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

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

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    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00},
        INTERPOLATOR_2D);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0, 1,
        1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, INTERPOLATOR_2D);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
  }
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        10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25,
        -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
        10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50,
        0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, INTERPOLATOR_2D);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
  }
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    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {-0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift,
        -0.25 + shift, -0.25 + shift, -0.25 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0, 1,
        1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, INTERPOLATOR_2D);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
  }
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        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00},
        INTERPOLATOR_2D);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0, 1,
        1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift,
        0.50 + shift, 0.50 + shift, 0.50 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift}, INTERPOLATOR_2D);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
  }
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        10.0, 10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {-0.25,
        -0.25, -0.25, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.10, 0.10, 0.10}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0, 10.0,
        10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {0.50, 0.50,
        0.50, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.35, 0.35, 0.35, 0.35, 0.35, 0.35, 0.35}, INTERPOLATOR_2D);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, new SABRHaganVolatilityFunction());
  }
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  @Test(enabled = true)
  /**
   * Tests the pricing with calibration to SABR cap/floor prices.
   */
  public void presentValueFixedWithCalibration() {
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, CURVES);
    final PresentValueSABRHullWhiteMonteCarloCalculator calculatorMC = PresentValueSABRHullWhiteMonteCarloCalculator.getInstance();
    final double pvMC = ANNUITY_RATCHET_FIXED.accept(calculatorMC, sabrBundle);
    final double pvMCPreviousRun = 8400036.210; //50000 paths: 8400036.210 - 12500 paths: 8402639.933;
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo", pvMCPreviousRun, pvMC, 1.0E-2);
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  public void calibrateExactPriceAmortized() {
    final Period fixedPaymentPeriod = Period.ofMonths(12);
    final Currency ccy = Currency.EUR;
    final Period iborTenor = Period.ofMonths(6);
    final IborIndex iborIndex = new IborIndex(ccy, iborTenor, SETTLEMENT_DAYS, IBOR_DAY_COUNT, BUSINESS_DAY, IS_EOM);
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, CURVES);
    final int[] swapTenorYear = {1, 2, 3, 4, 5 };
    final IndexSwap[] cmsIndex = new IndexSwap[swapTenorYear.length];
    for (int loopexp = 0; loopexp < swapTenorYear.length; loopexp++) {
      cmsIndex[loopexp] = new IndexSwap(fixedPaymentPeriod, FIXED_DAY_COUNT, iborIndex, Period.ofYears(swapTenorYear[loopexp]), CALENDAR);
    }
    final double[] amortization = new double[] {1.00, 0.80, 0.60, 0.40, 0.20 }; // For 5Y amortization
    //    double[] amortization = new double[] {1.00, 0.90, 0.80, 0.70, 0.60, 0.50, 0.40, 0.30, 0.20, 0.10}; // For 10Y amortization
    final SwapFixedIborDefinition[] swapCalibrationDefinition = new SwapFixedIborDefinition[swapTenorYear.length];
    final SwaptionPhysicalFixedIborDefinition[] swaptionCalibrationDefinition = new SwaptionPhysicalFixedIborDefinition[swapTenorYear.length];
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = new SwaptionPhysicalFixedIbor[swapTenorYear.length];
    for (int loopexp = 0; loopexp < swapTenorYear.length; loopexp++) {
      swapCalibrationDefinition[loopexp] = SwapFixedIborDefinition.from(SETTLEMENT_DATE, cmsIndex[loopexp], NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
      swaptionCalibrationDefinition[loopexp] = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapCalibrationDefinition[loopexp], IS_LONG);
      swaptionCalibration[loopexp] = swaptionCalibrationDefinition[loopexp].toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final CouponFixed[] cpnFixed = new CouponFixed[swapTenorYear.length];
    final AnnuityCouponFixed legFixed = swaptionCalibration[swapTenorYear.length - 1].getUnderlyingSwap().getFixedLeg();
    final CouponIbor[] cpnIbor = new CouponIbor[2 * swapTenorYear.length];
    final Annuity<Payment> legIbor = (Annuity<Payment>) swaptionCalibration[swapTenorYear.length - 1].getUnderlyingSwap().getSecondLeg();
    for (int loopexp = 0; loopexp < swapTenorYear.length; loopexp++) {
      cpnFixed[loopexp] = legFixed.getNthPayment(loopexp).withNotional(legFixed.getNthPayment(loopexp).getNotional() * amortization[loopexp]);
      cpnIbor[2 * loopexp] = ((CouponIbor) legIbor.getNthPayment(2 * loopexp)).withNotional(((CouponIbor) legIbor.getNthPayment(2 * loopexp)).getNotional() * amortization[loopexp]);
      cpnIbor[2 * loopexp + 1] = ((CouponIbor) legIbor.getNthPayment(2 * loopexp + 1)).withNotional(((CouponIbor) legIbor.getNthPayment(2 * loopexp + 1)).getNotional() * amortization[loopexp]);
    }

