/// <summary>
/// Tests the interpolation in the time and strike dimensions.
/// </summary>
public virtual void volatilityTimeInterpolation()
{
double forward = 1.40;
double timeToExpiry = 0.75;
double strike = 1.50;
double[] vol050 = SMILE_TERM.VolatilityTerm.get(2).Volatility.toArray();
double[] vol100 = SMILE_TERM.VolatilityTerm.get(3).Volatility.toArray();
double[] vol = new double[vol050.Length];
for (int loopvol = 0; loopvol < vol050.Length; loopvol++)
{
vol[loopvol] = Math.Sqrt(((vol050[loopvol] * vol050[loopvol] * TIME_TO_EXPIRY.get(2) + vol100[loopvol] * vol100[loopvol] * TIME_TO_EXPIRY.get(3)) / 2.0) / timeToExpiry);
}
SmileDeltaParameters smile = SmileDeltaParameters.of(timeToExpiry, DELTA, DoubleArray.copyOf(vol));
DoubleArray strikes = smile.strike(forward);
double volExpected = INTERPOLATOR_STRIKE.bind(strikes, DoubleArray.copyOf(vol), FLAT, FLAT).interpolate(strike);
double volComputed = SMILE_TERM.volatility(timeToExpiry, strike, forward);
assertEquals(volComputed, volExpected, TOLERANCE_VOL, "Smile by delta term structure: vol interpolation on strike");
double volTriple = SMILE_TERM.volatility(timeToExpiry, strike, forward);
assertEquals(volTriple, volComputed, TOLERANCE_VOL, "Smile by delta term structure: vol interpolation on strike");
InterpolatedStrikeSmileDeltaTermStructure smileTerm2 = InterpolatedStrikeSmileDeltaTermStructure.of(VOLATILITY_TERM, ACT_360);
double volComputed2 = smileTerm2.volatility(timeToExpiry, strike, forward);
assertEquals(volComputed2, volComputed, TOLERANCE_VOL, "Smile by delta term structure: vol interp on strike");
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivity()
{
for (int i = 0; i < NB_STRIKES; ++i)
{
ResolvedFxVanillaOption option = CALLS[i];
PointSensitivityBuilder point = PRICER.presentValueSensitivityRatesStickyStrike(option, RATES_PROVIDER, VOLS);
CurrencyParameterSensitivities sensiComputed = RATES_PROVIDER.parameterSensitivity(point.build());
double timeToExpiry = VOLS.relativeTime(EXPIRY);
double forwardRate = FX_PRICER.forwardFxRate(UNDERLYING[i], RATES_PROVIDER).fxRate(CURRENCY_PAIR);
double strikeRate = option.Strike;
SmileDeltaParameters smileAtTime = VOLS.Smile.smileForExpiry(timeToExpiry);
double[] vols = smileAtTime.Volatility.toArray();
double df = RATES_PROVIDER.discountFactor(USD, PAY);
CurrencyParameterSensitivities sensiExpected = FD_CAL.sensitivity(RATES_PROVIDER, p => PRICER.presentValue(option, p, VOLS));
CurrencyParameterSensitivities sensiRes = FD_CAL.sensitivity(RATES_PROVIDER, (ImmutableRatesProvider p) =>
{
double fwd = FX_PRICER.forwardFxRate(option.Underlying, p).fxRate(CURRENCY_PAIR);
double[] strs = smileAtTime.strike(fwd).toArray();
double[] wghts = weights(fwd, strikeRate, strs, timeToExpiry, vols[1]);
double res = 0d;
for (int j = 0; j < 3; ++j)
{
res += wghts[j] * (BlackFormulaRepository.price(forwardRate, strs[j], timeToExpiry, vols[j], true) - BlackFormulaRepository.price(forwardRate, strs[j], timeToExpiry, vols[1], true));
}
return(CurrencyAmount.of(USD, -res * df * NOTIONAL));
});
assertTrue(sensiComputed.equalWithTolerance(sensiExpected.combinedWith(sensiRes), FD_EPS * NOTIONAL * 10d));
}
}
/// <summary>
/// Tests the constructor directly from volatilities (not RR and S).
