Package com.opengamma.analytics.financial.model.option.definition

Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters

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  /**
   * Test the present value rate sensitivity against a finite difference computation; strike above the cut-off strike. Test sensitivity long/short parity.
   */
  public void testPresentValueSensitivityAboveCutOff() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    InterestRateCurveSensitivity pvsCapLong = METHOD.presentValueSensitivity(CAP_HIGH_LONG, sabrBundle);
    final InterestRateCurveSensitivity pvsCapShort = METHOD.presentValueSensitivity(CAP_HIGH_SHORT, sabrBundle);
    // Long/short parity
    final InterestRateCurveSensitivity pvsCapShort_1 = pvsCapShort.multipliedBy(-1);
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  /**
   * Test the present value SABR parameters sensitivity against a finite difference computation; strike below the cut-off strike.
   */
  public void testPresentValueSABRSensitivityBelowCutOff() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final CurrencyAmount pv = METHOD.presentValue(CAP_LONG, sabrBundle);
    final PresentValueSABRSensitivityDataBundle pvsCapLong = METHOD.presentValueSABRSensitivity(CAP_LONG, sabrBundle);
    PresentValueSABRSensitivityDataBundle pvsCapShort = METHOD.presentValueSABRSensitivity(CAP_SHORT, sabrBundle);
    // Long/short parity
    pvsCapShort = pvsCapShort.multiplyBy(-1.0);
    assertEquals(pvsCapShort.getAlpha(), pvsCapLong.getAlpha());
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(CAP_LONG.getFixingTime(), CAP_LONG.getFixingPeriodEndTime() - CAP_LONG.getFixingPeriodStartTime());
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = TestsDataSetsSABR.createSABR1AlphaBumped(shiftAlpha);
    final SABRInterestRateDataBundle sabrBundleAlphaBumped = new SABRInterestRateDataBundle(sabrParameterAlphaBumped, curves);
    final CurrencyAmount pvLongPayerAlphaBumped = METHOD.presentValue(CAP_LONG, sabrBundleAlphaBumped);
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped.getAmount() - pv.getAmount()) / 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), 2.0E-1);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = TestsDataSetsSABR.createSABR1RhoBumped();
    final SABRInterestRateDataBundle sabrBundleRhoBumped = new SABRInterestRateDataBundle(sabrParameterRhoBumped, curves);
    final CurrencyAmount pvLongPayerRhoBumped = METHOD.presentValue(CAP_LONG, sabrBundleRhoBumped);
    final double expectedRhoSensi = (pvLongPayerRhoBumped.getAmount() - pv.getAmount()) / 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", pvsCapLong.getRho().getMap().get(expectedExpiryTenor), expectedRhoSensi, 1.0E-2);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = TestsDataSetsSABR.createSABR1NuBumped();
    final SABRInterestRateDataBundle sabrBundleNuBumped = new SABRInterestRateDataBundle(sabrParameterNuBumped, curves);
    final CurrencyAmount pvLongPayerNuBumped = METHOD.presentValue(CAP_LONG, sabrBundleNuBumped);
    final double expectedNuSensi = (pvLongPayerNuBumped.getAmount() - pv.getAmount()) / shift;
    assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 1);
    assertEquals("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor), true);
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  /**
   * Test the present value SABR parameters sensitivity against a finite difference computation; strike above the cut-off strike.
   */
  public void testPresentValueSABRSensitivityAboveCutOff() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final CurrencyAmount pv = METHOD.presentValue(CAP_HIGH_LONG, sabrBundle);
    final PresentValueSABRSensitivityDataBundle pvsCapLong = METHOD.presentValueSABRSensitivity(CAP_HIGH_LONG, sabrBundle);
    PresentValueSABRSensitivityDataBundle pvsCapShort = METHOD.presentValueSABRSensitivity(CAP_HIGH_SHORT, sabrBundle);
    // Long/short parity
    pvsCapShort = pvsCapShort.multiplyBy(-1.0);
    assertEquals(pvsCapShort.getAlpha(), pvsCapLong.getAlpha());
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(CAP_HIGH_LONG.getFixingTime(), CAP_HIGH_LONG.getFixingPeriodEndTime() - CAP_HIGH_LONG.getFixingPeriodStartTime());
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = TestsDataSetsSABR.createSABR1AlphaBumped(shiftAlpha);
    final SABRInterestRateDataBundle sabrBundleAlphaBumped = new SABRInterestRateDataBundle(sabrParameterAlphaBumped, curves);
    final CurrencyAmount pvLongPayerAlphaBumped = METHOD.presentValue(CAP_HIGH_LONG, sabrBundleAlphaBumped);
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped.getAmount() - pv.getAmount()) / 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), 1.0E-0);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = TestsDataSetsSABR.createSABR1RhoBumped();
    final SABRInterestRateDataBundle sabrBundleRhoBumped = new SABRInterestRateDataBundle(sabrParameterRhoBumped, curves);
    final CurrencyAmount pvLongPayerRhoBumped = METHOD.presentValue(CAP_HIGH_LONG, sabrBundleRhoBumped);
