//-------------------------------------------------------------------------
public virtual void test_implied_volatility()
{
double forward = PRICER_SWAP.parRate(RSWAP_REC, MULTI_USD);
double volExpected = NORMAL_VOLS_USD_STD.volatility(SWAPTION_LONG_REC.Expiry, SWAP_TENOR_YEAR, STRIKE, forward);
double volComputed = PRICER_SWAPTION_NORMAL.impliedVolatility(SWAPTION_LONG_PAY, MULTI_USD, NORMAL_VOLS_USD_STD);
assertEquals(volComputed, volExpected, TOLERANCE_RATE);
}
public virtual void test_volatility()
{
for (int i = 0; i < NB_TEST; i++)
{
double expiryTime = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]);
double volExpected = SURFACE.zValue(expiryTime, TEST_TENOR[i]);
double volComputed = VOLS.volatility(TEST_OPTION_EXPIRY[i], TEST_TENOR[i], TEST_STRIKE, TEST_FORWARD);
assertEquals(volComputed, volExpected, TOLERANCE_VOL);
}
}
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 virtual void test_presentValue()
{
CurrencyAmount pvRecComputed = PRICER_SWAPTION.presentValue(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
CurrencyAmount pvPayComputed = PRICER_SWAPTION.presentValue(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS);
double forward = PRICER_SWAP.parRate(RSWAP_REC, RATE_PROVIDER);
double annuityCash = PRICER_SWAP.LegPricer.annuityCash(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), forward);
double volatility = VOLS.volatility(SWAPTION_REC_LONG.Expiry, SWAP_TENOR_YEAR, STRIKE, forward);
double discount = RATE_PROVIDER.discountFactor(USD, SETTLE_DATE);
NormalFunctionData normalData = NormalFunctionData.of(forward, annuityCash * discount, volatility);
double expiry = VOLS.relativeTime(SWAPTION_REC_LONG.Expiry);
EuropeanVanillaOption optionRec = EuropeanVanillaOption.of(STRIKE, expiry, PutCall.PUT);
EuropeanVanillaOption optionPay = EuropeanVanillaOption.of(STRIKE, expiry, PutCall.CALL);
double pvRecExpected = NORMAL.getPriceFunction(optionRec).apply(normalData);
double pvPayExpected = -NORMAL.getPriceFunction(optionPay).apply(normalData);
assertEquals(pvRecComputed.Currency, USD);
assertEquals(pvRecComputed.Amount, pvRecExpected, NOTIONAL * TOL);
assertEquals(pvPayComputed.Currency, USD);
assertEquals(pvPayComputed.Amount, pvPayExpected, NOTIONAL * TOL);
}
