public virtual void test_relativeTime()
{
SabrParametersSwaptionVolatilities prov = SabrParametersSwaptionVolatilities.of(NAME, CONV, DATE_TIME, PARAM);
double test1 = prov.relativeTime(DATE_TIME);
assertEquals(test1, 0d);
double test2 = prov.relativeTime(DATE_TIME.plusYears(2));
double test3 = prov.relativeTime(DATE_TIME.minusYears(2));
assertEquals(test2, -test3, 1e-2);
}
public virtual void test_findData()
{
SabrParametersSwaptionVolatilities test = SabrParametersSwaptionVolatilities.of(NAME, CONV, DATE_TIME, PARAM);
assertEquals(test.findData(PARAM.AlphaSurface.Name), PARAM.AlphaSurface);
assertEquals(test.findData(PARAM.BetaSurface.Name), PARAM.BetaSurface);
assertEquals(test.findData(PARAM.RhoSurface.Name), PARAM.RhoSurface);
assertEquals(test.findData(PARAM.NuSurface.Name), PARAM.NuSurface);
assertEquals(test.findData(PARAM.ShiftSurface.Name), PARAM.ShiftSurface);
assertEquals(test.findData(SurfaceName.of("Rubbish")), null);
}
public virtual void test_volatility()
{
SabrParametersSwaptionVolatilities prov = SabrParametersSwaptionVolatilities.of(NAME, CONV, DATE_TIME, PARAM);
for (int i = 0; i < NB_TEST; i++)
{
for (int j = 0; j < NB_STRIKE; ++j)
{
double expiryTime = prov.relativeTime(TEST_OPTION_EXPIRY[i]);
double volExpected = PARAM.volatility(expiryTime, TEST_TENOR[i], TEST_STRIKE[j], TEST_FORWARD);
double volComputed = prov.volatility(TEST_OPTION_EXPIRY[i], TEST_TENOR[i], TEST_STRIKE[j], TEST_FORWARD);
assertEquals(volComputed, volExpected, TOLERANCE_VOL);
}
}
}
public virtual void test_tenor()
{
SabrParametersSwaptionVolatilities prov = SabrParametersSwaptionVolatilities.of(NAME, CONV, DATE_TIME, PARAM);
double test1 = prov.tenor(DATE, DATE);
assertEquals(test1, 0d);
double test2 = prov.tenor(DATE, DATE.plusYears(2));
double test3 = prov.tenor(DATE, DATE.minusYears(2));
assertEquals(test2, -test3);
double test4 = prov.tenor(DATE, LocalDate.of(2019, 2, 2));
double test5 = prov.tenor(DATE, LocalDate.of(2018, 12, 31));
assertEquals(test4, 5d);
assertEquals(test5, 5d);
}
public virtual void test_parameterSensitivity()
{
double alphaSensi = 2.24, betaSensi = 3.45, rhoSensi = -2.12, nuSensi = -0.56;
SabrParametersSwaptionVolatilities prov = SabrParametersSwaptionVolatilities.of(NAME, CONV, DATE_TIME, PARAM);
for (int i = 0; i < NB_TEST; i++)
{
double expiryTime = prov.relativeTime(TEST_OPTION_EXPIRY[i]);
PointSensitivities point = PointSensitivities.of(SwaptionSabrSensitivity.of(NAME, expiryTime, TEST_TENOR[i], ALPHA, USD, alphaSensi), SwaptionSabrSensitivity.of(NAME, expiryTime, TEST_TENOR[i], BETA, USD, betaSensi), SwaptionSabrSensitivity.of(NAME, expiryTime, TEST_TENOR[i], RHO, USD, rhoSensi), SwaptionSabrSensitivity.of(NAME, expiryTime, TEST_TENOR[i], NU, USD, nuSensi));
CurrencyParameterSensitivities sensiComputed = prov.parameterSensitivity(point);
UnitParameterSensitivity alphaSensitivities = prov.Parameters.AlphaSurface.zValueParameterSensitivity(expiryTime, TEST_TENOR[i]);
UnitParameterSensitivity betaSensitivities = prov.Parameters.BetaSurface.zValueParameterSensitivity(expiryTime, TEST_TENOR[i]);
UnitParameterSensitivity rhoSensitivities = prov.Parameters.RhoSurface.zValueParameterSensitivity(expiryTime, TEST_TENOR[i]);
