*/
public InterestRateCurveSensitivity presentValueCurveSensitivity(final SwaptionPhysicalFixedCompoundedONCompounded swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
ArgumentChecker.notNull(swaption, "Swaption");
ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
final Swap<CouponFixedAccruedCompounding, CouponONCompounded> swap = swaption.getUnderlyingSwap();
final CouponFixedAccruedCompounding cpnFixed = swap.getFirstLeg().getNthPayment(0);
final double numeraire = curveBlack.getCurve(cpnFixed.getFundingCurveName()).getDiscountFactor(cpnFixed.getPaymentTime()) * cpnFixed.getNotional();
final double delta = swap.getFirstLeg().getNthPayment(0).getPaymentYearFraction();
final double forwardModified = METHOD_SWAP.forwardModified(swap, curveBlack);
final double strikeModified = Math.pow(1.0d + swaption.getStrike(), delta) - 1.0;
// Implementation note: Modified strike: \bar K = (1+K)^\delta-1; the swaption payoff is pvbp*(\bar F - \bar K)^+
final double maturity = swaption.getMaturityTime();
final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
final BlackPriceFunction blackFunction = new BlackPriceFunction();
final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), maturity);
final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1, volatility);
final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
final double sign = (swaption.isLong() ? 1.0 : -1.0);
// final double pv = numeraire * bsAdjoint[0] * sign;
// Backward sweep
final double pvBar = 1.0;
final double numeraireBar = bsAdjoint[0] * sign * pvBar;
final double forwardModifiedBar = numeraire * bsAdjoint[1] * sign * pvBar;
InterestRateCurveSensitivity forwardModifiedDr = METHOD_SWAP.forwardModifiedCurveSensitivity(swap, curveBlack);
final double numeraireDr = -cpnFixed.getPaymentTime() * numeraire;
final List<DoublesPair> list = new ArrayList<>();
list.add(new DoublesPair(cpnFixed.getPaymentTime(), numeraireDr * numeraireBar));
final Map<String, List<DoublesPair>> numeraireMap = new HashMap<>();
numeraireMap.put(cpnFixed.getFundingCurveName(), list);
InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(numeraireMap);
result = result.plus(forwardModifiedDr.multipliedBy(forwardModifiedBar));
result = result.cleaned();
return result;
}