CapFloorCMSSABRExtrapolationRightReplicationMethod extends CapFloorCMSSABRReplicationAbstractMethod { @Override public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final CapFloorCMS cmsCapFloor, final SABRSwaptionProviderInterface sabrData) { ArgumentChecker.notNull(cmsCapFloor, "CMA cap/floor"); ArgumentChecker.notNull(sabrData, "SABR swaption provider"); final Currency ccy = cmsCapFloor.getCurrency(); final SABRInterestRateParameters sabrParameter = sabrData.getSABRParameter(); final SwapFixedCoupon<? extends Payment> underlyingSwap = cmsCapFloor.getUnderlyingSwap(); final double forward = underlyingSwap.accept(PRDC, sabrData.getMulticurveProvider()); final double discountFactorTp = sabrData.getMulticurveProvider().getDiscountFactor(ccy, cmsCapFloor.getPaymentTime()); final double strike = cmsCapFloor.getStrike(); final double maturity = underlyingSwap.getFixedLeg().getNthPayment(underlyingSwap.getFixedLeg().getNumberOfPayments() - 1).getPaymentTime() - cmsCapFloor.getSettlementTime(); final DoublesPair expiryMaturity = DoublesPair.of(cmsCapFloor.getFixingTime(), maturity); final double alpha = sabrParameter.getAlpha(expiryMaturity); final double beta = sabrParameter.getBeta(expiryMaturity); final double rho = sabrParameter.getRho(expiryMaturity); final double nu = sabrParameter.getNu(expiryMaturity); final SABRFormulaData sabrPoint = new SABRFormulaData(alpha, beta, rho, nu); final CMSVegaIntegrant integrantVega = new CMSVegaIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu); final double factor = discountFactorTp / integrantVega.h(forward) * integrantVega.g(forward); final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrPoint, _cutOffStrike, cmsCapFloor.getFixingTime(), _mu); final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, cmsCapFloor.getFixingTime(), cmsCapFloor.isCap()); final double factor2 = factor * integrantVega.k(strike); final double[] strikePartPrice = new double[4]; sabrExtrapolation.priceAdjointSABR(option, strikePartPrice); for (int loopvega = 0; loopvega < 4; loopvega++) { strikePartPrice[loopvega] *= factor2; } final double absoluteTolerance = 1.0 / (factor * Math.abs(cmsCapFloor.getNotional()) * cmsCapFloor.getPaymentYearFraction()); final double relativeTolerance = 1E-3; final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, getNbIteration()); final double[] integralPart = new double[4]; final double[] totalSensi = new double[4]; for (int loopparameter = 0; loopparameter < 4; loopparameter++) { integrantVega.setParameterIndex(loopparameter); try { if (cmsCapFloor.isCap()) { integralPart[loopparameter] = discountFactorTp * integrator.integrate(integrantVega, strike, strike + getIntegrationInterval()); } else { integralPart[loopparameter] = discountFactorTp * integrator.integrate(integrantVega, 0.0, strike); } } catch (final Exception e) { throw new RuntimeException(e); } totalSensi[loopparameter] = (strikePartPrice[loopparameter] + integralPart[loopparameter]) * cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction(); } final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle(); sensi.addAlpha(expiryMaturity, totalSensi[0]); sensi.addBeta(expiryMaturity, totalSensi[1]); sensi.addRho(expiryMaturity, totalSensi[2]); sensi.addNu(expiryMaturity, totalSensi[3]); return sensi; } CapFloorCMSSABRExtrapolationRightReplicationMethod(final double cutOffStrike, final double mu);  CapFloorCMSSABRExtrapolationRightReplicationMethod(final double cutOffStrike, final double mu, final double integrationInterval); @Override MultipleCurrencyAmount presentValue(final CapFloorCMS cmsCapFloor, final SABRSwaptionProviderInterface sabrData); @Override MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final CapFloorCMS cmsCapFloor, final SABRSwaptionProviderInterface sabrData); @Override PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final CapFloorCMS cmsCapFloor, final SABRSwaptionProviderInterface sabrData); @Override double presentValueStrikeSensitivity(final CapFloorCMS cmsCapFloor, final SABRSwaptionProviderInterface sabrData);  }
@Test public void presentValueSABRSensitivity() { final double pv = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, SABR_MULTICURVES).getAmount(EUR); final PresentValueSABRSensitivityDataBundle pvsCapLong = METHOD_EXTRAPOLATION_CAP.presentValueSABRSensitivity(CMS_CAP_LONG, SABR_MULTICURVES); final double shift = 0.0001; final double shiftAlpha = 0.00001; final double maturity = CMS_CAP_LONG.getUnderlyingSwap().getFixedLeg().getNthPayment(CMS_CAP_LONG.getUnderlyingSwap().getFixedLeg().getNumberOfPayments() - 1).getPaymentTime() - CMS_CAP_LONG.getSettlementTime(); final DoublesPair expectedExpiryTenor = DoublesPair.of(CMS_CAP_LONG.getFixingTime(), maturity); final SABRInterestRateParameters sabrParameterAlphaBumped = SABRDataSets.createSABR1AlphaBumped(shiftAlpha); final SABRSwaptionProviderDiscount sabrBundleAlphaBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterAlphaBumped, EUR1YEURIBOR6M); final double pvLongPayerAlphaBumped = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, 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), TOLERANCE_PV_DELTA); final SABRInterestRateParameters sabrParameterRhoBumped = SABRDataSets.createSABR1RhoBumped(); final SABRSwaptionProviderDiscount sabrBundleRhoBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterRhoBumped, EUR1YEURIBOR6M); final double pvLongPayerRhoBumped = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, 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), TOLERANCE_PV_DELTA); final SABRInterestRateParameters sabrParameterNuBumped = SABRDataSets.createSABR1NuBumped(); final SABRSwaptionProviderDiscount sabrBundleNuBumped = new SABRSwaptionProviderDiscount(MULTICURVES, sabrParameterNuBumped, EUR1YEURIBOR6M); final double pvLongPayerNuBumped = METHOD_EXTRAPOLATION_CAP.presentValue(CMS_CAP_LONG, 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)); assertEquals("Nu sensitivity value", expectedNuSensi, pvsCapLong.getNu().getMap().get(expectedExpiryTenor), TOLERANCE_PV_DELTA); }
@Test public void presentValueSABRSensitivityMethodVsCalculator() { final PresentValueSABRSensitivityDataBundle pvssMethod = METHOD_EXTRAPOLATION_CAP.presentValueSABRSensitivity(CMS_CAP_LONG, SABR_MULTICURVES); final PresentValueSABRSensitivityDataBundle pvssCalculator = CMS_CAP_LONG.accept(PVSSSSXC, SABR_MULTICURVES); assertEquals("CMS cap/floor SABR: Present value SABR sensitivity: method vs calculator", pvssMethod, pvssCalculator); }