assertEquals("LMM Amortized pricing", pvAmortized.getAmount(EUR), pvAmortizedMethod.getAmount(EUR), TOLERANCE_PV);
// SABR parameters sensitivity in all-in-one method.
final List<Object> results = method.presentValueCurveSABRSensitivity(swaptionAmortized, SABR_MULTICURVES);
final MultipleCurrencyMulticurveSensitivity pvcs1 = (MultipleCurrencyMulticurveSensitivity) results.get(1);
final PresentValueSABRSensitivityDataBundle pvss1 = (PresentValueSABRSensitivityDataBundle) results.get(2);
// SABR parameters sensitivity
final PresentValueSABRSensitivityDataBundle pvss = method.presentValueSABRSensitivity(swaptionAmortized, SABR_MULTICURVES);
// SABR parameters sensitivity (all-in-one)
for (final SwaptionPhysicalFixedIbor element : swaptionCalibration) {
final DoublesPair expiryMaturity = new DoublesPair(element.getTimeToExpiry(), element.getMaturityTime());
assertEquals("Sensitivity swaption pv to alpha", pvss1.getAlpha().getMap().get(expiryMaturity), pvss.getAlpha().getMap().get(expiryMaturity), 1E-2);
assertEquals("Sensitivity swaption pv to rho", pvss1.getRho().getMap().get(expiryMaturity), pvss.getRho().getMap().get(expiryMaturity), 1E-2);
assertEquals("Sensitivity swaption pv to nu", pvss1.getNu().getMap().get(expiryMaturity), pvss.getNu().getMap().get(expiryMaturity), 1E-2);
}
// SABR parameters sensitivity (parallel shift check)
SABRInterestRateParameters sabrParameterShift;
SABRSwaptionProviderDiscount sabrBundleShift;
final LiborMarketModelDisplacedDiffusionParameters lmmParametersShift = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParametersDisplacementAngle(REFERENCE_DATE,
swapCalibrationDefinition[swapTenorYear.length - 1].getIborLeg(), 0.10, Math.PI / 2);
final SuccessiveRootFinderLMMDDCalibrationObjective objectiveShift = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParametersShift, EUR);
final CalibrationEngineWithCalculators<SABRSwaptionProviderInterface> calibrationEngineShift = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objectiveShift);
calibrationEngineShift.addInstrument(swaptionCalibration2, PVSSC);
final LiborMarketModelDisplacedDiffusionProvider lmmBundleShift = new LiborMarketModelDisplacedDiffusionProvider(MULTICURVES, lmmParametersShift, EUR);
double alphaVegaTotalComputed = 0.0;
assertEquals("Number of alpha sensitivity", pvss.getAlpha().getMap().keySet().size(), swaptionCalibration.length);
for (final SwaptionPhysicalFixedIbor element : swaptionCalibration) {
final DoublesPair expiryMaturity = new DoublesPair(element.getTimeToExpiry(), element.getMaturityTime());
alphaVegaTotalComputed += pvss.getAlpha().getMap().get(expiryMaturity);
}
final double shiftAlpha = 0.00001;
sabrParameterShift = SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
sabrBundleShift = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterShift, EUR1YEURIBOR6M);
calibrationEngineShift.calibrate(sabrBundleShift);
final MultipleCurrencyAmount pvAmortizedShiftAlpha = METHOD_LMM.presentValue(swaptionAmortized, lmmBundleShift);
final double alphaVegaTotalExpected = (pvAmortizedShiftAlpha.getAmount(EUR) - pvAmortized.getAmount(EUR)) / shiftAlpha;
assertEquals("Alpha sensitivity value", alphaVegaTotalExpected, alphaVegaTotalComputed, 5 * TOLERANCE_PV_DELTA);
double rhoVegaTotalComputed = 0.0;
assertEquals("Number of alpha sensitivity", pvss.getRho().getMap().keySet().size(), swaptionCalibration.length);
for (final SwaptionPhysicalFixedIbor element : swaptionCalibration) {
final DoublesPair expiryMaturity = new DoublesPair(element.getTimeToExpiry(), element.getMaturityTime());
rhoVegaTotalComputed += pvss.getRho().getMap().get(expiryMaturity);
}
final double shiftRho = 0.00001;
sabrParameterShift = SABRDataSets.createSABR1RhoBumped(shiftRho);
sabrBundleShift = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterShift, EUR1YEURIBOR6M);
calibrationEngineShift.calibrate(sabrBundleShift);
final MultipleCurrencyAmount pvAmortizedShiftRho = METHOD_LMM.presentValue(swaptionAmortized, lmmBundleShift);
final double rhoVegaTotalExpected = (pvAmortizedShiftRho.getAmount(EUR) - pvAmortized.getAmount(EUR)) / shiftRho;
assertEquals("Rho sensitivity value", rhoVegaTotalExpected, rhoVegaTotalComputed, TOLERANCE_PV_DELTA);
double nuVegaTotalComputed = 0.0;
assertEquals("Number of alpha sensitivity", pvss.getNu().getMap().keySet().size(), swaptionCalibration.length);
for (final SwaptionPhysicalFixedIbor element : swaptionCalibration) {
final DoublesPair expiryMaturity = new DoublesPair(element.getTimeToExpiry(), element.getMaturityTime());
nuVegaTotalComputed += pvss.getNu().getMap().get(expiryMaturity);
}
final double shiftNu = 0.00001;
sabrParameterShift = SABRDataSets.createSABR1NuBumped(shiftNu);
sabrBundleShift = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterShift, EUR1YEURIBOR6M);
calibrationEngineShift.calibrate(sabrBundleShift);