/// </summary>
public virtual void constructorVolatility()
{
DoubleArray volatility = SMILE.Volatility;
SmileDeltaParameters smileFromVolatility = SmileDeltaParameters.of(TIME_TO_EXPIRY, DELTA, volatility, PARAMETER_METADATA);
assertEquals(smileFromVolatility, SMILE, "Smile by delta: constructor");
}
static InterpolatedStrikeSmileDeltaTermStructureTest()
{
for (int loopexp = 0; loopexp < NB_EXP; loopexp++)
{
VOLATILITY_TERM.Add(SmileDeltaParameters.of(TIME_TO_EXPIRY.get(loopexp), ATM.get(loopexp), DELTA, DoubleArray.copyOf(RISK_REVERSAL.toArray()[loopexp]), DoubleArray.copyOf(STRANGLE.toArray()[loopexp])));
}
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price of the foreign exchange vanilla option product.
/// <para>
/// The price of the product is the value on the valuation date for one unit of the base currency
/// and is expressed in the counter currency. The price does not take into account the long/short flag.
/// See <seealso cref="#presentValue"/> for scaling and currency.
///
/// </para>
/// </summary>
/// <param name="option"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <returns> the price of the product </returns>
public virtual double price(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionSmileVolatilities volatilities)
{
validate(ratesProvider, volatilities);
double timeToExpiry = volatilities.relativeTime(option.Expiry);
if (timeToExpiry <= 0d)
{
return(0d);
}
ResolvedFxSingle underlyingFx = option.Underlying;
Currency ccyCounter = option.CounterCurrency;
double df = ratesProvider.discountFactor(ccyCounter, underlyingFx.PaymentDate);
FxRate forward = fxPricer.forwardFxRate(underlyingFx, ratesProvider);
CurrencyPair currencyPair = underlyingFx.CurrencyPair;
double forwardRate = forward.fxRate(currencyPair);
double strikeRate = option.Strike;
bool isCall = option.PutCall.Call;
SmileDeltaParameters smileAtTime = volatilities.Smile.smileForExpiry(timeToExpiry);
double[] strikes = smileAtTime.strike(forwardRate).toArray();
double[] vols = smileAtTime.Volatility.toArray();
double volAtm = vols[1];
double[] x = vannaVolgaWeights(forwardRate, strikeRate, timeToExpiry, volAtm, strikes);
double priceFwd = BlackFormulaRepository.price(forwardRate, strikeRate, timeToExpiry, volAtm, isCall);
for (int i = 0; i < 3; i += 2)
{
double priceFwdAtm = BlackFormulaRepository.price(forwardRate, strikes[i], timeToExpiry, volAtm, isCall);
double priceFwdSmile = BlackFormulaRepository.price(forwardRate, strikes[i], timeToExpiry, vols[i], isCall);
priceFwd += x[i] * (priceFwdSmile - priceFwdAtm);
}
return(df * priceFwd);
}
//-------------------------------------------------------------------------
public virtual void test_price_presentValue()
{
for (int i = 0; i < NB_STRIKES; ++i)
{
ResolvedFxVanillaOption call = CALLS[i];
ResolvedFxVanillaOptionTrade callTrade = ResolvedFxVanillaOptionTrade.builder().product(call).premium(Payment.of(EUR, 0, VAL_DATE)).build();
