public virtual void hashEqualGetter()
{
assertEquals(PARAMETERS.AlphaSurface, ALPHA_SURFACE);
assertEquals(PARAMETERS.BetaSurface, BETA_SURFACE);
assertEquals(PARAMETERS.RhoSurface, RHO_SURFACE);
assertEquals(PARAMETERS.NuSurface, NU_SURFACE);
assertEquals(PARAMETERS.SabrVolatilityFormula, FORMULA);
assertEquals(PARAMETERS.ShiftSurface.Name, SurfaceName.of("Zero shift"));
double expiry = 2.0;
double tenor = 3.0;
double alpha = ALPHA_SURFACE.zValue(expiry, tenor);
double beta = BETA_SURFACE.zValue(expiry, tenor);
double rho = RHO_SURFACE.zValue(expiry, tenor);
double nu = NU_SURFACE.zValue(expiry, tenor);
assertEquals(PARAMETERS.alpha(expiry, tenor), alpha);
assertEquals(PARAMETERS.beta(expiry, tenor), beta);
assertEquals(PARAMETERS.rho(expiry, tenor), rho);
assertEquals(PARAMETERS.nu(expiry, tenor), nu);
double strike = 1.1;
double forward = 1.05;
assertEquals(PARAMETERS.volatility(expiry, tenor, strike, forward), FORMULA.volatility(forward, strike, expiry, alpha, beta, rho, nu));
double[] adjCmp = PARAMETERS.volatilityAdjoint(expiry, tenor, strike, forward).Derivatives.toArray();
double[] adjExp = FORMULA.volatilityAdjoint(forward, strike, expiry, alpha, beta, rho, nu).Derivatives.toArray();
for (int i = 0; i < 6; ++i)
{
assertEquals(adjCmp[i], adjExp[i]);
}
SabrInterestRateParameters other = SabrInterestRateParameters.of(ALPHA_SURFACE, BETA_SURFACE, RHO_SURFACE, NU_SURFACE, FORMULA);
assertEquals(PARAMETERS, other);
assertEquals(PARAMETERS.GetHashCode(), other.GetHashCode());
}
public virtual void comparisonDupireVolTest()
{
double tol = 1.0e-2;
ImpliedTrinomialTreeLocalVolatilityCalculator calc = new ImpliedTrinomialTreeLocalVolatilityCalculator(28, 1.45d, INTERP_LINEAR);
System.Func <double, double> interestRate = (double?x) =>
{
return(0.03d);
};
System.Func <double, double> dividendRate = (double?x) =>
{
return(0.01d);
};
InterpolatedNodalSurface resTri = calc.localVolatilityFromImpliedVolatility(VOL_SURFACE, SPOT, interestRate, dividendRate);
DeformedSurface resDup = (new DupireLocalVolatilityCalculator()).localVolatilityFromImpliedVolatility(VOL_SURFACE, SPOT, interestRate, dividendRate);
double[][] sampleStrikes = new double[][]
{
new double[] { 0.7 * SPOT, SPOT, 1.1 * SPOT, 1.4 * SPOT },
new double[] { 0.5 * SPOT, 0.9 * SPOT, SPOT, 1.3 * SPOT, 1.9 * SPOT }
};
double[] sampleTimes = new double[] { 0.8, 1.1 };
for (int i = 0; i < sampleTimes.Length; ++i)
{
double time = sampleTimes[i];
foreach (double strike in sampleStrikes[i])
{
double volTri = resTri.zValue(time, strike);
double volDup = resDup.zValue(time, strike);
assertEquals(volTri, volDup, tol);
}
}
}
public virtual void comparisonDupirePriceTest()
{
double tol = 7.0e-2;
ImpliedTrinomialTreeLocalVolatilityCalculator calc = new ImpliedTrinomialTreeLocalVolatilityCalculator(22, 1.1d, INTERP_LINEAR);
System.Func <double, double> interestRate = (double?x) =>
{
return(0.003d);
};
System.Func <double, double> dividendRate = (double?x) =>
{
return(0.01d);
};
InterpolatedNodalSurface resTri = calc.localVolatilityFromPrice(PRICE_SURFACE, SPOT, interestRate, dividendRate);
DeformedSurface resDup = (new DupireLocalVolatilityCalculator()).localVolatilityFromPrice(PRICE_SURFACE, SPOT, interestRate, dividendRate);
// limited range due to interpolation/extrapolation of price surface -> negative call/put price reached
double[][] sampleStrikes = new double[][]
{
new double[] { 0.95 * SPOT, 1.05 * SPOT },
new double[] { 0.9 * SPOT, SPOT, 1.1 * SPOT }
};
double[] sampleTimes = new double[] { 0.7, 1.05 };
for (int i = 0; i < sampleTimes.Length; ++i)
{
double time = sampleTimes[i];
foreach (double strike in sampleStrikes[i])
{
double volTri = resTri.zValue(time, strike);
double volDup = resDup.zValue(time, strike);
assertEquals(volTri, volDup, tol);
}
}
}
public virtual void test_volatility_rate()
{
for (int i = 0; i < NB_TEST; i++)
{
double timeToExpiry = VOL_SIMPLE_MONEY_RATE.relativeTime(TEST_EXPIRY[i]);
double volExpected = PARAMETERS_RATE.zValue(timeToExpiry, TEST_FUTURE_PRICE[i] - TEST_STRIKE_PRICE[i]);
double volComputed = VOL_SIMPLE_MONEY_RATE.volatility(TEST_EXPIRY[i], TEST_FIXING[i], TEST_STRIKE_PRICE[i], TEST_FUTURE_PRICE[i]);
assertEquals(volComputed, volExpected, TOLERANCE_VOL);
}
}
// ---------- price ----------
public virtual void price_from_future_price()
{
IborIndexRates mockIbor = mock(typeof(IborIndexRates));
SimpleRatesProvider prov = new SimpleRatesProvider();
prov.IborRates = mockIbor;
when(mockIbor.rate(OPTION.UnderlyingFuture.IborRate.Observation)).thenReturn(RATE);
double futurePrice = 0.9875;
double strike = OPTION.StrikePrice;
double timeToExpiry = ACT_365F.relativeYearFraction(VAL_DATE, OPTION.ExpiryDate);
double priceSimpleMoneyness = strike - futurePrice;
double normalVol = PARAMETERS_PRICE.zValue(timeToExpiry, priceSimpleMoneyness);
EuropeanVanillaOption option = EuropeanVanillaOption.of(strike, timeToExpiry, OPTION.PutCall);
NormalFunctionData normalPoint = NormalFunctionData.of(futurePrice, 1.0, normalVol);
double optionPriceExpected = NORMAL_FUNCTION.getPriceFunction(option).apply(normalPoint);
double optionPriceComputed = OPTION_PRICER.price(OPTION, prov, VOL_SIMPLE_MONEY_PRICE, futurePrice);
assertEquals(optionPriceComputed, optionPriceExpected, TOLERANCE_PRICE);
}