UnitParameterSensitivity nuSensitivities = prov.Parameters.NuSurface.zValueParameterSensitivity(expiryTime, TEST_TENOR[i]);
CurrencyParameterSensitivity alphaSensiObj = sensiComputed.getSensitivity(SwaptionSabrRateVolatilityDataSet.META_ALPHA.SurfaceName, USD);
CurrencyParameterSensitivity betaSensiObj = sensiComputed.getSensitivity(SwaptionSabrRateVolatilityDataSet.META_BETA_USD.SurfaceName, USD);
CurrencyParameterSensitivity rhoSensiObj = sensiComputed.getSensitivity(SwaptionSabrRateVolatilityDataSet.META_RHO.SurfaceName, USD);
CurrencyParameterSensitivity nuSensiObj = sensiComputed.getSensitivity(SwaptionSabrRateVolatilityDataSet.META_NU.SurfaceName, USD);
DoubleArray alphaNodeSensiComputed = alphaSensiObj.Sensitivity;
DoubleArray betaNodeSensiComputed = betaSensiObj.Sensitivity;
DoubleArray rhoNodeSensiComputed = rhoSensiObj.Sensitivity;
DoubleArray nuNodeSensiComputed = nuSensiObj.Sensitivity;
assertEquals(alphaSensitivities.Sensitivity.size(), alphaNodeSensiComputed.size());
assertEquals(betaSensitivities.Sensitivity.size(), betaNodeSensiComputed.size());
assertEquals(rhoSensitivities.Sensitivity.size(), rhoNodeSensiComputed.size());
assertEquals(nuSensitivities.Sensitivity.size(), nuNodeSensiComputed.size());
for (int k = 0; k < alphaNodeSensiComputed.size(); ++k)
{
assertEquals(alphaNodeSensiComputed.get(k), alphaSensitivities.Sensitivity.get(k) * alphaSensi, TOLERANCE_VOL);
}
for (int k = 0; k < betaNodeSensiComputed.size(); ++k)
{
assertEquals(betaNodeSensiComputed.get(k), betaSensitivities.Sensitivity.get(k) * betaSensi, TOLERANCE_VOL);
}
for (int k = 0; k < rhoNodeSensiComputed.size(); ++k)
{
assertEquals(rhoNodeSensiComputed.get(k), rhoSensitivities.Sensitivity.get(k) * rhoSensi, TOLERANCE_VOL);
}
for (int k = 0; k < nuNodeSensiComputed.size(); ++k)
{
assertEquals(nuNodeSensiComputed.get(k), nuSensitivities.Sensitivity.get(k) * nuSensi, TOLERANCE_VOL);
}
}
}
public virtual void test_pointShifts()
{
SabrParametersSwaptionVolatilities @base = SabrParametersSwaptionVolatilities.of(NAME, CONV, DATE_TIME, PARAM);
PointShiftsBuilder builder = PointShifts.builder(ShiftType.ABSOLUTE);
for (int i = 0; i < @base.ParameterCount; ++i)
{
builder.addShift(0, @base.getParameterMetadata(i).Identifier, 0.1d * (i + 1d));
builder.addShift(1, @base.getParameterMetadata(i).Identifier, 10d * (i + 1d));
}
PointShifts shifts = builder.build();
MarketDataBox <ParameterizedData> resBox = shifts.applyTo(MarketDataBox.ofSingleValue(@base), REF_DATA);
SabrParametersSwaptionVolatilities computed0 = (SabrParametersSwaptionVolatilities)resBox.getValue(0);
SabrParametersSwaptionVolatilities computed1 = (SabrParametersSwaptionVolatilities)resBox.getValue(1);
for (int i = 0; i < @base.ParameterCount; ++i)
{
assertEquals(computed0.getParameter(i), @base.getParameter(i) + 0.1d * (i + 1d));
assertEquals(computed1.getParameter(i), @base.getParameter(i) + 10d * (i + 1d));
}
}
public virtual void test_parameterSensitivity_multi()
{
double[] points1 = new double[] { 2.24, 3.45, -2.12, -0.56 };
double[] points2 = new double[] { -0.145, 1.01, -5.0, -11.0 };
double[] points3 = new double[] { 1.3, -4.32, 2.1, -7.18 };
