for (int loopcal = 0; loopcal < swaptionCalibration.length; loopcal++) {
assertEquals("Calibration basket: " + loopcal, METHOD_SABR.presentValue(swaptionCalibration[loopcal], SABR_MULTICURVES).getAmount(EUR),
METHOD_SABR.presentValue(swaptionCalibration2[loopcal], SABR_MULTICURVES).getAmount(EUR), TOLERANCE_PV);
}
// Calibration and price
final LiborMarketModelDisplacedDiffusionParameters lmmParameters = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParametersDisplacementAngle(REFERENCE_DATE,
swapCalibrationDefinition[swapTenorYear.length - 1].getIborLeg(), 0.10, Math.PI / 2);
final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, EUR);
final CalibrationEngineWithCalculators<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objective);
calibrationEngine.addInstrument(swaptionCalibration2, PVSSC);
calibrationEngine.calibrate(SABR_MULTICURVES);
final LiborMarketModelDisplacedDiffusionProviderInterface lmm = new LiborMarketModelDisplacedDiffusionProvider(MULTICURVES, lmmParameters, EUR);
final MultipleCurrencyAmount pvAmortized = METHOD_LMM.presentValue(swaptionAmortized, lmm);
final double pvAmortizedPrevious = 1125007.920;
assertEquals("LMM Amortized pricing", pvAmortizedPrevious, pvAmortized.getAmount(EUR), TOLERANCE_PV);
// Method
final SwaptionPhysicalFixedIborSABRLMMExactMethod method = new SwaptionPhysicalFixedIborSABRLMMExactMethod();
final MultipleCurrencyAmount pvAmortizedMethod = method.presentValue(swaptionAmortized, SABR_MULTICURVES);
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);