//-------------------------------------------------------------------------
public virtual void coverage()
{
BlackFxOptionSmileVolatilitiesSpecification test1 = BlackFxOptionSmileVolatilitiesSpecification.builder().name(VOL_NAME).currencyPair(EUR_GBP).dayCount(ACT_360).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> builder = ImmutableList.builder();
for (int i = 0; i < TENORS.size(); ++i)
{
QuoteId id = QuoteId.of(StandardId.of("OG", TENORS.get(i).ToString() + "_" + DELTAS.get(i).ToString() + "_" + QUOTE_TYPE.get(i).ToString()));
builder.add(FxOptionVolatilitiesNode.of(eurUsd, DaysAdjustment.NONE, BusinessDayAdjustment.NONE, QUOTE_TYPE.get(i), id, TENORS.get(i), DeltaStrike.of(DELTAS.get(i))));
}
BlackFxOptionSmileVolatilitiesSpecification test2 = BlackFxOptionSmileVolatilitiesSpecification.builder().name(FxOptionVolatilitiesName.of("other")).currencyPair(eurUsd).dayCount(ACT_365F).nodes(builder.build()).timeInterpolator(DOUBLE_QUADRATIC).strikeInterpolator(DOUBLE_QUADRATIC).build();
coverBeanEquals(test1, test2);
}
static FxOptionVolatilitiesDefinitionTest()
{
ImmutableList.Builder <FxOptionVolatilitiesNode> builder = ImmutableList.builder();
ImmutableList.Builder <QuoteId> quoteBuilder = ImmutableList.builder();
for (int i = 0; i < TENORS.size(); ++i)
{
QuoteId id = QuoteId.of(StandardId.of("OG", TENORS.get(i).ToString() + "_" + DELTAS.get(i).ToString() + "_" + QUOTE_TYPE.get(i).ToString()));
builder.add(FxOptionVolatilitiesNode.of(EUR_GBP, SPOT_OFFSET, BUS_ADJ, QUOTE_TYPE.get(i), id, TENORS.get(i), DeltaStrike.of(DELTAS.get(i))));
quoteBuilder.add(id);
}
NODES = builder.build();
QUOTE_IDS = quoteBuilder.build();
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
FxOptionVolatilitiesNode test1 = FxOptionVolatilitiesNode.of(EUR_GBP, SPOT_DATE_OFFSET, BDA, ValueType.BLACK_VOLATILITY, QUOTE_ID, Tenor.TENOR_3M, STRIKE);
coverImmutableBean(test1);
FxOptionVolatilitiesNode test2 = FxOptionVolatilitiesNode.of(CurrencyPair.of(GBP, USD), DaysAdjustment.NONE, BusinessDayAdjustment.NONE, ValueType.RISK_REVERSAL, QuoteId.of(StandardId.of("OG", "foo")), Tenor.TENOR_6M, DeltaStrike.of(0.1));
coverBeanEquals(test1, test2);
}
