/// <summary>
/// Tests the strikes computations.
/// </summary>
public virtual void strike()
{
double[] strike = SMILE.strike(FORWARD).toArrayUnsafe();
DoubleArray volatility = SMILE.Volatility;
int nbDelta = DELTA.size();
for (int loopdelta = 0; loopdelta < nbDelta; loopdelta++)
{
ValueDerivatives dPut = BlackFormulaRepository.priceAdjoint(FORWARD, strike[loopdelta], TIME_TO_EXPIRY, volatility.get(loopdelta), false);
assertEquals(-DELTA.get(loopdelta), dPut.getDerivative(0), 1e-8, "Strike: Put " + loopdelta);
ValueDerivatives dCall = BlackFormulaRepository.priceAdjoint(FORWARD, strike[2 * nbDelta - loopdelta], TIME_TO_EXPIRY, volatility.get(2 * nbDelta - loopdelta), true);
assertEquals(DELTA.get(loopdelta), dCall.getDerivative(0), 1e-8, "Strike: Call " + loopdelta);
}
ValueDerivatives dPut = BlackFormulaRepository.priceAdjoint(FORWARD, strike[nbDelta], TIME_TO_EXPIRY, volatility.get(nbDelta), false);
ValueDerivatives dCall = BlackFormulaRepository.priceAdjoint(FORWARD, strike[nbDelta], TIME_TO_EXPIRY, volatility.get(nbDelta), true);
assertEquals(0.0, dCall.getDerivative(0) + dPut.getDerivative(0), 1e-8, "Strike: ATM");
}