    final SwapFixedCoupon<Coupon> swapAmortized = new SwapFixedCoupon<>(new AnnuityCouponFixed(cpnFixed), new Annuity<Coupon>(cpnIbor));
    final SwaptionPhysicalFixedIbor swaptionAmortized = SwaptionPhysicalFixedIbor.from(swaptionCalibration[0].getTimeToExpiry(), swapAmortized, swaptionCalibration[0].getSettlementTime(), IS_LONG);

    final InstrumentDerivative[] swaptionCalibration2 = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaptionAmortized);

    assertEquals("Calibration basket", swaptionCalibration.length, swaptionCalibration2.length);
    for (int loopcal = 0; loopcal < swaptionCalibration.length; loopcal++) {
      assertEquals("Calibration basket: " + loopcal, METHOD_SABR.presentValue(swaptionCalibration[loopcal], sabrBundle).getAmount(), METHOD_SABR
          .presentValue(swaptionCalibration2[loopcal], sabrBundle).getAmount(), 1.0E-2);
    }
    // Calibration and price
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParametersDisplacementAngle(REFERENCE_DATE,
        swapCalibrationDefinition[swapTenorYear.length - 1].getIborLeg(), 0.10, Math.PI / 2);
    final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective(lmmParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(objective);
    calibrationEngine.addInstrument(swaptionCalibration2, METHOD_SABR);
    calibrationEngine.calibrate(sabrBundle);
    final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle = new LiborMarketModelDisplacedDiffusionDataBundle(lmmParameters, CURVES);
    final CurrencyAmount pvAmortized = METHOD_LMM.presentValue(swaptionAmortized, lmmBundle);
    final double pvAmortizedPrevious = 3058997.117;
    assertEquals("LMM Amortized pricing", pvAmortizedPrevious, pvAmortized.getAmount(), 1.0E-2);
    // Method
    final SwaptionPhysicalFixedIborSABRLMMExactMethod method = new SwaptionPhysicalFixedIborSABRLMMExactMethod();
    final CurrencyAmount pvAmortizedMethod = method.presentValue(swaptionAmortized, sabrBundle);
    assertEquals("LMM Amortized pricing", pvAmortized.getAmount(), pvAmortizedMethod.getAmount(), 1.0E-2);

    // SABR parameters sensitivity in all-in-one method.
    final List<Object> results = method.presentValueCurveSABRSensitivity(swaptionAmortized, sabrBundle);
    final InterestRateCurveSensitivity pvcs1 = (InterestRateCurveSensitivity) results.get(1);
    final PresentValueSABRSensitivityDataBundle pvss1 = (PresentValueSABRSensitivityDataBundle) results.get(2);

    // SABR parameters sensitivity
    final PresentValueSABRSensitivityDataBundle pvss = method.presentValueSABRSensitivity(swaptionAmortized, sabrBundle);