double computedPriceCall = PRICER.price(call, RATES_PROVIDER, VOLS);
CurrencyAmount computedCall = PRICER.presentValue(call, RATES_PROVIDER, VOLS);
double timeToExpiry = VOLS.relativeTime(EXPIRY);
FxRate forward = FX_PRICER.forwardFxRate(UNDERLYING[i], RATES_PROVIDER);
double forwardRate = forward.fxRate(CURRENCY_PAIR);
double strikeRate = call.Strike;
SmileDeltaParameters smileAtTime = VOLS.Smile.smileForExpiry(timeToExpiry);
double[] strikes = smileAtTime.strike(forwardRate).toArray();
double[] vols = smileAtTime.Volatility.toArray();
double df = RATES_PROVIDER.discountFactor(USD, PAY);
double[] weights = this.weights(forwardRate, strikeRate, strikes, timeToExpiry, vols[1]);
double expectedPriceCall = BlackFormulaRepository.price(forwardRate, strikeRate, timeToExpiry, vols[1], true);
for (int j = 0; j < 3; ++j)
{
expectedPriceCall += weights[j] * (BlackFormulaRepository.price(forwardRate, strikes[j], timeToExpiry, vols[j], true) - BlackFormulaRepository.price(forwardRate, strikes[j], timeToExpiry, vols[1], true));
}
expectedPriceCall *= df;
assertEquals(computedPriceCall, expectedPriceCall, TOL);
assertEquals(computedCall.Amount, expectedPriceCall * NOTIONAL, TOL * NOTIONAL);
// test against trade pricer
assertEquals(computedCall, TRADE_PRICER.presentValue(callTrade, RATES_PROVIDER, VOLS).getAmount(USD));
}
}
/// <summary>
/// Tests the getters.
/// </summary>
public virtual void getter()
{
assertEquals(SMILE.Expiry, TIME_TO_EXPIRY, "Smile by delta: time to expiry");
assertEquals(SMILE.Delta, DELTA, "Smile by delta: delta");
SmileDeltaParameters smile2 = SmileDeltaParameters.of(TIME_TO_EXPIRY, DELTA, SMILE.Volatility);
assertEquals(smile2.Volatility, SMILE.Volatility, "Smile by delta: volatility");
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
SmileDeltaParameters other = (SmileDeltaParameters)obj;
return(JodaBeanUtils.equal(expiry, other.expiry) && JodaBeanUtils.equal(delta, other.delta) && JodaBeanUtils.equal(volatility, other.volatility) && JodaBeanUtils.equal(parameterMetadata, other.parameterMetadata));
}
return(false);
}
/// <summary>
/// Tests the extrapolation above the last expiry.
/// </summary>
public virtual void volatilityAboveLastExpiry()
{
double forward = 1.40;
double timeToExpiry = 5.00;
double strike = 1.45;
SmileDeltaParameters smile = SmileDeltaParameters.of(timeToExpiry, ATM.toArray()[NB_EXP - 1], DELTA, DoubleArray.copyOf(RISK_REVERSAL.toArray()[NB_EXP - 1]), DoubleArray.copyOf(STRANGLE.toArray()[NB_EXP - 1]));
DoubleArray strikes = smile.strike(forward);
DoubleArray vol = smile.Volatility;
double volExpected = INTERPOLATOR_STRIKE.bind(strikes, vol, FLAT, FLAT).interpolate(strike);
double volComputed = SMILE_TERM.volatility(timeToExpiry, strike, forward);
assertEquals(volComputed, volExpected, TOLERANCE_VOL, "Smile by delta term structure: vol interpolation on strike");
}
/// <summary>
/// Calculates the currency exposure of the foreign exchange vanilla option product.
