public virtual void test_createMetadata()
{
DirectIborCapletFloorletVolatilityDefinition @base = DirectIborCapletFloorletVolatilityDefinition.of(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, LAMBDA_EXPIRY, LAMBDA_STRIKE, INTERPOLATOR);
assertEquals(@base.createMetadata(SAMPLE_BLACK), Surfaces.blackVolatilityByExpiryStrike(NAME.Name, ACT_ACT_ISDA));
assertEquals(@base.createMetadata(SAMPLE_NORMAL), Surfaces.normalVolatilityByExpiryStrike(NAME.Name, ACT_ACT_ISDA));
assertThrowsIllegalArg(() => @base.createMetadata(RawOptionData.of(EXPIRIES, STRIKES, STRIKE, DATA, ValueType.PRICE)));
}
public virtual void test_createMetadata_wrongValueType()
{
SabrIborCapletFloorletVolatilityBootstrapDefinition @base = SabrIborCapletFloorletVolatilityBootstrapDefinition.ofFixedBeta(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, 0.5, LINEAR, FLAT, FLAT, SabrVolatilityFormula.hagan());
RawOptionData capData = RawOptionData.of(ImmutableList.of(Period.ofYears(1), Period.ofYears(5)), DoubleArray.of(0.005, 0.01, 0.015), ValueType.STRIKE, DoubleMatrix.copyOf(new double[][]
{
new double[] { 0.15, 0.12, 0.13 },
new double[] { 0.1, 0.08, 0.09 }
}), ValueType.PRICE);
assertThrowsIllegalArg(() => @base.createMetadata(capData));
}
public virtual void test_createMetadata_black()
{
SabrIborCapletFloorletVolatilityBootstrapDefinition @base = SabrIborCapletFloorletVolatilityBootstrapDefinition.ofFixedBeta(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, 0.5, LINEAR, FLAT, FLAT, SabrVolatilityFormula.hagan());
RawOptionData capData = RawOptionData.of(ImmutableList.of(Period.ofYears(1), Period.ofYears(5)), DoubleArray.of(0.005, 0.01, 0.015), ValueType.STRIKE, DoubleMatrix.copyOf(new double[][]
{
new double[] { 0.15, 0.12, 0.13 },
new double[] { 0.1, 0.08, 0.09 }
}), ValueType.BLACK_VOLATILITY);
SurfaceMetadata expected = Surfaces.blackVolatilityByExpiryStrike(NAME.Name, ACT_ACT_ISDA);
SurfaceMetadata computed = @base.createMetadata(capData);
assertEquals(computed, expected);
}
