// update vols
private SabrParametersIborCapletFloorletVolatilities updateParameters(SabrParametersIborCapletFloorletVolatilities volatilities, int nExpiries, int timeIndex, bool betaFixed, DoubleArray newParameters)
{
int nBetaParams = volatilities.Parameters.BetaCurve.ParameterCount;
int nRhoParams = volatilities.Parameters.RhoCurve.ParameterCount;
SabrParametersIborCapletFloorletVolatilities newVols = volatilities.withParameter(timeIndex, newParameters.get(0)).withParameter(timeIndex + nExpiries + nBetaParams + nRhoParams, newParameters.get(3));
if (betaFixed)
{
newVols = newVols.withParameter(timeIndex + nExpiries + nBetaParams, newParameters.get(2));
return(newVols);
}
newVols = newVols.withParameter(timeIndex + nExpiries, newParameters.get(1));
return(newVols);
}
public virtual void test_of()
{
SabrParametersIborCapletFloorletVolatilities test = SabrParametersIborCapletFloorletVolatilities.of(NAME, EUR_EURIBOR_3M, DATE_TIME, PARAM);
assertEquals(test.Index, EUR_EURIBOR_3M);
assertEquals(test.DayCount, ACT_ACT_ISDA);
assertEquals(test.Parameters, PARAM);
assertEquals(test.ValuationDateTime, DATE_TIME);
assertEquals(test.ParameterCount, PARAM.ParameterCount);
int nParams = PARAM.ParameterCount;
double newValue = 152d;
for (int i = 0; i < nParams; ++i)
{
assertEquals(test.getParameter(i), PARAM.getParameter(i));
assertEquals(test.getParameterMetadata(i), PARAM.getParameterMetadata(i));
assertEquals(test.withParameter(i, newValue), SabrParametersIborCapletFloorletVolatilities.of(NAME, EUR_EURIBOR_3M, DATE_TIME, PARAM.withParameter(i, newValue)));
assertEquals(test.withPerturbation((n, v, m) => 2d * v), SabrParametersIborCapletFloorletVolatilities.of(NAME, EUR_EURIBOR_3M, DATE_TIME, PARAM.withPerturbation((n, v, m) => 2d * v)));
}
}