/// </summary>
/// <param name="option"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <returns> the currency exposure </returns>
public virtual MultiCurrencyAmount currencyExposure(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionSmileVolatilities volatilities)
{
validate(ratesProvider, volatilities);
double timeToExpiry = volatilities.relativeTime(option.Expiry);
if (timeToExpiry <= 0d)
{
return(MultiCurrencyAmount.empty());
}
ResolvedFxSingle underlyingFx = option.Underlying;
Currency ccyCounter = option.CounterCurrency;
double df = ratesProvider.discountFactor(ccyCounter, underlyingFx.PaymentDate);
FxRate forward = fxPricer.forwardFxRate(underlyingFx, ratesProvider);
CurrencyPair currencyPair = underlyingFx.CurrencyPair;
double spot = ratesProvider.fxRate(currencyPair);
double forwardRate = forward.fxRate(currencyPair);
double fwdRateSpotSensitivity = fxPricer.forwardFxRateSpotSensitivity(option.PutCall.Call ? underlyingFx : underlyingFx.inverse(), ratesProvider);
double strikeRate = option.Strike;
bool isCall = option.PutCall.Call;
SmileDeltaParameters smileAtTime = volatilities.Smile.smileForExpiry(timeToExpiry);
double[] strikes = smileAtTime.strike(forwardRate).toArray();
double[] vols = smileAtTime.Volatility.toArray();
double volAtm = vols[1];
double[] x = vannaVolgaWeights(forwardRate, strikeRate, timeToExpiry, volAtm, strikes);
double priceFwd = BlackFormulaRepository.price(forwardRate, strikeRate, timeToExpiry, volAtm, isCall);
double deltaFwd = BlackFormulaRepository.delta(forwardRate, strikeRate, timeToExpiry, volAtm, isCall);
for (int i = 0; i < 3; i += 2)
{
double priceFwdAtm = BlackFormulaRepository.price(forwardRate, strikes[i], timeToExpiry, volAtm, isCall);
double priceFwdSmile = BlackFormulaRepository.price(forwardRate, strikes[i], timeToExpiry, vols[i], isCall);
priceFwd += x[i] * (priceFwdSmile - priceFwdAtm);
double deltaFwdAtm = BlackFormulaRepository.delta(forwardRate, strikes[i], timeToExpiry, volAtm, isCall);
double deltaFwdSmile = BlackFormulaRepository.delta(forwardRate, strikes[i], timeToExpiry, vols[i], isCall);
deltaFwd += x[i] * (deltaFwdSmile - deltaFwdAtm);
}
double price = df * priceFwd;
double delta = df * deltaFwd * fwdRateSpotSensitivity;
double signedNotional = this.signedNotional(option);
CurrencyAmount domestic = CurrencyAmount.of(currencyPair.Counter, (price - delta * spot) * signedNotional);
CurrencyAmount foreign = CurrencyAmount.of(currencyPair.Base, delta * signedNotional);
return(MultiCurrencyAmount.of(domestic, foreign));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value sensitivity of the foreign exchange vanilla option product.
/// <para>
/// The present value sensitivity of the product is the sensitivity of <seealso cref="#presentValue"/> to
/// the underlying curves.
/// </para>
/// <para>
/// The implied strikes and weights are fixed in this sensitivity computation.