    // 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;
    SABRInterestRateDataBundle sabrBundleShift;
    final LiborMarketModelDisplacedDiffusionParameters lmmParametersShift = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParametersDisplacementAngle(REFERENCE_DATE,
        swapCalibrationDefinition[swapTenorYear.length - 1].getIborLeg(), 0.10, Math.PI / 2);
    final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective objectiveShift = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective(lmmParametersShift);
    final SuccessiveRootFinderCalibrationEngine calibrationEngineShift = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(objectiveShift);
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  @Test
  /**
   * Calibrate and price an amortized swaption.
   */
  public void calibrateAtBestPriceAmortized() {
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, CURVES);
    final double[] amortization = new double[] {1.00, 0.80, 0.60, 0.40, 0.20 }; // For 5Y amortization
    final int nbPeriods = amortization.length;
    final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, Period.ofYears(nbPeriods), EUR1YEURIBOR6M, NOTIONAL, RATE, FIXED_IS_PAYER);
    //    SwapFixedCoupon<Coupon> swap = swapDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final CouponFixedDefinition[] cpnFixed = new CouponFixedDefinition[nbPeriods];
    final AnnuityCouponFixedDefinition legFixed = swapDefinition.getFixedLeg();
    final CouponIborDefinition[] cpnIbor = new CouponIborDefinition[2 * nbPeriods];
    final AnnuityDefinition<? extends PaymentDefinition> legIbor = swapDefinition.getSecondLeg();
    for (int loopexp = 0; loopexp < nbPeriods; loopexp++) {
      cpnFixed[loopexp] = legFixed.getNthPayment(loopexp).withNotional(legFixed.getNthPayment(loopexp).getNotional() * amortization[loopexp]);
      cpnIbor[2 * loopexp] = ((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp))
          .withNotional(((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp)).getNotional() * amortization[loopexp]);
      cpnIbor[2 * loopexp + 1] = ((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp + 1)).withNotional(((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp + 1)).getNotional()
          * amortization[loopexp]);
    }
    final SwapFixedIborDefinition swapAmortizedDefinition = new SwapFixedIborDefinition(new AnnuityCouponFixedDefinition(cpnFixed, CALENDAR), new AnnuityCouponIborDefinition(cpnIbor, EURIBOR6M, TARGET));
    final SwaptionPhysicalFixedIborDefinition swaptionAmortizedDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapAmortizedDefinition, IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionAmortized = swaptionAmortizedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);

