private CurrencyParameterSensitivity parameterSensitivity(FxOptionSensitivity point)
{
double expiryTime = point.Expiry;
double strike = currencyPair.isInverse(point.CurrencyPair) ? 1d / point.Strike : point.Strike;
double forward = currencyPair.isInverse(point.CurrencyPair) ? 1d / point.Forward : point.Forward;
double pointValue = point.Sensitivity;
DoubleMatrix bucketedSensi = smile.volatilityAndSensitivities(expiryTime, strike, forward).Sensitivities;
double[] times = smile.Expiries.toArray();
int nTimes = times.Length;
IList <double> sensiList = new List <double>();
IList <ParameterMetadata> paramList = new List <ParameterMetadata>();
for (int i = 0; i < nTimes; ++i)
{
DoubleArray deltas = smile.VolatilityTerm.get(i).Delta;
int nDeltas = deltas.size();
int nDeltasTotal = 2 * nDeltas + 1;
double[] deltasTotal = new double[nDeltasTotal]; // absolute delta
deltasTotal[nDeltas] = 0.5d;
for (int j = 0; j < nDeltas; ++j)
{
deltasTotal[j] = 1d - deltas.get(j);
deltasTotal[2 * nDeltas - j] = deltas.get(j);
}
for (int j = 0; j < nDeltasTotal; ++j)
{
sensiList.Add(bucketedSensi.get(i, j) * pointValue);
DeltaStrike absoluteDelta = DeltaStrike.of(deltasTotal[j]);
ParameterMetadata parameterMetadata = FxVolatilitySurfaceYearFractionParameterMetadata.of(times[i], absoluteDelta, currencyPair);
paramList.Add(parameterMetadata);
}
}
return(CurrencyParameterSensitivity.of(name, paramList, point.Currency, DoubleArray.copyOf(sensiList)));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
FxVolatilitySurfaceYearFractionParameterMetadata test1 = FxVolatilitySurfaceYearFractionParameterMetadata.of(TIME_TO_EXPIRY, STRIKE, CURRENCY_PAIR);
coverImmutableBean(test1);
FxVolatilitySurfaceYearFractionParameterMetadata test2 = FxVolatilitySurfaceYearFractionParameterMetadata.of(3d, MoneynessStrike.of(1.1d), CurrencyPair.of(EUR, AUD));
coverBeanEquals(test1, test2);
}
public virtual void test_of_withStrikeType()
{
FxVolatilitySurfaceYearFractionParameterMetadata test = FxVolatilitySurfaceYearFractionParameterMetadata.of(TIME_TO_EXPIRY, STRIKE, CURRENCY_PAIR);
assertEquals(test.CurrencyPair, CURRENCY_PAIR);
assertEquals(test.Identifier, Pair.of(TIME_TO_EXPIRY, STRIKE));
assertEquals(test.Label, Pair.of(TIME_TO_EXPIRY, STRIKE.Label).ToString());
assertEquals(test.Strike, STRIKE);
assertEquals(test.YearFraction, TIME_TO_EXPIRY);
}
public virtual void test_of_withLabel()
{
Pair <double, Strike> pair = Pair.of(TIME_TO_EXPIRY, STRIKE1);
string label = "(1.5, 1.35)";
FxVolatilitySurfaceYearFractionParameterMetadata test = FxVolatilitySurfaceYearFractionParameterMetadata.of(TIME_TO_EXPIRY, STRIKE1, label, CURRENCY_PAIR);
assertEquals(test.CurrencyPair, CURRENCY_PAIR);
assertEquals(test.Identifier, pair);
assertEquals(test.Label, label);
assertEquals(test.Strike, STRIKE1);
assertEquals(test.YearFraction, TIME_TO_EXPIRY);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
FxVolatilitySurfaceYearFractionParameterMetadata other = (FxVolatilitySurfaceYearFractionParameterMetadata)obj;
return(JodaBeanUtils.equal(yearFraction, other.yearFraction) && JodaBeanUtils.equal(strike, other.strike) && JodaBeanUtils.equal(currencyPair, other.currencyPair) && JodaBeanUtils.equal(label, other.label));
}
return(false);
}
public virtual void test_builder_incomplete()
