//-------------------------------------------------------------------------
public virtual void coverage()
{
coverImmutableBean(DATA);
SsviFormulaData another = SsviFormulaData.of(1.2, 0.4, 0.2);
coverBeanEquals(DATA, another);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
SsviFormulaData other = (SsviFormulaData)obj;
return(JodaBeanUtils.equal(parameters, other.parameters));
}
return(false);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void derivatives()
public virtual void derivatives()
{ // AD v Finite Difference
ScalarFieldFirstOrderDifferentiator differentiator = new ScalarFieldFirstOrderDifferentiator(FiniteDifferenceType.CENTRAL, 1.0E-5);
for (int i = 0; i < N; i++)
{
System.Func <DoubleArray, double> function = (DoubleArray x) =>
{
SsviFormulaData data = SsviFormulaData.of(x.get(3), x.get(4), x.get(5));
return(SSVI_FUNCTION.volatility(x.get(0), x.get(1), x.get(2), data));
};
System.Func <DoubleArray, DoubleArray> d = differentiator.differentiate(function);
DoubleArray fd = d(DoubleArray.of(FORWARD, STRIKES[i], TIME_EXP, VOL_ATM, RHO, ETA));
ValueDerivatives ad = SSVI_FUNCTION.volatilityAdjoint(FORWARD, STRIKES[i], TIME_EXP, DATA);
for (int j = 0; j < 6; j++)
{
assertEquals(fd.get(j), ad.Derivatives.get(j), TOLERANCE_AD);
}
}
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void test()
public virtual void test()
{
assertEquals(DATA.Sigma, SIGMA, 0);
assertEquals(DATA.Rho, RHO, 0);
assertEquals(DATA.Eta, ETA, 0);
assertEquals(DATA.getParameter(0), SIGMA, 0);
assertEquals(DATA.getParameter(1), RHO, 0);
assertEquals(DATA.getParameter(2), ETA, 0);
assertEquals(DATA.NumberOfParameters, 3);
SsviFormulaData other = SsviFormulaData.of(new double[] { SIGMA, RHO, ETA });
assertEquals(other, DATA);
assertEquals(other.GetHashCode(), DATA.GetHashCode());
other = other.with(0, SIGMA - 0.01);
assertFalse(other.Equals(DATA));
other = SsviFormulaData.of(SIGMA * 0.5, RHO, ETA);
assertFalse(other.Equals(DATA));
other = SsviFormulaData.of(SIGMA, RHO * 0.5, ETA);
assertFalse(other.Equals(DATA));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void testWrongParameterLength()
public virtual void testWrongParameterLength()
{
assertThrowsIllegalArg(() => SsviFormulaData.of(new double[] { ETA, RHO, SIGMA, 0.1 }));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void testHighRho()
public virtual void testHighRho()
{
assertThrowsIllegalArg(() => SsviFormulaData.of(SIGMA, RHO + 10, ETA));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void testNegativeSigma()
public virtual void testNegativeSigma()
{
assertThrowsIllegalArg(() => SsviFormulaData.of(-SIGMA, RHO, ETA));
}