    // SABR parameters sensitivity (parallel shift check). The sensitivities are not exact; in the approximation a small "second order" term is ignored
    final PresentValueSABRSensitivityDataBundle pvss = METHOD_SABR_LMM_ATBEST.presentValueSABRSensitivity(swaptionAmortized, sabrBundle);
    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;
    SABRInterestRateDataBundle sabrBundleShift;
    for (int loopp = 0; loopp < shift.length; loopp++) {
      sabrParameterShift = TestsDataSetsSABR.createSABR1ParameterBumped(shift[loopp], loopp);
      sabrBundleShift = new SABRInterestRateDataBundle(sabrParameterShift, CURVES);
      final CurrencyAmount pvShiftPlus = METHOD_SABR_LMM_ATBEST.presentValue(swaptionAmortized, sabrBundleShift);
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    final double pv = METHOD_SABR_TRA.presentValue(TRANSACTION, SABR_MULTICURVES).getAmount(EUR);
    final double shift = 0.000001;
    final double delay = EDU2.getLastTradingTime() - OPTION_EDU2.getExpirationTime();
    final DoublesPair expectedExpiryDelay = new DoublesPair(OPTION_EDU2.getExpirationTime(), delay);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterAlphaBumped = SABRDataSets.createSABR1AlphaBumped(shift);
    final SABRSTIRFuturesProviderDiscount sabrBundleAlphaBumped = new SABRSTIRFuturesProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EURIBOR3M);
    final double pvAlphaBumped = METHOD_SABR_TRA.presentValue(TRANSACTION, sabrBundleAlphaBumped).getAmount(EUR);
    final double expectedAlphaSensi = (pvAlphaBumped - pv) / shift;
    assertEquals("Number of alpha sensitivity", pvcs.getAlpha().getMap().keySet().size(), 1);
    assertEquals("Alpha sensitivity expiry/tenor", pvcs.getAlpha().getMap().keySet().contains(expectedExpiryDelay), true);
    assertEquals("Alpha sensitivity value", pvcs.getAlpha().getMap().get(expectedExpiryDelay), expectedAlphaSensi, 1.0E+1);
    // Rho sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped(shift);
    final SABRSTIRFuturesProviderDiscount sabrBundleRhoBumped = new SABRSTIRFuturesProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EURIBOR3M);
    final double pvRhoBumped = METHOD_SABR_TRA.presentValue(TRANSACTION, sabrBundleRhoBumped).getAmount(EUR);
    final double expectedRhoSensi = (pvRhoBumped - pv) / shift;
    assertEquals("Number of rho sensitivity", pvcs.getRho().getMap().keySet().size(), 1);
    assertEquals("Rho sensitivity expiry/tenor", pvcs.getRho().getMap().keySet().contains(expectedExpiryDelay), true);
    assertEquals("Rho sensitivity value", pvcs.getRho().getMap().get(expectedExpiryDelay), expectedRhoSensi, 1.0E+0);
    // Alpha sensitivity vs finite difference computation
    final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped(shift);
    final SABRSTIRFuturesProviderDiscount sabrBundleNuBumped = new SABRSTIRFuturesProviderDiscount(MULTICURVES, sabrParameterNuBumped, EURIBOR3M);
    final double pvNuBumped = METHOD_SABR_TRA.presentValue(TRANSACTION, sabrBundleNuBumped).getAmount(EUR);
    final double expectedNuSensi = (pvNuBumped - pv) / shift;
    assertEquals("Number of nu sensitivity", pvcs.getNu().getMap().keySet().size(), 1);
    assertEquals("Nu sensitivity expiry/tenor", pvcs.getNu().getMap().keySet().contains(expectedExpiryDelay), true);
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  private static final BlackPriceFunction BLACK_FUNCTION = new BlackPriceFunction();

  @Test
  public void testPresentValueSABRParameters() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    // Swaption pricing.
    final double priceLongPayer = SWAPTION_LONG_PAYER.accept(PVC, sabrBundle);
    final double priceShortPayer = SWAPTION_SHORT_PAYER.accept(PVC, sabrBundle);
    final double priceLongReceiver = SWAPTION_LONG_RECEIVER.accept(PVC, sabrBundle);
    final double priceShortReceiver = SWAPTION_SHORT_RECEIVER.accept(PVC, sabrBundle);
    // From previous run
    final double expectedPriceLongPayer = 5107666.869;
    assertEquals(expectedPriceLongPayer, priceLongPayer, 1E-2);
    final double forward = SWAP_PAYER.accept(PRC, curves);
    final double pvbp = METHOD_SWAP.getAnnuityCash(SWAP_PAYER, forward);
    final double maturity = SWAP_PAYER.getFirstLeg().getNthPayment(SWAP_PAYER.getFirstLeg().getNumberOfPayments() - 1).getPaymentTime() - SWAPTION_LONG_PAYER.getSettlementTime();
    assertEquals(maturity, ANNUITY_TENOR_YEAR, 1E-2);
    final double volatility = sabrParameter.getVolatility(SWAPTION_LONG_PAYER.getTimeToExpiry(), maturity, RATE, forward);
    final BlackFunctionData data = new BlackFunctionData(forward, 1.0, volatility);
    final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(SWAPTION_LONG_PAYER);
    final double df = curves.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(SWAPTION_LONG_PAYER.getSettlementTime());
    final double expectedPrice = df * pvbp * func.evaluate(data);
    assertEquals(expectedPrice, priceLongPayer, 1E-2);
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