public virtual void test_addVolatility_notAscendingTime()
{
HullWhiteOneFactorPiecewiseConstantParameters @base = HullWhiteOneFactorPiecewiseConstantParameters.of(MEAN_REVERSION, VOLATILITY, VOLATILITY_TIME);
double time = 3.0;
double vol = 0.015;
assertThrowsIllegalArg(() => @base.withVolatilityAdded(vol, time));
}
public virtual void test_of()
{
HullWhiteOneFactorPiecewiseConstantParameters test = HullWhiteOneFactorPiecewiseConstantParameters.of(MEAN_REVERSION, VOLATILITY, VOLATILITY_TIME);
assertEquals(test.LastVolatility, VOLATILITY.get(VOLATILITY.size() - 1));
assertEquals(test.MeanReversion, MEAN_REVERSION);
assertEquals(test.Volatility, VOLATILITY);
assertEquals(test.VolatilityTime, DoubleArray.of(0.0, 0.5, 1.0, 2.0, 5.0, 1000d));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
HullWhiteOneFactorPiecewiseConstantParameters test1 = HullWhiteOneFactorPiecewiseConstantParameters.of(MEAN_REVERSION, VOLATILITY, VOLATILITY_TIME);
coverImmutableBean(test1);
HullWhiteOneFactorPiecewiseConstantParameters test2 = HullWhiteOneFactorPiecewiseConstantParameters.of(0.02, DoubleArray.of(0.015), DoubleArray.of());
coverBeanEquals(test1, test2);
}
public virtual void test_of_noTime()
{
double eta = 0.02;
HullWhiteOneFactorPiecewiseConstantParameters test = HullWhiteOneFactorPiecewiseConstantParameters.of(MEAN_REVERSION, DoubleArray.of(eta), DoubleArray.of());
assertEquals(test.LastVolatility, eta);
assertEquals(test.MeanReversion, MEAN_REVERSION);
assertEquals(test.Volatility, DoubleArray.of(eta));
assertEquals(test.VolatilityTime, DoubleArray.of(0d, 1000d));
}
public virtual void test_setLastVolatility()
{
HullWhiteOneFactorPiecewiseConstantParameters @base = HullWhiteOneFactorPiecewiseConstantParameters.of(MEAN_REVERSION, VOLATILITY, VOLATILITY_TIME);
double lastVol = 0.092;
HullWhiteOneFactorPiecewiseConstantParameters test = @base.withLastVolatility(lastVol);
assertEquals(test.LastVolatility, lastVol);
assertEquals(test.MeanReversion, @base.MeanReversion);
assertEquals(test.Volatility, DoubleArray.of(0.01, 0.011, 0.012, 0.013, lastVol));
assertEquals(test.VolatilityTime, @base.VolatilityTime);
}
public virtual void test_setVolatility()
{
HullWhiteOneFactorPiecewiseConstantParameters @base = HullWhiteOneFactorPiecewiseConstantParameters.of(MEAN_REVERSION, VOLATILITY, VOLATILITY_TIME);
DoubleArray newVol = DoubleArray.of(0.04, 0.012, 0.016, 0.019, 0.024);
HullWhiteOneFactorPiecewiseConstantParameters test = @base.withVolatility(newVol);
assertEquals(test.LastVolatility, newVol.get(newVol.size() - 1));
assertEquals(test.MeanReversion, @base.MeanReversion);
assertEquals(test.Volatility, newVol);
assertEquals(test.VolatilityTime, @base.VolatilityTime);
}
public virtual void test_addVolatility()
{
HullWhiteOneFactorPiecewiseConstantParameters @base = HullWhiteOneFactorPiecewiseConstantParameters.of(MEAN_REVERSION, VOLATILITY, VOLATILITY_TIME);
double time = 7.0;
double vol = 0.015;
HullWhiteOneFactorPiecewiseConstantParameters test = @base.withVolatilityAdded(vol, time);
assertEquals(test.LastVolatility, vol);
assertEquals(test.MeanReversion, MEAN_REVERSION);
assertEquals(test.Volatility, DoubleArray.of(0.01, 0.011, 0.012, 0.013, 0.014, vol));
assertEquals(test.VolatilityTime, DoubleArray.of(0.0, 0.5, 1.0, 2.0, 5.0, 7.0, 1000d));
}
public virtual void test_priceSensitivityHullWhiteParameter()
{
DoubleArray computed = PRICER.priceSensitivityModelParamsHullWhite(FUTURE, RATE_PROVIDER, HW_PROVIDER);
DoubleArray vols = HW_PROVIDER.Parameters.Volatility;
int size = vols.size();
double[] expected = new double[size];
for (int i = 0; i < size; ++i)
{
double[] volsUp = vols.toArray();
double[] volsDw = vols.toArray();
volsUp[i] += TOL_FD;
volsDw[i] -= TOL_FD;
HullWhiteOneFactorPiecewiseConstantParameters paramsUp = HullWhiteOneFactorPiecewiseConstantParameters.of(HW_PROVIDER.Parameters.MeanReversion, DoubleArray.copyOf(volsUp), HW_PROVIDER.Parameters.VolatilityTime.subArray(1, size));
HullWhiteOneFactorPiecewiseConstantParameters paramsDw = HullWhiteOneFactorPiecewiseConstantParameters.of(HW_PROVIDER.Parameters.MeanReversion, DoubleArray.copyOf(volsDw), HW_PROVIDER.Parameters.VolatilityTime.subArray(1, size));
HullWhiteOneFactorPiecewiseConstantParametersProvider provUp = HullWhiteOneFactorPiecewiseConstantParametersProvider.of(paramsUp, HW_PROVIDER.DayCount, HW_PROVIDER.ValuationDateTime);
HullWhiteOneFactorPiecewiseConstantParametersProvider provDw = HullWhiteOneFactorPiecewiseConstantParametersProvider.of(paramsDw, HW_PROVIDER.DayCount, HW_PROVIDER.ValuationDateTime);
double priceUp = PRICER.price(FUTURE, RATE_PROVIDER, provUp);
double priceDw = PRICER.price(FUTURE, RATE_PROVIDER, provDw);
expected[i] = 0.5 * (priceUp - priceDw) / TOL_FD;
}
assertTrue(DoubleArrayMath.fuzzyEquals(computed.toArray(), expected, TOL_FD));
}
public virtual void test_of_notAscendingTime1()
{
DoubleArray time = DoubleArray.of(0.5, 1.0, 4.0);
assertThrowsIllegalArg(() => HullWhiteOneFactorPiecewiseConstantParameters.of(MEAN_REVERSION, VOLATILITY, time));
}
public virtual void test_serialization()
{
HullWhiteOneFactorPiecewiseConstantParameters test = HullWhiteOneFactorPiecewiseConstantParameters.of(MEAN_REVERSION, VOLATILITY, VOLATILITY_TIME);
assertSerialization(test);
}