public virtual void test_volatilities() { BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification @base = BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.builder().name(VOL_NAME).currencyPair(GBP_USD).dayCount(ACT_365F).nodes(NODES).timeInterpolator(PCHIP).strikeInterpolator(DOUBLE_QUADRATIC).build(); LocalDate date = LocalDate.of(2017, 9, 25); ZonedDateTime dateTime = date.atStartOfDay().atZone(ZoneId.of("Europe/London")); DoubleArray parameters = DoubleArray.of(0.19, 0.15, 0.13, 0.14, 0.14, 0.11, 0.09, 0.09, 0.11, 0.09, 0.07, 0.07); BlackFxOptionSurfaceVolatilities computed = @base.volatilities(dateTime, parameters, REF_DATA); DaysAdjustment expOffset = DaysAdjustment.ofBusinessDays(-2, NY_LO); double[] expiries = new double[STRIKES.Count * TENORS.Count]; double[] strikes = new double[STRIKES.Count * TENORS.Count]; ImmutableList.Builder <ParameterMetadata> paramMetadata = ImmutableList.builder(); for (int i = 0; i < TENORS.Count; ++i) { double expiry = ACT_365F.relativeYearFraction(date, expOffset.adjust(BDA.adjust(SPOT_OFFSET.adjust(date, REF_DATA).plus(TENORS[i]), REF_DATA), REF_DATA)); for (int j = 0; j < STRIKES.Count; ++j) { paramMetadata.add(FxVolatilitySurfaceYearFractionParameterMetadata.of(expiry, SimpleStrike.of(STRIKES[j]), GBP_USD)); expiries[STRIKES.Count * i + j] = expiry; strikes[STRIKES.Count * i + j] = STRIKES[j]; } } InterpolatedNodalSurface surface = InterpolatedNodalSurface.ofUnsorted(Surfaces.blackVolatilityByExpiryStrike(VOL_NAME.Name, ACT_365F).withParameterMetadata(paramMetadata.build()), DoubleArray.ofUnsafe(expiries), DoubleArray.ofUnsafe(strikes), parameters, GridSurfaceInterpolator.of(PCHIP, DOUBLE_QUADRATIC)); BlackFxOptionSurfaceVolatilities expected = BlackFxOptionSurfaceVolatilities.of(VOL_NAME, GBP_USD, dateTime, surface); assertEquals(computed, expected); }
public virtual void test_builder() { BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification test = BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.builder().name(VOL_NAME).currencyPair(GBP_USD).dayCount(ACT_365F).nodes(NODES).timeInterpolator(PCHIP).timeExtrapolatorLeft(LINEAR).timeExtrapolatorRight(FLAT).strikeInterpolator(DOUBLE_QUADRATIC).strikeExtrapolatorLeft(FLAT).strikeExtrapolatorRight(LINEAR).build(); assertEquals(test.CurrencyPair, GBP_USD); assertEquals(test.DayCount, ACT_365F); assertEquals(test.Name, VOL_NAME); assertEquals(test.Nodes, NODES); assertEquals(test.ParameterCount, NODES.size()); assertEquals(test.StrikeInterpolator, DOUBLE_QUADRATIC); assertEquals(test.StrikeExtrapolatorLeft, FLAT); assertEquals(test.StrikeExtrapolatorRight, LINEAR); assertEquals(test.TimeInterpolator, PCHIP); assertEquals(test.TimeExtrapolatorLeft, LINEAR); assertEquals(test.TimeExtrapolatorRight, FLAT); assertEquals(test.volatilitiesInputs(), QUOTE_IDS); }
//------------------------------------------------------------------------- public virtual void coverage() { BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification test1 = BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.builder().name(VOL_NAME).currencyPair(GBP_USD).dayCount(ACT_365F).nodes(NODES).timeInterpolator(PCHIP).timeExtrapolatorLeft(LINEAR).timeExtrapolatorRight(LINEAR).strikeInterpolator(PCHIP).strikeExtrapolatorLeft(LINEAR).strikeExtrapolatorRight(LINEAR).build(); coverImmutableBean(test1); CurrencyPair eurUsd = CurrencyPair.of(EUR, USD); ImmutableList.Builder <FxOptionVolatilitiesNode> nodeBuilder = ImmutableList.builder(); for (int i = 0; i < TENORS.Count; ++i) { for (int j = 0; j < STRIKES.Count; ++j) { QuoteId quoteId = QuoteId.of(StandardId.of("OG", eurUsd.ToString() + "_" + TENORS[i].ToString() + "_" + STRIKES[j])); nodeBuilder.add(FxOptionVolatilitiesNode.of(eurUsd, SPOT_OFFSET, BDA, ValueType.BLACK_VOLATILITY, quoteId, TENORS[i], SimpleStrike.of(STRIKES[j]))); } } BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification test2 = BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.builder().name(FxOptionVolatilitiesName.of("other")).currencyPair(eurUsd).dayCount(ACT_360).nodes(nodeBuilder.build()).timeInterpolator(DOUBLE_QUADRATIC).strikeInterpolator(DOUBLE_QUADRATIC).build(); coverBeanEquals(test1, test2); }
public virtual void serialization() { BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification test = BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.builder().name(VOL_NAME).currencyPair(GBP_USD).dayCount(ACT_365F).nodes(NODES).timeInterpolator(PCHIP).timeExtrapolatorLeft(LINEAR).timeExtrapolatorRight(FLAT).strikeInterpolator(DOUBLE_QUADRATIC).strikeExtrapolatorLeft(FLAT).strikeExtrapolatorRight(LINEAR).build(); assertSerialization(test); }