//-------------------------------------------------------------------------
public virtual void coverage()
{
NormalSwaptionExpiryTenorVolatilities test1 = NormalSwaptionExpiryTenorVolatilities.of(CONVENTION, VAL_DATE_TIME, SURFACE);
coverImmutableBean(test1);
NormalSwaptionExpiryTenorVolatilities test2 = NormalSwaptionExpiryTenorVolatilities.of(CONVENTION, VAL_DATE.atStartOfDay(ZoneOffset.UTC), SURFACE);
coverBeanEquals(test1, test2);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
NormalSwaptionExpiryTenorVolatilities other = (NormalSwaptionExpiryTenorVolatilities)obj;
return(JodaBeanUtils.equal(convention, other.convention) && JodaBeanUtils.equal(valuationDateTime, other.valuationDateTime) && JodaBeanUtils.equal(surface, other.surface));
}
return(false);
}
public virtual void test_volatility_sensitivity()
{
double eps = 1.0e-6;
int nData = TIME.size();
for (int i = 0; i < NB_TEST; i++)
{
double expiryTime = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]);
SwaptionSensitivity point = SwaptionSensitivity.of(VOLS.Name, expiryTime, TEST_TENOR[i], TEST_STRIKE, TEST_FORWARD, GBP, TEST_SENSITIVITY[i]);
CurrencyParameterSensitivities sensActual = VOLS.parameterSensitivity(point);
CurrencyParameterSensitivity sensi = sensActual.getSensitivity(SURFACE.Name, GBP);
DoubleArray computed = sensi.Sensitivity;
IDictionary <DoublesPair, double> map = new Dictionary <DoublesPair, double>();
for (int j = 0; j < nData; ++j)
{
DoubleArray volDataUp = VOL.subArray(0, nData).with(j, VOL.get(j) + eps);
DoubleArray volDataDw = VOL.subArray(0, nData).with(j, VOL.get(j) - eps);
InterpolatedNodalSurface paramUp = InterpolatedNodalSurface.of(METADATA, TIME, TENOR, volDataUp, INTERPOLATOR_2D);
InterpolatedNodalSurface paramDw = InterpolatedNodalSurface.of(METADATA, TIME, TENOR, volDataDw, INTERPOLATOR_2D);
NormalSwaptionExpiryTenorVolatilities provUp = NormalSwaptionExpiryTenorVolatilities.of(CONVENTION, VAL_DATE_TIME, paramUp);
NormalSwaptionExpiryTenorVolatilities provDw = NormalSwaptionExpiryTenorVolatilities.of(CONVENTION, VAL_DATE_TIME, paramDw);
double volUp = provUp.volatility(TEST_OPTION_EXPIRY[i], TEST_TENOR[i], TEST_STRIKE, TEST_FORWARD);
double volDw = provDw.volatility(TEST_OPTION_EXPIRY[i], TEST_TENOR[i], TEST_STRIKE, TEST_FORWARD);
double fd = 0.5 * (volUp - volDw) / eps;
map[DoublesPair.of(TIME.get(j), TENOR.get(j))] = fd;
}
IList <ParameterMetadata> list = sensi.ParameterMetadata;
assertEquals(computed.size(), nData);
for (int j = 0; j < list.Count; ++j)
{
SwaptionSurfaceExpiryTenorParameterMetadata metadata = (SwaptionSurfaceExpiryTenorParameterMetadata)list[i];
double expected = map[DoublesPair.of(metadata.YearFraction, metadata.Tenor)];
assertEquals(computed.get(i), expected, eps);
}
}
}
public static NormalSwaptionExpiryTenorVolatilities normalVolSwaptionProviderUsdStd(LocalDate valuationDate)
{
return(NormalSwaptionExpiryTenorVolatilities.of(USD_1Y_LIBOR3M, valuationDate.atTime(VAL_TIME_STD).atZone(VAL_ZONE_STD), SURFACE_STD));
}
/// <summary>
/// Returns the swaption normal volatility surface shifted by a given amount. The shift is parallel. </summary>
/// <param name="shift"> the shift </param>
/// <returns> the swaption normal volatility surface </returns>
public static NormalSwaptionExpiryTenorVolatilities normalVolSwaptionProviderUsdStsShifted(double shift)
{
DoubleArray volShifted = NORMAL_VOL.map(v => v + shift);
return(NormalSwaptionExpiryTenorVolatilities.of(USD_1Y_LIBOR3M, VAL_DATE_TIME_STD, SURFACE_STD.withZValues(volShifted)));
}
