public virtual void test_volatility()
{
SabrParametersIborCapletFloorletVolatilities prov = SabrParametersIborCapletFloorletVolatilities.of(NAME, EUR_EURIBOR_3M, DATE_TIME, PARAM);
for (int i = 0; i < NB_TEST; i++)
{
for (int j = 0; j < NB_STRIKE; ++j)
{
double expiryTime = prov.relativeTime(TEST_OPTION_EXPIRY[i]);
double volExpected = PARAM.volatility(expiryTime, TEST_STRIKE[j], TEST_FORWARD);
double volComputed = prov.volatility(TEST_OPTION_EXPIRY[i], TEST_STRIKE[j], TEST_FORWARD);
assertEquals(volComputed, volExpected, TOLERANCE_VOL);
ValueDerivatives volAdjExpected = PARAM.volatilityAdjoint(expiryTime, TEST_STRIKE[j], TEST_FORWARD);
ValueDerivatives volAdjComputed = prov.volatilityAdjoint(expiryTime, TEST_STRIKE[j], TEST_FORWARD);
assertEquals(volAdjComputed.Value, volExpected, TOLERANCE_VOL);
assertTrue(DoubleArrayMath.fuzzyEquals(volAdjComputed.Derivatives.toArray(), volAdjExpected.Derivatives.toArray(), TOLERANCE_VOL));
}
}
}