///
/// </para>
/// </summary>
/// <param name="option"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <returns> the present value curve sensitivity of the product </returns>
public virtual PointSensitivityBuilder presentValueSensitivityRatesStickyStrike(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionSmileVolatilities volatilities)
{
validate(ratesProvider, volatilities);
double timeToExpiry = volatilities.relativeTime(option.Expiry);
if (timeToExpiry <= 0d)
{
return(PointSensitivityBuilder.none());
}
ResolvedFxSingle underlyingFx = option.Underlying;
Currency ccyCounter = option.CounterCurrency;
double df = ratesProvider.discountFactor(ccyCounter, underlyingFx.PaymentDate);
FxRate forward = fxPricer.forwardFxRate(underlyingFx, ratesProvider);
CurrencyPair currencyPair = underlyingFx.CurrencyPair;
double forwardRate = forward.fxRate(currencyPair);
double strikeRate = option.Strike;
bool isCall = option.PutCall.Call;
SmileDeltaParameters smileAtTime = volatilities.Smile.smileForExpiry(timeToExpiry);
double[] strikes = smileAtTime.strike(forwardRate).toArray();
double[] vols = smileAtTime.Volatility.toArray();
double volAtm = vols[1];
double[] x = vannaVolgaWeights(forwardRate, strikeRate, timeToExpiry, volAtm, strikes);
double priceFwd = BlackFormulaRepository.price(forwardRate, strikeRate, timeToExpiry, volAtm, isCall);
double deltaFwd = BlackFormulaRepository.delta(forwardRate, strikeRate, timeToExpiry, volAtm, isCall);
for (int i = 0; i < 3; i += 2)
{
double priceFwdAtm = BlackFormulaRepository.price(forwardRate, strikes[i], timeToExpiry, volAtm, isCall);
double priceFwdSmile = BlackFormulaRepository.price(forwardRate, strikes[i], timeToExpiry, vols[i], isCall);
priceFwd += x[i] * (priceFwdSmile - priceFwdAtm);
double deltaFwdAtm = BlackFormulaRepository.delta(forwardRate, strikes[i], timeToExpiry, volAtm, isCall);
double deltaFwdSmile = BlackFormulaRepository.delta(forwardRate, strikes[i], timeToExpiry, vols[i], isCall);
deltaFwd += x[i] * (deltaFwdSmile - deltaFwdAtm);
}
double signedNotional = this.signedNotional(option);
PointSensitivityBuilder dfSensi = ratesProvider.discountFactors(ccyCounter).zeroRatePointSensitivity(underlyingFx.PaymentDate).multipliedBy(priceFwd * signedNotional);
PointSensitivityBuilder fwdSensi = fxPricer.forwardFxRatePointSensitivity(option.PutCall.Call ? underlyingFx : underlyingFx.inverse(), ratesProvider).multipliedBy(df * deltaFwd * signedNotional);
return(dfSensi.combinedWith(fwdSensi));
}
/// <summary>
/// Computes the present value sensitivity to the black volatilities used in the pricing.
/// <para>
/// The implied strikes and weights are fixed in this sensitivity computation.
///
/// </para>
/// </summary>
/// <param name="option"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the Black volatility provider </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivityModelParamsVolatility(ResolvedFxVanillaOption option, RatesProvider ratesProvider, BlackFxOptionSmileVolatilities volatilities)
{
validate(ratesProvider, volatilities);
double timeToExpiry = volatilities.relativeTime(option.Expiry);
if (timeToExpiry <= 0d)
{
return(PointSensitivityBuilder.none());
}
ResolvedFxSingle underlyingFx = option.Underlying;
Currency ccyCounter = option.CounterCurrency;
double df = ratesProvider.discountFactor(ccyCounter, underlyingFx.PaymentDate);