SabrParametersSwaptionVolatilities prov = SabrParametersSwaptionVolatilities.of(NAME, CONV, DATE_TIME, PARAM);
double expiryTime0 = prov.relativeTime(TEST_OPTION_EXPIRY[0]);
double expiryTime3 = prov.relativeTime(TEST_OPTION_EXPIRY[3]);
for (int i = 0; i < NB_TEST; i++)
{
PointSensitivities sensi1 = PointSensitivities.of(SwaptionSabrSensitivity.of(NAME, expiryTime0, TEST_TENOR[i], ALPHA, USD, points1[0]), SwaptionSabrSensitivity.of(NAME, expiryTime0, TEST_TENOR[i], BETA, USD, points1[1]), SwaptionSabrSensitivity.of(NAME, expiryTime0, TEST_TENOR[i], RHO, USD, points1[2]), SwaptionSabrSensitivity.of(NAME, expiryTime0, TEST_TENOR[i], NU, USD, points1[3]));
PointSensitivities sensi2 = PointSensitivities.of(SwaptionSabrSensitivity.of(NAME, expiryTime0, TEST_TENOR[i], ALPHA, USD, points2[0]), SwaptionSabrSensitivity.of(NAME, expiryTime0, TEST_TENOR[i], BETA, USD, points2[1]), SwaptionSabrSensitivity.of(NAME, expiryTime0, TEST_TENOR[i], RHO, USD, points2[2]), SwaptionSabrSensitivity.of(NAME, expiryTime0, TEST_TENOR[i], NU, USD, points2[3]));
PointSensitivities sensi3 = PointSensitivities.of(SwaptionSabrSensitivity.of(NAME, expiryTime3, TEST_TENOR[i], ALPHA, USD, points3[0]), SwaptionSabrSensitivity.of(NAME, expiryTime3, TEST_TENOR[i], BETA, USD, points3[1]), SwaptionSabrSensitivity.of(NAME, expiryTime3, TEST_TENOR[i], RHO, USD, points3[2]), SwaptionSabrSensitivity.of(NAME, expiryTime3, TEST_TENOR[i], NU, USD, points3[3]));
PointSensitivities sensis = sensi1.combinedWith(sensi2).combinedWith(sensi3).normalized();
CurrencyParameterSensitivities computed = prov.parameterSensitivity(sensis);
CurrencyParameterSensitivities expected = prov.parameterSensitivity(sensi1).combinedWith(prov.parameterSensitivity(sensi2)).combinedWith(prov.parameterSensitivity(sensi3));
DoubleArrayMath.fuzzyEquals(computed.getSensitivity(PARAM.AlphaSurface.Name, USD).Sensitivity.toArray(), expected.getSensitivity(PARAM.AlphaSurface.Name, USD).Sensitivity.toArray(), TOLERANCE_VOL);
DoubleArrayMath.fuzzyEquals(computed.getSensitivity(PARAM.BetaSurface.Name, USD).Sensitivity.toArray(), expected.getSensitivity(PARAM.BetaSurface.Name, USD).Sensitivity.toArray(), TOLERANCE_VOL);
DoubleArrayMath.fuzzyEquals(computed.getSensitivity(PARAM.RhoSurface.Name, USD).Sensitivity.toArray(), expected.getSensitivity(PARAM.RhoSurface.Name, USD).Sensitivity.toArray(), TOLERANCE_VOL);
DoubleArrayMath.fuzzyEquals(computed.getSensitivity(PARAM.NuSurface.Name, USD).Sensitivity.toArray(), expected.getSensitivity(PARAM.NuSurface.Name, USD).Sensitivity.toArray(), TOLERANCE_VOL);
}
}
/// <summary>
/// Obtains {@code SABRVolatilitySwaptionProvider} for specified valuation date.
/// </summary>
/// <param name="valuationDate"> the valuation date </param>
/// <param name="shift"> nonzero shift if true, zero shift otherwise </param>
/// <returns> the volatility provider </returns>
public static SabrParametersSwaptionVolatilities getVolatilitiesEur(LocalDate valuationDate, bool shift)
{
ZonedDateTime dateTime = valuationDate.atStartOfDay(ZoneOffset.UTC);
return(shift ? SabrParametersSwaptionVolatilities.of(NAME, SWAP_CONVENTION_EUR, dateTime, SABR_PARAM_SHIFT_EUR) : SabrParametersSwaptionVolatilities.of(NAME, SWAP_CONVENTION_EUR, dateTime, SABR_PARAM_EUR));
}
