Exception e) {
        throw new RuntimeException(e);
      }
      totalSensi[loopparameter] = (strikePartPrice[loopparameter] + integralPart[loopparameter]) * cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction();
    }
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    final DoublesPair expiryMaturity = new DoublesPair(cmsCapFloor.getFixingTime(), maturity);
    sensi.addAlpha(expiryMaturity, totalSensi[0]);
    sensi.addBeta(expiryMaturity, totalSensi[1]);
    sensi.addRho(expiryMaturity, totalSensi[2]);
    sensi.addNu(expiryMaturity, totalSensi[3]);
    return sensi;
  }
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  /**
   * Tests the coupon present value SABR parameters sensitivity vs finite difference.
   */
  public void presentValueSABRSensitivityCoupon() {
    final double pv = METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, SABR_MULTICURVES).getAmount(EUR);
    final PresentValueSABRSensitivityDataBundle pvsCpn = METHOD_EXTRAPOLATION_CPN.presentValueSABRSensitivity(CMS_COUPON, SABR_MULTICURVES);
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final double maturity = CMS_COUPON.getUnderlyingSwap().getFixedLeg().getNthPayment(CMS_COUPON.getUnderlyingSwap().getFixedLeg().getNumberOfPayments() - 1).getPaymentTime()
        - CMS_COUPON.getSettlementTime();
    final DoublesPair expectedExpiryTenor = new DoublesPair(CMS_COUPON.getFixingTime(), maturity);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
    final SABRSwaptionProviderDiscount sabrBundleAlphaBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
    final double pvLongPayerAlphaBumped = METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, sabrBundleAlphaBumped).getAmount(EUR);
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped - pv) / shiftAlpha;
    assertEquals("Number of alpha sensitivity", pvsCpn.getAlpha().getMap().keySet().size(), 1);
    assertEquals("Alpha sensitivity expiry/tenor", pvsCpn.getAlpha().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsCpn.getAlpha().getMap().get(expectedExpiryTenor), TOLERANCE_PV_DELTA);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped();
    final SABRSwaptionProviderDiscount sabrBundleRhoBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
    final double pvLongPayerRhoBumped = METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, sabrBundleRhoBumped).getAmount(EUR);
    final double expectedRhoSensi = (pvLongPayerRhoBumped - pv) / shift;
    assertEquals("Number of rho sensitivity", pvsCpn.getRho().getMap().keySet().size(), 1);
    assertEquals("Rho sensitivity expiry/tenor", pvsCpn.getRho().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Rho sensitivity value", expectedRhoSensi, pvsCpn.getRho().getMap().get(expectedExpiryTenor), TOLERANCE_PV_DELTA);
    // Nu sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped();
    final SABRSwaptionProviderDiscount sabrBundleNuBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
    final double pvLongPayerNuBumped = METHOD_EXTRAPOLATION_CPN.presentValue(CMS_COUPON, sabrBundleNuBumped).getAmount(EUR);
    final double expectedNuSensi = (pvLongPayerNuBumped - pv) / shift;
    assertEquals("Number of nu sensitivity", pvsCpn.getNu().getMap().keySet().size(), 1);
    assertTrue("Nu sensitivity expiry/tenor", pvsCpn.getNu().getMap().keySet().contains(expectedExpiryTenor));
    assertEquals("Nu sensitivity value", expectedNuSensi, pvsCpn.getNu().getMap().get(expectedExpiryTenor), TOLERANCE_PV_DELTA);
  }
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  • com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginTransactionSABRMethod
  • com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginTransactionSABRMethodTest
  • com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginSecuritySABRMethod
  • com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginTransactionSABRMethod
  • com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginTransactionSABRMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRExtrapolationRightReplicationMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRExtrapolationRightReplicationMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethodTest
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