FxRate forward = fxPricer.forwardFxRate(underlyingFx, ratesProvider);
CurrencyPair currencyPair = underlyingFx.CurrencyPair;
double forwardRate = forward.fxRate(currencyPair);
double strikeRate = option.Strike;
SmileDeltaParameters smileAtTime = volatilities.Smile.smileForExpiry(timeToExpiry);
double[] strikes = smileAtTime.strike(forwardRate).toArray();
double[] vols = smileAtTime.Volatility.toArray();
double volAtm = vols[1];
double[] x = vannaVolgaWeights(forwardRate, strikeRate, timeToExpiry, volAtm, strikes);
double vegaAtm = BlackFormulaRepository.vega(forwardRate, strikeRate, timeToExpiry, volAtm);
double signedNotional = this.signedNotional(option);
PointSensitivityBuilder sensiSmile = PointSensitivityBuilder.none();
for (int i = 0; i < 3; i += 2)
{
double vegaFwdAtm = BlackFormulaRepository.vega(forwardRate, strikes[i], timeToExpiry, volAtm);
vegaAtm -= x[i] * vegaFwdAtm;
double vegaFwdSmile = BlackFormulaRepository.vega(forwardRate, strikes[i], timeToExpiry, vols[i]);
sensiSmile = sensiSmile.combinedWith(FxOptionSensitivity.of(volatilities.Name, currencyPair, timeToExpiry, strikes[i], forwardRate, ccyCounter, df * signedNotional * x[i] * vegaFwdSmile));
}
FxOptionSensitivity sensiAtm = FxOptionSensitivity.of(volatilities.Name, currencyPair, timeToExpiry, strikes[1], forwardRate, ccyCounter, df * signedNotional * vegaAtm);
return(sensiAtm.combinedWith(sensiSmile));
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivityVolatility()
{
for (int i = 0; i < NB_STRIKES; ++i)
{
PointSensitivities computedCall = PRICER.presentValueSensitivityModelParamsVolatility(CALLS[i], RATES_PROVIDER, VOLS).build();
double timeToExpiry = VOLS.relativeTime(EXPIRY);
FxRate forward = FX_PRICER.forwardFxRate(UNDERLYING[i], RATES_PROVIDER);
double forwardRate = forward.fxRate(CURRENCY_PAIR);
double strikeRate = CALLS[i].Strike;
SmileDeltaParameters smileAtTime = VOLS.Smile.smileForExpiry(timeToExpiry);
double[] strikes = smileAtTime.strike(forwardRate).toArray();
double[] vols = smileAtTime.Volatility.toArray();
double df = RATES_PROVIDER.discountFactor(USD, PAY);
double[] weights = this.weights(forwardRate, strikeRate, strikes, timeToExpiry, vols[1]);
double[] vegas = new double[3];
vegas[2] = BlackFormulaRepository.vega(forwardRate, strikeRate, timeToExpiry, vols[1]) * df * NOTIONAL;
for (int j = 0; j < 3; j += 2)
{
vegas[2] -= weights[j] * NOTIONAL *df *BlackFormulaRepository.vega(forwardRate, strikes[j], timeToExpiry, vols[1]);
}
vegas[0] = weights[0] * NOTIONAL *df *BlackFormulaRepository.vega(forwardRate, strikes[0], timeToExpiry, vols[0]);
vegas[1] = weights[2] * NOTIONAL *df *BlackFormulaRepository.vega(forwardRate, strikes[2], timeToExpiry, vols[2]);
double[] expStrikes = new double[] { strikes[0], strikes[2], strikes[1] };
for (int j = 0; j < 3; ++j)
{
FxOptionSensitivity sensi = (FxOptionSensitivity)computedCall.Sensitivities.get(j);
assertEquals(sensi.Sensitivity, vegas[j], TOL * NOTIONAL);
assertEquals(sensi.Strike, expStrikes[j], TOL);
assertEquals(sensi.Forward, forwardRate, TOL);
assertEquals(sensi.Currency, USD);
assertEquals(sensi.CurrencyPair, CURRENCY_PAIR);
assertEquals(sensi.Expiry, timeToExpiry);
}
}
}
/// <summary>
/// Tests the interpolation and its derivative with respect to the data by comparison to finite difference.