    final double expectedRhoSensi = (pvLongPayerRhoBumped.getAmount() - pv.getAmount()) / 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", pvsCapLong.getRho().getMap().get(expectedExpiryTenor), expectedRhoSensi, 1.0E-1);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = TestsDataSetsSABR.createSABR1NuBumped();
    final SABRInterestRateDataBundle sabrBundleNuBumped = new SABRInterestRateDataBundle(sabrParameterNuBumped, curves);
    final CurrencyAmount pvLongPayerNuBumped = METHOD.presentValue(CAP_HIGH_LONG, sabrBundleNuBumped);
    final double expectedNuSensi = (pvLongPayerNuBumped.getAmount() - pv.getAmount()) / shift;
    assertEquals("Number of nu sensitivity", pvsCapLong.getNu().getMap().keySet().size(), 1);
    assertEquals("Nu sensitivity expiry/tenor", pvsCapLong.getNu().getMap().keySet().contains(expectedExpiryTenor), true);
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    // SABR sensitivity vs finite difference
    final MultipleCurrencyAmount pvLongPayer = METHOD_SABR_EXTRAPOLATION.presentValue(SWAPTION_LONG_PAYER_HIGH, SABR_MULTICURVES);
    final DoublesPair expectedExpiryTenor = new DoublesPair(SWAPTION_LONG_PAYER_HIGH.getTimeToExpiry(), ANNUITY_TENOR_YEAR);
    final double shift = 0.000005;
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = SABRDataSets.createSABR1AlphaBumped(shift);
    final SABRSwaptionProviderDiscount sabrBundleAlphaBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
    final MultipleCurrencyAmount pvLongPayerAlphaBumped = METHOD_SABR_EXTRAPOLATION.presentValue(SWAPTION_LONG_PAYER_HIGH, sabrBundleAlphaBumped);
    final double expectedAlphaSensi = (pvLongPayerAlphaBumped.getAmount(EUR) - pvLongPayer.getAmount(EUR)) / shift;
    assertEquals("Number of alpha sensitivity", pvsLongPayer.getAlpha().getMap().keySet().size(), 1);
    assertEquals("Alpha sensitivity expiry/tenor", pvsLongPayer.getAlpha().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Alpha sensitivity value", expectedAlphaSensi, pvsLongPayer.getAlpha().getMap().get(expectedExpiryTenor), 2.0E+3);
    // Beta sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterBetaBumped = SABRDataSets.createSABR1BetaBumped(shift);
    final SABRSwaptionProviderDiscount sabrBundleBetaBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterBetaBumped, EUR1YEURIBOR6M);
    final MultipleCurrencyAmount pvLongPayerBetaBumped = METHOD_SABR_EXTRAPOLATION.presentValue(SWAPTION_LONG_PAYER_HIGH, sabrBundleBetaBumped);
    final double expectedBetaSensi = (pvLongPayerBetaBumped.getAmount(EUR) - pvLongPayer.getAmount(EUR)) / shift;
    assertEquals("Number of Beta sensitivity", pvsLongPayer.getBeta().getMap().keySet().size(), 1);
    assertEquals("Beta sensitivity expiry/tenor", pvsLongPayer.getBeta().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Beta sensitivity value", expectedBetaSensi, pvsLongPayer.getBeta().getMap().get(expectedExpiryTenor), 1.5E+3);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped(shift);
    final SABRSwaptionProviderDiscount sabrBundleRhoBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
    final MultipleCurrencyAmount pvLongPayerRhoBumped = METHOD_SABR_EXTRAPOLATION.presentValue(SWAPTION_LONG_PAYER_HIGH, sabrBundleRhoBumped);
    final double expectedRhoSensi = (pvLongPayerRhoBumped.getAmount(EUR) - pvLongPayer.getAmount(EUR)) / shift;
    assertEquals("Number of rho sensitivity", pvsLongPayer.getRho().getMap().keySet().size(), 1);
    assertEquals("Rho sensitivity expiry/tenor", pvsLongPayer.getRho().getMap().keySet().contains(expectedExpiryTenor), true);
    assertEquals("Rho sensitivity value", expectedRhoSensi, pvsLongPayer.getRho().getMap().get(expectedExpiryTenor), 3.0E+0);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped(shift);
    final SABRSwaptionProviderDiscount sabrBundleNuBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
    final MultipleCurrencyAmount pvLongPayerNuBumped = METHOD_SABR_EXTRAPOLATION.presentValue(SWAPTION_LONG_PAYER_HIGH, sabrBundleNuBumped);
    final double expectedNuSensi = (pvLongPayerNuBumped.getAmount(EUR) - pvLongPayer.getAmount(EUR)) / shift;
    assertEquals("Number of nu sensitivity", pvsLongPayer.getNu().getMap().keySet().size(), 1);
    assertEquals("Nu sensitivity expiry/tenor", pvsLongPayer.getNu().getMap().keySet().contains(expectedExpiryTenor), true);
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      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);
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    final PresentValueSABRSensitivityDataBundle pvss = METHOD_SABR_LMM_ATBEST.presentValueSABRSensitivity(swaptionAmortized, SABR_MULTICURVES);
    final double[] shift = new double[] {0.0001, 0.0001, 0.0001 };
    final double[] toleranceSABRSensi = new double[] {5.0E+4, 5.0E+3, 1.0E+4 };
    final double[] sensiComputed = new double[] {pvss.getAlpha().toSingleValue(), pvss.getRho().toSingleValue(), pvss.getNu().toSingleValue() };
    final double[] sensiExpected = new double[shift.length];
    SABRInterestRateParameters sabrParameterShift;