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: org.joda.beans.BeanBuilder<? extends FxVolatilitySurfaceYearFractionParameterMetadata> builder1 = FxVolatilitySurfaceYearFractionParameterMetadata.meta().builder();
BeanBuilder <FxVolatilitySurfaceYearFractionParameterMetadata> builder1 = FxVolatilitySurfaceYearFractionParameterMetadata.meta().builder();
assertThrowsIllegalArg(() => builder1.build());
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: org.joda.beans.BeanBuilder<? extends FxVolatilitySurfaceYearFractionParameterMetadata> builder2 = FxVolatilitySurfaceYearFractionParameterMetadata.meta().builder();
BeanBuilder <FxVolatilitySurfaceYearFractionParameterMetadata> builder2 = FxVolatilitySurfaceYearFractionParameterMetadata.meta().builder();
builder2.set(FxVolatilitySurfaceYearFractionParameterMetadata.meta().yearFraction(), TIME_TO_EXPIRY);
assertThrowsIllegalArg(() => builder2.build());
}
public virtual void test_builder_noLabel()
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: org.joda.beans.BeanBuilder<? extends FxVolatilitySurfaceYearFractionParameterMetadata> builder = FxVolatilitySurfaceYearFractionParameterMetadata.meta().builder();
BeanBuilder <FxVolatilitySurfaceYearFractionParameterMetadata> builder = FxVolatilitySurfaceYearFractionParameterMetadata.meta().builder();
Pair <double, Strike> pair = Pair.of(TIME_TO_EXPIRY, STRIKE);
builder.set(FxVolatilitySurfaceYearFractionParameterMetadata.meta().currencyPair(), CURRENCY_PAIR);
builder.set(FxVolatilitySurfaceYearFractionParameterMetadata.meta().yearFraction(), TIME_TO_EXPIRY);
builder.set(FxVolatilitySurfaceYearFractionParameterMetadata.meta().strike(), STRIKE);
FxVolatilitySurfaceYearFractionParameterMetadata test = builder.build();
assertEquals(test.CurrencyPair, CURRENCY_PAIR);
assertEquals(test.Identifier, pair);
assertEquals(test.Label, Pair.of(TIME_TO_EXPIRY, STRIKE.Label).ToString());
assertEquals(test.Strike, STRIKE);
assertEquals(test.YearFraction, TIME_TO_EXPIRY);
}
public virtual void test_surfaceParameterSensitivity_inverse()
{
for (int i = 0; i < NB_EXPIRY; i++)
{
for (int j = 0; j < NB_STRIKE; ++j)
{
double timeToExpiry = VOLS.relativeTime(TEST_EXPIRY[i]);
FxOptionSensitivity sensi = FxOptionSensitivity.of(VOLS.Name, CURRENCY_PAIR.inverse(), timeToExpiry, 1d / TEST_STRIKE[j], 1d / FORWARD[i], GBP, 1d);
CurrencyParameterSensitivity computed = VOLS.parameterSensitivity(sensi).Sensitivities.get(0);
IEnumerator <ParameterMetadata> itr = computed.ParameterMetadata.GetEnumerator();
foreach (double value in computed.Sensitivity.toArray())
{
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
FxVolatilitySurfaceYearFractionParameterMetadata meta = ((FxVolatilitySurfaceYearFractionParameterMetadata)itr.next());
double nodeExpiry = meta.YearFraction;
double nodeDelta = meta.Strike.Value;
double expected = nodeSensitivity(VOLS, CURRENCY_PAIR.inverse(), TEST_EXPIRY[i], 1d / TEST_STRIKE[j], 1d / FORWARD[i], nodeExpiry, nodeDelta);
assertEquals(value, expected, EPS);
}
}
}
}
public virtual void test_serialization()
{
FxVolatilitySurfaceYearFractionParameterMetadata test = FxVolatilitySurfaceYearFractionParameterMetadata.of(TIME_TO_EXPIRY, STRIKE, CURRENCY_PAIR);
assertSerialization(test);
}