/// </summary>
public virtual void volatilityAjoint()
{
double forward = 1.40;
double[] timeToExpiry = new double[] { 0.75, 1.00, 2.50 };
double[] strike = new double[] { 1.50, 1.70, 2.20 };
double[] tolerance = new double[] { 3e-2, 1e-1, 1e-5 };
int nbTest = strike.Length;
double shift = 0.00001;
for (int looptest = 0; looptest < nbTest; looptest++)
{
double vol = SMILE_TERM.volatility(timeToExpiry[looptest], strike[looptest], forward);
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] bucketTest = new double[TIME_TO_EXPIRY.size()][2 * DELTA.size() + 1];
double[][] bucketTest = RectangularArrays.ReturnRectangularDoubleArray(TIME_TO_EXPIRY.size(), 2 * DELTA.size() + 1);
VolatilityAndBucketedSensitivities volComputed = SMILE_TERM.volatilityAndSensitivities(timeToExpiry[looptest], strike[looptest], forward);
DoubleMatrix bucketSensi = volComputed.Sensitivities;
assertEquals(volComputed.Volatility, vol, 1.0E-10, "Smile by delta term structure: volatility adjoint");
SmileDeltaParameters[] volData = new SmileDeltaParameters[TIME_TO_EXPIRY.size()];
double[] volBumped = new double[2 * DELTA.size() + 1];
for (int loopexp = 0; loopexp < TIME_TO_EXPIRY.size(); loopexp++)
{
for (int loopsmile = 0; loopsmile < 2 * DELTA.size() + 1; loopsmile++)
{
Array.Copy(SMILE_TERM.VolatilityTerm.toArray(), 0, volData, 0, TIME_TO_EXPIRY.size());
Array.Copy(SMILE_TERM.VolatilityTerm.get(loopexp).Volatility.toArray(), 0, volBumped, 0, 2 * DELTA.size() + 1);
volBumped[loopsmile] += shift;
volData[loopexp] = SmileDeltaParameters.of(TIME_TO_EXPIRY.get(loopexp), DELTA, DoubleArray.copyOf(volBumped));
InterpolatedStrikeSmileDeltaTermStructure smileTermBumped = InterpolatedStrikeSmileDeltaTermStructure.of(ImmutableList.copyOf(volData), ACT_360);
bucketTest[loopexp][loopsmile] = (smileTermBumped.volatility(timeToExpiry[looptest], strike[looptest], forward) - volComputed.Volatility) / shift;
assertEquals(bucketSensi.get(loopexp, loopsmile), bucketTest[loopexp][loopsmile], tolerance[looptest], "Smile by delta term structure: (test: " + looptest + ") volatility bucket sensitivity " + loopexp + " - " + loopsmile);
}
}
}
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class) public void testStrangleLength()
public virtual void testStrangleLength()
{
SmileDeltaParameters.of(TIME_TO_EXPIRY, ATM, DELTA, RISK_REVERSAL, DoubleArray.filled(3));
}
private SmileAndBucketedSensitivities(SmileDeltaParameters smile, DoubleMatrix sensitivities)
{
JodaBeanUtils.notNull(sensitivities, "sensitivities");
this.smile = smile;
this.sensitivities = sensitivities;
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance.
/// </summary>
/// <param name="smile"> the smile </param>
/// <param name="sensitivities"> the bucketed sensitivities </param>
/// <returns> the volatility and sensitivities </returns>
public static SmileAndBucketedSensitivities of(SmileDeltaParameters smile, DoubleMatrix sensitivities)
{
return(new SmileAndBucketedSensitivities(smile, sensitivities));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class) public void testRRLength()
public virtual void testRRLength()
{
SmileDeltaParameters.of(TIME_TO_EXPIRY, ATM, DELTA, DoubleArray.filled(3), STRANGLE);
}
//-------------------------------------------------------------------------
// bumping a node point at (nodeExpiry, nodeDelta)
private double nodeSensitivity(BlackFxOptionSmileVolatilities provider, CurrencyPair pair, ZonedDateTime expiry, double strike, double forward, double nodeExpiry, double nodeDelta)