    SABRSwaptionProvider sabrBundleShift;
    for (int loopp = 0; loopp < shift.length; loopp++) {
      sabrParameterShift = SABRDataSets.createSABR1ParameterBumped(shift[loopp], loopp);
      sabrBundleShift = new SABRSwaptionProvider(MULTICURVES, sabrParameterShift, EUR1YEURIBOR6M);
      final MultipleCurrencyAmount pvShiftPlus = METHOD_SABR_LMM_ATBEST.presentValue(swaptionAmortized, sabrBundleShift);
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    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 = SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
    final SABRSwaptionProviderDiscount sabrBundleAlphaBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
    final double pvLongPayerAlphaBumped = METHOD_CMS_SPREAD.presentValue(CMS_CAP_SPREAD, sabrBundleAlphaBumped).getAmount(EUR);
    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 = SABRDataSets.createSABR1RhoBumped();
    final SABRSwaptionProviderDiscount sabrBundleRhoBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
    final double pvLongPayerRhoBumped = METHOD_CMS_SPREAD.presentValue(CMS_CAP_SPREAD, sabrBundleRhoBumped).getAmount(EUR);
    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 = SABRDataSets.createSABR1NuBumped();
    final SABRSwaptionProviderDiscount sabrBundleNuBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
    final double pvLongPayerNuBumped = METHOD_CMS_SPREAD.presentValue(CMS_CAP_SPREAD, sabrBundleNuBumped).getAmount(EUR);
    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));
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    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 = SABRDataSets.createSABR1AlphaBumped(shiftAlpha);
    final SABRSwaptionProviderDiscount sabrBundleAlphaBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M);
    final double pvLongPayerAlphaBumped = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, sabrBundleAlphaBumped).getAmount(EUR);
    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 = SABRDataSets.createSABR1RhoBumped();
    final SABRSwaptionProviderDiscount sabrBundleRhoBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
    final double pvLongPayerRhoBumped = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, sabrBundleRhoBumped).getAmount(EUR);
    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 = SABRDataSets.createSABR1NuBumped();
    final SABRSwaptionProviderDiscount sabrBundleNuBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
    final double pvLongPayerNuBumped = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, sabrBundleNuBumped).getAmount(EUR);
    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));
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    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final double maturity = CMS_CAP.getUnderlyingSwap().getFixedLeg().getNthPayment(CMS_CAP.getUnderlyingSwap().getFixedLeg().getNumberOfPayments() - 1).getPaymentTime() - CMS_CAP.getSettlementTime();
    final DoublesPair expectedExpiryTenor = new DoublesPair(CMS_CAP.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.presentValue(CMS_CAP, 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), 3.0E+1);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = TestsDataSetsSABR.createSABR1RhoBumped();
    final SABRInterestRateDataBundle sabrBundleRhoBumped = new SABRInterestRateDataBundle(sabrParameterRhoBumped, CURVES);
    final double pvLongPayerRhoBumped = METHOD.presentValue(CMS_CAP, 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), 1.0E+0);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = TestsDataSetsSABR.createSABR1NuBumped();
    final SABRInterestRateDataBundle sabrBundleNuBumped = new SABRInterestRateDataBundle(sabrParameterNuBumped, CURVES);
    final double pvLongPayerNuBumped = METHOD.presentValue(CMS_CAP, 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));
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    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final double maturity = CMS_CAP.getUnderlyingSwap().getFixedLeg().getNthPayment(CMS_CAP.getUnderlyingSwap().getFixedLeg().getNumberOfPayments() - 1).getPaymentTime() - CMS_CAP.getSettlementTime();
    final DoublesPair expectedExpiryTenor = new DoublesPair(CMS_CAP.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_CAP_CMS_SABR.presentValue(CMS_CAP, 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), 3.0E+1);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped();
    final SABRSwaptionProviderDiscount sabrBundleRhoBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M);
    final double pvLongPayerRhoBumped = METHOD_CAP_CMS_SABR.presentValue(CMS_CAP, 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), 1.0E+0);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped();
    final SABRSwaptionProviderDiscount sabrBundleNuBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M);
    final double pvLongPayerNuBumped = METHOD_CAP_CMS_SABR.presentValue(CMS_CAP, 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));
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