{
double strikeMod = provider.CurrencyPair.Equals(pair) ? strike : 1.0 / strike;
double forwardMod = provider.CurrencyPair.Equals(pair) ? forward : 1.0 / forward;
InterpolatedStrikeSmileDeltaTermStructure smileTerm = (InterpolatedStrikeSmileDeltaTermStructure)provider.Smile;
double[] times = smileTerm.Expiries.toArray();
int nTimes = times.Length;
SmileDeltaParameters[] volTermUp = new SmileDeltaParameters[nTimes];
SmileDeltaParameters[] volTermDw = new SmileDeltaParameters[nTimes];
int deltaIndex = -1;
for (int i = 0; i < nTimes; ++i)
{
DoubleArray deltas = smileTerm.VolatilityTerm.get(i).Delta;
int nDeltas = deltas.size();
int nDeltasTotal = 2 * nDeltas + 1;
double[] deltasTotal = new double[nDeltasTotal];
deltasTotal[nDeltas] = 0.5d;
for (int j = 0; j < nDeltas; ++j)
{
deltasTotal[j] = 1d - deltas.get(j);
deltasTotal[2 * nDeltas - j] = deltas.get(j);
}
double[] volsUp = smileTerm.VolatilityTerm.get(i).Volatility.toArray();
double[] volsDw = smileTerm.VolatilityTerm.get(i).Volatility.toArray();
if (Math.Abs(times[i] - nodeExpiry) < TOLERANCE)
{
for (int j = 0; j < nDeltasTotal; ++j)
{
if (Math.Abs(deltasTotal[j] - nodeDelta) < TOLERANCE)
{
deltaIndex = j;
volsUp[j] += EPS;
volsDw[j] -= EPS;
}
}
}
volTermUp[i] = SmileDeltaParameters.of(times[i], deltas, DoubleArray.copyOf(volsUp));
volTermDw[i] = SmileDeltaParameters.of(times[i], deltas, DoubleArray.copyOf(volsDw));
}
InterpolatedStrikeSmileDeltaTermStructure smileTermUp = InterpolatedStrikeSmileDeltaTermStructure.of(ImmutableList.copyOf(volTermUp), ACT_365F);
InterpolatedStrikeSmileDeltaTermStructure smileTermDw = InterpolatedStrikeSmileDeltaTermStructure.of(ImmutableList.copyOf(volTermDw), ACT_365F);
BlackFxOptionSmileVolatilities provUp = BlackFxOptionSmileVolatilities.of(NAME, CURRENCY_PAIR, VAL_DATE_TIME, smileTermUp);
BlackFxOptionSmileVolatilities provDw = BlackFxOptionSmileVolatilities.of(NAME, CURRENCY_PAIR, VAL_DATE_TIME, smileTermDw);
double volUp = provUp.volatility(pair, expiry, strike, forward);
double volDw = provDw.volatility(pair, expiry, strike, forward);
double totalSensi = 0.5 * (volUp - volDw) / EPS;
double expiryTime = provider.relativeTime(expiry);
SmileDeltaParameters singleSmile = smileTerm.smileForExpiry(expiryTime);
double[] strikesUp = singleSmile.strike(forwardMod).toArray();
double[] strikesDw = strikesUp.Clone();
double[] vols = singleSmile.Volatility.toArray();
strikesUp[deltaIndex] += EPS;
strikesDw[deltaIndex] -= EPS;
double volStrikeUp = LINEAR.bind(DoubleArray.ofUnsafe(strikesUp), DoubleArray.ofUnsafe(vols), FLAT, FLAT).interpolate(strikeMod);
double volStrikeDw = LINEAR.bind(DoubleArray.ofUnsafe(strikesDw), DoubleArray.ofUnsafe(vols), FLAT, FLAT).interpolate(strikeMod);
double sensiStrike = 0.5 * (volStrikeUp - volStrikeDw) / EPS;
SmileDeltaParameters singleSmileUp = smileTermUp.smileForExpiry(expiryTime);
double strikeUp = singleSmileUp.strike(forwardMod).get(deltaIndex);
SmileDeltaParameters singleSmileDw = smileTermDw.smileForExpiry(expiryTime);
double strikeDw = singleSmileDw.strike(forwardMod).get(deltaIndex);
double sensiVol = 0.5 * (strikeUp - strikeDw) / EPS;
return(totalSensi - sensiStrike * sensiVol);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class) public void testNullDelta()
public virtual void testNullDelta()
{
SmileDeltaParameters.of(TIME_TO_EXPIRY, ATM, null, RISK_REVERSAL, STRANGLE);
}
